国际金融第6章
相关主题
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
1. Exchange $1,000 for £500 at the prevailing spot rate. 2. Invest £500 for one year at i£ = 2.49%; earn £512.45. 3. Translate £512.45 back into dollars at the forward rate F360($/£) = $2.01/£. The £512.45 will be worth $1,030.
Step 1: Borrow $1,000. More F£(360) $1,030 < £ 512.45 × than $1,030 Step 5: Repay £ 1 your dollar loan with $1,030. If F£(360) > $2.01/£ £ , 512.45 will be more than enough to repay your dollar obligation of $1,030. The excess is your profit.
Spot exchange rate 360-day forward rate U.S. discount rate British discount rate S($/£ = $2.0000/£ ) F360($/£ = $2.0100/£ ) i$ = 3.00% i£ = 2.49%
6-9
IRP and Covered Interest Arbitrage
One Choice: Invest $1,000 at 3%. FV = $1,030
= $2.01/£
$1,030 F£(360) $1,030 = £ 512.45 × £ 1
6-11
IRP& Exchange Rate Determination
According to IRP only one 360-day forward rate F360($/£) can exist. It must be the case that
6-14
Arbitrage Strategy II
If F360($/£) < $2.01/£: 1. Borrow £500 at t = 0 at i£= 2.49%. 2. Exchange £500 for $1,000 at the prevailing spot rate; invest $1,000 at 3% for one year to achieve $1,030. 3. Translate $1,030 back into pounds; if F360($/£) < $2.01/£, then $1,030 will be more than enough to repay your debt of £512.45.
6-5
Alternative 2: Send your $ on a round trip to Britain
$1,000 S$/£
IRP
Step 2:
Invest those pounds at i£ Future Value = $1,000
$1,000
Alternative 1: Invest $1,000 at i$ $1,000×(1 + i$) =
Xiaojing Chen
chenxj@suibe.edu.cn 67703822 D 429
6-2
Chapter Outline
Interest Rate Parity
– – – – Covered Interest Arbitrage IRP and Exchange Rate Determination Currency Carry Trade Reasons for Deviations from IRP
A trader with $1,000 could invest in the U.S. at 3.00%. In one year his investment will be worth: $1,030 = $1,000 (1+ i$) = $1,000 (1.03) Alternatively, this trader could:
F360($/£) = $2.01/£
Why?
If F360($/£) $2.01/£, an astute trader could make money with one of the following strategies.
6-12
Arbitrage Strategy I
If F360($/£) > $2.01/£: 1. Borrow $1,000 at t = 0 at i$ = 3%. 2. Exchange $1,000 for £500 at the prevailing spot rate (note that £500 = $1,000 ÷ $2/£.); invest £500 at 2.49% (i£) for one year to achieve £512.45. 3. Translate £512.45 back into dollars; if F360($/£) > $2.01/£, then £512.45 will be more than enough to repay your debt of $1,030.
£
源自文库
S$/£
Since these investments have the same risk, they must have the same future value (otherwise an arbitrage would exist). F$/£ (1 + i$) = (1 + i$) F$/£= S$/£× (1 + i£) × (1 + i£ ) S$/£
…almost all of the time!
6-4
Interest Rate Parity Carefully Defined
Consider alternative one-year investments for $100,000: 1. Invest in the U.S. at i$. Future value = $100,000 × (1 + i$). 2. Trade your $ for £ at the spot rate and invest $100,000/S$/£in Britain at i£ while eliminating any exchange rate risk by selling the future value of the British investment $100,000(1 + i )×F$/£ Future value = forward.
6-10
Other Choice:
Buy £ at $2/£ 500 . £ = 500 $1,000×
$1,000 £ 1
£ 500
Arbitrage I
Step 2: $2.00 Invest £ at 500 i£ = 2.49%. 500 £ 512.45 In one year £ will be worth Step 3: £ 512.45 = Repatriate to the £ (1+ i£) 500 U.S. at F360($/£ )
– – – – Efficient Market Approach Fundamental Approach Technical Approach Performance of the Forecasters
6-3
Interest Rate Parity Defined
IRP is a “no arbitrage” condition. If IRP did not hold, then it would be possible for an astute trader to make unlimited amounts of money by exploiting the arbitrage opportunity. Since we don’t typically observe persistent arbitrage conditions, we can safely assume that IRP holds.
