国际金融资本预算以货币风险.pptx
- 文档编号:18815616
- 上传时间:2023-12-07
- 格式:PPTX
- 页数:54
- 大小:208.52KB
国际金融资本预算以货币风险.pptx
《国际金融资本预算以货币风险.pptx》由会员分享,可在线阅读,更多相关《国际金融资本预算以货币风险.pptx(54页珍藏版)》请在冰点文库上搜索。
InternationalFinance,TodayCapitalBudgeting(internationalstyle)Financing(internationalstyle)TopicsExchangeratesCurrencyriskManagingCurrencyRiskCapitalBudgetingw/currencyriskFinancingw/currencyrisk,ExchangeRates,SpotRateThepriceofacurrencyforimmediatedelivery(i.e.todaysexchangerate)ForwardRateThepriceofacurrencyonaspecifiedfuturedate(i.e.aforwardcontractinwhichtheexercisepriceistheexchangerate)Futures-Sameasforward(w/secondarymarkets)Options-onexchangerates&FutureKs,ExchangeRates,ExampleGermanmarkspotpriceisM1.4457per$1Germanmark6mtforwardpriceisM1.4282per$1TheMarkissellingataForwardPremiumTheDollarissellingataForwardDiscountThismeansthatthemarketexpectsthedollartogetweaker,relativetothemarkExample(premium?
discount?
)TheJapaneseYenspotpriceis101.18per$1TheJapanese6mtfwdpriceis103.52per$1,ExchangeRates,ExampleWhatistheMarkpremium(annualized)?
ExchangeRates,ExampleWhatistheMarkpremium(annualized)?
MarkPremium=2x(1.4457-1.4282)=2.45%1.4282DollarDiscount=2.45%,ExchangeRates,ExampleWhatistheMarkpremium(annualized)?
MarkPremium=2x(1.4457-1.4282)=2.45%1.4282DollarDiscount=2.45%,ExampleWhatistheYendiscount(annualized)?
ExchangeRates,ExampleWhatistheMarkpremium(annualized)?
MarkPremium=2x(1.4457-1.4282)=2.45%1.4282DollarDiscount=2.45%,ExampleWhatistheYendiscount(annualized)?
YenDiscount=2x(103.52-101.18)=4.26%103.52DollarPremium=4.26%,ExchangeRates,1)InterestRateParityTheory1+rf=Ff/$1+r$Sf/$Thedifferencebetweentheriskfreeinterestratesintwodifferentcountriesisequaltothedifferencebetweentheforwardandspotrates,ExchangeRates,ExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)8.0%ora1yearUSloan(indollars)10%.Thespotrateis1.4457dm:
$1The1yearforwardrateis1.4194dm:
$1Whichloanwillyoupreferandwhy?
Ignoretransactioncosts,ExchangeRates,ExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)8.0%ora1yearUSloan(indollars)10%.Thespotrateis1.4457dm:
$1The1yearforwardrateis1.4194dm:
$1Whichloanwillyoupreferandwhy?
Ignoretransactioncosts,CostofUSloan=$100,000x1.10=$110,000,ExchangeRates,ExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)8.0%ora1yearUSloan(indollars)10%.Thespotrateis1.4457dm:
$1The1yearforwardrateis1.4194dm:
$1Whichloanwillyoupreferandwhy?
Ignoretransactioncosts,CostofUSloan=$100,000x1.10=$110,000CostofGermanLoan=$100,000x1.4457=144,570dmexchange,ExchangeRates,ExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)8.0%ora1yearUSloan(indollars)10%.Thespotrateis1.4457dm:
$1The1yearforwardrateis1.4194dm:
$1Whichloanwillyoupreferandwhy?
