国际金融-期末复习-中英文

【名词解释】【TheSpecialDrawingRight(SDR)特别提款权】p30TheSpecialDrawingRight(SDR)isaninternationalreserveassetcreatedbytheIMFtosupplementexistingforeignexchangereserves.(ItservesasaunitofaccountfortheIMFandisalsothebaseagainstwhichsomecountriespegtheexchangeratefortheircurrencies.【LIBOR伦敦同业银行拆解率】p33EurocurrencyInterestRates:LIBORLIBOR〔LondonInterbankOfferedRate〕isthereferencerateofinterestintheEurocurrencymarket,andisnowthemostwidelyacceptedrateofinterestusedinstandardizedquotations,loanagreementsorfinancialderivativesvaluations.LIBORisofficiallydefinedbytheBritishBankersAssociation.【Dollarization美元化】Dollarization-theuseoftheUSdollarastheofficialcurrencyofthecountry.只将美元用作官方通货。【Eurodollar欧洲美元】EurodollarisoneoftheEuropeancurrencytypes，whichreferstothedollardepositsinbanksoutsidetheunitedstates是指存放在美国以外的银行中的美元存款，欧洲美元是欧洲货币的一种类型。[DirectQuotes直接报价】Adirectquoteisahomecurrencypriceofaunitofforeigncurrency.直接报价法是用本币表示一单位外币的价格。【Indirectquotes间接报价】Anindirectquoteisaforeigncurrencypriceofaunitofhomecurrency.间接报价法是用外币表示一单位本币的价格。【Europeanoption欧式期权】AEuropeanoptionmaybeexercisedonlyonitsexpirationdate，notbefore.只能在到期日那天执行的期权【Americanoption美式期权】AnAmericanoptionmaybeexercisedatanytimebetweenthedateofwritingandtheexpirationormaturitydate.可在包括到期日之前的任一天执行的期权。【calloption看涨期权】市场价格＞期权费+合约价Calloptionistherightofbuyingforeigncurrencyorotherfinancialcontractsataspecificpricewithinaparticularperiod,butnottheobligation.在一个特定时期以特定价格买入外汇或其他金融合约的权利，而非义务。【putoption看跌期权】市场价格＜期权费+合约价Putoptionistherightofsellingforeigncurrencyorotherfinancialcontractsataspecificpricewithinaparticularperiod,butnottheobligation.在一个特定时期以特定价格卖出外汇或其他金融合约的权利，而非义务【Interestrateparity利率平价条件】Thetheorystates：thedifferenceinthenationalinterestratesforsecuritiesofsimilarriskandmaturityshouldbeequalto，butoppositeinsignto,theforwardratediscountorpremiumfortheforeigncurrency,exceptfortransactionscosts.这一理论认为：风险相同、期限相同的证券的名义利率差异应该等于负的去除交易本钱的外汇远期升贴水。【At-the-money(ATM)到价】Anoptionwhosepriceisthesameasthespotpriceoftheunderlyingcurrencyissaidtobeat-the-money(ATM).当期权的执行价格等于现时市场价格时，该期权被称为到价。【In-the-money(ITM)价内】Anoptionthatwouldbeprofitable,excludingthecostofpremium,ifexercisedimmediatelyissaidtobein-the-money(ITM). 除去期权费用之后还能带来盈利的期权合约被称为是价内。[Out-of-the-money(OTM)价夕卜】Anoptionthatwouldnotbeprofitable,againexcludingthecostofthepremium,ifexercisedimmediatelyisreferredtoasout-of-the-money(OTM).除去期权费用之后不能带来盈利的期权合约被称为是价夕。♦IMFExchangeRateRegimeClassifications汇率体制的分类)ExchangeArrangementswithNoSeparateLegalTender无独立法定货币的汇率安排：Currencyofanothercountrycirculatesassolelegaltenderormemberbelongstoamonetaryorcurrencyunioninwhichsamelegaltenderissharedbymembersoftheunion指一国采用另一国的货币作为唯一法定货币。