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时间:2020-03-20
《国际财务管理知识分析英文版).ppt》由会员上传分享,免费在线阅读,更多相关内容在PPT专区-天天文库。
1、INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecondEdition5ChapterFiveInternationalParityRelationships&ForecastingExchangeRatesChapterObjective:Thischapterexaminesseveralkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.Cha
2、pterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates1ChapterOutlineInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerParityTheFisherEffectsForecastingExc
3、hangeRates2ChapterOutlineInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRates3ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExcha
4、ngeRates4ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecasters5InterestRateParityInterestRateParityDefinedCoveredInterestArbitrage
5、InterestRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParity6InterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.S
6、incewedon’ttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.7InterestRateParityDefinedSupposeyouhave$100,000toinvestforoneyear.YoucaneitherinvestintheU.S.ati$.Futurevalue=$100,000(1+ius)tradeyourdollarsforyenatthespotrate,investi
7、nJapanati¥andhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Thefuturevalue=$100,000(F/S)(1+i¥)Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalue—otherwiseanarbitragewouldexist.(F/S)(1+i¥)=(1+ius)8Inter
8、estRateParityDefinedFormally,(F/S)(1+i¥)=(1+ius)orifyouprefer,IRPissometimesapproximatedas9IRPandCoveredInterestArbitrageIfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Consid
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