国际投资期末复习

1、Chapter 1汇率标价1、Direct Exchange Quotations 直接标价法F:DA direct exchange rate is the domestic price of foreign currency.For example, an American investor seeing a direct quote :$ = 1.34 knows she/he will pay $1.34 for one euro. To a European investor, the direct quote is $:= 0.75 which says that 1 dollar

2、 (foreign currency) is worth 0.75 euro.2、 Indirect Exchange Quotations 间接标价法D:FAn indirect exchange rate is the amount of foreign currency that one unit of domestic currency will purchase.For an American investor, the indirect quote $: = 0.75says that 1 dollar will purchase 0.75euro.To a European in

3、vestor, the indirect quote is :$ = 1.34 which says that 1 euro is worth 1.34 dollar.Cross Rate Calculations 套算汇率3、A cross rate is the exchange rate between two countries inferred from each countrys exchange rate with a third country.For example, bank A gives the following quotations:$ = 1.3364 $:

4、65; = 123.52 。Calculate the euro in yen (:¥) rate:(:$) * ($:¥) = 1.3364 *123.52 = 165.07The resulting quotation is: :¥ = 165.07. One euro is worth 165.07 yen外汇市场标价惯例4、The international currency market has two main components:A worldwide Forex market between major banks and specialized

5、 currency dealers. This is a wholesale interbank market for large transactions. It is an OTC market, by telephone and electronic trading platforms, where trading takes place 24 hours a day, 5 days a week. It is the largest and most liquid financial market in the world. 银行间大宗交易的“批发”市场A retail market

6、where investors and corporations deal with local banks. “零售”市场5、 No need to quote both a direct and indirect rate, e.g. both $: and :$. 没有必要在市场中同时维持欧元兑美元和美元兑欧元的标价History mostly dictates the exchange rate direction that is selected6、 Not all exchange rates are traded. 并不是所有的货币都有汇率交易7、 Forex quotes al

7、ways include a bid price and an ask price (or offer price), and there is no commission or fee added on a trade.外汇标价通常包括一个买入价和一个卖出价，一笔交易中不存在佣金和手续费。8、 Example: A dealer provides the following quote for the $:¥ (value of the dollar in yen): $:¥ =120.17 120.19 The dealer will buy dollars at a

8、price of 120.17 yen per dollar,and will sell dollars at a price of 120.19 yen per dollar.Bid-Ask Quotes 买入-卖出标价9、 Bid price: the exchange rate at which the dealer is willing to buy the quoted currency in exchange for the second currency.10、 Ask (offer) price: the exchange rate at which the dealer is

9、 willing to sell the quoted currency in exchange for the second currency.11、 Midpoint price ：the average of the bid and ask price.= (ask + bid)/212、:$ = 1.3015 1.3019. The spread equals 4 pips.13、the $:¥ quote of $:¥ = 150.51 152.52 ， is equivalent to a ¥:$ quote of: ¥:$ = 0.0065

10、5 0.00664Arbitrage 套利14、Consider the following three banks each providing a $:¥ quote :Bank A Bank B Bank C122.25-35122.40-45 122.25-45Does an arbitrage opportunity exist?One could buy dollars from Bank A for 122.35 yen per dollar and simultaneously sell them to Bank B for 122.40 yen per dollar

11、. Forward Rates 远期标价15、Spot rates are quoted for immediate currency transactions （takes place 48 hours later). 即期汇率16、Forward exchange rates are contracted today but with delivery and settlement in the future. 远期汇率17、If the 3 month forward exchange rate is :$ = 1.23778 and the spot rate is :$ = 1.25

12、00, calculate the forward premium/discount.18、 S:Spot rate F:forward rate s=a:b (F-S)/S=(ra-rb)/(1+ra)F/S=(1+rb)/(1+ra)19、Spot rate = $: =1.05 U.S. interest rate = 1.76 %Euro interest rate = 3.39 % What is the forward premium (discount)?(F-S)/S=(ra-rb)/(1+ra)=（0.0339-0.0176）/1.0176=1.6%20、Spot rate

13、= $: =1.058。Annual risk free interest rate (3-month maturity) U.S. = 1.76 Euro = 3.39 %What is the three-month forward exchange rate?F=(1+rb)/(1+ra)*S=1.058*(1+0.0339/4)/(1+0.0176/4)=1.0623Chapter2Supply and Demand for Foreign Exchange外汇的供给与需求1、 In general, there are many types of transactions that

14、affect the demand and supply of one national currency.（excess supply of euros）Balance of Payments 国际收支The convention is to treat all inflows as a credit(贷方） to the balance of payments.2、 Current Account 经常账户（Covers all current transactions that take place in the normal business of residents of a cou

