国际投资期末复习

Chapter 1汇率标价1、Direct Exchange Quotations 直接标价法F:DA direct exchange rate is the domestic price of foreign currency.For example, an American investor seeing a direct quote €:$ = 1.34 knows she/he will pay $1.34 for one euro.To a European investor, the direct quote is $:€= 0.75 which says that 1 dollar (foreign currency) is worth 0.75 euro.2、Indirect Exchange Quotations 间接标价法D:FAn indirect exchange rate is the amount of foreign currency that one unit of domestic currency will purchase.For an American investor, the indirect quote $:€= 0.75says that 1 dollar will purchase 0.75euro.To a European investor, the indirect quote is €:$ = 1.34 which says that 1 euro is worth 1.34 dollar.Cross Rate Calculations 套算汇率3、A cross rate is the exchange rate between two countries inferred from each country’s exchange rate with a third country.For example, bank A gives the following quotations:€:$ = 1.3364$:¥ = 123.52 。

Calculate the euro in yen (€:¥) rate:(€:$) * ($:¥) = 1.3364 *123.52 = 165.07The resulting quotation is: €:¥ = 165.07. One euro is worth 165.07 yen外汇市场标价惯例4、The international currency market has two main components:A worldwide Forex market between major banks and specialized currency dealers. This is a wholesale interbank market for large transactions. It is an OTC market, by telephone and electronic trading platforms, where trading takes place 24 hours a day, 5 days a week. It is the largest and most liquid financial market in the world. 银行间大宗交易的“批发”市场A retail market where investors and corporations deal with local banks. “零售”市场5、No need to quote both a direct and indirect rate, e.g. both $:€and €:$. 没有必要在市场中同时维持欧元兑美元和美元兑欧元的标价History mostly dictates the exchange rate direction that is selected6、Not all exchange rates are traded. 并不是所有的货币都有汇率交易7、Forex quotes always include a bid price and an ask price (or offer price), and there is no commission or fee added on a trade.外汇标价通常包括一个买入价和一个卖出价，一笔交易中不存在佣金和手续费。

8、Example: A dealer provides the following quote for the $:¥ (value of the dollar in yen): $:¥ =120.17 –120.19 The dealer will buy dollars at a price of 120.17 yen per dollar,and will sell dollars at a price of 120.19 yen per dollar.Bid-Ask Quotes 买入-卖出标价9、Bid price: the exchange rate at which the dealer is willing to buy the quotedcurrency in exchange for the second currency.10、Ask (offer) price: the exchange rate at which the dealer is willing to sell the quoted currency in exchange for the second currency.11、Midpoint price ：the average of the bid and ask price.= (ask + bid)/212、€:$ = 1.3015 – 1.3019. The spread equals 4 pips.13、the $:¥ quote of $:¥ = 150.51 – 152.52 ， is equivalent to a ¥:$ quote of: ¥:$ = 0.00655 – 0.00664Arbitrage 套利14、Consider the following three banks each providing a $:¥ quote :Bank A Bank B Bank C122.25-35 122.40-45 122.25-45Does an arbitrage opportunity exist?One could buy dollars from Bank A for 122.35 yen per dollar and simultaneously sell them to Bank B for 122.40 yen per dollar.Forward Rates 远期标价15、Spot rates are quoted for immediate currency transactions （takes place 48 hours later). 即期汇率16、Forward exchange rates are contracted today but with delivery and settlement in the future. 远期汇率17、If the 3 month forward exchange rate is €:$ = 1.23778 and the spot rate is €:$ = 1.2500, calculate the forward premium/discount.18、S:Spot rate F:forward rate s=a:b (F-S)/S=(r a -r b )/(1+r a )F/S=(1+r b )/(1+r a )19、Spot rate = $: € =1.05 U.S. interest rate = 1.76 %Euro interest rate = 3.39 % What is the forward premium (discount)?(F-S)/S=(r a -r b )/(1+r a )=（0.0339-0.0176）/1.0176=1.6%20、Spot rate = $: € =1.058。

