第6章必讲国际平价关系与汇率预测

6-0INTERNATIONALFINANCIALMANAGEMENT6-1INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEditionChapterObjective:Thischapterexamines（剖析）severalkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.6ChapterSixInternationalParityRelationships&ForecastingForeignExchangeRates6-2套利是为了获得一定的收益，同时买进和卖出相同或具有等价值的资产或商品的行为。当市场均衡时，市场不存在套利机会。像利率平价和购买力平价是产生套利均衡的条件。6-3ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecastersInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRates6-4InterestRateParityInterestRateParityDefinedCoveredInterestArbitrageInterestRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParity6-5InterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastute（[əˈstjut，精明的]）tradertomakeunlimitedamountsofmoneyexploiting（[ɪksp'lɔɪtɪŋ]，利用）thearbitrageopportunity.Sincewedon’ttypically（通常）observepersistentarbitrageopportunities,wecansafelyconsiderthatIRPholds.6-6InterestRateParityCarefullyDefined假设你用1美元投资1年，有两种方式可供选择：i以美国利率在美国国内进行投资；ii以国外利率在国外进行投资。如果你将1美元以美国利率（i$）投资于美国国内，到期值为1*(1+i$）美元。汇率S和F分别代表即期汇率和远期汇率，指一单位外币能兑换的美元数。若投资于英国并进行以下交易：i按即期汇率S将1美元兑换成英镑，即£(1/S);ii将英镑以英国利率i£进行投资，到期值为£(1/S)(1+i£)；iii将英国投资的到期值以远期汇率售出，获得预定的美元，即：$[(1/S)(1+i£)F]。要实现套利均衡，两种投资所产生的未来美元收益必须相等，即：1*(1+i$)=(1/S)(1+i£)F，整理得到利率平价的正式表达式：$£1*()1iFSi6-7IRPandCoveredInterestArbitrage（抵补套利）IfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotandforwardexchangerates.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%6-8IRPandCoveredInterestArbitrageAtraderwith$1,000couldinvestintheU.S.at7.1%,inoneyearhisinvestmentwillbeworth$1,071=$1,000(1+i$)=$1,000(1.071)Alternatively,thistradercould1.Exchange$1,000for£800attheprevailingspotrate,2.Invest£800foroneyearati£=11.56%;earn£892.483.Translate£892.48backintodollarsattheforwardrateF360($/£)=$1.20/£,the£892.48willbe$1,071.6-9InterestRateParity&ExchangeRateDeterminationAccordingtoIRPonlyone360-dayforwardrate,F360($/£),canexist.ItmustbethecasethatF360($/£)=$1.20/£Why?IfF360($/£)$1.20/£,anastutetradercouldmakemoneywithoneofthefollowingstrategies:6-10ArbitrageStrategyI策略：借入弱币。（弱币未来预期会贬值）IfF360($/£)$1.20/£（即市场预期未来英镑比均衡汇率价值更高，美元比均衡汇率价值更低。）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/£,then£892.48willbemorethanenoughtorepayyourdebtof$1,071.6-11ArbitrageStrategyIIIfF360($/£)$1.20/£（即市场预期未来英镑比均衡汇率价值更低，美元比均衡汇率价值更高。）i.Borrow£800att=0ati£=11.56%.ii.Exchange£800for$1,000attheprevailingspotrate,invest$1,000at7.1%(i$)foroneyeartoachieve$1,071.iii.Translate$1,071backintopounds,ifF360($/£)$1.20/£,then$1,071willbemorethanenoughtorepayyourdebtof£892.48.6-12IRPandHedgingCurrencyRiskYouareaU.S.importerofBritishwoolensandhavejustorderednextyear’sinventory.Paymentof£100Misdueinoneyear.IRPimpliesthattherearetwowaysthatyoufixthecashoutflowtoacertainU.S.dollaramount:a)Putyourselfinapositionthatreceives£100Minoneyear—alongforwardcontractonthepound.Youwillpay(£100M)($1.2/£)=$120Minoneyear.b)Formaforwardmarkethedgeasshownbelow.SpotexchangerateS($/£)=$1.25/£360-dayforwardrateF360($/£)=$1.20/£U.S.discountratei$=7.10%Britishdiscountratei£=11.56%6-13ForwardMarketHedgeWeoweoursupplier£100millioninoneyear—soweknowthatweneedtohaveaninvestmentwithafuturevalueof£100million.Sincei£=11.56%weneedtoinvest£89.64millionatthestartoftheyear.Howmanydollarswillittaketoacquire£89.64millionatthestartoftheyearifS($/£)=$1.25/£?£89.64=£1001+11.56%$112.05=£89.64×$1.25/££89.64=£1001+11.56%£89.64=£100Toformaforwardmarkethedge（当市场上没有远期合约可用情况下，可经过以下货币运作达到和远期合约一样的效果）6-14ForwardMarketHedge具体执行步骤：Borrow$112.05millionintheU.S.(inoneyearyouwillowe$120million).112.05*（1+7.1%）=120（如果手中有美元就不需要这步了，直接进入下一步）Translate$112.05millionintopoundsatthespotrateS($/£)=$1.25/£toreceive£89.64million.Invest£89.64millionintheUKati£=11.56%foroneyear.Inoneyearyourinvestmentwillbeworth£100million—exactlyenoughtopayyoursupplier.6-15ReasonsforDeviationsfromIRPTransactionsCosts先不考虑交易成本，当IRP成立时：$1*(F/S)(1+i£)$1*(1+i$)=0£1*(S/F)(1+i$)£1*(1+i£)=06-16ReasonsforDeviationsfromIRPTransactionsCosts当考虑交易成本时：因为：FbFFa,sbssa；（银行外汇买入价低于外汇卖出价）i£bi£i£a,i$bi$i$