人大经济金融课件 国际金融(第二版)chapter13
国际金融(第二版)chapter
Sm(e1), Sm(e2)
Dm
Dm (e2) Qm
Dm(e1) Qm
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推导马歇尔－勒纳条件
dm=0时，Pm2.Qm2=Pm1.Qm1,汇率变 动前后进口额保持不变。 Dm>0时，Pm2.Qm2<Pm1.Qm1,汇率 变动后进口额有所减少。
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主要局限
只注重国际收支最终结果，忽略了国际收支 结构问题 货币并非国际收支失衡及其调节的惟一因素 假定货币需求具有稳定性，从而视货币供给 为决定国际收支的惟一力量 对国际收支长期均衡分析的结论，很大程度 上依赖于一价定律或购买力平价假设
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复习要点
IS－LM－BP模型中各曲线的经济含义和政 策意义 国际金本位下的国际收支自动调节机制 吸收分析理论的主要观点和调整国际收支的 政策建议 为什么国际收支是一个货币问题？国际收支 货币分析理论主要受到哪些质疑？
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主要国际收支理论
价格－现金流动机制 弹性分析理论 吸收分析理论 货币分析理论
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价格－现金流动机制
1752年由大卫· 休谟提出，在国际金本位制 度下受到广泛推崇和运用，为自由主义思想 的广泛传播奠定了理论基础。 制度前提
固定汇率制度 各国货币规定含金量，保证货币的可兑换性 黄金是最终清偿手段，执行国际货币职能
Dx
Qx
Dx
Qx
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推导马歇尔－勒纳条件
dx=1,Px2.Qx2=Px1.Qx1,汇率变动前后 出口金额不变。 Dx>1,Px2.Qx2>Px1.Qx1,汇率变动后出 口金额增加。 Dx<1,Px2.Qx2<Px1.Qx1,汇率变动后出 口金额减少。
国际经济学2：国际金融.13(ppt24).pptx
国际收支平衡表的标准组成项目(1)
• 国际收支平衡表的经常帐户和资本帐户两个部分可以进一步划分为若干标准 的组成项目。
• （1）经常帐户包括货物和服务贸易、资本收益和单边转移三个具体组成项目。 • A．货物和服务贸易 • 货物和服务贸易进一步划分为货物贸易（又称为有形贸易，the Visible Items
• 一般来说，一国的国际收支通常是不平衡的，平衡只是偶然发生的情 况。
• 当一国国际收支发生差额时，最终是通过一国官方储备的变动来平衡 的。国际收支逆差将减少一国的官方储备，而国际收支顺差则增加一 国的官方储备。
国际借贷
• 国际借贷虽是国际收支产生的原因，但它却是与国际收支 不同的概念。
• 国际借贷是一存量，表示某一特定日期一国对外资产与负 债的明细状况，采用国际借贷平衡表（Balance of International Indebtedness Statement）予以记录，其中 对外资产与对外负债的差额即为一国的国际资本净头寸 （Net Capital Position）。
• 因此，我们可以把国际收支（Balance of Payments）定义为：在一 定时期（通常为1年、1季或1月）一国与外国之间的全部外汇收入与 支出的总记录。
• 如果收入大于支出，国际收支的差额就称为顺差（Surplus）；如果 支出大于收入，这个差额就称为逆差（Deficit）；如果收入和支出相 等，就称为国际收支平衡（Equilibrium）。
国际收支平衡表的标准组成项目(3)
• （3）错误和遗漏净额
• 按照复式记帐原则，如果不发生错误和遗漏（Errors and Omissions），国际收支平衡表的借贷双方净差额应该为 0。但在实际中并非如此。其原因主要有：①在统计国际 收支有关数据时发生的遗漏，如走私、民间货币收付、携 带现钞出入境等官方监控以外的交易；②资料来源和口径 不同造成的误差，例如，商品进口的数据来源于海关统计， 而货款的支付则是银行的记录，这样就会发生货币支付数 据与进口商品价值的差异。为了解决这个问题，就在国际 收支平衡表中人为地设立了一个平衡项目，即错误和遗漏 项目。当经常项目、资本和金融项目货方总计超过借方总 计时，错误和遗漏净额项目在借方记入这个差额数；相反， 则在错误和遗漏净额项目的货方记入这个差额数，以保证 国际收支平衡表的平衡。
人大经济金融课件国际金融(第二版)chapter
• 国际金融概述 • 国际金融市场结构 • 国际金融工具与交易 • 国际金融政策与监管 • 国际金融危机与风险管理
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国际金融概述
国际金融的定义与特点
总结词
国际金融是研究国际间货币和资本流动的学科，其特点包括跨国性、市场全球化和金融 创新。
详细描述
资本充足率管理
风险分散与对冲
通过分散投资、对冲交易等方式 降低风险。
确保金融机构有足够的资本应对 潜在风险。
流动性管理
保持充足的流动性，确保在不利 情况下能够及时应对风险。
风险识别与评估
准确识别和评估金融机构面临的 各种风险。
总结
国际金融风险管理需要采取综合性的 策略和技术，建立完善的风险管理体 系，提高金融机构的抗风险能力。
国际债券市场的参与者
包括中央银行、商业银行、保险公司、 养老基金等。
国际债券市场的交易品种
包括政府债券、公司债券、资产支持 证券等。
国际债券市场的功能
提供长期融资渠道，促进资本流动和 国际经济合作。
国际股票市场
国际股票市场概述
国际股票市场的参与者
国际股票市场是发行和交易国际股票的场 所，是全球最大的股票市场之一。
包括即期外汇交易、远期 外汇交易、掉期外汇交易 和期权外汇交易等。
外汇交易的风险
外汇交易涉及汇率风险、 利率风险和流动性风险等， 需要严格的风险管理和资 金管理。
衍生金融工具交易
衍生金融工具概述
衍生金融工具是指基于标的资产派生 出来的金融合约，如期货、期权、互 换等。
衍生金融工具的种类
衍生金融工具的风险
国际金融涉及不同国家之间的货币和资本流动，包括外汇交易、国际投资、国际信贷等。国际金 融市场是全球化的市场，各国经济相互依存，市场价格和利率水平相互影响。随着科技和金融创
国际金融(第二版)课件：国际信贷
第二节 短期贸易融资
（三）进口押汇
• 进口押汇，是指进口商以其进口货物为抵押品向银行取得的贷款,它是出 口押汇的对称。
• 一般来说,银行不用直接贷款给进口商,而是根据进口商的请求,在进口信 用证或进口代收项下，凭有效凭证和商业单据代进口商对外垫付进口款 项，然后向进口商提示付款。由于进口方银行有汇票及单据作为抵押,若 进口商拒付,则银行可不予交单,并有权处理货物以抵偿垫款。
国际信贷
学习能力目标 了解国际贸易短期融资的主要形式 掌握出口信贷和福费廷业务的主要内容及特点 理解并掌握国际保理的特点及运行机制 熟悉政府间贷款的特点及种类
本章结构
• 一、贸易融资概述 • 二、短期贸易融资 • 三、国际保付代理 • 四、出口信贷
• 国际信贷，现在通俗地讲，国际贸易融资，是伴随着国际贸易发展而出 现的，国际贸易融资的起源可以追溯到13世纪甚至最初的商品交换时期 。它最初始的业务仅是货币兑换商为各国贸易商的贸易活动提供汇兑和 支付，之后逐步扩展到银行金融机构提供与贸易相关的资金融通、现金 流管理等。
第二节 短期贸易融资
• 第一步，出口商向押汇银行（通常为信用证通知行或议付行）提出正式的 出口押汇申请，签订融资协议。
• 第二步.出口商向押汇银行提交出口单据及押汇申请书。 • 第三步.押汇银行经审核单据后，将押汇款项入出口商账户。 • 第四步.押汇银行将单据寄往国外银行（信用证项下开证行或指定行，或
进口押汇流程图 进口商
2签订押汇协议 5．交付单据
6还款
进口方银行/开 证行/押汇行
4.到期 支付货 款
3．提示出口单据 及汇票
出口方银行
第二节 短期贸易融资
2.2 卖方贸易融资 • 随着全球贸易逐渐从卖方市场转变为买方市场，出口商品的销售方式也被
《金融学（第二版）》讲义大纲及课后习题答案详解十三章
《⾦融学（第⼆版）》讲义⼤纲及课后习题答案详解⼗三章CHAPTER 13THE CAPITAL ASSET PRICING MODELObjectivesExplain the theory behind the CAPM.Explain how to use the CAPM to establish benchmarks for measuring the performance of investment portfolios. Explain how to infer from the CAPM the correct risk-adjusted discount rate to use in discounted-cash-flow valuation models. Explain the APT and its relationship to the CAPM.Outline13.1 The Capital Asset Pricing Model in Brief13.2 Determinants of the Risk Premium on the Market Portfolio13.3 Beta and Risk Premiums on Individual Securities13.4 Using the CAPM in Portfolio Selection13.5 Valuation and Regulating Rates of Return13.6 Extensions, Modifications, and Alternatives to the CAPMSummaryThe CAPM has three main implications:In equilibrium, ev eryone’s relative holding of risky assets are the same as in the market portfolio.The size of the risk-premium of the market portfolio is determined by the risk-aversion of investors.The risk premium on any asset is equal to its beta times the risk premium on the market portfolio.Whether or not the CAPM is strictly true, it provides a rationale for a very simple passive portfolio strategy: Diversify your holdings of risky assets in the proportions of the market portfolio, andMix this portfolio with the risk-free asset to achieve a desired risk-reward combination.The CAPM is used in portfolio management primarily in two ways:To establish a logical and convenient starting point in asset allocation and security selectionTo establish a