ToExchangeRateFluctuations(国际金融管理-山东

MeasuringExposureToExchangeRateFluctuations10ChapterSouth-Western/ThomsonLearning©2003Seec10.xlsforspreadsheetstoaccompanythischapter.C10-2ChapterObjectives•TodiscusstherelevanceofanMNC’sexposuretoexchangeraterisk;•Toexplainhowtransactionexposurecanbemeasured;•Toexplainhoweconomicexposurecanbemeasured;and•Toexplainhowtranslationexposurecanbemeasured.C10-3IsExchangeRateRiskRelevant?PurchasingPowerParityArgumentExchangeratemovementswillbematchedbypricemovements.PPPdoesnotnecessarilyhold.C10-4IsExchangeRateRiskRelevant?TheInvestorHedgeArgumentMNCshareholderscanhedgeagainstexchangeratefluctuationsontheirown.Theinvestorsmaynothavecompleteinformationoncorporateexposure.Theymaynothavethecapabilitiestocorrectlyinsulatetheirindividualexposuretoo.C10-5CurrencyDiversificationArgumentAnMNCthatiswelldiversifiedshouldnotbeaffectedbyexchangeratemovementsbecauseofoffsettingeffects.Thisisanaivepresumption.IsExchangeRateRiskRelevant?C10-6StakeholderDiversificationArgumentWelldiversifiedstakeholderswillbesomewhatinsulatedagainstlossesexperiencedbyanMNCduetoexchangeraterisk.MNCsmaybeaffectedinthesamewaybecauseofexchangeraterisk.IsExchangeRateRiskRelevant?C10-7ResponsefromMNCs•ManyMNCshaveattemptedtostabilizetheirearningswithhedgingstrategies,whichconfirmstheviewthatexchangerateriskisrelevant.IsExchangeRateRiskRelevant?C10-8•Forcurrentandhistoricexchangerates,aswellasimpliedcurrencyvolatilities,visit•Althoughexchangeratescannotbeforecastedwithperfectaccuracy,firmscanatleastmeasuretheirexposuretoexchangeratefluctuations.•Exposuretoexchangeratefluctuationscomesinthreeforms:¤Transactionexposure¤Economicexposure¤TranslationexposureC10-10TransactionExposure•Thedegreetowhichthevalueoffuturecashtransactionscanbeaffectedbyexchangeratefluctuationsisreferredtoastransactionexposure（交易风险）.•Tomeasuretransactionexposure:projectthenetamountofinflowsoroutflowsineachforeigncurrency,anddeterminetheoverallriskofexposuretothosecurrencies.C10-11•MNCscanusuallyanticipateforeigncashflowsforanupcomingshort-termperiodwithreasonableaccuracy.•AftertheconsolidatednetcurrencyflowsfortheentireMNChasbeendetermined,eachnetflowisconvertedintoeitherapointestimateorarangeofachosencurrency,soastostandardizetheexposureassessmentforeachcurrency.TransactionExposureC10-12•AnMNC’soverallexposurecanbeassessedbyconsideringeachcurrencyposition（头寸）togetherwiththecurrency’svariability（可变性）andthecorrelationsamongthecurrencies.•Thestandarddeviationstatisticonhistoricaldataservesasonemeasureofcurrencyvariability.Notethatcurrencyvariabilitylevelsmaychangeovertime.TransactionExposureC10-13Currency1981-19931994-1998Britishpound0.03090.0148Canadiandollar0.01000.0110Indianrupee0.02190.0168Japaneseyen0.02790.0298NewZealanddollar0.02890.0190Swedishkrona0.02870.0195Swissfranc0.03300.0246Singaporedollar0.01110.0174TransactionExposureStandardDeviationsofExchangeRateMovementsBasedonMonthlyDataC10-14•Thecorrelationsamongcurrencymovementscanbemeasuredbytheircorrelationcoefficients,whichindicatethedegreetowhichtwocurrenciesmoveinrelationtoeachother.coefficientperfectpositivecorrelation1.00nocorrelation0.00perfectnegativecorrelation-1.00TransactionExposureC10-15£Can$¥NZ$SkSwFBritishpound(£)1.00Canadiandollar(Can$).181.00Japaneseyen(¥).45.061.00NewZealanddollar(NZ$).39.20.331.00Swedishkrona(Sk).62.16.46.331.00Swissfranc(SwF).63.12.61.37.701.00TransactionExposureCorrelationsAmongExchangeRateMovementsC10-16•Thepointinconsideringcorrelationsistodetectpositionsthatcouldsomewhatoffseteachother.•Forexample,ifcurrenciesXandYarehighlycorrelated,theexposuresofanetXinflowandanetYoutflowwilloffseteachothertoacertaindegree.•Notethatthecorrrelationsamongcurrenciesmaychangeovertime.TransactionExposureC10-17MovementsofSelectedCurrenciesAgainsttheDollar0.000.200.400.600.801.001.201.4019811986199119962001$/100¥$/10Indianrupees$/Chineseyuan$/5Swedishkrona$/Canadian$$/Singapore$$perunitC10-18•Arelatedmethod,thevalue-at-risk(VAR)method,incorporatescurrencyvolatilityandcorrelationstodeterminethepotentialmaximumone-dayloss.•Historicaldataisusedtodeterminethepotentialone-daydeclineinaparticularcurrency.Thisdeclineisthenappliedtothenetcashflowsinthatcurrency.TransactionExposureC10-19EconomicExposure•Economicexposurereferstothedegreetowhichafirm’spresentvalueoffuturecashflowscanbeinfluencedbyexchangeratefluctuations.•Cashflowsthatdonotrequireconversionofcurrenciesdonotreflecttransactionexposure.Yet,thesecashflowsmayalsobeinfluencedsignificantlybyexchangeratemovements.C10-20EconomicExposureTransactionsthatInfluencetheFirm’sCashInflowsLocalCurrencyAppreciatesLocalCurrencyDepreciatesLocalsales(relativetoforeigncompetiti