国际财务管理知识分析(英文版)课件

INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRatesChapterObjective:Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.INTERNATIONALEUN/RESNICKSecoChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates1ChapterOutlineInterestRatePChapterOutlineInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerParityTheFisherEffectsForecastingExchangeRates2ChapterOutlineInterestRatePChapterOutlineInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRates3ChapterOutlineInterestRatePChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates4ChapterOutlineInterestRatePChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters5ChapterOutlineInterestRatePInterestRateParityInterestRateParityDefinedCoveredInterestArbitrageInterestRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParity6InterestRateParityInterestRInterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.Sincewedon’ttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.7InterestRateParityDefinedIRInterestRateParityDefinedSupposeyouhave$100,000toinvestforoneyear.YoucaneitherinvestintheU.S.ati$.Futurevalue=$100,000(1+ius)tradeyourdollarsforyenatthespotrate,investinJapanati¥andhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1+i¥) Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalue—otherwiseanarbitragewouldexist.(F/S)(1+i¥)=(1+ius)8InterestRateParityDefinedSuInterestRateParityDefinedFormally, (F/S)(1+i¥)=(1+ius)orifyouprefer,IRPissometimesapproximatedas9InterestRateParityDefinedFoIRPandCoveredInterestArbitrageIfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotandforwardexchangerates.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£

=11.56%10IRPandCoveredInterestArbitIRPandCoveredInterestArbitrageAtraderwith$1,000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercouldexchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800ati£=11.56%foroneyeartoachieve£892.48.Translate£892.48backintodollarsatF360($/£)=$1.20/£,the£892.48willbeexactly$1,071.11IRPandCoveredInterestArbitAccordingtoIRPonlyone360-dayforwardrate,F360($/£),canexist.Itmustbethecasethat

F360($/£)=$1.20/£Why?IfF360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrategies:InterestRateParity

&ExchangeRateDetermination12AccordingtoIRPonlyone360-ArbitrageStrategyIIfF360($/£)>$1.20/£ i.Borrow$1,000att=0ati$=7.1%.

ii.Exchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800at11.56%(i£)foroneyeartoachieve£892.48 iii.Translate£892.48backintodollars,if

F360($/£)>$1.20/£,£892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.13ArbitrageStrategyIIfF360($/ArbitrageStrategyIIIfF360($/£)<$1.20/£ i.Borrow£800att=0ati£=11.56%.

ii.Exchange£800for$1,000attheprevailingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071. iii.Translate$1,071backintopounds,if

F360($/£)<$1.20/£,$1,071willbemorethanenoughtorepayyour£obligationof£892.48.14ArbitrageStrategyIIIfF360($YouareaU.S.importerofBritishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.IRPandHedgingCurrencyRiskIRPimpliesthattherearetwowaysthatyoufixthecashoutflowa) Putyourselfinapositionthatdelivers£100Minoneyear—alongforwardcontractonthepound.Youwillpay(£100M)(1.2/£)=$120Mb) Formaforwardmarkethedgeasshownbelow.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£

=11.56%15YouareaU.S.importerofBriIRPandaForwardMarketHedgeToformaforwardmarkethedge:Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).Translate$112.05millionintopoundsatthespotrateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto£100million—exactlyenoughtopayyoursupplier.16IRPandaForwardMarketHedgeForwardMarketHedgeWheredothenumberscomefrom?Weoweoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifS($/£)=$1.25/£?17ForwardMarketHedgeWheredoReasonsforDeviationsfromIRPTransactionsCostsTheinterestrateavailabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.Theremaybebid-askspreadstoovercome,Fb/Sa<F/S

Thus(Fb/Sa)(1+i¥l)(1+i¥b)0CapitalControlsGovernmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.18ReasonsforDeviationsfromIRPurchasingPowerParityPurchasingPowerParityandExchangeRateDeterminationPPPDeviationsandtheRealExchangeRateEvidenceonPPP19PurchasingPowerParityPurchasPurchasingPowerParityandExchangeRateDeterminationTheexchangeratebetweentwocurrenciesshouldequaltheratioofthecountries’pricelevels.