benchmark for evaluating portfolio management ability on a risk-adjusted basis.In corporate finance the CAPM is used to determine the appropriate risk-adjusted discount rate in valuation models of the firm and in capital budgeting decisions. The CAPM is also used to establish a “fair” rate of return on invested capital for regulated firms and in cost-plus pricing.Today few financial scholars consider the CAPM in its simplest form to be an accurate model for explaining or predicting risk premiums on risky assets. However, modified versions of the model are still a central feature of the theory and practice of finance.The APT gives a rationale for the expected return-beta relationship that relies on the condition that there be no arbitrage profit opportunities; the CAPM requires that investors be portfolio optimizers. The APT and CAPM are not incompatible; rather, they complement each other.Solutions to Problems at End of ChapterComposition of the Market Portfolio1. Capital markets in Flatland exhibit trade in four securities, the stocks X, Y and Z, and a risklessgovernment security. Evaluated at current prices in US dollars, the total market values of these assets are, respectively, $24 billion, $36 billion, $24 billion and $16 billion.a. Determine the relative proportions of each asset in the market portfolio.b. If one trader with a $100,000 portfolio holds $40,000 in the riskless security, $15,000 in X, $12,000 in Y, and$33,000 in Z, determine the holdings of the three risky assets of a second trader who invests $20, 000 of a $200, 000 portfolio in the riskless security.SOLUTION:The total value of all assets in the economy is 100 billion dollars. a. The proportions of each asset relative to the value of all assets are, respectively, .24 (X), .36 (Y),b. .24 (Z) and .16 (riskless bond.) The proportions of each risky asset to the total value of all risky assets are, respectively, (2/7) (X), (3/7) (Y) and (2/7) (Z).c. . Ignore the question as it appears in the First Edition of the textbook. Instead, the question should be: If aninvestor has $100,000 with $30,000 invested in the riskless asset, how much is invested in securities X, Y, and Z? The answer to this question is $20,000 in X and Z, and $30,000 in Y.Implications of CAPM2. The riskless rate of interest is .06 per year, and the expected rate of return on the market portfolio is .15 per year.a. According to the CAPM , what is the efficient way for an investor to achieve an expected rate of returnof .10 per year?b. If the standard deviation of the rate of return on the market portfolio is .20, what is the standarddeviation on the above portfolio?c. Draw the CML and locate the foregoing portfolio on the same graph.d. Draw the SML and locate the foregoing portfolio on the same graph.e. Estimate the value of a stock with an expected dividend per share of $5 this coming year, an expecteddividend growth rate of 4% per year forever, and a beta of .8. If its market price is less than the value you have estimated, i.e., if it is under-priced, what is true of its mean rate of return?SOLUTION: a.So one would hold a portfolio that is 4/9 invested in the market portfolio and 5/9 in the riskless asset. b.c. The formula for the CML is9415.)1(06.10.)()1()(=+-=?+-?=x xx x r E x r r E M f 08889.)20(.94==?=M x σσσσσ45.06.)()(+=-+=MfM f r r E r r Ed. The formula for the SML ise. Use constant growth rate DDM and find r using the SML relationIf the market price of the stock is less than this, then its expected return is higher than the 13.2% required rate.()ββ09.06.)()(+=-+=f M f r r E r r E 35.54$04.132.504.510=-=-=-=r g r D P 132.8.09.06.09.06.=?+=+=βr3. If the CAPM is valid, which of the following situations is possible? Explain. Consider each situation independently. a.PortfolioExpected ReturnBeta A 0.20 1.4B 0.25 1.2b.PortfolioExpected ReturnStandard DeviationA 0.300.35B 0.400.25c.Portfolio Expected ReturnStandard DeviationRisk-free 0.100Market 0.180.24A 0.160.12d.Portfolio Expected ReturnStandard DeviationRisk-free 0.100Market 0.180.24A0.200.22SOLUTION:a. Impossible. Since the risk premium on the market portfolio is positive, a security with a higher beta must have ahigher expected return.b. Possible. Since portfolios A & B are not necessarily efficient, A can have a higher standard deviation and alower expected return than B.c. Impossible. Portfolio A lies above the CML, implying that the CML is not efficient. If the standard deviation ofA is .12, then according to the CML its expected return cannot be greater than .14.d. Impossible. Portfolio A has a lower standard deviation and a higher mean return than the market portfolio,implying that the market portfolio is not efficient.4. If the Treasury bill rate is currently 4% and the expected return to the market portfolio over the same period is 12%, determine the risk premium on the market. If the standard deviation of the return on the market is .20, what is the equation of the Capital Market Line?SOLUTION: The risk premium on the market portfolio is .08. The slope of the CML is .08/.2 = .4. Thus, the equation of the CML is:Determinants of the Market Risk Premium5. Consider an economy in which the expected return on the market portfolio over a particular period is .25, the standard deviation of the return to the market portfolio over this same period is .25, and the averagedegree of risk aversion among traders is 3. If the government wishes to issue risk-free zero-coupon bonds with a term to maturity of one period and a face value per bond of $100,000, how much can the government expect to receive per bond? []σσσ4.04.)