國際金融 期末復習 中英文

1、【名詞解釋】【The Special Drawing Right (SDR) 特別提款權(quán)】p 30The Special Drawing Right (SDR) is an international reserve asset created by the IMF to supplement existing foreign exchange reserves. (It serves as a unit of account for the IMF and is also the base against which some countries peg the exchange rate

2、for their currencies. 【LIBOR 倫敦同業(yè)銀行拆解率】p 33Eurocurrency Interest Rates: LIBOR LIBOR（London Interbank Offered Rate） is the reference rate of interest in the Eurocurrency market, and is now the most widely accepted rate of interest used in standardized quotations, loan agreements or financial derivati

3、ves valuations. LIBOR is officially defined by the British Bankers Association.【Dollarization美元化】Dollarization the use of the US dollar as the official currency of the country.只將美元用作官方通貨?！綞urodollar 歐洲美元】 Eurodollar is one of the European currency types，which refers to the dollar deposits in banks o

4、utside the united states是指存放在美國以外的銀行中的美元存款，歐洲美元是歐洲貨幣的一種類型。【Direct Quotes直接報價】 A direct quote is a home currency price of a unit of foreign currency. 直接報價法是用本幣表示一單位外幣的價格。【In direct quotes 間接報價】 An indirect quote is a foreign currency price of a unit of home currency. 間接報價法是用外幣表示一單位本幣的價格?！綞uropean opt

5、ion 歐式期權(quán)】 A European option may be exercised only on its expiration date，not before. 只能在到期日那天執(zhí)行的期權(quán)【American option 美式期權(quán)】 An American option may be exercised at any time between the date of writing and the expiration or maturity date. 可在包括到期日之前的任一天執(zhí)行的期權(quán)。 【call option 看漲期權(quán)】市場價格>期權(quán)費+合約價 Call option

6、is the right of buying foreign currency or other financial contracts at a specific price within a particular period, but not the obligation. 在一個特定時期以特定價格買入外匯或其他金融合約的權(quán)利，而非義務?！緋ut option 看跌期權(quán)】市場價格<期權(quán)費+合約價Put option is the right of selling foreign currency or other financial contracts at a specific

7、price within a particular period, but not the obligation. 在一個特定時期以特定價格賣出外匯或其他金融合約的權(quán)利，而非義務【Interest rate parity 利率平價條件】 The theory states：the difference in the national interest rates for securities of similar risk and maturity should be equal to， but opposite in sign to, the forward rate discount or

8、 premium for the foreign currency, except for transactions costs.這一理論認為：風險相同、期限相同的證券的名義利率差異應該等于負的去除交易成本的外匯遠期升貼水?！続t-the-money (ATM) 到價】An option whose price is the same as the spot price of the underlying currency is said to be at-the-money (ATM).當期權(quán)的執(zhí)行價格等于現(xiàn)時市場價格時，該期權(quán)被稱為到價?！綢n-the-money (ITM) 價內(nèi)】An

9、option that would be profitable, excluding the cost of premium, if exercised immediately is said to be in-the-money (ITM). 除去期權(quán)費用之后還能帶來盈利的期權(quán)合約被稱為是價內(nèi)?！綩ut-of-the-money (OTM)價外】An option that would not be profitable, again excluding the cost of the premium, if exercised immediately is referred to as o

10、ut-of-the-money (OTM). 除去期權(quán)費用之后不能帶來盈利的期權(quán)合約被稱為是價外。u IMF Exchange Rate Regime Classifications 匯率體制的分類1 ) Exchange Arrangements with No Separate Legal Tender無獨立法定貨幣的匯率安排: Currency of another country circulates as sole legal tender or member belongs to a monetary or currency union in which same legal te

11、nder is shared by members of the union 指一國采用另一國的貨幣作為唯一法定貨幣。如美元化2 ) Currency Board Arrangements貨幣局匯率: Monetary regime based on implicit national commitment to exchange domestic currency for a specified foreign currency at a fixed exchange rate指貨幣當局規(guī)定本國貨幣與某一外國貨幣之間可以以一固定比率無限制兌換，貨幣發(fā)行當局要確保這一兌換義務實現(xiàn)的匯率制度。3

