【文档说明】_ForecastingExchangeRates(国际财务管理,英文版.pptx，共(33)页，242.775 KB，由精品优选上传

转载请保留链接：https://www.ichengzhen.cn/view-271026.html

以下为本文档部分文字说明：

INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRatesChapterObjective:Th

ischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.Chapte

rOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates1ChapterOu

tline⚫InterestRateParity◼CoveredInterestArbitrage◼IRPandExchangeRateDetermination◼ReasonsforDeviationsfromIRP⚫PurchasingPowerParity⚫TheFisherEffects

⚫ForecastingExchangeRates2ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity◼PPPDeviationsandtheRealExchangeRate◼EvidenceonPurch

asingPowerParity⚫TheFisherEffects⚫ForecastingExchangeRates3ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫

TheFisherEffects⚫ForecastingExchangeRates4ChapterOutline⚫InterestRateParity⚫PurchasingPowerParity⚫TheFisherEffects⚫F

orecastingExchangeRates◼EfficientMarketApproach◼FundamentalApproach◼TechnicalApproach◼Performanceoft

heForecasters5InterestRateParity⚫InterestRateParityDefined⚫CoveredInterestArbitrage⚫InterestRateParity&ExchangeRateDetermi

nation⚫ReasonsforDeviationsfromInterestRateParity6InterestRateParityDefined⚫IRPisanarbitragecondition.⚫IfIR

Pdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageo

pportunity.⚫Sincewedon’ttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.7InterestRateParityDefinedSupposeyouha

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

te,investinJapanati¥andhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1

+i¥)Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalue—otherwiseanarbitragewouldexist.(F/S)(1+i¥

)=(1+ius)8InterestRateParityDefinedFormally,(F/S)(1+i¥)=(1+ius)orifyouprefer,SFii=++¥$11IRPissometimesappro

ximatedasS(F-S))-i(i¥=$9IRPandCoveredInterestArbitrageIfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Cons

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

1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%10IRPandCoveredInterestArbitrageAtraderwith$1,000t

oinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercouldexchange$1,000for£800att

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

atF360($/£)=$1.20/£,the£892.48willbeexactly$1,071.11AccordingtoIRPonlyone360-dayforwardrate,F360($/£),canexist.Itmustbethe

casethatF360($/£)=$1.20/£Why?IfF360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrateg

ies:InterestRateParity&ExchangeRateDetermination12ArbitrageStrategyIIfF360($/£)>$1.20/£i.Borrow$1,000att=0ati$=7.1%.ii.Exchange$1

,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800at11.56%(i£)foroneyeartoach

ieve£892.48iii.Translate£892.48backintodollars,ifF360($/£)>$1.20/£,£892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.13Ar

bitrageStrategyIIIfF360($/£)<$1.20/£i.Borrow£800att=0ati£=11.56%.ii.Exchange£800for$1,000attheprevai

lingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071.iii.Translate$1,071backintopounds,ifF360($/£)<$1.20/£,$1,071will

bemorethanenoughtorepayyour£obligationof£892.48.14YouareaU.S.importerofBritishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Mi

sdueinoneyear.IRPandHedgingCurrencyRiskIRPimpliesthattherearetwowaysthatyoufixthecashoutflowa)Putyourselfinapositionthatdelivers£100Minoneyear—alon

gforwardcontractonthepound.Youwillpay(£100M)(1.2/£)=$120Mb)Formaforwardmarkethedgeasshownbelow.Spotexchanger

ateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%15IRPandaForwardMarketHedgeToformafor

wardmarkethedge:Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).Translate$112.05millionint

opoundsatthespotrateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.In

oneyearyourinvestmentwillhavegrownto£100million—exactlyenoughtopayyoursupplier.16ForwardMarketHedgeWheredoth

enumberscomefrom?Weoweoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.Sinc

ei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifS($/£)=$1.25/£?

