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INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRatesChapterObjective

:Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerpari

ty.ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates1ChapterOutline⚫InterestRateParity◼CoveredInte

restArbitrage◼IRPandExchangeRateDetermination◼ReasonsforDeviationsfromIRP⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates2ChapterO

utline⚫InterestRateParity⚫PurchasingPowerParity◼PPPDeviationsandtheRealExchangeRate◼EvidenceonPurchasingPowerParity⚫TheFisherEffects⚫Forec

astingExchangeRates3ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates4Cha

pterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates◼EfficientMarketApproach◼Funda

mentalApproach◼TechnicalApproach◼PerformanceoftheForecasters5InterestRateParity⚫InterestRateParityDefined⚫C

overedInterestArbitrage⚫InterestRateParity&ExchangeRateDetermination⚫ReasonsforDeviationsfromInterestRateParity6InterestRateParityDefined⚫IRPisa

narbitragecondition.⚫IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageop

portunity.⚫Sincewedon’ttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.7In

terestRateParityDefinedSupposeyouhave$100,000toinvestforoneyear.Youcaneither1.investintheU.S.ati$.Futurevalue=$100,000(1+ius)2.tradeyourdol

larsforyenatthespotrate,investinJapanati¥andhedgeyourexchangerateriskbysellingthefuturevalueoftheJapanesei

nvestmentforward.Thefuturevalue=$100,000(F/S)(1+i¥)Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalue—otherwi

seanarbitragewouldexist.(F/S)(1+i¥)=(1+ius)8InterestRateParityDefinedFormally,(F/S)(1+i¥)=(1+ius)orifyoupr

efer,SFii=++¥$11IRPissometimesapproximatedasS(F-S))-i(i¥=$9IRPandCoveredInterestArbitrageIfIRPfailedtoh

old,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotan

dforwardexchangerates.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.1

0%Britishdiscountratei£=11.56%10IRPandCoveredInterestArbitrageAtraderwith$1,000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillb

eworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercouldexchange$1,000for£800attheprevailingspotrat

e,(notethat£800=$1,000÷$1.25/£)invest£800ati£=11.56%foroneyeartoachieve£892.48.Translate£892.48backintodollarsatF360($/£)=$1.2

0/£,the£892.48willbeexactly$1,071.11AccordingtoIRPonlyone360-dayforwardrate,F360($/£),canexist.ItmustbethecasethatF360($/£)=$1.20/£Why?IfF

360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrategies:InterestRateParity&Exchan

geRateDetermination12ArbitrageStrategyIIfF360($/£)>$1.20/£i.Borrow$1,000att=0ati$=7.1%.ii.Exchange$1,000f

or£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800at11.56%(i£)foroneyeartoachieve£892.48iii.Translate£8

92.48backintodollars,ifF360($/£)>$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.Transla

te$1,071backintopounds,ifF360($/£)<$1.20/£,$1,071willbemorethanenoughtorepayyour£obligationof£892.48.14YouareaU.S.importerofBr

itishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.IRPandHedgingCurrencyRis

kIRPimpliesthattherearetwowaysthatyoufixthecashoutflowa)Putyourselfinapositionthatdelivers£100Minoneyear—alongforwa

rdcontractonthepound.Youwillpay(£100M)(1.2/£)=$120Mb)Formaforwardmarkethedgeasshownbelow.SpotexchangerateS($/£)=$1.25/£360-dayfo

rwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%15IRPandaForwardMarketHedgeToformaforwardmarkethedge:

Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).Translate$112.05millionintopoundsatthespotr

ateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto£100million—e

xactlyenoughtopayyoursupplier.16ForwardMarketHedgeWheredothenumberscomefrom?Weoweoursupplier£100millioninoneyear—soweknowthatweneedt

ohaveaninvestmentwithafuturevalueof£100million.Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoac

quire£89.64millionatthestartoftheyearifS($/£)=$1.25/£?1.1156?00?9.64=?.25$1.00?9.64$112.05=17ReasonsforDeviationsfromIRP⚫Tran

sactionsCosts◼Theinterestrateavailabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.◼Theremaybebi

d-askspreadstoovercome,Fb/Sa<F/S◼Thus(Fb/Sa)(1+i¥l)−(1+i¥b)0⚫CapitalControls◼Governmentssometimesrestrictimportandex

portofmoneythroughtaxesoroutrightbans.18PurchasingPowerParity⚫PurchasingPowerParityandExchangeRateDetermination⚫PPPDeviat

ionsandtheRealExchangeRate⚫EvidenceonPPP19PurchasingPowerParityandExchangeRateDetermination⚫Theexchangeratebetw

eentwocurrenciesshouldequaltheratioofthecountries’pricelevels.S($/£)=P$P£⚫RelativePPPstatesthattherateofchangeinanexchangerateisequaltothedifferen

cesintheratesofinflation.e=$-£⚫IfU.S.inflationis5%andU.K.inflationis8%,thepoundshoulddepreciateby3%.20)1)(1(1£$

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

competitivenessofdomesticcountryimproveswithcurrencydepreciations.Ifq>1competitivenessofdomesticcountrydeteriorateswithcurrencydepreciations.21Evide

nceonPPP⚫PPPprobablydoesn’tholdpreciselyintherealworldforavarietyofreasons.◼Haircutscost10timesasmuchinthedevelopedworldasinthedevelopin

gworld.◼Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.◼Shippingcosts,asw

ellastariffsandquotascanleadtodeviationsfromPPP.⚫PPP-determinedexchangeratesstillprovideavaluablebenchmark.22TheF

isherEffects⚫Anincrease(decrease)intheexpectedrateofinflationwillcauseaproportionateincrease(decrease)intheinterestrateint

hecountry.⚫FortheU.S.,theFishereffectiswrittenas:i$=$+E($)Where$istheequilibriumexpected“real”U.S.intere

strateE($)istheexpectedrateofU.S.inflationi$istheequilibriumexpectednominalU.S.interestrate23InternationalFisherEffectIftheFishereffe

ctholdsintheU.S.i$=$+E($)andtheFishereffectholdsinJapan,i¥=¥+E(¥)andiftherealratesarethesameineachcountry$=¥thenwe

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

-ii¥=$thenforwardparityholds.25EquilibriumExchangeRateRelationshipsS(F-S)E(e))-i(i¥$$-£IRPPPPFEFRPPPIFEFP26ForecastingExchangeR

ates⚫EfficientMarketsApproach⚫FundamentalApproach⚫TechnicalApproach⚫PerformanceoftheForecasters27EfficientMarketsA

pproach⚫FinancialMarketsareefficientifpricesreflectallavailableandrelevantinformation.⚫Ifthisisso,exchangerateswillonlychangewhennewinformationa

rrives,thus:St=E[St+1]andFt=E[St+1|It]⚫Predictingexchangeratesusingtheefficientmarketsapproachisaffordable

andishardtobeat.28FundamentalApproach⚫Involveseconometricstodevelopmodelsthatuseavarietyofexplanatoryvariables.Thisinv

olvesthreesteps:◼step1:Estimatethestructuralmodel.◼step2:Estimatefutureparametervalues.◼step3:Usethemode

ltodevelopforecasts.⚫Thedownsideisthatfundamentalmodelsdonotworkanybetterthantheforwardratemodelortherandomwalkmodel.29TechnicalApproach⚫

Technicalanalysislooksforpatternsinthepastbehaviorofexchangerates.⚫Clearlyitisbaseduponthepremisethathistoryrepeatsitself.⚫Thusit

isatoddswiththeEMH30PerformanceoftheForecasters⚫Forecastingisdifficult,especiallywithregardtothefuture.⚫Asawhole,fo

recasterscannotdoabetterjobofforecastingfutureexchangeratesthantheforwardrate.⚫ThefounderofForbesMagazineoncesaid:“Youca

nmakemoremoneysellingadvicethanfollowingit.”31EndChapterFive32