跨国公司财务管理-Chap5

CHAPTER5ForecastingExchangeRatesLiboYin,SchoolofFinance,CentralUniversityofFinanceandEconomicsEmail:[e-mail]2014/9/232CUFE--InternationalFinanceManagementInformationonexistingandanticipatedeconomicconditionsofvariouscountriesandonhistoricalexchangeratemovementsInformationonexistingandanticipatedcashflowsineachcurrencyateachsubsidiaryMeasuringexposuretoexchangeratefluctuationsForecastingexchangeratesManagingexposuretoexchangeratefluctuationsChapterObjectivesToexplainhowfirmscanbenefitfromforecastingexchangerates;Todescribethecommontechniquesusedforforecasting;andToexplainhowforecastingperformancecanbeevaluated.2014/9/233CUFE--InternationalFinanceManagementWhyFirmsForecastExchangeRatesMNCsneedexchangerateforecastsfortheir:hedgingdecisions,short-termfinancingdecisions,short-terminvestmentdecisions,capitalbudgetingdecisions,long-termfinancingdecisions,andearningsassessment.2014/9/234CUFE--InternationalFinanceManagementForecastingTechniquesThenumerousmethodsavailableforforecastingexchangeratescanbecategorizedintofourgeneralgroups:technical,fundamental,market-based,andmixed.2014/9/235CUFE--InternationalFinanceManagementTechnicalForecastingTechnicalforecastinginvolvestheuseofhistoricaldatatopredictfuturevalues.Itincludesstatisticalanalysisandtimeseriesmodels.Speculatorsmayfindthemodelsusefulforpredictingday-to-daymovements.However,sincetheytypicallyfocusonthenearfutureandrarelyprovidepoint/rangeestimates,theyareoflimitedusetoMNCs.2014/9/236CUFE--InternationalFinanceManagementFundamentalForecastingFundamentalforecastingisbasedonthefundamentalrelationshipsbetweeneconomicvariablesandexchangerates.Aforecastmayarisesimplyfromasubjectiveassessmentofthefactorsthataffectexchangerates.Aforecastmaybebasedonquantitativemeasurements(withtheaidofregressionmodelsandsensitivityanalysis)too.2014/9/237CUFE--InternationalFinanceManagementKnownrelationshipslikethePPPcanbeusedfortheregressionmodels.However,problemsmayarise.InthecaseofPPP:thetimingoftheimpactofinflationontradebehaviorisnotknownforsure,pricesmaybemeasuredinaccurately,tradebarriersmaydisruptthetradepatternsthatshouldemerge,andotherinfluentialfactorsmayexist.2014/9/238CUFE--InternationalFinanceManagementIngeneral,fundamentalforecastingislimitedby:theuncertaintimingoftheimpactofthefactors,theneedforforecastsforfactorswithinstantaneousimpact,thepossibilitythatotherrelevantfactorsmaybeomittedfromthemodel,andchangesinthesensitivityofcurrencymovementstoeachfactorovertime.2014/9/239CUFE--InternationalFinanceManagementMarket-BasedForecastingMarket-basedforecastinginvolvesdevelopingforecastsfrommarketindicators.Usually,eitherthespotrateortheforwardrateisused,sincespeculationshouldpushtheratestothelevelthatreflectthemarketexpectationofthefutureexchangerate.2014/9/2310CUFE--InternationalFinanceManagementSinceforwardcontractshavelowtradingvolumesandarenotwidelyquoted,theinterestratesonrisk-freeinstrumentscanbeusedtodeterminewhattheforwardratesshouldbeaccordingtoIRPforlong-termforecasting.2014/9/2311CUFE--InternationalFinanceManagementMixedForecastingMixedforecastingreferstotheuseofacombinationofforecastingtechniques.Theactualforecastisaweightedaverageofthevariousforecastsdeveloped.2014/9/2312CUFE--InternationalFinanceManagementForecastingServicesThecorporateneedtoforecastcurrencyvalueshaspromptedsomeconsultingfirmsandinvestmentbankstoofferforecastingservices.Adviceonhedgingandinternationalcashmanagement,andassessmentofthefirm’sexposuretoexchangeraterisk,maybeprovidedtoo.2014/9/2313CUFE--InternationalFinanceManagementOnewaytodeterminewhetheraforecastingserviceisvaluableistocomparetheaccuracyofitsforecastswiththeaccuracyofpubliclyavailableandfreeforecasts.2014/9/2314CUFE--InternationalFinanceManagementEvaluationofForecastPerformanceAnMNCthatforecastsexchangeratesshouldmonitoritsperformanceovertimetodeterminewhetheritsforecastingprocedureissatisfactory.TheMNCmayalsowanttocomparethevariousforecastingmethods.2014/9/2315CUFE--InternationalFinanceManagementOnemeasureofforecastperformanceistheabsoluteforecasterrorasapercentageoftherealizedvalue:|forecastedvalue–realizedvalue|realizedvalueOvertime,MNCsarelikelytohavemoreconfidenceintheirforecastswhentheyknowthemeanerrorfortheirpastforecasts.2014/9/2316CUFE--InternationalFinanceManagementUsingtheForwardRateasaForecastfortheBritishPound2014/9/2317CUFE--InternationalFinanceManagement0.000.050.100.150.200.250.300.35197519801985199019952000AbsoluteForecastError($)Theabilitytoforecastcurrencyvaluesmayvarywiththecurrencyofconcern.Inparticular,thevalueofalessvolatilecurrencyislikelytobeforecastedmoreaccurately.2014/9/2318CUFE--InternationalFinanceManagementForecastBiasIftheforecasterrorsareconsistentlypositiveornegativeovertime,thenthereisabiasintheforecastingprocedure.2014/9/2319CUFE--InternationalFinanceManagementUsingtheForwardRateasaForecastfortheBritishPound2014/9/2320CUFE--InternationalFinanceManagement$1.00$1.20$1.40$1.60$1.80$2.00$2.20$2.40$2.60197519801985199019952000ForwardRateRe