()(+=++=MfMf r rE r r ESOLUTION:According to the CAPM, E(r M) - r f = Aσ2, so that r f = E(r M) - Aσ2.Substituting into this formula we find: r f = .25 – 3 x .252 = .0625Therefore the revenue raised by the government per bond issued is $100,000 = $94,117.651.06256. . Norma Swanson has invested 40% of her wealth in MGM stock and 60% in Industrial Light and Magic stock. Norma believes the returns to these stocks have a correlation of .06 and that their respective means and standard deviations are: MGM ILMExpected Return (%) 10 15Standard Deviation (%) 15 25a.Determine the expected value and standard deviation of the return on Norma’s portfolio.b.Would a risk-averse investor such as Norma prefer a portfolio composed entirely of only MGM stock? Ofonly ILM stock? Why or why not?SOLUTION:a.The expected return is .13, and the standard deviation is .1649.b. A risk averse investor will not want to hold a portfolio composed entirely of MGM or of ILM stock, becauseone can, in general, achieve the same expected return with a lower standard deviation by combining a portfolio of MGM and ILM with the risk-free asset.7. Consider a portfolio exhibiting an expected return of 20% in an economy in which the riskless interest rate is 8%, the expected return to the market portfolio is thirteen percent, and the standard deviation of the return to the market portfolio is .25. Assuming this portfolio is efficient, determine:a.its beta.b.the standard deviation of its return.c.its correlation with the market return.SOLUTION:/doc/ad5801fd700abb68a982fb59.html e the security market line to infer that the beta of this portfolio is 2.4:.20 = .08 + β(.13 - .08)β = (.20 - .08)/(.13 - .08) = .12/.05 = 2.4/doc/ad5801fd700abb68a982fb59.html e the capital market line to infer that the standard deviation of the yield to this portfolio is .6:.20 = .08+ (.13 - .08) σ = .08+ .2 σ.25σ = .12/.2 = .6c.By definition the following relationships hold:β = cov/σ2Mρ = covσiσMwhere ρ denotes the correlation coefficient. We know that β = 2.4, σM = .25, and σi = .6.So from the definition of β, we get that the cov is 2.4 x .252 = .15. Substituting this into the definition of ρ: ρ = cov = .15 __ = 1σiσM .6 x .25Application of CAPM to Corporate Finance8. . The Suzuki Motor Company is contemplating issuing stock to finance investment in producing a new sports-utility vehicle, the Seppuku. Financial analysts within Suzuki forecast that this investment will have precisely the same risk as the market portfolio, where the annual return to the market portfolio is expected to be 15% and the current risk-free interest rate is 5%. The analysts further believe that the expected return to the Seppuku project will be 20% annually. Derive the maximal beta value that would induce Suzuki to issue the stock.SOLUTION:The project would be on the borderline if its required return were 20% per year. Since the risk-free rate is 5% and the risk premium on the market portfolio is 10%, the required return would be 20% if the beta were 1.5.9. . Roobel and Associates, a firm of financial analysts specializing in Russian financial markets, forecasts that the stock of the Yablonsky Toy Company will be worth 1,000 roubles per share one year from today. If the riskless interest rate on Russian government securities is 10% and the expected return to the market portfolio is 18% determine how much you would pay for a share of Yablonsky stock today if:a.the beta of Yablonsky is 3.b.the beta of Yablonsky is 0.5.SOLUTION:Use the security market line in each case to determine a required rate of return, then infer the current price from the forecasted price of 1,000 roubles and the required rate of return you have determined.a.If beta is 3, the required return is .10+ 3x.08 = .34. You would pay 1,000/1.34 = 746.27 roubles;b.If beta is .5, the required return is .10+ .5x.08 = .14. You would pay 1,000/1.14 = 877.19 roubles.Application of CAPM to Portfolio Management10. Suppose that the stock of the new cologne manufacturer, Eau de Rodman, Inc., has been forecast to havea return with standard deviation .30 and a correlation with the market portfolio of .9. If the standard deviation of the yield on the market is .20, determine the relative holdings of the market portfolio and Eau de Rodman stock to form a portfolio with a beta of 1.8.SOLUTION: By definition:β = cov/σ2Mρ = covσrσMTherefore, β = ρσr/σM. The beta of Rodman stock is therefore .9x.3/.2 = 1.35.The beta of a portfolio is a weighted average of the betas of the component securities. Let A be a fraction of the portfolio invested in Rodman stock to produce a beta of 1.8. Then we have:1.35A + (1-A) = 