如美元化)CurrencyBoardArrangements货币局汇率：Monetaryregimebasedonimplicitnationalcommitmenttoexchangedomesticcurrencyforaspecifiedforeigncurrencyatafixedexchangerate指货币当局规定本国货币与某一外国货币之间可以以一固定比率无限制兑换，货币发行当局要确保这一兑换义务实现的汇率制度。)OtherConventionalFixedPegArrangements传统的固定盯住汇率：Countrypegsitscurrency(formalordefacto)atafixedratetoamajorcurrencyorabasketofcurrencieswhereexchangeratefluctuateswithinanarrowmarginoratmost±1%aroundcentralrate以固定的汇率将其货币盯住另一货币或一货币篮子，国家当局通过直接或间接敢于维持固定平价，汇率围绕中心汇率在±1%的狭窄范围内波动)PeggedExchangeRatesw/inHorizontalBands有波幅的盯住汇率：Valueofthecurrencyismaintainedwithinmarginsoffluctuationaroundaformalordefactofixedpegthatarewiderthan±1%aroundcentralrate对单一货币或对货币篮子即期市场汇率的波幅能够保持在一个±1%的范围内)CrawlingPeg爬行盯住汇率：Currencyisadjustedperiodicallyinsmallamountsatafixed,preannouncedrateinresponsetochangesincertainquantitativemeasures汇率按预先宣布的固定范围作较小的定期调整或对选定的定量指标的变化做定期的调整。)ExchangeRateswithinCrawlingPeg有波幅的爬行盯住汇率:Currencyismaintainedwithincertainfluctuationmarginsaroundacentralratethatisadjustedperiodically汇率围绕一个定期调整的中心汇率，维持在在一定的利润范围内)ManagedFloatingwithNoPreannouncedPathforExchangeRate:不带目的的管理浮动汇率Monetaryauthorityinfluencesthemovementsoftheexchangeratethroughactiveinterventioninforeignexchangemarketswithoutspecifyingapre-announcedpathfortheexchangerate货币当局试图通过干预外汇市场来对汇率的变动施加影响，但没有事先确定干预路径)IndependentFloating完全浮动汇率:Exchangerateismarketdetermined,withanyforeignexchangeinterventionaimedatmoderatingtherateofchangeandpreventingunduefluctuationsintheexchangerate,ratherthanatestablishingalevelforit汇率由市场决定，官方的干预旨在缓解汇率的过度波动，不在于将汇率维持在某一水平。♦Theaccountsofthebalanceofpayments国际收支平衡表AA.Currentaccount经常账户Goodstrade货物<2.Servicetrade效劳Income收入、4.Currenttransfers经常转移Capitalaccount资本账户Transfersoffinancialassets金融资产的转移Theacquisitionanddisposalofnonproduced/nonfinancialassets非生产/非金融资产的收买和放弃「Directinvestment直接投资Portfolioinvestment证券投资Financialaccount'Otherinvestmentassets/Liabilities其他投资资产/负债Reserveassets储藏资产^D.NeterrorsandOmissions净误差与遗漏金本位制与布雷顿森林体系的区别｛金本位制：以黄金为本位币的货币制度。实质一各国货币与黄金挂钩布雷顿森林体系：确立了以美元为中心的国际货币制度「美元与黄金挂钩实质一“双挂钩〃 Y各国货币与美元挂钩

TheBOP&ExchangeRates国际收支平衡与汇率的关系FixedexchangeratecountriesUnderafixedexchangeratesystem,thegovernmentbearstheresponsibilitytoensurethattheBOPisnearzero.ij ①Ifthesumofthecurrentandcapitalaccountsdonotapproximatezero,thegovernmentisexpectedtointerveneintheforeignexchangemarketbybuyingorsellingofficialforeignexchangereserves.Ifthesumofthecurrentandcapitalaccountsisgreaterthanzero,asurplusdemandforthedomesticcurrencyexistsintheworld.Topreservethefixedexchangerate,thegovernmentmusttheninterveneintheforeignexchangemarketandselldomesticcurrencyforforeigncurrenciesorgoldsoastobringtheBOPbacknearzero.Ifthesumofthecurrentandcapitalaccountsisnegative,anexcesssupplyofthedomesticcurrencyexistsintheworldmarkets.Thegovernmentmustintervenebybuyingthedomesticcurrencywithitsreservesofforeigncurrenciesandgold.