国际金融第四章课件

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Cont’d
e.g. Taking a vacation abroad. e.g. Financial investment abroad. For instance, an investment in Mexican stocks.
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Cont’d
套期保值 Hedging is taking an action to reduce the exposure to exchange rate risk. 投机 Speculation is taking an action that increases your exposure to exchange rate risk, usually to try to profit from your belief about what future exchange rates will be.
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CHAPTER 4
Forward Exchange and International Financial Investment
This chapter examines future exchanges of moneys and the exposure to the risks of uncertain future exchange rates. It discusses how forward foreign exchange contracts (远 期外汇合同) can be used to reduce the risk exposure or to speculate(投机) on future exchange rates.
远期外汇合同是指在约定未来某一日期以一定的外汇
汇率（远期汇率）买进或卖出一定金额外币的合同。
Common dates for future exchange are 30, 90, and 180 days forward (one, three, and six months).
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Cont’d
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Байду номын сангаас
Questions?
A British firm needs to pay $200,000 in 30 days on its dollar-denominated (美元面值 的) debt, what does it do to hedge exposure of exchange rate risk?
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Cont’d
A net asset position in the foreign currency is called a long position（多头）; a net liability position is called a short position（ 空头). 拥有的外币净资产的数量即多头；外币 净负债(即借入待还)的数量即空头。
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The market basics of forward foreign exchange
Forward foreign exchange contract is an agreement to exchange one currency for another on some date in the future at price set now.
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Example 2
A U.S. company that will receive a payment of ₤1 million in 60 days is unsure of the dollar value of this receivable (应收账款). Long position or short position? Hedging: Selling pounds (and buying dollars) in a 60-day forward exchange contract at certain forward rate, using the forward exchange rate to lock in the number of dollars it will receive.
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Hedging using forward foreign exchange 远期外汇合同用于套期保值 Hedging involves acquiring an asset in a foreign currency to offset a net liability position already held in the foreign currency, or acquiring a liability in a foreign currency to offset a net asset position already held. 套期保值包括获取外币资产来冲销已有的 外币净债务，或者获取外币债务来冲销 已有的外币净资产。
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Framework of chapter 4
• Hedging and speculating by forward foreign exchange 远期外汇的套期保值和投机 • International investment with cover 抛补性国际投资 • International investment without cover 非抛补性国际投资
Buying dollars (and selling pounds) in a 30day forward contract.
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Questions?
• A British individual inheriting (继承）$2 million that will be disbursed (支付）in dollars in 180 days, what does he do to hedge exposure of exchange rate risk?
Answers for questions of Chap.3 p41
2. Exports of merchandise and services result in supply of foreign currency in the foreign exchange market. Domestic sellers often want to be paid using domestic currency, while the foreign buyers want to pay in their currency. In the process of paying for these exports, foreign currency is exchanged for domestic currency, creating supply of foreign currency.
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Exchange Rate Risk 汇率风险
A person (or an organization) is exposed to exchange rate risk if the value of his income or wealth or net worth changes when exchange rates change unpredictably in the future. p45 汇率风险：组织、经济实体或个人，因 其在国际经济、贸易金融等活动中，以 外币计价的资产或负债因外汇汇率的波 动而可能受的损失或收益。
• Selling the dollars (and buying pounds) in a 180-day forward contract.
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Exercise:
A U.S firm sold computers to a Japanese firm, and it will receive payment of 1 million yen in 60 days. The current 60-day forward exchange rate is $0.009/yen. Is it a long position or short position? How would the U.S firm to hedge their risk exposure? What are the amounts in the forward contract?
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Cont’d
International capital inflows result in a supply of foreign currency in the foreign exchange market. In making investments in domestic financial assets, foreign investors often start with foreign currency and must exchange it for domestic currency before they can buy the domestic assets. The exchange creates a supply of foreign currency. Sales of foreign financial assets that the country's residents had previously acquired, and borrowing from foreigners by this country's residents are other forms of capital inflow that can create supply of foreign currency.
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Q 8. The arbitrage will be: Use dollars to buy kroner at $0.20/krone, use these kroner to buy yen at 25 yen/krone, and use the yen to buy dollars at $0.01/yen. For each dollar that you sell initially, you can obtain 5 kroner, these 5 kroner can obtain 125 yen, and the 125 yen can obtain $1.25. The arbitrage profit for each dollar is therefore 25 cents.
e.g. to buy ₤ 100,000 of 90-days forward sterling at $1.9668/ ₤,you sign agreement today with your bank that 90 days from now you will deliver $196,680 in dollar bank deposits and receive ₤100,000 in pound bank deposits. Please note: Do not confuse the forward rate with the future spot rate.
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Example 1
A U.S. company has bought some merchandise and will have to pay ₤100,000 three months from now. Long position or short position? Hedging: Enter into a forward contract to buy ₤100,000 in 90 days. If the current forward rate is $1.9668/ ₤, then the company must deliver $196,680 in 90 days.