1.8.35A = .8A = 2.286So the portfolio would have to have 228.6% invested in Rodman stock and a short position in the market portfolio equal to 128.6%.11. The current price of a share of stock in the Vo Giap Clothing Company of Vietnam is 50 dong and its expected yield over the year is 14%. The market risk premium in Vietnam is 8% and the riskless interest rate 6%. What would happen to the stock’s current price if its expected future payout remains co nstant while the covariance of its rate of return with the market portfolio falls by 50%?SOLUTION:Deduce that the expected future price of a share of Vo Giap is 57 dong, so that a reduction in this stock’s beta of 50% implies, by the security market relation, that the required yield on Vo Giap is now 10%, so that its current share price rises by 3.64% toa new value of 51.82 dong.12. Suppose that you believe that the price of a share of IBM stock a year from today will be equal to the sumof the price of a share of General Motors stock plus the price of a share of Exxon, and further you believethat the price of a share of IBM stock in one year will be $100 whereas the price of a share of General Motors today is $30. If the annualized yield on 91-day T-bills (the riskless rate you use) is 5%, the expected yield on the market is 15%, the variance of the market portfolio is 1, and the beta of IBM is 2, what price would you be willing to pay for one share of Exxon stock today?SOLUTION:Expected return = .05 + 2(.15 - .05) = 25%; (100 - x)/x = .25 → x = $80Deduce that the current price of a share of IBM stock is $80, so that the upper bound on the price of a share of Exxon is ($80 -$30 = $50).13. Ascertain whether the following quotation is true or false, and state why:“When arbitrage is absent from financial markets, and investors are each concerned with only the risk and return to their portfolios, then each investor can eliminate all the riskiness of his investments through diversification, and as a consequence the expected yield on each available asset will depend only on the covariance of its yield with the covariance of the yield on the diversified portfolio of risky assets each investor holds.”SOLUTION:False. You cannot eliminate all risk through diversification, only the unsystematic risk.Application of CAPM to Measuring Portfolio Performance14. During the most recent 5-year period, the Pizzaro mutual fund earned an average annualized rate of return of 12% and had an annualized standard deviation of 30%. The average risk-free rate was 5% per year. The average rate of return in the market index over that same period was 10% per year and the standard deviation was 20%. How well did Pizzaro perform on a risk-adjusted basis?SOLUTION:Compute the ratio of average excess return to standard deviation for Pizzaro and compare it to that of the market portfolio: Pizzaro risk-adjusted performance ratio = (.12-.05)/.30 = .233Market portfolio risk-adjusted performance ratio = (.1-.05)/.2 = .250So, on a risk-adjusted basis, Pizzaro did worse than the market index.Challenge ProblemCAPM with only 2 Risky Assets15. There are only two risky assets in the economy: stocks and real estate and their relative supplies are 50% stocks and 50% real estate. Thus, the market portfolio will be half stocks and half real estate. The standard deviations are .20 for stocks, .20 for real estate, and the correlation between them is 0. The coefficient of relative risk aversion of the average market participant (A) is 3. r f is .08 per year.a.According to the CAPM what must be the equilibrium risk premium on the market portfolio, on stocks,and on real estate?b.Draw the Capital Market Line. What is its slope? Where is the point representing stocks located relativeto the CML?c.Draw the SML. What is its formula? Where is the point representing stocks located relative to the SML? SOLUTION: a.The market portfolio consists of half stocks and half real estate. It has a standard deviation of .1414, computedas follows:σ2M = w2σ2s + (1-w)2σ2r+ 2 w(1-w) cov s,rσ2M = 2 x (1/2)2 .22 = .02σM = .1414The equilibrium risk premium on the market portfolio is E(r M)-r f = Aσ2M = 3x.02 = .06.The market portfolio’s expected rate of return is also a weighted average of the expected rates of return on stocks and real estate, where the weights are each 1/2. Stocks and real estate must have the same risk premiumbecause they have the same standard deviation and correlation with the market. Therefore the risk premium on stocks and real estate must be .06, the same as the market portfolio’s risk premium.b.The slope of the CML is .06/.1414 = .424. The point representing stocks is M, it is to the right of the CML.equaling to 1.The formula is: E(r) = r f + (E(r M) –r f).。
人大金融学(MBA)课件《金融学》7国际金融(部分)
这是国家★“藏汇于民”、释放外汇储备压力的具 体政策体现，对国内金融改革有好处。
金融学
2012-8-30
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国际金融
第二节 国际收支
一、国际收支：
是指一定时期内一经济体（通常指一国或者地区） 与世界其他经济体之间的各项经济交易。 其中的经济交易是在居民与非居民之间进行的。 经济交易作为流量，反映经济价值的创造、转 移、交换、转让或削减，包括经常项目交易、 资本与金融项目交易和国际储备资产变动等。
3、吸引海外投资优势减弱 4、出口减少就业压力加大 5、可能导致出现通货紧缩 6、依靠价格优势的产业受冲击 7、可能出现“暴富效应” 8、加剧低收入群体的支出负担
★ ★应综合分析，人民币升值是有利有弊的? 2012-8-30 金融学
