ANDCURRENCYFORECASTING跨國公司財(cái)務(wù)管理-Joseph課件

MultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton1MultinationalFinancialManageCHAPTER4

PARITYCONDITIONSAND

CURRENCYFORECASTING2CHAPTER4

PARITYCONDITIONSANCHAPTEROVERVIEW

I. ARBITRAGEANDTHELAWOF ONEPRICEII. PURCHASINGPOWERPARITYIII. THEFISHEREFFECTIV. THEINTERNATIONALFISHEREFFECTV. INTERESTRATEPARITYTHEORY VI. THERELATIONSHIPBETWEEN THEFORWARDANDFUTURE SPOTRATEVII. CURRENCYFORECASTING 3CHAPTEROVERVIEW

I. ARBITRAGEPARTI.ARBITRAGEANDTHELAWOFONEPRICEI. THELAWOFONEPRICE A. Lawstates: Identicalgoodssellforthe samepriceworldwide.

4PARTI.ARBITRAGEANDTHELAARBITRAGEANDTHELAWOFONEPRICEB. Theoreticalbasis:

Ifthepriceafterexchange-rate adjustmentwerenotequal, arbitrageinthegoodsworldwide ensureseventuallyitwill.5ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICEC. FiveParityConditionsResult FromTheseArbitrageActivities

1. PurchasingPowerParity(PPP) 2. TheFisherEffect(FE) 3. TheInternationalFisherEffect (IFE) 4. InterestRateParity(IRP) 5. UnbiasedForwardRate(UFR)

6ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICED. FiveParityConditionsLinked by

1. Theadjustmentofvarious ratesandpricestoinflation.

7ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICE2. Thenotionthatmoney shouldhavenoeffecton realvariables(sincethey havebeenadjustedfor pricechanges).8ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICEE. Inflationandhomecurrency depreciation: 1. jointlydeterminedbythe growthofdomesticmoney supply; 2. Relativetothegrowthof domesticmoneydemand.9ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICE F. THELAWOFONEPRICE -enforcedbyinternational arbitrage.10ARBITRAGEANDTHELAWOFONEPPARTII.PURCHASINGPOWERPARITYI. THETHEORYOFPURCHASING POWERPARITY: statesthatspotexchangeratesbetweencurrencieswillchangetothedifferentialininflationratesbetweencountries.11PARTII.PURCHASINGPOWERPARPURCHASINGPOWERPARITYII. ABSOLUTEPURCHASING POWERPARITY A. Pricelevelsadjustedfor exchangeratesshouldbe equalbetweencountries

12PURCHASINGPOWERPARITYII. ABSPURCHASINGPOWERPARITYII. ABSOLUTEPURCHASING POWERPARITY B. Oneunitofcurrencyhas samepurchasingpower globally.13PURCHASINGPOWERPARITYII. ABSPURCHASINGPOWERPARITYIII. RELATIVEPURCHASING POWERPARITY A. statesthattheexchange rateofonecurrencyagainst anotherwilladjusttoreflect changesinthepricelevels ofthetwocountries.

14PURCHASINGPOWERPARITYIII. REPURCHASINGPOWERPARITY1. Inmathematicalterms:

where et =futurespotrate e0 =spotrate ih =homeinflation if =foreigninflation t =thetimeperiod15PURCHASINGPOWERPARITY1. InPURCHASINGPOWERPARITY2. Ifpurchasingpowerparityis expectedtohold,thenthebest predictionfortheone-period spotrateshouldbe

16PURCHASINGPOWERPARITY2. IfpPURCHASINGPOWERPARITY 3. Amoresimplifiedbutlessprecise relationshipis

thatis,thepercentagechangeshouldbeapproximatelyequaltotheinflationratedifferential.

17PURCHASINGPOWERPARITY 3. AmPURCHASINGPOWERPARITY4. PPPsays thecurrencywiththehigher inflationrateisexpectedto depreciaterelativetothe currencywiththelowerrateof inflation.18PURCHASINGPOWERPARITY4. PPPPURCHASINGPOWERPARITYB. RealExchangeRates: thequotedornominalrate adjustedforacountry’s inflationrateis

19PURCHASINGPOWERPARITYB. RealPURCHASINGPOWERPARITYC. Realexchangerates 1. Ifexchangeratesadjustto inflationdifferential,PPP statesthatrealexchangerates staythesame.