Annual risk free interest rate (3-month maturity) U.S. = 1.76 Euro = 3.39 %What is the three-month forward exchange rate?F=(1+r b )/(1+r a )*S=1.058*(1+0.0339/4)/(1+0.0176/4)=1.0623Chapter2Supply and Demand for Foreign Exchange 外汇的供给与需求1、In general, there are many types of transactions that affect the demand and supply of one national currency.（excess supply of euros ）Balance of Payments 国际收支The convention is to treat all inflows as a credit(贷方） to the balance of payments.2、Current Account 经常账户（Covers all current transactions that take place in the normal business of residents of a country.）：Exports and imports (trade balance) ，Services ，Income （投资、股利、各种跨境收入），Current transfers （礼品及其他流动没有报偿补偿）%91.3%1003122500.12500.123778.1-=⎪⎭⎫ ⎝⎛⎪⎭⎫ ⎝⎛-3、Financial Account 金融账户（Covers investments by residents abroad and investments by nonresidents in the home country）：Direct investment made by companies，Portfolio investments in equity, bonds and other securities of any maturity，Other investments and liabilities （对外国银行的存款和借款）4、CA + FA = 0Question: What if the overall balance is negative?Answer: The central bank can use up part of its reserves to restore a zero balance.5、A current account deficit is offset by a financial account surplus.经常账户赤字会被金融账户盈余所抵消To be sustained, a current account deficit must be financed by a financial account surplus.6、Current account deficit is a bad economic signal or not?经常账户赤字是一个不好的经济信号吗?No.A current account deficit is sometimes caused by economic growth.When a country grows faster than its trading partners,it will attracts foreign investment.This capital inflow provides natural financing for the current account deficit.The depreciation pressures from the current account deficit are balanced by the appreciation pressures from the financial account surplus.7、Is a large current account deficit sustainable? 巨额的经常账户赤字是可持续的吗?A large current account deficit can be sustained if nonresident are willing to finance it continuously.As long as a country offers attracting additional investment opportunities and a stable “investment climate”,it can keep attracting additional financial flows.International Parity Relations 国际平价关系8、Interest rate parity is the relation that the forward discount (premium) equals the interest rate differential between two currencies.Exact relation 精确关系：F/S = (1 + r FC)/(1 + r DC)Linear approximation 线性估算：ƒ= F/S -1 = r FC - r DC9、Suppose that France is the domestic country and the U.S. is the foreign country. The spot exchange rate quote is S=1.3$. Suppose further that the U.S. risk-free interest rate is 9% and the French risk-free interest rate is 12%. Calculate the forward rate and the forward discount.With the domestic currency quote, we have S=DC:FC=1.3Using equation :F/S = (1 + r FC)/(1 + r DC), F/1.3=(1+0.09)/(1+0.12)We have: F=1.2652, 1 euro=1.2652$, 1.2652$ per euroFor a linear approximation equation, ƒ= F/S -1 =r FC - r DCWe have ƒ= 9%-12%= - 3%, the forward discount is –3%Therefore, we have the forward discount is -3%, and the forward rate F=1.2, 1.2$ per euro.10、Purchasing Power Parity (PPP) Relation购买力平价：汇率与通货膨胀差inflation and exchange rate movements11、The law of one price（一价定律），The theory of PPP is based on the law of one price .The law of one price states that identical commodities or goods must have the same price in all the markets.12、Relative PPP claims that the percentage movement of the exchange rate shouldbe equal to the inflation differential between the two economies.Exact relation:S1/S0 = (1 + I FC)/(1 + I DC) Linear approximation：s = S1/S0–1 =I FC - I DC13、PPP says that what you gain with lower domestic inflation, you can expect to lose on foreign market.14、International Fisher Relation 国际费雪关系：利率与预期通货膨胀差The interest rates used in day-to-day financial transactions are nominal interest rates.名义=实际+通胀15、费雪that the interest rate differential between two countries should be equal to the expected inflation rate differential over the term of the interest rate.Exact：(1 + r FC)/(1 + r DC) = (1 + E(I FC)/(1 + E(I DC)Linear approximation：r FC–r DC= E(I FC) - E(I DC)Chapter 3Pegged Exchange Rates钉住汇率制度1、an enlargement of international reserves，the design of stable but adjustable exchange rates.扩大国际储备，稳定但可调汇率的设计。