15、ntry.）：Exports and imports (trade balance) ，Services，Income（投资、股利、各种跨境收入），Current transfers（礼品及其他流动没有报偿补偿）3、 Financial Account 金融账户（Covers investments by residents abroad and investments by nonresidents in the home country）：Direct investment made by companies，Portfolio investments in equity, bonds a

16、nd other securities of any maturity，Other investments and liabilities （对外国银行的存款和借款）4、 CA + FA = 0Question: What if the overall balance is negative?Answer: The central bank can use up part of its reserves to restore a zero balance. 5、 A current account deficit is offset by a financial account surplus

17、.经常账户赤字会被金融账户盈余所抵消To be sustained, a current account deficit must be financed by a financial account surplus. 6、 Current account deficit is a bad economic signal or not?经常账户赤字是一个不好的经济信号吗?No.A current account deficit is sometimes caused by economic growth.When a country grows faster than its trading

18、partners,it will attracts foreign investment.This capital inflow provides natural financing for the current account deficit.The depreciation pressures from the current account deficit are balanced by the appreciation pressures from the financial account surplus.7、 Is a large current account deficit

19、sustainable? 巨额的经常账户赤字是可持续的吗?A large current account deficit can be sustained if nonresident are willing to finance it continuously.As long as a country offers attracting additional investment opportunities and a stable “investment climate”,it can keep attracting additional financial flows.Internati

20、onal Parity Relations 国际平价关系8、 Interest rate parity is the relation that the forward discount (premium) equals the interest rate differential between two currencies.Exact relation 精确关系：F/S = (1 + rFC)/(1 + rDC)Linear approximation 线性估算： = F/S -1 = rFC - rDC 9、 Suppose that France is the domestic cou

21、ntry and the U.S. is the foreign country. The spot exchange rate quote is S=1.3$. Suppose further that the U.S. risk-free interest rate is 9% and the French risk-free interest rate is 12%. Calculate the forward rate and the forward discount. With the domestic currency quote, we have S=DC:FC=1.3Using

22、 equation :F/S = (1 + rFC)/(1 + rDC), F/1.3=(1+0.09)/(1+0.12)We have: F=1.2652, 1 euro=1.2652$, 1.2652$ per euroFor a linear approximation equation, = F/S -1 =rFC - rDC We have = 9%-12%= - 3%, the forward discount is 3%Therefore, we have the forward discount is -3%, and the forward rate F=1.2, 1.2$

23、per euro.10、 Purchasing Power Parity (PPP) Relation购买力平价：汇率与通货膨胀差 inflation and exchange rate movements11、 The law of one price（一价定律），The theory of PPP is based on the law of one price .The law of one price states that identical commodities or goods must have the same price in all the markets.12、 Re

24、lative PPP claims that the percentage movement of the exchange rate should be equal to the inflation differential between the two economies.Exact relation:S1/S0 = (1 + IFC)/(1 + IDC) Linear approximation：s = S1/S01 =IFC - IDC13、 PPP says that what you gain with lower domestic inflation, you can expe

25、ct to lose on foreign market.14、 International Fisher Relation 国际费雪关系：利率与预期通货膨胀差The interest rates used in day-to-day financial transactions are nominal interest rates.名义=实际+通胀15、 费雪 that the interest rate differential between two countries should be equal to the expected inflation rate differential

26、 over the term of the interest rate.Exact：(1 + rFC)/(1 + rDC) = (1 + E(IFC)/(1 + E(IDC)Linear approximation：rFCrDC= E(IFC) - E(IDC)Chapter 3Pegged Exchange Rates钉住汇率制度1、an enlargement of international reserves，the design of stable but adjustable exchange rates.扩大国际储备，稳定但可调汇率的设计。2、The Current Situati

27、on: Floating and Pegged Exchange Rates：Under the current system, the price of each currency is freely determined by market forces.Exchange rates fluctuate according to supply and demand.3、Has Hong Kong formally adopted a currency board?Hong Kong did not formally adopt a currency board. Instead, it a

28、nnounced a total commitment to maintain a parity of the HK dollar with the U.S. dollar within the band of 7.75 7.85 HK$/U.S$. The Hong Kong Monetary Authority stands ready to use its reserves to defend the fixed rate, despite pressures brought by the appreciation of the Chinese Yuan.本港并未正式采取货币委员会。相反

29、，它宣布了一个总的承诺，保持平价的港元与美元在7.757.85港元。本港金融管理局随时准备利用其外汇储备，以捍卫固定汇率，尽管人民币升值带来的压力。The Euro4、As of January 1, 1999 the euro was introduced for all official and inter-bank transactions, as well as for securities quotations and transactions.On January 1, 2002, euro bank notes were introduced and all former leg