20PURCHASINGPOWERPARITYC. RealPURCHASINGPOWERPARITYC. Realexchangerates 2. Competitivepositions: domesticandforeignfirms areunaffected.21PURCHASINGPOWERPARITYC. RealPARTIII.

THEFISHEREFFECT(FE)I. THEFISHEREFFECT statesthatnominalinterestrates(r)areafunctionoftherealinterestrate(a)andapremium(i)forinflationexpectations. R=a+i22PARTIII.

THEFISHEREFFECT(FTHEFISHEREFFECTB. RealRatesofInterest 1.Shouldtendtowardequality everywherethrougharbitrage. 2.Withnogovernment interferencenominalratesvary byinflationdifferentialor rh-rf=ih-if23THEFISHEREFFECTB. RealRatesTHEFISHEREFFECTC. AccordingtotheFisherEffect, countrieswithhigherinflation rateshavehigherinterestrates.24THEFISHEREFFECTC. AccordingTHEFISHEREFFECTD. Duetocapitalmarket integrationglobally,interest ratedifferentialsareeroding.25THEFISHEREFFECTD. DuetocapPARTIV.THEINTERNATIONAL

FISHEREFFECT(IFE)I. IFESTATES: A. thespotrateadjuststothe interest ratedifferential betweentwocountries.

26PARTIV.THEINTERNATIONAL

FITHEINTERNATIONALFISHEREFFECTIFE=PPP+FE27THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTB. Fisherpostulated 1. Thenominalinterestrate differentialshouldreflect theinflationrate differential.

28THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTB. Fisherpostulated 2. Expectedratesofreturnare equalintheabsenceof governmentintervention.29THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECT C. SimplifiedIFEequation: (ifrfisrelativelysmall)

30THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTD.ImplicationsofIFE 1. Currencywiththelower interestrateexpectedto appreciaterelativetoone withahigherrate.

31THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTD.ImplicationsofIFE 2. Financialmarketarbitrage: insuresinterestrate differentialisanunbiased predictorofchangein futurespotrate.32THEINTERNATIONALFISHEREFFECPARTVI.INTERESTRATEPARITYTHEORYI. INTRODUCTION A.TheTheorystates: theforwardrate(F)differs fromthespotrate(S)at equilibriumbyanamount equaltotheinterest differential(rh-rf)between twocountries.33PARTVI.INTERESTRATEPARITYINTERESTRATEPARITYTHEORY2. Theforwardpremiumor discountequalstheinterest ratedifferential. (F-S)/S=(rh-rf)

where rh=thehomerate rf=theforeignrate 34INTERESTRATEPARITYTHEORY2.INTERESTRATEPARITYTHEORY3. Inequilibrium,returnson currencieswillbethesame i.e.Noprofitwillberealized andinterestparityexists whichcanbewritten (1+rh)

=F

(1+rf)S35INTERESTRATEPARITYTHEORY3. INTERESTRATEPARITYTHEORYB. CoveredInterestArbitrage 1.Conditionsrequired: interestratedifferentialdoes notequaltheforward premiumordiscount. 2. Fundswillmovetoacountry withamoreattractiverate.36INTERESTRATEPARITYTHEORYB. INTERESTRATEPARITYTHEORY3. Marketpressuresdevelop: a. Asonecurrencyismoredemandedspot andsoldforward. b. Inflowoffunddepressesinterestrates.

c. Parityeventually reached.

37INTERESTRATEPARITYTHEORY3.INTERESTRATEPARITYTHEORYC. Summary: InterestRateParitystates: 1. Higherinterestratesona currencyoffsetby forward discounts. 2. Lowerinterestratesare offsetbyforwardpremiums. 38INTERESTRATEPARITYTHEORYC. PARTVI.THERELATIONSHIPBETWEENTHE

