_ForecastingExchangeRates(国际财务管理,英文版.pptx
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_ForecastingExchangeRates(国际财务管理,英文版.pptx
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,INTERNATIONALFINANCIALMANAGEMENT,EUN/RESNICK,SecondEdition,5,ChapterFive,InternationalParityRelationships&ForecastingExchangeRates,ChapterObjective:
Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.,ChapterOutline,InterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates,1,ChapterOutline,InterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerParityTheFisherEffectsForecastingExchangeRates,2,ChapterOutline,InterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRates,3,ChapterOutline,InterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates,4,ChapterOutline,InterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters,5,InterestRateParity,InterestRateParityDefinedCoveredInterestArbitrageInterestRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParity,6,InterestRateParityDefined,IRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.Sincewedonttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.,7,InterestRateParityDefined,Supposeyouhave$100,000toinvestforoneyear.YoucaneitherinvestintheU.S.ati$.Futurevalue=$100,000(1+ius)tradeyourdollarsforyenatthespotrate,investinJapanatiandhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1+i)Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalueotherwiseanarbitragewouldexist.(F/S)(1+i)=(1+ius),8,InterestRateParityDefined,Formally,(F/S)(1+i)=(1+ius)orifyouprefer,IRPissometimesapproximatedas,9,IRPandCoveredInterestArbitrage,IfIRPfailedtohold,anarbitragewouldexist.Itseasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotandforwardexchangerates.,10,IRPandCoveredInterestArbitrage,Atraderwith$1,000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercouldexchange$1,000for800attheprevailingspotrate,(notethat800=$1,000$1.25/)invest800ati=11.56%foroneyeartoachieve892.48.Translate892.48backintodollarsatF360($/)=$1.20/,the892.48willbeexactly$1,071.,11,AccordingtoIRPonlyone360-dayforwardrate,F360($/),canexist.ItmustbethecasethatF360($/)=$1.20/Why?
IfF360($/)$1.20/,anastutetradercouldmakemoneywithoneofthefollowingstrategies:
InterestRateParity&ExchangeRateDetermination,12,ArbitrageStrategyI,IfF360($/)$1.20/i.Borrow$1,000att=0ati$=7.1%.ii.Exchange$1,000for800attheprevailingspotrate,(notethat800=$1,000$1.25/)invest800at11.56%(i)foroneyeartoachieve892.48iii.Translate892.48backintodollars,ifF360($/)$1.20/,892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.,13,ArbitrageStrategyII,IfF360($/)$1.20/i.Borrow800att=0ati=11.56%.ii.Exchange800for$1,000attheprevailingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071.iii.Translate$1,071backintopounds,ifF360($/)$1.20/,$1,071willbemorethanenoughtorepayyourobligationof892.48.,14,YouareaU.S.importerofBritishwoolensandhavejustorderednextyearsinventory.Paymentof100Misdueinoneyear.,IRPandHedgingCurrencyRisk,IRPimpliesthattherearetwowaysthatyoufixthecashoutflowa)Putyourselfinapositionthatdelivers100Minoneyearalongforwardcontractonthepound.Youwillpay(100M)(1.2/)=$120Mb)Formaforwardmarkethedgeasshownbelow.,15,IRPandaForwardMarketHedge,Toformaforwardmarkethedge:
Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).Translate$112.05millionintopoundsatthespotrateS($/)=$1.25/toreceive89.64million.Invest89.64millionintheUKati=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto100millionexactlyenoughtopayyoursupplier.,16,ForwardMarketHedge,Wheredothenumberscomefrom?
Weoweoursupplier100millioninoneyearsoweknowthatweneedtohaveaninvestmentwithafuturevalueof100million.Sincei=11.56%weneedtoinvest89.64millionatthestartoftheyear.,Howmanydollarswillittaketoacquire89.64millionatthestartoftheyearifS($/)=$1.25/?
17,ReasonsforDeviationsfromIRP,TransactionsCostsTheinterestrateavailabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.Theremaybebid-askspreadstoovercome,Fb/SaF/SThus(Fb/Sa)(1+il)(1+ib)0CapitalControlsGovernmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.,18,PurchasingPowerParity,PurchasingPowerParityandExchangeRateDeterminationPPPDeviationsandtheRealExchangeRateEvidenceonPPP,19,PurchasingPowerParityandExchangeRateDetermination,Theexchangeratebetweentwocurrenciesshouldequaltheratioofthecountriespricelevels.S($/)=P$PRelativePPPstatesthattherateofchangeinanexchangerateisequaltothedifferencesintheratesofinflation.e=$-IfU.S.inflationis5%andU.K.inflationis8%,thepoundshoulddepreciateby3%.,20,PPPDeviationsandtheRealExchangeRate,Therealexchangerateis,IfPPPholds,(1+e)=(1+$)/(1+),thenq=1.Ifq1competitivenessofdomesticcountrydeteriorateswithcurrencydepreciations.,21,EvidenceonPPP,PPPprobablydoesntholdpreciselyintherealworldforavarietyofreasons.Haircutscost10timesasmuchinthedevelopedworldasinthedevelopingworld.Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.Shippingcosts,aswellastariffsandquotascanleadtodeviationsfromPPP.PPP-determinedexchangeratesstillprovideavaluablebenchmark.,22,TheFisherEffects,Anincrease(decrease)intheexpectedrateofinflationwillcauseaproportionateincrease(decrease)intheinterestrateinthecountry.FortheU.S.,theFishereffectiswrittenas:
i$=$+E($)Where$istheequilibriumexpected“real”U.S.interestrateE($)istheexpectedrateofU.S.inflationi$istheequilibriumexpectednominalU.S.interestrate,23,InternationalFisherEffect,IftheFishereffectholdsintheU.S.i$=$+E($)andtheFishereffectholdsinJapan,i=+E()andiftherealratesarethesameineachcountry$=thenwegettheInternationalFisherEffectE(e)=i$-i.,24,InternationalFisherEffect,IftheInternationalFisherEffectholds,E(e)=i$-iandifIRPalsoholds,thenforwardparityholds.,25,EquilibriumExchangeRateRelationships,$-,IRP,PPP,FE,FRPPP,IFE,FP,26,ForecastingExchangeRates,EfficientMarketsApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters,27,EfficientMarketsApproach,FinancialMarketsareefficientifpricesreflectallavailableandrelevantinformation.Ifthisisso,exchangerateswillonlychangewhennewinformationarrives,thus:
St=ESt+1andFt=ESt+1|ItPredictingexchangeratesusingtheefficientmarketsapproachisaffordableandishardtobeat.,28,FundamentalApproach,Involveseconometricstodevelopmodelsthatuseavarietyofexplanatoryvariables.Thisinvolvesthreesteps:
step1:
Estimatethestructuralmodel.step2:
Estimatefutureparametervalues.step3:
Usethemodeltodevelopforecasts.Thedownsideisthatfundamentalmodelsdonotworkanybetterthantheforwardratemodelortherandomwalkmodel.,29,TechnicalApproach,Technicalanalysislooksforpatternsinthepastbehaviorofexchangerates.Clearlyitisbaseduponthepremisethathistoryrepeatsitself.ThusitisatoddswiththeEMH,30,PerformanceoftheForecasters,Forecastingisdifficult,especiallywithregardtothefuture.Asawhole,forecasterscannotdoabetterjobofforecastingfutureexchangeratesthantheforwardrate.ThefounderofForbesMagazineoncesaid:
“Youcanmakemoremoneysellingadvicethanfollowingit.”,31,EndChapterFive,32,
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