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INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRates

ChapterObjective:Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.ChapterOutline⚫Intere

stRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates1ChapterOutline⚫InterestRateParity◼CoveredInterestAr

bitrage◼IRPandExchangeRateDetermination◼ReasonsforDeviationsfromIRP⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchang

eRates2ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity◼PPPDeviationsandtheRealExchangeRate◼EvidenceonPurchasingP

owerParity⚫TheFisherEffects⚫ForecastingExchangeRates3ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEf

fects⚫ForecastingExchangeRates4ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫

ForecastingExchangeRates◼EfficientMarketApproach◼FundamentalApproach◼TechnicalApproach◼PerformanceoftheForecas

ters5InterestRateParity⚫InterestRateParityDefined⚫CoveredInterestArbitrage⚫InterestRateParity&ExchangeRateDetermination⚫ReasonsforDeviat

ionsfromInterestRateParity6InterestRateParityDefined⚫IRPisanarbitragecondition.⚫IfIRPdidnothold,thenitwouldbepossiblefora

nastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.⚫Sincewedon’ttypicallyobserveper

sistentarbitrageconditions,wecansafelyassumethatIRPholds.7InterestRateParityDefinedSupposeyouhave$100,000toinvestforoneyear.Youcaneither1.investi

ntheU.S.ati$.Futurevalue=$100,000(1+ius)2.tradeyourdollarsforyenatthespotrate,investinJapanati¥andhe

dgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1+i¥)Sincebothoftheseinvestmentshaveth

esamerisk,theymusthavethesamefuturevalue—otherwiseanarbitragewouldexist.(F/S)(1+i¥)=(1+ius)8InterestRatePari

tyDefinedFormally,(F/S)(1+i¥)=(1+ius)orifyouprefer,SFii=++¥$11IRPissometimesapproximatedasS(F-S))-i(i¥

=$9IRPandCoveredInterestArbitrageIfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Considerthefollowingsetoffor

eignanddomesticinterestratesandspotandforwardexchangerates.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360

($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%10IRPandCoveredInterestArbitrageAtraderwith$1,

000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistra

dercouldexchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800ati£=11.56%foroneyeartoachieve£892.48.Translate£892

.48backintodollarsatF360($/£)=$1.20/£,the£892.48willbeexactly$1,071.11AccordingtoIRPonlyone360-dayforwardrate,F360($/£),canex

ist.ItmustbethecasethatF360($/£)=$1.20/£Why?IfF360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrategies:InterestRateParity&Exc

hangeRateDetermination12ArbitrageStrategyIIfF360($/£)>$1.20/£i.Borrow$1,000att=0ati$=7.1%.ii.Exchange$1,000for£800atthep

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

fF360($/£)>$1.20/£,£892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.13ArbitrageStrategyIIIfF360($/£)<$1.20

/£i.Borrow£800att=0ati£=11.56%.ii.Exchange£800for$1,000attheprevailingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071.iii.Translate$1,071backint

opounds,ifF360($/£)<$1.20/£,$1,071willbemorethanenoughtorepayyour£obligationof£892.48.14YouareaU.S.importerofBritishwoolensandh

avejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.IRPandHedgingCurrencyRiskIRPimpliesthatthere

aretwowaysthatyoufixthecashoutflowa)Putyourselfinapositionthatdelivers£100Minoneyear—alongforwardcontractonthepound.Youwillpay(£100M)(1.2

/£)=$120Mb)Formaforwardmarkethedgeasshownbelow.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.

10%Britishdiscountratei£=11.56%15IRPandaForwardMarketHedgeToformaforwardmarkethedge:Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million

).Translate$112.05millionintopoundsatthespotrateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.I

noneyearyourinvestmentwillhavegrownto£100million—exactlyenoughtopayyoursupplier.16ForwardMarketHedgeWheredothenumberscomefrom?Weo

weoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.

Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifS($

/£)=$1.25/£?1.1156?00?9.64=?.25$1.00?9.64$112.05=17ReasonsforDeviationsfromIRP⚫TransactionsCosts◼Theinterestrate

availabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.◼Theremaybebid-askspreadstoovercome,Fb/Sa<F/S◼Thus(Fb/S

a)(1+i¥l)−(1+i¥b)0⚫CapitalControls◼Governmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.18Pu

rchasingPowerParity⚫PurchasingPowerParityandExchangeRateDetermination⚫PPPDeviationsandtheRealExchangeRate⚫EvidenceonPPP19PurchasingP

owerParityandExchangeRateDetermination⚫Theexchangeratebetweentwocurrenciesshouldequaltheratioofthecountries’pricelevels.S($/£)=P$P£⚫Relative

PPPstatesthattherateofchangeinanexchangerateisequaltothedifferencesintheratesofinflation.e=$-£⚫IfU.S.

inflationis5%andU.K.inflationis8%,thepoundshoulddepreciateby3%.20)1)(1(1£$+++=eqPPPDeviationsandtheRealExchangeRateTherealexchan

gerateisIfPPPholds,(1+e)=(1+$)/(1+£),thenq=1.Ifq<1competitivenessofdomesticcountryimproveswithcurrencyde

preciations.Ifq>1competitivenessofdomesticcountrydeteriorateswithcurrencydepreciations.21EvidenceonPPP⚫PPPprobablydoesn’tholdprecis

elyintherealworldforavarietyofreasons.◼Haircutscost10timesasmuchinthedevelopedworldasinthedevelopingworld.◼Film,ontheotherhand,isah

ighlystandardizedcommoditythatisactivelytradedacrossborders.◼Shippingcosts,aswellastariffsandquotascanleadtodeviationsfromPPP.⚫PPP-determine

dexchangeratesstillprovideavaluablebenchmark.22TheFisherEffects⚫Anincrease(decrease)intheexpectedrateofinflationwillc

auseaproportionateincrease(decrease)intheinterestrateinthecountry.⚫FortheU.S.,theFishereffectiswrittenas:i

$=$+E($)Where$istheequilibriumexpected“real”U.S.interestrateE($)istheexpectedrateofU.S.inflationi$is

theequilibriumexpectednominalU.S.interestrate23InternationalFisherEffectIftheFishereffectholdsintheU.S.i$=

$+E($)andtheFishereffectholdsinJapan,i¥=¥+E(¥)andiftherealratesarethesameineachcountry$=¥thenwegettheInternationalFisherEffectE(e)=i

$-i¥.24InternationalFisherEffectIftheInternationalFisherEffectholds,E(e)=i$-i¥andifIRPalsoholdsS(F-S)E(e)=

S(F-S)-ii¥=$thenforwardparityholds.25EquilibriumExchangeRateRelationshipsS(F-S)E(e))-i(i¥$$-£IRPPPPFEFRPPPIFEFP26ForecastingExchangeRates⚫Effici

entMarketsApproach⚫FundamentalApproach⚫TechnicalApproach⚫PerformanceoftheForecasters27EfficientMarketsApproach⚫FinancialMa

rketsareefficientifpricesreflectallavailableandrelevantinformation.⚫Ifthisisso,exchangerateswillonlychangewhenn

ewinformationarrives,thus:St=E[St+1]andFt=E[St+1|It]⚫Predictingexchangeratesusingtheefficientmarketsapproachisaf

fordableandishardtobeat.28FundamentalApproach⚫Involveseconometricstodevelopmodelsthatuseavarietyofexplanatoryvari

ables.Thisinvolvesthreesteps:◼step1:Estimatethestructuralmodel.◼step2:Estimatefutureparametervalues.◼step3:Usethemodeltodevelopforecasts.⚫Thed

ownsideisthatfundamentalmodelsdonotworkanybetterthantheforwardratemodelortherandomwalkmodel.29TechnicalApproach⚫Technicalanalysislook

sforpatternsinthepastbehaviorofexchangerates.⚫Clearlyitisbaseduponthepremisethathistoryrepeatsitself.⚫Thus

itisatoddswiththeEMH30PerformanceoftheForecasters⚫Forecastingisdifficult,especiallywithregardtothefuture.⚫Asawhole,forecasterscannotdo

abetterjobofforecastingfutureexchangeratesthantheforwardrate.⚫ThefounderofForbesMagazineoncesaid:“Youcanmakemoremone

ysellingadvicethanfollowingit.”31EndChapterFive32