在固定汇率制度下，政府需要承当确保国际收支余额接近0的责任。如果经常账户和资本账户的余额之和不接近0，政府就要在外汇市场上买进或卖出外汇储藏来进行干预。如果这两个账户的余额之和大于0，说明世界范围内本国货币供不应求。为了维持固定汇率，政府必须在外汇市场上干预，卖出本币换取外币或黄金，从而使国际收支余额接近0.如果这两个账户的余额之和小于0,政府那么必须在外汇市场上干预，卖出外币或黄金换取本币。［经常账户+［经常账户+资本账户］余额W0［经常账户+资本账户］余额＞0［经常账户+资本账户］余额＜0+政府干预＞政府干预＞政府干预〔买进/卖出外汇储藏〕〔卖出本币、换取外币/黄金〕〔卖出外币/黄金、换取本币〕FloatingexchangeratecountriesUnderafloatingexchangeratesystem,thegovernmentofacountryhasnoresponsibilitytopegitsforeignexchangerate.在浮动汇率制度下，政府没有盯住汇率的责任。ManagedfloatsThecountriesoperatingwithmanagedfloatsseektoalterthemarketactivity,ratherthanthroughdirectinterventionintheforeignexchangemarket.在实行有管理的浮动汇率制度下，政府会通过影响市场行为的动机来改变市场对某一货币的估值，而不是在外汇市场直接进行干预。Triangulararbitrage三角套汇P109PPT第五章34页Typesofforeignexchangeexposure/risk外汇风险的类型①TransactionExposure交易风险-measureschangesinthevalueofoutstandingfinancialobligationsincurredpriortoachangeinexchangeratesbutnotduetobesettleduntilaftertheexchangeratechanges交易风险〔TransactionRisk〕是指以外币标价的交易合同，由于合同签订时与将来结算时的汇率不同，造成的相同金额的外币折算本钱币时数量发生变化的风险。交易风险又可分为外汇买卖风险和交易结算风险。OperatingExposure〔EconomicExposure〕经营风险-alsocalledeconomicexposure,measuresthechangeinthepresentvalueofthefirmresultingfromanychangeinexpectedfutureoperatingcashflowscausedbyanunexpectedchangeinexchangerates经营风险〔又称经济风险〕是指由于意料之外的汇率变动，使企业在将来特定时期的收益发生变化的可能性。经营风险是由于汇率的变动影响企业的生产本钱、销售价格，进而引起产销数量的变化，并由此最终带来获利状况的变化。经营风险中所说的汇率变动，仅指意料之外的汇率变动。两者区别：交易风险是已合约化的现金流量变化；营运风险强调未合约化的预期现金流量变化TranslationExposure折算风险-alsocalledaccountingexposure会计风险，isthepotentialforaccountingderivedchangesinowner'sequitytooccurbecauseoftheneedto“translate〞financialstatementsofforeignsubsidiariesintoasinglereportingcurrencyforconsolidatedfinancialstatements折算风险是指企业在会计处理和外币债权、债务决算时，将必须转换本钱币的各种外币计价工程加以折算时所产生的风险。TaxExposure税收风险-thetaxconsequenceofforeignexchangeexposurevariesbycountry,howeverasageneralruleonlyrealizedforeignlossesaredeductibleforpurposesofcalculatingincometaxes♦画图题：Calloption看涨期权注：盈亏平衡价是指市场价等于合约价。♦Trident’sTransactionExposure泰鼎公司的外汇风险UnhedgedpositionMariamaydecidetoacceptthetransactionriskIfshebelievesthatthefuturespotratewillbe$1.76/£,thenTridentwillreceive£1,000,000x$1.76/£=$1,760,000in3monthstimeHowever,ifthefuturespotrateis$1.65/£,Tridentwillreceiveonly$1,650,000wellbelowthebudgetrateForwardMarkethedgeAforwardhedgeinvolvesaforwardorfuturescontractandasourceoffundstofulfillthecontractTheforwardcontractisenteredatthetimetheA/Riscreated,inthiscaseinMarchWhenthissaleisbooked,itisrecordedatthespotrate.InthiscasetheA/Risrecordedataspotrateof$1.7640/£,thus$1,764,000isrecordedasasaleforTridentIfTridentdoesnothaveanoffsettingA/Pinthesameamount,thenthefirmisconsidereduncoveredShouldMariawanttocoverthisexposurewithaforwardcontract,thenshewillsell£1,000,000forwardtodayatthe3monthrateof$1.7540/£Sheisnow“covered〞andTridentnolongerhasanytransactionexposureIn3months,Tridentwillreceived£1,000,000andexchangethosepoundsat$1.7540/£receiving$1,754,000Thissumis$6,000lessthantheuncertain$1,760,000expectedfromtheUnhedgedpositionThiswouldberecordedinTrident'sbooksasaforeignexchangelossof$10,000($1,764,000asbooked,$1,754,000assettled)MoneyMarkethedgeTohedgeinthemoneymarket,MariawillborrowpoundsinLondon,convertthepoundstodollarsandrepaythepoundloanwiththeproceedsfromthesaleTocalculatehowmuchtoborrow,MarianeedstodiscountthePVofthe£1,000,000totoday£1,000,000/1+0.25=£975,610(本息和)c.Mariashouldborrow£975,610todayandin3monthstimerepaythisamountplus£24,390ininterest(£1,000,000)fromtheproceedsofthesalec.2)Tridentwouldexchangethe£975,610atthespotrateof$1.7640/£andreceive$1,720,9762)Tridentwouldexchangethe£975,610atthespotrateof$1.7640/£andreceive$1,720,976atonce■Inordertocomparetheforwardhedgewiththemoneymarkethedge,MariamustanalyzetheuseoftheloanproceedsFirst,ifTridentiscashrichtheloanproceedsmightbeinvestedattheUSrateof6.0%p.a.Second,MariacouldusetheloanproceedstosubstituteanequaldollarloanthatTridentwouldhaveotherwisetakenforworkingcapitalneedsatarateof8.0%p.a.Third,Mariamightinvesttheloanproceedsinthefirmitselfinwhichcasethecostofcapitalis12.0%p.a.ReceivedtodayInvestedin Rate Futurevaluein3months$1,720,976Treasurybill6%p.a.or1.5%/quarter$1,746,791$1,720,976Debtcost8%p.a.or2.0%/quarter$1,755,396$1,720,976Costofcapital12%p.a.or3.0%/quarter$1,772,605Becausetheproceedsin3monthsfromtheforwardhedgewillbe$1,754,000,themoneymarkethedgeissuperiortotheforwardhedgeifMariausedtheproceedstoreplaceadollarloan(8%)orconductgeneralbusinessoperations(12%)TheforwardhedgewouldbepreferableifMariaweretojustinvesttheloanproceeds(6%)Wewillassumesheusesthecostofcapitalasthereinvestmentrate■AbreakeveninvestmentratecanbecalculatedinordertoforgonumerouscalculationsandstillaidMariainherdecision(Loanproceeds)(1+rate)=(forwardproceeds)$1,720,976(1+r)=$1,754,000r=0.0192Toconvertthis3monthratetoanannualrate,3600.0192x——x100=7.68%

90Inotherwords,ifMariacaninvesttheloanproceedsatarateequaltoorgreaterthan7.68%p.a.thenthemoneymarkethedgewillbesuperiortotheforwardhedgeThefollowingchartshowsthevalueofTrident'sAR应至U款项overarangeofpossiblespotratesbothuncoveredandcoveredusingthepreviouslymentionedalternatives1.841.821.S01.761.741.721.7。1.681.68 1.70 1.72 174 1.76 178 1.80 1.82 184 186EndingSpotExchangeRate(US$/£)

Optionmarkethedge-Mariacouldalsocoverthe£1,000,000exposurebypurchasingaputoption.ThisallowshertospeculateontheupsidepotentialforappreciationofthepoundwhilelimitingherdownsideriskGiventhequoteearlier,Mariacouldpurchase3monthputoptionatanATMstrikepriceof$1.75/£andapremiumof1.5%Thecostofthisoptionwouldbe(Sizeofoption)(Prem