1.1156?00?9.64=?.25$1.00?9.64$112.05=17ReasonsforDeviationsfromIRP⚫TransactionsCosts◼Theinterestrateavailabletoanarbitrageurfor

borrowing,ib,mayexceedtheratehecanlendat,il.◼Theremaybebid-askspreadstoovercome,Fb/Sa<F/S◼Thus(Fb/Sa)(1+i¥l)−(1+i¥b)0⚫Capital

Controls◼Governmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.18PurchasingPowerParity⚫PurchasingPowerParityandExchangeRateDe

termination⚫PPPDeviationsandtheRealExchangeRate⚫EvidenceonPPP19PurchasingPowerParityandExchangeRateDetermination⚫Theexchangeratebetweentwocurre

nciesshouldequaltheratioofthecountries’pricelevels.S($/£)=P$P£⚫RelativePPPstatesthattherateofchangeinanexchanger

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

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

oveswithcurrencydepreciations.Ifq>1competitivenessofdomesticcountrydeteriorateswithcurrencydepreciations.21EvidenceonPPP

⚫PPPprobablydoesn’tholdpreciselyintherealworldforavarietyofreasons.◼Haircutscost10timesasmuchinthedevelopedworldasinthedevelopi

ngworld.◼Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.◼Shippin

gcosts,aswellastariffsandquotascanleadtodeviationsfromPPP.⚫PPP-determinedexchangeratesstillprovideavaluablebenchmark.

22TheFisherEffects⚫Anincrease(decrease)intheexpectedrateofinflationwillcauseaproportionateincrease(decrease)intheinterestratei

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

interestrateE($)istheexpectedrateofU.S.inflationi$istheequilibriumexpectednominalU.S.interestrate23InternationalFi

sherEffectIftheFishereffectholdsintheU.S.i$=$+E($)andtheFishereffectholdsinJapan,i¥=¥+E(¥)andiftherealratesarethesameineachcountr

y$=¥thenwegettheInternationalFisherEffectE(e)=i$-i¥.24InternationalFisherEffectIftheInternationalFisherEffect

holds,E(e)=i$-i¥andifIRPalsoholdsS(F-S)E(e)=S(F-S)-ii¥=$thenforwardparityholds.25EquilibriumExchangeRateRelationshipsS

(F-S)E(e))-i(i¥$$-£IRPPPPFEFRPPPIFEFP26ForecastingExchangeRates⚫EfficientMarketsApproach⚫FundamentalApproach⚫TechnicalApproach⚫Performanceof

theForecasters27EfficientMarketsApproach⚫FinancialMarketsareefficientifpricesreflectallavailableandrelevantinformation.⚫Ifthis

isso,exchangerateswillonlychangewhennewinformationarrives,thus:St=E[St+1]andFt=E[St+1|It]⚫Predictingexchangeratesusingtheefficientmarke

tsapproachisaffordableandishardtobeat.28FundamentalApproach⚫Involveseconometricstodevelopmodelsthatuseavarietyofexplanatoryvariables.Thisinvo

lvesthreesteps:◼step1:Estimatethestructuralmodel.◼step2:Estimatefutureparametervalues.◼step3:Usethemodeltodevelopforecasts.⚫Thedownsideisthatfu

ndamentalmodelsdonotworkanybetterthantheforwardratemodelortherandomwalkmodel.29TechnicalApproach⚫Technicalanalysislooksforpatternsint

hepastbehaviorofexchangerates.⚫Clearlyitisbaseduponthepremisethathistoryrepeatsitself.⚫ThusitisatoddswiththeEMH30Performa

nceoftheForecasters⚫Forecastingisdifficult,especiallywithregardtothefuture.⚫Asawhole,forecasterscanno

tdoabetterjobofforecastingfutureexchangeratesthantheforwardrate.⚫ThefounderofForbesMagazineoncesaid:“Youcanmakemoremoneysellingad

vicethanfollowingit.”31EndChapterFive32