12、 ) Other Conventional Fixed Peg Arrangements傳統(tǒng)的固定盯住匯率: Country pegs its currency (formal or de facto) at a fixed rate to a major currency or a basket of currencies where exchange rate fluctuates within a narrow margin or at most ± 1% around central rate以固定的匯率將其貨幣盯住另一貨幣或一貨幣籃子，國家當局通過直接或間接敢于維持固定平價

13、, 匯率圍繞中心匯率在+1%的狹窄范圍內(nèi)波動4 ) Pegged Exchange Rates w/in Horizontal Bands有波幅的盯住匯率: Value of the currency is maintained within margins of fluctuation around a formal or de facto fixed peg that are wider than ± 1% around central rate 對單一貨幣或?qū)ω泿呕@子即期市場匯率的波幅能夠保持在一個± 1%的范圍內(nèi) 5 ) Crawling Peg爬行盯住匯率: Cu

14、rrency is adjusted periodically in small amounts at a fixed, preannounced rate in response to changes in certain quantitative measures匯率按預先宣布的固定范圍作較小的定期調(diào)整或?qū)x定的定量指標的變化做定期的調(diào)整。6 ) Exchange Rates within Crawling Peg有波幅的爬行盯住匯率: Currency is maintained within certain fluctuation margins around a central ra

15、te that is adjusted periodically 匯率圍繞一個定期調(diào)整的中心匯率，維持在在一定的利潤范圍內(nèi)7 ) Managed Floating with No Preannounced Path for Exchange Rate: 不帶目的的管理浮動匯率Monetary authority influences the movements of the exchange rate through active intervention in foreign exchange markets without specifying a pre-announced path f

16、or the exchange rate 貨幣當局試圖通過干預外匯市場來對匯率的變動施加影響，但沒有事先確定干預路徑8 ) Independent Floating完全浮動匯率: Exchange rate is market determined, with any foreign exchange intervention aimed at moderating the rate of change and preventing undue fluctuations in the exchange rate, rather than at establishing a level for

17、it 匯率由市場決定，官方的干預旨在緩解匯率的過度波動，不在于將匯率維持在某一水平。u The accounts of the balance of payments 國際收支平衡表A. Current account 經(jīng)常賬戶 1. Goods trade 貨物 2. Service trade 服務3. Income 收入 4. Current transfers 經(jīng)常轉(zhuǎn)移B. Capital account 資本賬戶1. Transfers of financial assets 金融資產(chǎn)的轉(zhuǎn)移2. The acquisition and disposal of nonproduced/

18、nonfinancial assets非生產(chǎn)/非金融資產(chǎn)的收買和放棄Direct investment 直接投資 Portfolio investment 證券投資C. Financial account Other investment assets/Liabilities 其他投資資產(chǎn)/負債 Reserve assets 儲備資產(chǎn) D.Net errors and Omissions 凈誤差與遺漏u 金本位制與布雷頓森林體系的區(qū)別金本位制：以黃金為本位幣的貨幣制度。實質(zhì)各國貨幣與黃金掛鉤布雷頓森林體系：確立了以美元為中心的國際貨幣制度 美元與黃金掛鉤 實質(zhì)“雙掛鉤” 各國貨幣與美元掛鉤 u

19、 The BOP & Exchange Rates 國際收支平衡與匯率的關(guān)系1. Fixed exchange rate countries Under a fixed exchange rate system, the government bears the responsibility to ensure that the BOP is near zero.If the sum of the current and capital accounts do not approximate zero, the government is expected to intervene i

20、n the foreign exchange market by buying or selling official foreign exchange reserves.If the sum of the current and capital accounts is greater than zero, a surplus demand for the domestic currency exists in the world. To preserve the fixed exchange rate, the government must then intervene in the fo