S($/£)=P$P£RelativePPPstatesthattherateofchangeinanexchangerateisequaltothedifferencesintheratesofinflation. e=$

-£IfU.S.inflationis5%andU.K.inflationis8%,thepoundshoulddepreciateby3%.20PurchasingPowerParityandExPPPDeviationsandthe

RealExchangeRateTherealexchangerateisIfPPPholds,(1+e)=(1+$)/(1+£),thenq=1.Ifq<1competitivenessofdomesticcountryimproveswithcurrencydepreciations.Ifq>1competitivenessofdomesticcountrydeteriorateswithcurrencydepreciations.21PPPDeviationsandthe

RealEEvidenceonPPPPPPprobablydoesn’tholdpreciselyintherealworldforavarietyofreasons.Haircutscost10timesasmuchinthedevelopedworldasinthedevelopingworld.Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.Shippingcosts,aswellastariffsandquotascanleadtodeviationsfromPPP.PPP-determinedexchangeratesstillprovideavaluablebenchmark.22EvidenceonPPPPPPprobablydoTheFisherEffectsAnincrease(decrease)intheexpectedrateofinflationwillcauseaproportionateincrease(decrease)intheinterestrateinthecountry.FortheU.S.,theFishereffectiswrittenas:i$=$+E($)Where

$istheequilibriumexpected“real”U.S.interestrate E($)istheexpectedrateofU.S.inflation i$istheequilibriumexpectednominalU.S.interestrate23TheFisherEffectsAnincreaseInternationalFisherEffectIftheFishereffectholdsintheU.S.i$=$+E($)andtheFishereffectholdsinJapan,i¥=¥+E(¥)andiftherealratesarethesameineachcountry$=¥thenwegettheInternationalFisherEffectE(e)=i$-i¥.24InternationalFisherEffectIfInternationalFisherEffectIf theInternationalFisherEffectholds,E(e)=i$-i¥

andifIRPalsoholdsthenforwardparityholds.25InternationalFisherEffectIf EquilibriumExchangeRateRelationships$

-£IRPPPPFEFRPPPIFEFP26EquilibriumExchangeRateRelaForecastingExchangeRatesEfficientMarketsApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters27ForecastingExchangeRatesEffiEfficientMarketsApproachFinancialMarketsareefficientifpricesreflectallavailableandrelevantinformation.Ifthisisso,exchangerateswillonlychangewhennewinformationarrives,thus:St=E[St+1] andFt=E[St+1|It]Predictingexchangeratesusingtheefficientmarketsapproachisaffordableandishardtobeat.28EfficientMarketsApproachFinaFundamentalApproachInvolveseconometricstodevelopmodelsthatuseavarietyofexplanatoryvariables.Thisinvolvesthreesteps:step1:Estimatethestructuralmodel.step2:Estimatefutureparametervalues.step3:Usethemodeltodevelopforecasts.Thedownsideisthatfundamentalmodelsdonotworkanybetterthantheforwardratemodelortherandomwalkmodel.29FundamentalApproachInvolveseTechnicalApproachTechnicalanalysislooksforpatternsinthepastbehaviorofexchangerates.Clearlyitisbaseduponthepremisethathistoryrepeatsitself.ThusitisatoddswiththeEMH30TechnicalApproachTechnicalanPerformanceoftheForecastersForecastingisdifficult,especiallywithregardtothefuture.Asawhole,forecasterscannotdoabetterjobofforecastingfutureexchangeratesthantheforwardrate.ThefounderofForbesMagazineoncesaid: “Youcanmakemoremoneysellingadvicethanfollowingit.”31PerformanceoftheForecastersEndChapterFive32EndChapterFive32INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRatesChapterObjective:Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.INTERNATIONALEUN/RESNICKSecoChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates34ChapterOutlineInterestRatePChapterOutlineInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerParityTheFisherEffectsForecastingExchangeRates35ChapterOutlineInterestRatePChapterOutlineInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRates36ChapterOutlineInterestRatePChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates37ChapterOutlineInterestRatePChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters38ChapterOutlineInterestRatePInterestRateParityInterestRateParityDefinedCoveredInterestArbitrageInterestRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParity39InterestRateParityInterestRInterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.Sincewedon’ttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.40InterestRateParityDefinedIRInterestRateParityDefinedSupposeyouhave$100,000toinvestforoneyear.YoucaneitherinvestintheU.S.ati$.Futurevalue=$100,000(1+ius)tradeyourdollarsforyenatthespotrate,investinJapanati¥andhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1+i¥) Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalue—otherwiseanarbitragewouldexist.(F/S)(1+i¥)=(1+ius)41InterestRateParityDefinedSuInterestRateParityDefinedFormally, (F/S)(1+i¥)=(1+ius)orifyouprefer,IRPissometimesapproximatedas42InterestRateParityDefinedFoIRPandCoveredInterestArbitrageIfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotandforwardexchangerates.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£