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人民币汇率改革：
★ 1994年1月1日汇率并轨后，中国开始实行以市场供
2012-8-30 金融学 16
国际金融 第一节 外汇与汇率 ●外汇风险的分类: 1、交易风险——是指运用外币进行计价收付的交易中， 在合同签订之日到债权债务得到清偿这段时间内，由 于汇率变动而使这项交易的本币价值发生变动的可能 性。 在以外汇计值的外币债权债务关系中，若清偿时外汇 汇率上升，高于债权债务关系发生时，则债务人将收 入较多的本国货币； 如果外汇汇率下降，情况则相反。 此外，外汇银行在买卖客户外汇的过程中也会因持有 外汇多头或外汇空头而蒙受汇率变动带来的风险。
2012-8-30 金融学 11
国际金融
第一节
外汇与汇率
（二）纸币制度下汇率的决定(●可以探讨？）： ●购买力平价―政府不再规定纸币的含金量。 纸币价值以纸币的购买力来体现。两国货币的 购买力之比为汇率的决定基础。 1973年后，按照政府是否干预划分，浮动汇 率制可分为自由浮动和管理浮动。 ●各国实行纸币流通后，经历了一个从浮动汇 率制—固定汇率制—浮动汇率制的曲折过程。
国际金融PPT课件课件
2、外汇价格
E=S$/US$
SUS$
1.50 1.40 1.30
0
100 200
《国际金融》PPT课件
D US$ 300 US$
2、外汇价格
a）代理商供应或需求 $:
– 商品交易者：出口商向外国人出售商品，得 到$；同时进口商从海外购买商品，并支付$。
– 投资者：外国投资者用$换购S$，去购买SIA 发行的股票。新加坡的投资者用S$兑换成$， 去购买IBM的股票。
资本流入
$供给曲线外移
– S$的预期
投机资本
《国际金融》PPT课件
$供给曲线外移
3、外汇对冲、投机与套利
1）对冲与投机
由于汇率的波动，外汇市场的参与者因为汇 率的不确定性就可能使“未平仓交易”盈利 或亏损。面对汇率风险有两种表现： a）风险回避者：进行对冲来避免汇率风险， 或者将未平仓交易平仓。 b）风险获得者：进行投机，或不平仓。
《国际金融》PPT课件
2、外汇价格
2）固定、完全浮动和管理浮动汇率
a）固定汇率： – 管理当局将汇率固定在某一特定水平，不在
市场上进行操作。所以货币受到控制，不可 自由兑换。黑市交易盛行。
– 金本位或金汇兑本位制：汇率固定与黄金价 格挂钩。如1880-1914，1947-1971
– 贬值（升值）：管理当局审慎地提高（降低） 汇率水平
3、外汇对冲、投机与套利
i)对销套利：
国际资本流动是无汇率风险的。这得益于风 险回避者进行的对冲。例如： S$对US$的即期汇率是：E=US$/S$1=US$ 即，S$1=(1/E) US$ 30天的远期汇率是： E30=US$/S$1=US$ 现在投资者想要购买US T-bill(30天）
人大经济金融课件金融学精编版013第十三章开放经济的均衡g
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第十三章第一节 国际收支
国际收支平衡表
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第十三章第一节 国际收支
我国国际收支状况
国际收支平衡——重要的宏观经济目标
2. 国际收支平衡，需从短期和长期两个角度把握：
保持年度收支平衡，对于保证当前的对外收 支能力，是必要的。但如作较长期的考虑，则可 突破必须保持当年度平衡的约束，作长期战略性 安排。
对于一个发展中国家，安排国际收支的出发 点应是最大限度地推进本国经济的发展和促进形 成现代化的经济结构。为此，一定时期内经常项 目上有赤字是可以允许的。
外汇储备规模与管理
3. 适度的外汇储备水平，取决于经济发展的规模和 速度、对外开放的程度、以及国家影响国际收支 的有效程度等诸所因素。 有一种说法，认为维持相当于本国3～4个月 的进口额的外汇储备水平是适度的。这类指标只 有有限的参考价值。
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第十三章第二节 国际收支的调节与国际储备
主要的国际储备资产
主要包括： ⑴货币当局持有的黄金； ⑵在国际货币基金组织的储备头寸； ⑶可动用的特别提款权； ⑷外汇储备。 其中最为重要的是外汇储备。
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第二节 国际收支的调节与国际储备与国际储备
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国际收支失衡
人大经济金融课件-2024鲜版
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金融市场概述
01
金融市场的定义
金融市场是指资金供求双方通过金融工具进行交易的场所，是实现货币
借贷和资金融通、办理各种票据和有价证券交易活动的市场。
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金融市场的分类
按照交易期限的不同，金融市场可分为货币市场和资本市场；按照交易 对象的不同，可分为票据市场、证券市场、衍生工具市场、外汇市场、 黄金市场等。
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生产者行为
探讨生产者的成本最小化行为 和利润最大化行为，以及供给
曲线的推导和性质。
市场结构
介绍完全竞争、完全垄断、寡 头和垄断竞争四种市场结构的
特点和均衡分析。
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宏观经济学
国民收入核算
解释国内生产总值（GDP）等 国民收入核算指标的含义和计
算方法。
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失业与通货膨胀
基本内容。
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国际金融理论
阐述汇率制度、国际收 支和国际资本流动等国 际金融理论的基本内容
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国际经济关系
分析国际经济关系中的 合作与竞争、区域经济 一体化和全球化等问题
。
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国际经济政策
探讨国际贸易政策、国 际金融政策和国际发展 政策等国际经济政策的
制定和实施。
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金融市场与机构
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保险的种类与功能
介绍各类保险产品的特点、保障范围和功能，如人寿保险 、财产保险、责任保险等。
保险实务
详细阐述保险业务的操作流程，包括保险营销、核保、承 保、理赔等环节，以及保险代理人、保险经纪人等中介机 构的角色和作用。
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保险市场与监管
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《金融学(第二版)》讲义大纲及课后习题答案详解 第13章
CHAPTER 13THE CAPITAL ASSET PRICING MODELObjectives•Explain the theory behind the CAPM.•Explain how to use the CAPM to establish benchmarks for measuring the performance of investment portfolios. •Explain how to infer from the CAPM the correct risk-adjusted discount rate to use in discounted-cash-flow valuation models.•Explain the APT and its relationship to the CAPM.Outline13.1 The Capital Asset Pricing Model in Brief13.2 Determinants of the Risk Premium on the Market Portfolio13.3 Beta and Risk Premiums on Individual Securities13.4 Using the CAPM in Portfolio Selection13.5 Valuation and Regulating Rates of Return13.6 Extensions, Modifications, and Alternatives to the CAPMSummary•The CAPM has three main implications:•In equilibrium, ev eryone’s relative holding of risky assets are the same as in the market portfolio.•The size of the risk-premium of the market portfolio is determined by the risk-aversion of investors.•The risk premium on any asset is equal to its beta times the risk premium on the market portfolio. •Whether or not the CAPM is strictly true, it provides a rationale for a very simple passive portfolio strategy: •Diversify your holdings of risky assets in the proportions of the market portfolio, and•Mix this portfolio with the risk-free asset to achieve a desired risk-reward combination.•The CAPM is used in portfolio management primarily in two ways:•To establish a logical and convenient starting point in asset allocation and security selection•To establish a benchmark for evaluating portfolio management ability on a risk-adjusted basis.•In corporate finance the CAPM is used to determine the appropriate risk-adjusted discount rate in valuation models of the firm and in capital budgeting decisions. The CAPM is also used to establish a “fair” rate of return on invested capital for regulated firms and in cost-plus pricing.