Ignoretransactioncosts,CostofUSloan=$100,000x1.10=$110,000CostofGermanLoan=$100,000x1.4457=144,570dmexchange144,570dmx1.08=156,135dmloanpmt,ExchangeRates,ExampleYouaredoingaprojectinGermanywhichhasaninitialcostof$100,000.Allotherthingsbeingequal,youhavetheopprtunitytoobtaina1yearGermanloan(inmarks)8.0%ora1yearUSloan(indollars)10%.Thespotrateis1.4457dm:
$1The1yearforwardrateis1.4194dm:
$1Whichloanwillyoupreferandwhy?
Ignoretransactioncosts,CostofUSloan=$100,000x1.10=$110,000CostofGermanLoan=$100,000x1.4457=144,570dmexchange144,570dmx1.08=156,135dmloanpmt156,135dm/1.4194=$110,000exchangeIfthetwoloanscreatedadifferentresult,arbitrageexists!
ExchangeRates,2)ExpectationsTheoryofForwardRatesFf/$=E(Sf/$)Sf/$Sf/$,Thedifferencebetweentheforward&spotratesequalstheexpectedchangeinthespotrate.,ExchangeRates,3)LawofOnePrice(PurchasingPowerParity)E(Sf/$)=E(1+if)Sf/$E(1+i$),Theexpectedchangeinthespotrateequalstheexpecteddifferenceininflationbetweenthetwocountries.,ExchangeRates,ExampleGivenaspotrateofdm:
$1.4457:
$1Givena1yrfwdrateof1.4194:
$1IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?
ExchangeRates,ExampleGivenaspotrateofdm:
$1.4457:
$1Givena1yrfwdrateof1.4194:
$1IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?
E(Sf/$)=E(1+if)Sf/$E(1+i$),ExchangeRates,ExampleGivenaspotrateofdm:
$1.4457:
$1Givena1yrfwdrateof1.4194:
$1IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?
E(Sf/$)=E(1+if)Sf/$E(1+i$)1.4194=E(1+i)1.44571+.045,ExchangeRates,ExampleGivenaspotrateofdm:
$1.4457:
$1Givena1yrfwdrateof1.4194:
$1IfinflationintheUSisforecastedat4.5%thisyear,whatdoweknowabouttheforecastedinflationrateinGermany?
E(Sf/$)=E(1+if)Sf/$E(1+i$)solvefori1.4194=E(1+i)i=.026or2.6%1.44571+.045,ExchangeRates,4)CapitalMarketEquilibriumE(1+if)=1+rfE(1+i$)1+r$,Theexpecteddifferenceininflationratesequalsthedifferenceincurrentinterestrates.Alsocalledcommonrealinterestrates,ExchangeRates,ExampleInthepreviousexamples,showtheequilibriumofinterestratesandinflationrates,1+rf=1.08=.98181+r$1.10,ExchangeRates,ExampleInthepreviousexamples,showtheequilibriumofinterestratesandinflationrates,1+rf=1.08=.98181+r$1.10,E(1+if)=1.026=.9818E(1+i$)1.045,ExchangeRates,ApplicationsQ:
Whatdoesitmeantoabusinessifthedollaristradingataforwardpremium?
ExchangeRates,ApplicationsQ:
Whatdoesitmeantoabusinessifthedollaristradingataforwardpremium?
A:
Strongerpurchasingpower,ExchangeRates,ExampleHondabuildsanewcarinJapanforacost+profitof1,715,000yen.Atanexchangerateof101.18:
$1thecarsellsfor$16,950inBaltimore.Ifthedollarrisesinvalue,againsttheyen,toanexchangerateof105:
$1,whatwillbethepriceofthecar?
ExchangeRates,ExampleHondabuildsanewcarinJapanforacost+profitof1,715,000yen.Atanexchangerateof101.18:
$1thecarsellsfor$16,950inBaltimore.Ifthedollarrisesinvalue,againsttheyen,toanexchangerateof105:
$1,whatwillbethepriceofthecar?
1,715,000=$16,333105,ExchangeRates,ExampleHondabuildsanewcarinJapanforacost+profitof1,715,000yen.Atanexchangerateof101.18:
$1thecarsellsfor$16,950inBaltimore.Ifthedollarrisesinvalue,againsttheyen,toanexchangerateof105:
$1,whatwillbethepriceofthecar?