21、reign exchange market and sell domestic currency for foreign currencies or gold so as to bring the BOP back near zero.If the sum of the current and capital accounts is negative, an excess supply of the domestic currency exists in the world markets. The government must intervene by buying the domesti

22、c currency with its reserves of foreign currencies and gold.在固定匯率制度下，政府需要承擔確保國際收支余額接近0的責任。 如果經(jīng)常賬戶和資本賬戶的余額之和不接近0，政府就要在外匯市場上買進或賣出外匯儲備來進行干預。 如果這兩個賬戶的余額之和大于0，說明世界范圍內(nèi)本國貨幣供不應求。為了維持固定匯率，政府必須在外匯市場上干預，賣出本幣換取外幣或黃金，從而使國際收支余額接近0. 如果這兩個賬戶的余額之和小于0，政府則必須在外匯市場上干預，賣出外幣或黃金換取本幣。經(jīng)常賬戶+資本賬戶余額0 政府干預 （買進/賣出外匯儲備）經(jīng)常賬戶+資本賬戶余額

23、0 政府干預 （賣出本幣、換取外幣/黃金）經(jīng)常賬戶+資本賬戶余額0 政府干預 （賣出外幣/黃金、換取本幣）2. Floating exchange rate countries Under a floating exchange rate system, the government of a country has no responsibility to peg its foreign exchange rate. 在浮動匯率制度下，政府沒有盯住匯率的責任。3. Managed floats The countries operating with managed floats seek

24、to alter the market activity, rather than through direct intervention in the foreign exchange market. 在實行有管理的浮動匯率制度下，政府會通過影響市場行為的動機來改變市場對某一貨幣的估值，而不是在外匯市場直接進行干預。u Triangular arbitrage 三角套匯 P 109 PPT第五章34頁u Types of foreign exchange exposure/risk 外匯風險的類型 Transaction Exposure交易風險 measures changes in th

25、e value of outstanding financial obligations incurred prior to a change in exchange rates but not due to be settled until after the exchange rate changes交易風險（Transaction Risk）是指以外幣標價的交易合同，由于合同簽訂時與將來結(jié)算時的匯率不同，造成的相同金額的外幣折算成本幣時數(shù)量發(fā)生變化的風險。交易風險又可分為外匯買賣風險和交易結(jié)算風險。 Operating Exposure（Economic Exposure）經(jīng)營風險 al

26、so called economic exposure, measures the change in the present value of the firm resulting from any change in expected future operating cash flows caused by an unexpected change in exchange rates經(jīng)營風險（又稱經(jīng)濟風險）是指由于意料之外的匯率變動，使企業(yè)在將來特定時期的收益發(fā)生變化的可能性。經(jīng)營風險是由于匯率的變動影響企業(yè)的生產(chǎn)成本、銷售價格，進而引起產(chǎn)銷數(shù)量的變化，并由此最終帶來獲利狀況的變化。經(jīng)營

27、風險中所說的匯率變動，僅指意料之外的匯率變動。兩者區(qū)別：交易風險是已合約化的現(xiàn)金流量變化；營運風險強調(diào)未合約化的預期現(xiàn)金流量變化 Translation Exposure折算風險 also called accounting exposure會計風險, is the potential for accounting derived changes in owners equity to occur because of the need to “translate” financial statements of foreign subsidiaries into a single repor

28、ting currency for consolidated financial statements折算風險是指企業(yè)在會計處理和外幣債權(quán)、債務決算時，將必須轉(zhuǎn)換成本幣的各種外幣計價項目加以折算時所產(chǎn)生的風險。 Tax Exposure 稅收風險 the tax consequence of foreign exchange exposure varies by country, however as a general rule only realized foreign losses are deductible for purposes of calculating income tax

29、esu 畫圖題： Call option 看漲期權(quán)Breakeven price盈虧平衡價收益為0Area of limited loss有限損失區(qū)域Area of unlimited profit無限收益區(qū)域Buyer：Profit 收益無窮大 Maximum loss premium 損失至多為期權(quán)費Seller：Loss 損失無窮大 Maximum profit 收益至多為期權(quán)費 注：盈虧平衡價是指市場價等于合約價。u Tridents Transaction Exposure 泰鼎公司的外匯風險1. Unhedged position1) Maria may decide to acc