30、acy currencies ceased to exist.（Denmark、Sweden、United King）（ECB established in Frankfurt）The Euro countries in 2007 include:Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal, Spain and Slovenia.奥地利、比利时、芬兰、法国、德国、希腊、爱尔兰、意大利、卢森堡、荷兰、葡萄牙、西班牙和斯洛文尼亚。（27个成

31、员国，13个欧元区国）The Empirical Evidence5、 By arbitrage, IRP must hold for all major investment currencies (free / deregulated).（自由流动、无限资金）Some countries, especially developing ones, still impose various forms of capital controls and taxes that impede arbitrage.Furthermore, some smaller currencies can be b

32、orrowed and lent only domestically, and domestic money markets are often subject to political risk and various types of costly regulations and controls.一些国家，特别是发展中国家，仍实行各种形式的资本管制和税收，阻碍套利。此外，一些较小的货币可以借，仅在国内，国内货币市场往往受到政治风险和各种类型的昂贵的法规和控制。6、The International Fisher relation does not directly involve the

33、 exchange rate. The question raised is whether real interest rates are equal among countries. Real interest rates tend to move up and down together worldwide as a function of the world business cycle. Because national business cycles are not fully synchronized, however, significant differences in re

34、al interest rates can exist in any time period.An investment strategy that takes advantage of such deviations from parity would be to invest in high-interest-rate currencies.在全球范围内，实际利率趋向于将全球范围内的商业周期作为一个功能来移动和下跌。因为国家的商业周期是不完全同步的，但是，在任何时间周期中，实际利率的显著差异。投资于高利率货币，是一种利用这种偏离平价的投资策略。7、 PPP is considered a

35、poor explanation for short term exchange rate movements, and hence for exchange rate volatility. However, PPP tends to holds quite well in the long run.购买力平价对于短期汇率变化不是很好，因此对汇率波动的解释力也比较差，但是从长期来看，购买力关系能够较好的成立。8、 There are several explanations of why PPP is not verified in the short run:The measurement

36、 of an inflation rate is questionable.Transfer costs, import taxes and restrictions and export subsidies may not allow arbitrage in the goods markets to restore PPP.Many factors other than inflation influence exchange rates.衡量的通货膨胀率是值得怀疑的。转移成本，进口税和限制和出口补贴可能不允许套利在商品市场，以恢复购买力平价。通货膨胀以外的许多因素影响汇率。Chapter

37、4Efficient Market Hypothesis：EMH 有效市场假说1、In an efficient market, any new information would be immediately and fully reflected in prices.In an efficient market, the typical investor could consider an asset price to reflect its true fundamental value at all times.The general consensus is that individu

38、al markets across the world are quite efficient.在一个有效的市场中，任何新的信息都会立即得到充分的反映在价格上。在一个有效的市场，在任何时候典型的投资者可以考虑资产价格，以反映其真正的基本价值。普遍的共识是，整个世界的个人市场都相当有效。Integration VS Segmentation一体化 VS 市场分割2、International markets are integrated if they are efficient in the sense that securities with the same risk characteri

39、stics have the same expected return wherever in the world they are traded.An integrated world financial market would achieve international efficiency, in the sense that capital flows across markets would instantaneously take advantage of any new information throughout the world.Most developed market

40、s are considered to be integrated.国际市场是一体化的如果他们是有效的，也就是说，无论在哪里交易，具有相同的风险特征的证券具有相同的预期回报。一体化的国际金融市场将会产生国际有效性，即世界市场的流动资本将会同步利用任何新消息获利。大多数发达市场被认为是一体化的。3、 International markets are considered to be segmented if they are inefficient in the sense that securities with the same risk characteristics sell at d

41、ifferent exchange rate adjusted prices in different countries, thus violating the law of one price.如果国际市场不有效，就被认为是分割的，即具有相同的风险特征的证券在不同国家有不同价格，因此违反了一价定律。Impediments to Capital Mobility资本流动的障碍4、 Psychological barriers心理障碍：Unfamiliarity with foreign market,language,sources of information,and so on migh

42、t curtail(缩减) foreign investment. .Legal restrictions.法律约束：Institutional investors are often constrained in their foreign investment.Transaction costs.交易成本：The cost of foreign investment can be high than for domestic investment.Discriminatory taxation.差别征税：Foreign investment might be more heavily ta

43、xed than domestic investment.Political risks政治风险：The political risks of foreign investment might dampen enthusiasm for international diversification.外国投资的政治风险可能会挫伤国际投资的积极性。Foreign currency risks.外汇风险：Foreign investment bear the unexpected changes in the foreign exchange rate.5、 Segmentation tends to

