国际财务管理英文课件-(9)

ManagementofEconomicExposureChapterNineCopyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ChapterOutline•HowtoMeasureEconomicExposure•OperatingExposure:Definition•AnIllustrationofOperatingExposure•DeterminantsofOperatingExposure•ManagingOperatingExposure9-2Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.EconomicExposure•Changesinexchangeratescanaffectnotonlyfirmsthataredirectlyengagedininternationaltradebutalsopurelydomesticfirms.•Ifthedomesticfirm’sproductscompetewithimportedgoods,thentheircompetitivepositionisaffectedbythestrengthorweaknessofthelocalcurrency.9-3Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.EconomicExposure•ConsideraU.S.bicyclemanufacturerwhosources,produces,andsellsonlyintheU.S.•Sincethefirm’sproductcompetesagainstimportedbicycles,itissubjecttoforeignexchangeexposure.•TheircustomersarecomparingthecostandfeaturesofthedomesticbicycleagainstJapanese,British,andItalianbicycles.9-4Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.EconomicExposure•Exchangerateriskisappliedtothefirm’scompetitiveposition.•Anyanticipatedchangesintheexchangerateswouldalreadyhavebeendiscountedandreflectedinthefirm’svalue.•Economicexposurecanbedefinedastheextenttowhichthevalueofthefirmwouldbeaffectedbyunanticipatedchangesinexchangerates.9-5Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.ExchangeRateExposureofU.S.EquityPortfolios9-6Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HowtoMeasureEconomicExposure•Economicexposureisthesensitivityofthefuturehomecurrencyvalueofthefirm’sassetsandliabilitiesandthefirm’soperatingcashflowtorandomchangesinexchangerates.•Thereexiststatisticalmeasurementsofsensitivity.–Sensitivityofthefuturehomecurrencyvaluesofthefirm’sassetsandliabilitiestorandomchangesinexchangerates.–Sensitivityofthefirm’soperatingcashflowstorandomchangesinexchangerates.9-7Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.AssetexposureOperatingexposureChannelsofEconomicExposureFirmValueHomecurrencyvalueofassetsandliabilitiesFutureoperatingcashflowsExchangeratefluctuations9-8Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HowtoMeasureEconomicExposure•IfaU.S.MNCweretorunaregressiononthedollarvalue(P)ofitsBritishassetsonthedollar-poundexchangerate,S($/£),theregressionwouldbeoftheform:P=a+b×S+eWhereaistheregressionconstant.eistherandomerrortermwithmeanzero.theregressioncoefficientbmeasuresthesensitivityofthedollarvalueoftheassets(P)totheexchangerate,S.9-9Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HowtoMeasureEconomicExposureTheexposurecoefficient,b,isdefinedasfollows:WhereCov(P,S)isthecovariancebetweenthedollarvalueoftheassetandtheexchangerate,andVar(S)isthevarianceoftheexchangerate.Cov(P,S)Var(S)b=9-10Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.HowtoMeasureEconomicExposure•Theexposurecoefficientshowsthattherearetwosourcesofeconomicexposure:Cov(P,S)Var(S)b=1.Thevarianceoftheexchangerate.2.Thecovariancebetweenthedollarvalueoftheassetandexchangerate.9-11Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Example•SupposeaU.S.firmhasanassetinFrancewhoselocalcurrencypriceisrandom.•Forsimplicity,supposethereareonlythreestatesoftheworldandeachstateisequallylikelytooccur.•ThefuturelocalcurrencypriceofthisFrenchasset(P*)aswellasthefutureexchangerate(S)willbedetermined,dependingontherealizedstateoftheworld.9-12Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Example(continued)StateProbabilityP*SS×P*Case111/3€980$1.40/€$1,37221/3€1,000$1.50/€$1,50031/3€1,070$1.60/€$1,712Case211/3€1,000$1.40/€$1,40021/3€933$1.50/€$1,40031/3€875$1.60/€$1,400Case311/3€1,000$1.40/€$1,40021/3€1,000$1.50/€$1,50031/3€1,000$1.60/€$1,6009-13Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Example(continued)•Incaseone,thelocalcurrencypriceoftheassetandtheexchangeratearepositivelycorrelated.–Thisgivesrisetosubstantialexchangeraterisk.StateProbabilityP*SS×P*Case111/3€980$1.40/€$1,37221/3€1,000$1.50/€$1,50031/3€1,070$1.60/€$1,7129-14Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Example(continued)•Incasetwo,thelocalcurrencypriceoftheassetandtheexchangeratearenegativelycorrelated.–Thisamelioratestheexchangeraterisksubstantially(completelyinthisexample).StateProbabilityP*SS×P*Case211/3€1,000$1.40/€$1,40021/3€933$1.50/€$1,40031/3€875$1.60/€$1,4009-15Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.Example(continued)•Incasethree,thelocalcurrencypriceoftheassetisfixedat€1,000.–This“contractual”exposurecanbecompletelyhedgedusingthemethodswelearnedinChapter8.StateProbabilityP*SS×P*Case311/3€1,000$1.40/€$1,40021/3€1,000$1.50/€$1,50031/3€1,000$1.60/€$1,6009-16Copyright©2014bytheMcGraw-HillCompanies,Inc.Allrightsreserved.OperatingExposure:Definition•Theeffectofrandomchangesinexchangeratesonthefirm’scompetitiveposition,whichisnotreadilymeasurable.•Agooddefinitionofoperatingexposureistheextenttowhichthefirm’soperatingcashflowsareaffectedbytheexchangerate.9-17Copyrig