30、ept the transaction risk2) If she believes that the future spot rate will be $1.76/£, then Trident will receive £1,000,000 x $1.76/£ = $1,760,000 in 3 months time3) However, if the future spot rate is $1.65/£, Trident will receive only $1,650,000 well below the budget rate 2. For

31、ward Market hedge1) A forward hedge involves a forward or futures contract and a source of funds to fulfill the contract2) The forward contract is entered at the time the A/R is created, in this case in March3) When this sale is booked, it is recorded at the spot rate. 4) In this case the A/R is rec

32、orded at a spot rate of $1.7640/£, thus $1,764,000 is recorded as a sale for Trident5) If Trident does not have an offsetting A/P in the same amount, then the firm is considered uncovered6) Should Maria want to cover this exposure with a forward contract, then she will sell £1,000,000 forw

33、ard today at the 3 month rate of $1.7540/£ 7) She is now “covered” and Trident no longer has any transaction exposure8) In 3 months, Trident will received £1,000,000 and exchange those pounds at $1.7540/£ receiving $1,754,0009) This sum is $6,000 less than the uncertain $1,760,000 exp

34、ected from the Unhedged position10) This would be recorded in Tridents books as a foreign exchange loss of $10,000 ($1,764,000 as booked, $1,754,000 as settled)3. Money Market hedge1) To hedge in the money market, Maria will borrow pounds in London, convert the pounds to dollars and repay the pound

35、loan with the proceeds from the salea. To calculate how much to borrow, Maria needs to discount the PV of the £1,000,000 to todayb. £1,000,000/1+0.25 = £975,610 (本息和)c. Maria should borrow £975,610 today and in 3 months time repay this amount plus £24,390 in interest (£

36、1,000,000) from the proceeds of the sale2) Trident would exchange the £975,610 at the spot rate of $1.7640/£ and receive $1,720,976 at once In order to compare the forward hedge with the money market hedge, Maria must analyze the use of the loan proceeds First, if Trident is cash rich the

37、loan proceeds might be invested at the US rate of 6.0% p.a. Second, Maria could use the loan proceeds to substitute an equal dollar loan that Trident would have otherwise taken for working capital needs at a rate of 8.0% p.a. Third, Maria might invest the loan proceeds in the firm itself in which ca

38、se the cost of capital is 12.0% p.a.Received today Invested in Rate Future value in 3 months $1,720,976Treasury bill6% p.a. or 1.5%/quarter$1,746,791$1,720,976Debt cost 8% p.a. or 2.0%/quarter$1,755,396$1,720,976Cost of capital 12% p.a. or 3.0%/quarter$1,772,605a. Because the proceeds in 3 months fr

39、om the forward hedge will be $1,754,000, the money market hedge is superior to the forward hedge if Maria used the proceeds to replace a dollar loan (8%) or conduct general business operations (12%)b. The forward hedge would be preferable if Maria were to just invest the loan proceeds (6%)c. We will

40、 assume she uses the cost of capital as the reinvestment rate A breakeven investment rate can be calculated in order to forgo numerous calculations and still aid Maria in her decisionTo convert this 3 month rate to an annual rate, In other words, if Maria can invest the loan proceeds at a rate equal

41、 to or greater than 7.68% p.a. then the money market hedge will be superior to the forward hedge The following chart shows the value of Tridents A/R應到款項 over a range of possible spot rates both uncovered and covered using the previously mentioned alternatives3. Option market hedge Maria could also c

42、over the £1,000,000 exposure by purchasing a put option. This allows her to speculate on the upside potential for appreciation of the pound while limiting her downside risk¨ Given the quote earlier, Maria could purchase 3 month put option at an ATM strike price of $1.75/£ and a premium of 1.5%¨ The cost of this option would be (Size of option)(Premium)(Spot price)=Cost of option £1,000,