44、 be more apparent with emerging markets.The flow of foreign investment has grown rapidly over the years; thus, it does not seem that the international markets are fully segmented.Domestic Capital Asset Pricing Model （CAPM）6、 Assumptions of Standard CAPM(5个假设）Investors care about risk and return, and

45、 they prefer less risk & more expected return;All investors agree about the expected return and risk of all assets;Investors care about nominal returns in their domestic currency;A risk-free interest rate exists,Borrowing and lending at the risk-free rate is possible;No transactions costs or tax

46、es.7、 Separation Theorem;When risk-free borrowing and lending are possible, everyone should hold the same portfolio of risky assets, and the optimal combination of risky assets can be separated from the investors preferences toward risk and return.All investors should hold a combination of the risk-

47、free asset and the market portfolio.分离定律：在无风险借贷是可能的，每个人都应该持有相同组合的风险资产，最优的风险投资组合，应该与投资者对于风险的偏好分离。所有投资者都应该持有无风险资产和市场组合。（无风险市场的组合是国内市场组合）8、 The Application of CAPM；Asset Valuation资产估值，Resource Allocation资源配置（Bull Markets: higher Bear Markets: lower ）9、 The domestic CAPM extension can be justified only

48、with the addition of two unreasonable assumptions:Investors throughout the world have identical consumption baskets.Real prices of consumption goods are identical in every country. In other words, PPP holds exactly at any point in time.国内CAPM只能通过添加两个不太合理的假设才能适用于世界市场；全世界的投资者都有相同的消费篮子。每个国家的消费品的实际价格是相同

49、的。换句话说，购买力平价在任何时候都成立。10、 With direct rates, the real exchange rate is the nominal exchange rate times the ratio of the foreign price level to the domestic price level. X = S* (PFC/PDC)X is the real exchange rate，真实汇率；S is the nominal exchange rate，名义汇率；PFC is the foreign country price level，外国物价水平；P

50、DC is the domestic country price level；国内物价水平11、The one-year risk-free interest rates are 6% in DC and 3% in FC. The expected exchange rate appreciation of FC 4%. What is the foreign currency risk premium?Solution:12、 ICAPM Separation Theorem；the optimal investment strategy for any investor is a com

51、bination of two portfolios: The risk free asset in their own currency;The world market portfolio optimally hedged against foreign currency risk.任何投资者的最优投资策略，都是组合的投资组合的结合：所有投资者共有的风险组合；用来降低购买力风险的个人对冲组合。13、 ICAPM: Risk-Pricing Relation：E(Ri) = R0 + iw x RPw +y i x SRPFC国内无风险利率 资产i世界市场风险溢价 资产i外汇风险溢价Chap

52、ter5Price-Driven vs. Order Driven Markets1、Automated trading systems 自动交易系统have followed two different paths:A market organization dominated by dealers making the market (also known as a price driven or quote driven market).价格驱动市场A market organization with brokers acting as agents in an auction syst

53、em (also known as an order driven market).订单驱动市场2、dealer marketPrice-Driven marketquote-Driven market( NASDAQ)Market makers stand ready to buy or sell at posted prices.The bid and ask quotes are firm commitments by the market maker to transact at those prices for a specified transaction size.报价是做市商做

54、出的一种承诺，即在此价格上交易特定数量的证券）Only American stock markets have retained a price driven model.This system is useful for trading large blocks.3、 Advantages:Easier to execute large block trades .Disadvantages:More expensive to operate ，Requires more human intervention(价格驱动）4、 Order Driven Marketsauction marke

55、t：（Paris, Frankfurt, Tokyo）Traders publicly post their orders and the transaction price is the result of the equilibrium of supply and demand.Most emerging markets have adopted this system.All buy and sell orders are entered in a central order book and a new order is immediately matched with the boo

56、k of limit orders previously submitted.To improve liquidity, most have retained periodic call auctions.（为了提高流动性，大部分指令驱动市场都保持周期性的集合竞价）5、 Advantages:Requires little human intervention.Less costly to operate.Markets with lesser transaction volumes have found it more efficient to adopt.Disadvantages:Dif

57、ficulty in executing large tradesAmerican Capital Markets6、Major U.S. stock markets: The New York stock exchange、The nasdaq stock market、The American stock exchange7、U.S and British stock market capitalization are much larger than their respective annual GDP.France and Germany have stock market capi

58、talization that are smaller than their respective annual GDP.WHY? U.S and British firms prefer to go publish, whereas in France and Germany,tradition calls for maintaining private ownership as much as possible. In France and Germany,banks tend to provide corporations with all financial services,assisting them in both their commercial needs and their long-term debt and equity financing.U.S companies tend to go publish and raise capital in the marketplace,thereby increasing