•Today few financial scholars consider the CAPM in its simplest form to be an accurate model for explaining or predicting risk premiums on risky assets. However, modified versions of the model are still a central feature of the theory and practice of finance.•The APT gives a rationale for the expected return-beta relationship that relies on the condition that there be no arbitrage profit opportunities; the CAPM requires that investors be portfolio optimizers. The APT and CAPM are not incompatible; rather, they complement each other.Solutions to Problems at End of ChapterComposition of the Market Portfolio1. Capital markets in Flatland exhibit trade in four securities, the stocks X, Y and Z, and a risklessgovernment security. Evaluated at current prices in US dollars, the total market values of these assets are, respectively, $24 billion, $36 billion, $24 billion and $16 billion.a. Determine the relative proportions of each asset in the market portfolio.b. If one trader with a $100,000 portfolio holds $40,000 in the riskless security, $15,000 in X, $12,000 in Y, and$33,000 in Z, determine the holdings of the three risky assets of a second trader who invests $20, 000 of a $200, 000 portfolio in the riskless security.SOLUTION:The total value of all assets in the economy is 100 billion dollars. a. The proportions of each asset relative to the value of all assets are, respectively, .24 (X), .36 (Y),b. .24 (Z) and .16 (riskless bond.) The proportions of each risky asset to the total value of all risky assets are,respectively, (2/7) (X), (3/7) (Y) and (2/7) (Z). c. . Ignore the question as it appears in the First Edition of the textbook. Instead, the question should be: If aninvestor has $100,000 with $30,000 invested in the riskless asset, how much is invested in securities X, Y, and Z? The answer to this question is $20,000 in X and Z, and $30,000 in Y.Implications of CAPM2. The riskless rate of interest is .06 per year, and the expected rate of return on the market portfolio is .15 per year.a. According to the CAPM , what is the efficient way for an investor to achieve an expected rate of returnof .10 per year?b. If the standard deviation of the rate of return on the market portfolio is .20, what is the standarddeviation on the above portfolio?c. Draw the CML and locate the foregoing portfolio on the same graph.d. Draw the SML and locate the foregoing portfolio on the same graph.e. Estimate the value of a stock with an expected dividend per share of $5 this coming year, an expecteddividend growth rate of 4% per year forever, and a beta of .8. If its market price is less than the value you have estimated, i.e., if it is under-priced, what is true of its mean rate of return?SOLUTION: a.So one would hold a portfolio that is 4/9 invested in the market portfolio and 5/9 in the riskless asset. b.c. The formula for the CML is9415.)1(06.10.)()1()(=+-=⨯+-⨯=x xx x r E x r r E M f 08889.)20(.94==⨯=M x σσσσσ45.06.)()(+=-+=MfM f r r E r r Ed. The formula for the SML ise. Use constant growth rate DDM and find r using the SML relationIf the market price of the stock is less than this, then its expected return is higher than the 13.2% required rate.()ββ09.06.)()(+=-+=f M f r r E r r E 35.54$04.132.504.510=-=-=-=r g r D P 132.8.09.06.09.06.=⨯+=+=βr3. If the CAPM is valid, which of the following situations is possible? Explain. Consider each situation independently.a.PortfolioExpected ReturnBeta A 0.20 1.4B 0.25 1.2b.PortfolioExpected ReturnStandard DeviationA 0.300.35B 0.400.25c.Portfolio Expected ReturnStandard DeviationRisk-free 0.100Market 0.180.24A 0.160.12d.Portfolio Expected ReturnStandard DeviationRisk-free 0.100Market 0.180.24A0.200.22SOLUTION:a. Impossible. Since the risk premium on the market portfolio is positive, a security with a higher beta must have ahigher expected return.b. Possible. Since portfolios A & B are not necessarily efficient, A can have a higher standard deviation and alower expected return than B.c. Impossible. Portfolio A lies above the CML, implying that the CML is not efficient. If the standard deviation ofA is .12, then according to the CML its expected return cannot be greater than .14.d. Impossible. Portfolio A has a lower standard deviation and a higher mean return than the market portfolio,implying that the market portfolio is not efficient.4. If the Treasury bill rate is currently 4% and the expected return to the market portfolio over the same period is 12%, determine the risk premium on the market. If the standard deviation of the return on the market is .20, what is the equation of the Capital Market Line?SOLUTION: The risk premium on the market portfolio is .08. The slope of the CML is .08/.2 = .4. Thus, the equation of theCML is:Determinants of the Market Risk Premium5. Consider an economy in which the expected return on the market portfolio over a particular period is .25, the standard deviation of the return to the market portfolio over this same period is .25, and the averagedegree of risk aversion among traders is 3. If the government wishes to issue risk-free zero-coupon bonds with a term to maturity of one period and a face value per bond of $100,000, how much can the government expect to receive per bond?