国际金融资本预算以货币风险

InternationalFinanceTodayCapitalBudgeting(internationalstyle)Financing(internationalstyle)TopicsExchangeratesCurrencyriskManagingCurrencyRiskCapitalBudgetingw/currencyriskFinancingw/currencyriskExchangeRatesSpotRateThepriceofacurrencyforimmediatedelivery(i.e.today’sexchangerate)ForwardRateThepriceofacurrencyonaspecifiedfuturedate(i.e.aforwardcontractinwhichtheexercisepriceistheexchangerate)Futures-Sameasforward(w/secondarymarkets)Options-onexchangerates&FutureKsExchangeRatesExampleGermanmarkspotpriceisM1.4457per$1Germanmark6mtforwardpriceisM1.4282per$1TheMarkissellingataForwardPremiumTheDollarissellingataForwardDiscount•Thismeansthatthemarketexpectsthedollartogetweaker,relativetothemarkExample(premium?discount?)TheJapaneseYenspotpriceis101.18per$1TheJapanese6mtfwdpriceis103.52per$1ExchangeRatesExampleWhatistheMarkpremium(annualized)?ExchangeRatesExampleWhatistheMarkpremium(annualized)?MarkPremium=2x(1.4457-1.4282)=2.45%1.4282DollarDiscount=2.45%ExchangeRatesExampleWhatistheMarkpremium(annualized)?MarkPremium=2x(1.4457-1.4282)=2.45%1.4282DollarDiscount=2.45%ExampleWhatistheYendiscount(annualized)?ExchangeRatesExampleWhatistheMarkpremium(annualized)?MarkPremium=2x(1.4457-1.4282)=2.45%1.4282DollarDiscount=2.45%ExampleWhatistheYendiscount(annualized)?YenDiscount=2x(103.52-101.18)=4.26%103.52DollarPremium=4.26%ExchangeRates1)InterestRateParityTheory1+rf=Ff/$1+r$Sf/$•ThedifferencebetweentheriskfreeinterestratesintwodifferentcountriesisequaltothedifferencebetweentheforwardandspotratesExchangeRatesExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)@8.0%ora1yearUSloan(indollars)@10%.Thespotrateis1.4457dm:$1The1yearforwardrateis1.4194dm:$1Whichloanwillyoupreferandwhy?IgnoretransactioncostsExchangeRatesExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)@8.0%ora1yearUSloan(indollars)@10%.Thespotrateis1.4457dm:$1The1yearforwardrateis1.4194dm:$1Whichloanwillyoupreferandwhy?IgnoretransactioncostsCostofUSloan=$100,000x1.10=$110,000ExchangeRatesExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)@8.0%ora1yearUSloan(indollars)@10%.Thespotrateis1.4457dm:$1The1yearforwardrateis1.4194dm:$1Whichloanwillyoupreferandwhy?IgnoretransactioncostsCostofUSloan=$100,000x1.10=$110,000CostofGermanLoan=$100,000x1.4457=144,570dmexchangeExchangeRatesExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)@8.0%ora1yearUSloan(indollars)@10%.Thespotrateis1.4457dm:$1The1yearforwardrateis1.4194dm:$1Whichloanwillyoupreferandwhy?IgnoretransactioncostsCostofUSloan=$100,000x1.10=$110,000CostofGermanLoan=$100,000x1.4457=144,570dmexchange144,570dmx1.08=156,135dmloanpmtExchangeRatesExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)@8.0%ora1yearUSloan(indollars)@10%.Thespotrateis1.4457dm:$1The1yearforwardrateis1.4194dm:$1Whichloanwillyoupreferandwhy?IgnoretransactioncostsCostofUSloan=$100,000x1.10=$110,000CostofGermanLoan=$100,000x1.4457=144,570dmexchange144,570dmx1.08=156,135dmloanpmt156,135dm/1.4194=$110,000exchangeIfthetwoloanscreatedadifferentresult,arbitrageexists!ExchangeRates2)ExpectationsTheoryofForwardRatesFf/$=E(Sf/$)Sf/$Sf/$Thedifferencebetweentheforward&spotratesequalstheexpectedchangeinthespotrate.ExchangeRates3)LawofOnePrice(PurchasingPowerParity)E(Sf/$)=E(1+if)Sf/$E(1+i$)Theexpectedchangeinthespotrateequalstheexpecteddifferenceininflationbetweenthetwocountries.ExchangeRatesExampleGivenaspotrateofdm:$1.4457:$1Givena1yrfwdrateof1.4194:$1•IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?ExchangeRatesExampleGivenaspotrateofdm:$1.4457:$1Givena1yrfwdrateof1.4194:$1•IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?E(Sf/$)=E(1+if)Sf/$E(1+i$)ExchangeRatesExampleGivenaspotrateofdm:$1.4457:$1Givena1yrfwdrateof1.4194:$1•IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?E(Sf/$)=E(1+if)Sf/$E(1+i$)1.4194=E(1+i)1.44571+.045ExchangeRatesExampleGivenaspotrateofdm:$1.4457:$1Givena1yrfwdrateof1.4194:$1•IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?E(Sf/$)=E(1+if)Sf/$E(1+i$)solvefori1.4194=E(1+i)i=.026or2.6%1.44571+.045ExchangeRates4)CapitalMarketEquilibriumE(1+if)=1+rfE(1+i$)1+r$Theexpecteddifferenceininflationratesequalsthedifferenceincurrentinterestrates.AlsocalledcommonrealinterestratesExchangeRatesExample•Inthepreviousexamples,showtheequilibriumofinterestratesandinflationrates1+rf=1.08=.98181+r$1.10ExchangeRatesExample•Inthepreviousexamples,showtheequilibriumofinterestratesandinflationrates1+rf=1.08=.98181