1,715,000=$16,333105,Conversely,iftheyenistradingataforwarddiscount,Japanwillexperienceadecreaseinpurchasingpower.,ExchangeRates,ExampleHarleyDavidsonbuildsamotorcycleforacostplusprofitfo$12,000.Atanexchangerateof101.18:
$1,themotorcyclesellsfor1,214,160yeninJapan.Ifthedollarrisesinvalueandtheexchangerateis105:
$1,whatwillthemotorcyclecostinJapan?
ExchangeRates,ExampleHarleyDavidsonbuildsamotorcycleforacostplusprofitfo$12,000.Atanexchangerateof101.18:
$1,themotorcyclesellsfor1,214,160yeninJapan.Ifthedollarrisesinvalueandtheexchangerateis105:
$1,whatwillthemotorcyclecostinJapan?
$12,000x105=1,260,000yen(3.78%rise),CurrencyRisk,CurrencyRiskcanbereducedbyusingvariousfinancialinstrumentsCurrencyforwardcontracts,futurescontracts,andevenoptionsonthesecontractsareavailabletocontroltherisk,CurrencyRisk,ExampleYourUScompanyisbuildingaplantinGermany.Yourcostwillbe2,000,000dm,withfullpaymentduein6months.Youareconcernedaboutcurrencyrisk.Thespotrateis1.4397dm:
$1andthe6mtforwardrateis1.4350dm:
$1.Howcanyoueliminatethecurrencyrisk?
Howdoesthishelpinevaluatingtheproject?
CurrencyRisk,ExampleYourUScompanyisbuildingaplantinGermany.Yourcostwillbe2,000,000dm,withfullpaymentduein6months.Youareconcernedaboutcurrencyrisk.Thespotrateis1.4397dm:
$1andthe6mtforwardrateis1.4350dm:
$1.Howcanyoueliminatethecurrencyrisk?
Howdoesthishelpinevaluatingtheproject?
Sinceyouarelongindollars,youshouldshortdmcontracts,CurrencyRisk,ExampleYourUScompanyisbuildingaplantinGermany.Yourcostwillbe2,000,000dm,withfullpaymentduein6months.Youareconcernedaboutcurrencyrisk.Thespotrateis1.4397dm:
$1andthe6mtforwardrateis1.4350dm:
$1.Howcanyoueliminatethecurrencyrisk?
Howdoesthishelpinevaluatingtheproject?
Sinceyouarelongindollars,youshouldshortdmcontracts2,000,000dm/1.4350=$1,393,728worthof6mtdmKs.,CurrencyRisk,ExampleYourUScompanyisbuildingaplantinGermany.Yourcostwillbe2,000,000dm,withfullpaymentduein6months.Youareconcernedaboutcurrencyrisk.Thespotrateis1.4397dm:
$1andthe6mtforwardrateis1.4350dm:
$1.Howcanyoueliminatethecurrencyrisk?
Howdoesthishelpinevaluatingtheproject?
Sinceyouarelongindollars,youshouldshortdmcontracts2,000,000dm/1.4350=$1,393,728worthof6mtdmKs.ThiswilllockinyourCocashflowat$1,393,728,CurrencyRisk,ExampleYourUScompanyisbuildingaplantinGermany.Yourcostwillbe2,000,000dm,withfullpaymentduein6months.Youareconcernedaboutcurrencyrisk.Thespotrateis1.4397dm:
$1andthe6mtforwardrateis1.4350dm:
$1.Howcanyoueliminatethecurrencyrisk?
Howdoesthishelpinevaluatingtheproject?
Sinceyouarelongindollars,youshouldshortdmcontracts2,000,000dm/1.4350=$1,393,728worthof6mtdmKs.ThiswilllockinyourCocashflowat$1,393,728Theforwardpremiumpaidis0.33%(usingcapitalmarketequilibrium,thispremiumprobablyeq
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 国际金融 资本 预算 货币 风险