[]σσσ4.04.)()(+=++=MfMf r rE r r ESOLUTION:According to the CAPM, E(r M) - r f = Aσ2, so that r f = E(r M) - Aσ2.Substituting into this formula we find: r f = .25 – 3 x .252 = .0625Therefore the revenue raised by the government per bond issued is $100,000 = $94,117.651.06256. . Norma Swanson has invested 40% of her wealth in MGM stock and 60% in Industrial Light and Magic stock. Norma believes the returns to these stocks have a correlation of .06 and that their respective means and standard deviations are:MGM ILMExpected Return (%) 10 15Standard Deviation (%) 15 25a.Determine the expected value and standard deviation of the return on Norma’s portfolio.b.Would a risk-averse investor such as Norma prefer a portfolio composed entirely of only MGM stock? Ofonly ILM stock? Why or why not?SOLUTION:a.The expected return is .13, and the standard deviation is .1649.b. A risk averse investor will not want to hold a portfolio composed entirely of MGM or of ILM stock, becauseone can, in general, achieve the same expected return with a lower standard deviation by combining a portfolio of MGM and ILM with the risk-free asset.7. Consider a portfolio exhibiting an expected return of 20% in an economy in which the riskless interest rate is 8%, the expected return to the market portfolio is thirteen percent, and the standard deviation of the return to the market portfolio is .25. Assuming this portfolio is efficient, determine:a.its beta.b.the standard deviation of its return.c.its correlation with the market return.SOLUTION:e the security market line to infer that the beta of this portfolio is 2.4:.20 = .08 + β(.13 - .08)β = (.20 - .08)/(.13 - .08) = .12/.05 = 2.4e the capital market line to infer that the standard deviation of the yield to this portfolio is .6:.20 = .08+ (.13 - .08) σ = .08+ .2 σ.25σ = .12/.2 = .6c.By definition the following relationships hold:β = cov/σ2Mρ = covσiσMwhere ρ denotes the correlation coefficient. We know that β = 2.4, σM = .25, and σi = .6.So from the definition of β, we get that the cov is 2.4 x .252 = .15. Substituting this into the definition of ρ: ρ = cov = .15 __ = 1σiσM .6 x .25Application of CAPM to Corporate Finance8. . The Suzuki Motor Company is contemplating issuing stock to finance investment in producing a new sports-utility vehicle, the Seppuku. Financial analysts within Suzuki forecast that this investment will have precisely the same risk as the market portfolio, where the annual return to the market portfolio is expected to be 15% and the current risk-free interest rate is 5%. The analysts further believe that the expected return to the Seppuku project will be 20% annually. Derive the maximal beta value that would induce Suzuki to issue the stock.SOLUTION:The project would be on the borderline if its required return were 20% per year. Since the risk-free rate is 5% and the risk premium on the market portfolio is 10%, the required return would be 20% if the beta were 1.5.9. . Roobel and Associates, a firm of financial analysts specializing in Russian financial markets, forecasts that the stock of the Yablonsky Toy Company will be worth 1,000 roubles per share one year from today. If the riskless interest rate on Russian government securities is 10% and the expected return to the market portfolio is 18% determine how much you would pay for a share of Yablonsky stock today if:a.the beta of Yablonsky is 3.b.the beta of Yablonsky is 0.5.SOLUTION:Use the security market line in each case to determine a required rate of return, then infer the current price from the forecasted price of 1,000 roubles and the required rate of return you have determined.a.If beta is 3, the required return is .10+ 3x.08 = .34. You would pay 1,000/1.34 = 746.27 roubles;b.If beta is .5, the required return is .10+ .5x.08 = .14. You would pay 1,000/1.14 = 877.19 roubles.Application of CAPM to Portfolio Management10. Suppose that the stock of the new cologne manufacturer, Eau de Rodman, Inc., has been forecast to havea return with standard deviation .30 and a correlation with the market portfolio of .9. If the standard deviation of the yield on the market is .20, determine the relative holdings of the market portfolio and Eau de Rodman stock to form a portfolio with a beta of 1.8.SOLUTION: By definition:β = cov/σ2Mρ = covσrσMTherefore, β = ρσr/σM. The beta of Rodman stock is therefore .9x.3/.2 = 1.35.The beta of a portfolio is a weighted average of the betas of the component securities. Let A be a fraction of the portfolio invested in Rodman stock to produce a beta of 1.8. Then we have:1.35A + (1-A) = 1.8.35A = .8A = 2.286So the portfolio would have to have 228.6% invested in Rodman stock and a short position in the market portfolio equal to 128.6%.11. The current price of a share of stock in the Vo Giap Clothing Company of Vietnam is 50 dong and its expected yield over the year is 14%. The market risk premium in Vietnam is 8% and the riskless interest rate 6%. What would happen to the stock’s current price if its expected future payout