国际金融

Fundamental Issues
• How to use derivative securities to hedge? • What are derivative securities? • What is interest-rate risk? • How are interest yields, financial instrument prices, and interest-rate risk interrelated?
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Derivative Securities
foreign market
• Futures Currency futures
monetary market Interest rate futures
stock market
Stock index futures
• Option
Currency Calls and puts
• Capital loss
is a decline in the market value of a financial instrument at the time it is sold as compared with its market value at the time it was purchased.
Discounted Present Value
• Discounted present value is the value today of a payment to be received at a future date.
• Simple rule:
– Prices of existing bonds are inversely related to changing market interest rates.
The Term Structure
• Term Structure of interest rates is the relationship among yields on financial instruments with identical risk, liquidity, and tax characteristics but differing terms to maturity. • Yield Curve is a chart illustrating the relationship among yields on bonds that differ only in their term to maturity.
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Interest Rates
• To understand the risks owing to interest rate variations, how to minimize those risks, or how to profit from them requires an understanding of how interest rates and the prices of financial instruments are related. • Principal is the amount of credit extended when one makes a loan or purchases a bond.
The Preferred Habitat Theory
• Preferred habitat theory is a theory of the term structure of interest rates that views bonds as imperfectly substitutable, so yields on longer-term bonds must be greater than those on shorter-term bonds even if short-term interest rates are not expected to rise or fall. • Term premium is the amount by which the yield on a long-term bond must exceed the yield on a shortterm bond to make individuals willing to hold either bond if they expect short-term bond yields to remain unchanged.
• Default risk is the chance that an individual or
a firm that issues a financial instrument may be unable to honor its obligations to repay the principal and/or to make interest payments. • The Fisher Equation is a condition relating interest rates and prices.
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Derivative Securities
• Forward exchange rate • Forward contract • Forward premium or discount
Forward foreign market
Derivative Security is a financial instrument whose return depends on the returns of other financial instruments.
Excess Returns
• If uncovered interest parity fails to hold, a saver can anticipate earning excess returns. • Peso problem is an upward bias in depreciation expectations resulting from a perceived small probability of a large currency realignment. • The peso problem is but one reason for persistent excess returns in emerging economies.
Yield Curves
Typically, yield curves slope upward: interest yields rise at longer terms to maturity.
Yield Curves
• Economists offer three fundamental explanations for why yield curves are typically upward sloping.
Peso problem
For emerging economies with fixed exchange rates, another set of factors that may contribute to persistent excess returns in less-developed nations is that these countries typically have: higher and more volatile interest rates and inflation rates , more variable exchange rates, and less stable levels of economic activity. These factors can contribute to a peso problem, so-called because first application of the idea was to Mexico.
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The Risk Structure of Instructure of interest rates is the
relationship among yields on financial instruments that have the same maturity but differ because of variations in default risk, liquidity, and tax rates.
– Segmented Markets – Expectations Theory – Preferred Habitat Theory
Segmented Markets Theory
• Segmented markets theory is a theory of
the term structure of interest rates that views bonds with differing maturities as nonsubstitutable, so their yields differ because they are determined in separate markets. • Drawbacks to theory: – Yields tend to move together. – Does not explain natural tendency of the yield curve to slope upward or downward.
Interest Yields
• Interest is the payment by the issuer of a
financial instrument that compensates the purchaser for the use of their funds.