FORWARDANDTHEFUTURESPOTRATEI. THEUNBIASEDFORWARDRATE A. Statesthatiftheforwardrate isunbiased,thenitshould reflecttheexpectedfuture spotrate. B.Statedas ft=et39PARTVI.THERELATIONSHIPBETWPARTVI.CURRENCYFORECASTINGI. FORECASTINGMODELS A. Createdtoforecastexchangeratesin additiontoparityconditions. B. Twotypesofforecast: 1. Market-based 2. Model-based40PARTVI.CURRENCYFORECASTINGI.CURRENCYFORECASTINGMARKET-BASEDFORECASTS: derivedfrommarketindicators. A. Thecurrentforwardratecontains implicit informationaboutexchange ratechanges foroneyear. B. Interestratedifferentialsmaybe usedtopredictexchangerates beyondoneyear.41CURRENCYFORECASTINGMARKET-BASCURRENCYFORECASTINGMODEL-BASEDFORECASTS: includefundamentalandtechnical analysis. A. Fundamentalreliesonkey macroeconomicvariablesand policieswhichmostlikeaffect exchangerates. B. Technicalreliesonuseof 1.Historicalvolumeandpricedata 2.Chartingandtrendanalysis42CURRENCYFORECASTINGMODEL-BASE演講完畢，謝謝觀看！演講完畢，謝謝觀看！MultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton44MultinationalFinancialManageCHAPTER4

PARITYCONDITIONSAND

CURRENCYFORECASTING45CHAPTER4

PARITYCONDITIONSANCHAPTEROVERVIEW

I. ARBITRAGEANDTHELAWOF ONEPRICEII. PURCHASINGPOWERPARITYIII. THEFISHEREFFECTIV. THEINTERNATIONALFISHEREFFECTV. INTERESTRATEPARITYTHEORY VI. THERELATIONSHIPBETWEEN THEFORWARDANDFUTURE SPOTRATEVII. CURRENCYFORECASTING 46CHAPTEROVERVIEW

I. ARBITRAGEPARTI.ARBITRAGEANDTHELAWOFONEPRICEI. THELAWOFONEPRICE A. Lawstates: Identicalgoodssellforthe samepriceworldwide.

47PARTI.ARBITRAGEANDTHELAARBITRAGEANDTHELAWOFONEPRICEB. Theoreticalbasis:

Ifthepriceafterexchange-rate adjustmentwerenotequal, arbitrageinthegoodsworldwide ensureseventuallyitwill.48ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICEC. FiveParityConditionsResult FromTheseArbitrageActivities

1. PurchasingPowerParity(PPP) 2. TheFisherEffect(FE) 3. TheInternationalFisherEffect (IFE) 4. InterestRateParity(IRP) 5. UnbiasedForwardRate(UFR)

49ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICED. FiveParityConditionsLinked by

1. Theadjustmentofvarious ratesandpricestoinflation.

50ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICE2. Thenotionthatmoney shouldhavenoeffecton realvariables(sincethey havebeenadjustedfor pricechanges).51ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICEE. Inflationandhomecurrency depreciation: 1. jointlydeterminedbythe growthofdomesticmoney supply; 2. Relativetothegrowthof domesticmoneydemand.52ARBITRAGEANDTHELAWOFONEPARBITRAGEANDTHELAWOFONEPRICE F. THELAWOFONEPRICE -enforcedbyinternational arbitrage.53ARBITRAGEANDTHELAWOFONEPPARTII.PURCHASINGPOWERPARITYI. THETHEORYOFPURCHASING POWERPARITY: statesthatspotexchangeratesbetweencurrencieswillchangetothedifferentialininflationratesbetweencountries.54PARTII.PURCHASINGPOWERPARPURCHASINGPOWERPARITYII. ABSOLUTEPURCHASING POWERPARITY A. Pricelevelsadjustedfor exchangeratesshouldbe equalbetweencountries

55PURCHASINGPOWERPARITYII. ABSPURCHASINGPOWERPARITYII. ABSOLUTEPURCHASING POWERPARITY B. Oneunitofcurrencyhas samepurchasingpower globally.56PURCHASINGPOWERPARITYII. ABSPURCHASINGPOWERPARITYIII. RELATIVEPURCHASING POWERPARITY A. statesthattheexchange rateofonecurrencyagainst anotherwilladjusttoreflect changesinthepricelevels ofthetwocountries.