remains co nstant while the covariance of its rate of return with the market portfolio falls by 50%?SOLUTION:Deduce that the expected future price of a share of Vo Giap is 57 dong, so that a reduction in this stock’s beta of 50% implies, by the security market relation, that the required yield on Vo Giap is now 10%, so that its current share price rises by 3.64% to a new value of 51.82 dong.12. Suppose that you believe that the price of a share of IBM stock a year from today will be equal to the sumof the price of a share of General Motors stock plus the price of a share of Exxon, and further you believethat the price of a share of IBM stock in one year will be $100 whereas the price of a share of General Motors today is $30. If the annualized yield on 91-day T-bills (the riskless rate you use) is 5%, the expected yield on the market is 15%, the variance of the market portfolio is 1, and the beta of IBM is 2, what price would you be willing to pay for one share of Exxon stock today?SOLUTION:Expected return = .05 + 2(.15 - .05) = 25%; (100 - x)/x = .25 → x = $80Deduce that the current price of a share of IBM stock is $80, so that the upper bound on the price of a share of Exxon is ($80 - $30 = $50).13. Ascertain whether the following quotation is true or false, and state why:“When arbitrage is absent from financial markets, and investors are each concerned with only the risk and return to their portfolios, then each investor can eliminate all the riskiness of his investments through diversification, and as a consequence the expected yield on each available asset will depend only on the covariance of its yield with the covariance of the yield on the diversified portfolio of risky assets each investor holds.”SOLUTION:False. You cannot eliminate all risk through diversification, only the unsystematic risk.Application of CAPM to Measuring Portfolio Performance14. During the most recent 5-year period, the Pizzaro mutual fund earned an average annualized rate of return of 12% and had an annualized standard deviation of 30%. The average risk-free rate was 5% per year. The average rate of return in the market index over that same period was 10% per year and the standard deviation was 20%. How well did Pizzaro perform on a risk-adjusted basis?SOLUTION:Compute the ratio of average excess return to standard deviation for Pizzaro and compare it to that of the market portfolio:Pizzaro risk-adjusted performance ratio = (.12-.05)/.30 = .233Market portfolio risk-adjusted performance ratio = (.1-.05)/.2 = .250So, on a risk-adjusted basis, Pizzaro did worse than the market index.Challenge ProblemCAPM with only 2 Risky Assets15. There are only two risky assets in the economy: stocks and real estate and their relative supplies are 50% stocks and 50% real estate. Thus, the market portfolio will be half stocks and half real estate. The standard deviations are .20 for stocks, .20 for real estate, and the correlation between them is 0. The coefficient of relative risk aversion of the average market participant (A) is 3. r f is .08 per year.a.According to the CAPM what must be the equilibrium risk premium on the market portfolio, on stocks,and on real estate?b.Draw the Capital Market Line. What is its slope? Where is the point representing stocks located relativeto the CML?c.Draw the SML. What is its formula? Where is the point representing stocks located relative to the SML? SOLUTION:a.The market portfolio consists of half stocks and half real estate. It has a standard deviation of .1414, computedas follows:σ2M = w2σ2s + (1-w)2σ2r+ 2 w(1-w) cov s,rσ2M = 2 x (1/2)2 .22 = .02σM = .1414The equilibrium risk premium on the market portfolio is E(r M)-r f = Aσ2M = 3x.02 = .06.The market portfolio’s expected rate of return is also a weighted average of the expected rates of return on stocks and real estate, where the weights are each 1/2. Stocks and real estate must have the same risk premiumbecause they have the same standard deviation and correlation with the market. Therefore the risk premium on stocks and real estate must be .06, the same as the market portfolio’s risk premium.b.The slope of the CML is .06/.1414 = .424. The point representing stocks is M, it is to the right of the CML.equaling to 1.The formula is: E(r) = r f + (E(r M) –r f).。
国际金融课件(完整版)
第1章国民收入核算与国际收支平衡表国际金融的一个主要任务是企图对开放经济的运行进行描述、评价以及管理，为此，需要引入恰当的量化指标，以客观、准确地度量开放经济的运行情况。
对于一个经济体而言，其运行基础乃是实体经济部分。
对于像我国这样的发展中国家，实体经济更是关系到人民福祉的最为关键部分。
体现在实体经济的运行影响到经济增长、价格稳定与充分就业这些宏观经济目标的实现。
既如此，就应该引入一个指标，用以反映一个经济体的实体经济运行状况，而这样的指标非国民收入莫属。
同样，在开放经济条件下，一个经济体和别的经济体有着这样那样的经济联系，这种联系一方面影响着实体经济的运行，另一方面受实体经济运行的影响。
在开放经济下，政府不仅关注经济的内部运行情况，更要关注经济的外部运行情况，即要实现内外均衡。
对外部运行情况的全面、系统描述需要引入另一个工具，即国际收支账户。
在本章，我们不仅向学生们介绍这两个账户的具体构成及影响因素，还告诉学生们如何运用这两个账户来对一个经济体的运行进行简单的评价。
借助这两个账户，我们可以对中国政府在内外均衡问题上的得失进行评判。
§1 国民收入核算1.1总产出的概念一个经济体（国家或地区）在一定时期内（通常指一年）所生产的最终产品的总量或总价值。
注意区分最终产品与中间产品的概念，避免重复计算。
1.2总产出、总支出与总收入的恒等关系（1）总产出≡总支出经过适当的技术处理后，一个经济体一年所生产的最终产品能在当年全部卖掉。
如果厂商的产品卖不掉（反映为存货的增加），我们就认为是该厂商把自己的产品买下来，作为投资，尽管这种投资是一种非意愿的；而如果厂商的产品不够卖，则需要动用以前的存货，这反映为存货的减少，我们认为存货的这种减少为厂商的非意愿的负投资。
任何一项产出都对应于一项支出；而任何一项支出都对应于一项产出。
（2）总支出≡总收入任何一项支出都对应于一项收入；而任何一项收入都对应于一项支出。