=11.56%43IRPandCoveredInterestArbitIRPandCoveredInterestArbitrageAtraderwith$1,000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercouldexchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800ati£=11.56%foroneyeartoachieve£892.48.Translate£892.48backintodollarsatF360($/£)=$1.20/£,the£892.48willbeexactly$1,071.44IRPandCoveredInterestArbitAccordingtoIRPonlyone360-dayforwardrate,F360($/£),canexist.Itmustbethecasethat

F360($/£)=$1.20/£Why?IfF360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrategies:InterestRateParity

&ExchangeRateDetermination45AccordingtoIRPonlyone360-ArbitrageStrategyIIfF360($/£)>$1.20/£ i.Borrow$1,000att=0ati$=7.1%.

ii.Exchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800at11.56%(i£)foroneyeartoachieve£892.48 iii.Translate£892.48backintodollars,if

F360($/£)>$1.20/£,£892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.46ArbitrageStrategyIIfF360($/ArbitrageStrategyIIIfF360($/£)<$1.20/£ i.Borrow£800att=0ati£=11.56%.

ii.Exchange£800for$1,000attheprevailingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071. iii.Translate$1,071backintopounds,if

F360($/£)<$1.20/£,$1,071willbemorethanenoughtorepayyour£obligationof£892.48.47ArbitrageStrategyIIIfF360($YouareaU.S.importerofBritishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.IRPandHedgingCurrencyRiskIRPimpliesthattherearetwowaysthatyoufixthecashoutflowa) Putyourselfinapositionthatdelivers£100Minoneyear—alongforwardcontractonthepound.Youwillpay(£100M)(1.2/£)=$120Mb) Formaforwardmarkethedgeasshownbelow.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£

=11.56%48YouareaU.S.importerofBriIRPandaForwardMarketHedgeToformaforwardmarkethedge:Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).Translate$112.05millionintopoundsatthespotrateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto£100million—exactlyenoughtopayyoursupplier.49IRPandaForwardMarketHedgeForwardMarketHedgeWheredothenumberscomefrom?Weoweoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifS($/£)=$1.25/£?50ForwardMarketHedgeWheredoReasonsforDeviationsfromIRPTransactionsCostsTheinterestrateavailabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.Theremaybebid-askspreadstoovercome,Fb/Sa<F/S

Thus(Fb/Sa)(1+i¥l)(1+i¥b)0CapitalControlsGovernmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.51ReasonsforDeviationsfromIRPurchasingPowerParityPurchasingPowerParityandExchangeRateDeterminationPPPDeviationsandtheRealExchangeRateEvidenceonPPP52PurchasingPowerParityPurchasPurchasingPowerParityandExchangeRateDeterminationTheexchangeratebetweentwocurrenciesshouldequaltheratioofthecountries’pricelevels.

S($/£)=P$P£RelativePPPstatesthattherateofchangeinanexchangerateisequaltothedifferencesintheratesofinflation. e=$

-£IfU.S.inflationis5%andU.K.inflationis8%,thepoundshoulddepreciateby3%.53PurchasingPowerParityandExPPPDeviationsandthe

RealExchangeRateTherealexchangerateisIfPPPholds,(1+e)=(1+$)/(1+£),thenq=1.Ifq<1competitivenessofdomesticcountryimproveswithcurrencydepreciations.Ifq>1competitivenessofdomesticcountrydeteriorateswithcurrencydepreciations.54PPPDeviationsandthe

RealEEvidenceonPPPPPPprobablydoesn’tholdpreciselyintherealworldforavarietyofreasons.Haircutscost10timesasmuchinthedevelopedworldasinthedevelopingworld.Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.Shippingcosts,aswellastariffsandquotascanleadtodeviationsfromPPP.PPP-determinedexchangeratesstillprovideavaluablebenchmark.55EvidenceonPPPPPPprobablydoTheFisherEffectsAnincrease(decrease)intheexpectedrateofinflationwillcauseaproportionateincrease(decrease)intheinterestrateinthecountry.FortheU.S.,theFishereffectiswrittenas:i$=$+E($)Where

$istheequilibriumexpected“real”U.S.interestrate E($)istheexpectedrateofU.S.inflation i$istheequilibriumexpectednominalU.S.interestrate56TheFisherEffectsAnincreaseInternationalFisherEffectIftheFishereffectholdsintheU.S.i$