57PURCHASINGPOWERPARITYIII. REPURCHASINGPOWERPARITY1. Inmathematicalterms:

where et =futurespotrate e0 =spotrate ih =homeinflation if =foreigninflation t =thetimeperiod58PURCHASINGPOWERPARITY1. InPURCHASINGPOWERPARITY2. Ifpurchasingpowerparityis expectedtohold,thenthebest predictionfortheone-period spotrateshouldbe

59PURCHASINGPOWERPARITY2. IfpPURCHASINGPOWERPARITY 3. Amoresimplifiedbutlessprecise relationshipis

thatis,thepercentagechangeshouldbeapproximatelyequaltotheinflationratedifferential.

60PURCHASINGPOWERPARITY 3. AmPURCHASINGPOWERPARITY4. PPPsays thecurrencywiththehigher inflationrateisexpectedto depreciaterelativetothe currencywiththelowerrateof inflation.61PURCHASINGPOWERPARITY4. PPPPURCHASINGPOWERPARITYB. RealExchangeRates: thequotedornominalrate adjustedforacountry’s inflationrateis

62PURCHASINGPOWERPARITYB. RealPURCHASINGPOWERPARITYC. Realexchangerates 1. Ifexchangeratesadjustto inflationdifferential,PPP statesthatrealexchangerates staythesame.

63PURCHASINGPOWERPARITYC. RealPURCHASINGPOWERPARITYC. Realexchangerates 2. Competitivepositions: domesticandforeignfirms areunaffected.64PURCHASINGPOWERPARITYC. RealPARTIII.

THEFISHEREFFECT(FE)I. THEFISHEREFFECT statesthatnominalinterestrates(r)areafunctionoftherealinterestrate(a)andapremium(i)forinflationexpectations. R=a+i65PARTIII.

THEFISHEREFFECT(FTHEFISHEREFFECTB. RealRatesofInterest 1.Shouldtendtowardequality everywherethrougharbitrage. 2.Withnogovernment interferencenominalratesvary byinflationdifferentialor rh-rf=ih-if66THEFISHEREFFECTB. RealRatesTHEFISHEREFFECTC. AccordingtotheFisherEffect, countrieswithhigherinflation rateshavehigherinterestrates.67THEFISHEREFFECTC. AccordingTHEFISHEREFFECTD. Duetocapitalmarket integrationglobally,interest ratedifferentialsareeroding.68THEFISHEREFFECTD. DuetocapPARTIV.THEINTERNATIONAL

FISHEREFFECT(IFE)I. IFESTATES: A. thespotrateadjuststothe interest ratedifferential betweentwocountries.

69PARTIV.THEINTERNATIONAL

FITHEINTERNATIONALFISHEREFFECTIFE=PPP+FE70THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTB. Fisherpostulated 1. Thenominalinterestrate differentialshouldreflect theinflationrate differential.

71THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTB. Fisherpostulated 2. Expectedratesofreturnare equalintheabsenceof governmentintervention.72THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECT C. SimplifiedIFEequation: (ifrfisrelativelysmall)

73THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTD.ImplicationsofIFE 1. Currencywiththelower interestrateexpectedto appreciaterelativetoone withahigherrate.

74THEINTERNATIONALFISHEREFFECTHEINTERNATIONALFISHEREFFECTD.ImplicationsofIFE 2. Financialmarketarbitrage: insuresinterestrate differentialisanunbiased predictorofchangein futurespotrate.75THEINTERNATIONALFISHEREFFECPARTVI.INTERESTRATEPARITYTHEORYI. INTRODUCTION A.TheTheorystates: theforwardrate(F)differs fromthespotrate(S)at equilibriumbyanamount equaltotheinterest differential(rh-rf)between twocountries.76PARTVI.INTERESTRATEPARITYINTERESTRATEPARITYTHEORY2. Theforwardpremiumor discountequalstheinterest ratedifferential. (F-S)/S=(rh-rf)

where rh=thehomerate rf=theforeignrate 77INTERESTRATEPARITYTHEORY2.INTERESTRATEPARITYTHEORY3. Inequilibrium,returnson currencieswillbethesame i.e.Noprofitwillberealized andinterestparityexists whichcanbewritten (1+rh)

=F

(1+rf)S78INTERESTRATEPARITYTHEORY3. INTERESTRATEPARITYTHEORYB. CoveredInterestArbitrage 1.Conditionsrequired: interestratedifferentialdoes notequalthef