国际财务管理知识分析(英文版)

INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRatesChapterObjective:Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates1�ChapterOutlineInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerParityTheFisherEffectsForecastingExchangeRates2�ChapterOutlineInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRates3�ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates4�ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters5�InterestRateParityInterestRateParityDefinedCoveredInterestArbitrageInterestRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParity6�InterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.Sincewedon’ttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.7�InterestRateParityDefinedSupposeyouhave$100,000toinvestforoneyear.Youcaneither1.investintheU.S.ati$.Futurevalue=$100,000(1+ius)2.tradeyourdollarsforyenatthespotrate,investinJapanati¥andhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1+i¥)Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalue—otherwiseanarbitragewouldexist.(F/S)(1+i¥)=(1+ius)8�InterestRateParityDefinedFormally,(F/S)(1+i¥)=(1+ius)orifyouprefer,SFii¥$11IRPissometimesapproximatedasS(F-S))-i(i¥$9�IRPandCoveredInterestArbitrageIfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotandforwardexchangerates.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%10�IRPandCoveredInterestArbitrageAtraderwith$1,000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercouldexchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800ati£=11.56%foroneyeartoachieve£892.48.Translate£892.48backintodollarsatF360($/£)=$1.20/£,the£892.48willbeexactly$1,071.11�AccordingtoIRPonlyone360-dayforwardrate,F360($/£),canexist.ItmustbethecasethatF360($/£)=$1.20/£Why?IfF360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrategies:InterestRateParity&ExchangeRateDetermination12�ArbitrageStrategyIIfF360($/£)$1.20/£i.Borrow$1,000att=0ati$=7.1%.ii.Exchange$1,000for£800attheprevailingspotrate,(notethat£800=$1,000÷$1.25/£)invest£800at11.56%(i£)foroneyeartoachieve£892.48iii.Translate£892.48backintodollars,ifF360($/£)$1.20/£,£892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.13�ArbitrageStrategyIIIfF360($/£)$1.20/£i.Borrow£800att=0ati£=11.56%.ii.Exchange£800for$1,000attheprevailingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071.iii.Translate$1,071backintopounds,ifF360($/£)$1.20/£,$1,071willbemorethanenoughtorepayyour£obligationof£892.48.14�YouareaU.S.importerofBritishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.IRPandHedgingCurrencyRiskIRPimpliesthattherearetwowaysthatyoufixthecashoutflowa)Putyourselfinapositionthatdelivers£100Minoneyear—alongforwardcontractonthepound.Youwillpay(£100M)(1.2/£)=$120Mb)Formaforwardmarkethedgeasshownbelow.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%15�IRPandaForwardMarketHedgeToformaforwardmarkethedge:Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).Translate$112.05millionintopoundsatthespotrateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto£100million—exactlyenoughtopayyoursupplier.16�ForwardMarketHedgeWheredothenumberscomefrom?Weoweoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifS($/£)=$1.25/£?1.1156?00?9.64?.25$1.00?9.64$112.0517�ReasonsforDeviationsfromIRPTransactionsCostsTheinterestrateavailabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.Theremaybebid-askspreadstoovercome,Fb/SaF/SThus(Fb/Sa)(1+i¥l)(1+i¥b)0CapitalControlsGovernmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.18�PurchasingPowerParityPurchasingPowerParityandExchangeRateDeterminationPPPDeviationsandtheRealExchangeRateEvidenceonPPP