6-13
Step 2: Buy pounds £ = 500 $1,000×
$1,000 £ 1 $2.00
Arbitrage I
Step 3: Invest £ at 500 i£ = 2.49%. 500 £ 512.45 In one year £ will be worth £ 512.45 = £ (1+ i£) 500 Step 4: Repatriate to the U.S. £ 500
Purchasing Power Parity
– PPP Deviations and the Real Exchange Rate – Evidence on Purchasing Power Parity
The Fisher Effects Forecasting Exchange Rates
6-7
Interest Rate Parity Carefully Defined
No matter how you quote the exchange rate ($ per ¥ or ¥ per $) to find a forward rate, increase the dollars by the dollar rate and the foreign currency by the foreign currency rate:
6-6
IRP
S$/£
(1+ i£) × F$/£
Interest Rate Parity Defined
The scale of the project is unimportant. $1,000 (1+ i£) × F$/£ = $1,000×(1 + i$) S$/£ F$/£ × (1+ i£) (1 + i$) = S$/£ IRP is sometimes approximated as: i$ – i£ ≈ F – S S
or F¥/$ = S¥/$ F$/¥= S$/¥ × × …be careful—it’s easy to get this wrong.
6-8
1 + i¥ 1 + i$
1 + i$ 1 + i¥
IRP and Covered Interest Arbitrage
If IRP failed to hold, an arbitrage would exist. It’s easiest to see this in the form of an example. Consider the following set of foreign and domestic interest rates and spot and forward exchange rates.
International Parity Relationships and Forecasting Foreign Exchange Rates
Chapter Six
McGraw-Hill/Irwin
Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.
Step 3: Repatriate future value to the U.S.A. $1,000
S$/£
(1+ i£)
Since both of these investments have the same risk, they must have the same future value—otherwise an arbitrage would exist.
Step 1: Borrow $1,000. More F£(360) $1,030 < £ 512.45 × than $1,030 Step 5: Repay £ 1 your dollar loan with $1,030. If F£(360) > $2.01/£ £ , 512.45 will be more than enough to repay your dollar obligation of $1,030. The excess is your profit.
Spot exchange rate 360-day forward rate U.S. discount rate British discount rate S($/£ = $2.0000/£ ) F360($/£ = $2.0100/£ ) i$ = 3.00% i£ = 2.49%
6-9
IRP and Covered Interest Arbitrage
One Choice: Invest $1,000 at 3%. FV = $1,030
= $2.01/£
$1,030 F£(360) $1,030 = £ 512.45 × £ 1
6-11
IRP& Exchange Rate Determination
According to IRP only one 360-day forward rate F360($/£) can exist. It must be the case that
6-14
Arbitrage Strategy II
If F360($/£) < $2.01/£: 1. Borrow £500 at t = 0 at i£= 2.49%. 2. Exchange £500 for $1,000 at the prevailing spot rate; invest $1,000 at 3% for one year to achieve $1,030. 3. Translate $1,030 back into pounds; if F360($/£) < $2.01/£, then $1,030 will be more than enough to repay your debt of £512.45.
6-5
Alternative 2: Send your $ on a round trip to Britain
$1,000 S$/£
IRP
Step 2:
Invest those pounds at i£ Future Value = $1,000
$1,000
Alternative 1: Invest $1,000 at i$ $1,000×(1 + i$) =
Xiaojing Chen
chenxj@suibe.edu.cn 67703822 D 429
6-2
Chapter Outline
Interest Rate Parity
– – – – Covered Interest Arbitrage IRP and Exchange Rate Determination Currency Carry Trade Reasons for Deviations from IRP
A trader with $1,000 could invest in the U.S. at 3.00%. In one year his investment will be worth: $1,030 = $1,000 (1+ i$) = $1,000 (1.03) Alternatively, this trader could:
F360($/£) = $2.01/£
Why?
If F360($/£) $2.01/£, an astute trader could make money with one of the following strategies.
6-12
Arbitrage Strategy I
If F360($/£) > $2.01/£: 1. Borrow $1,000 at t = 0 at i$ = 3%. 2. Exchange $1,000 for £500 at the prevailing spot rate (note that £500 = $1,000 ÷ $2/£.); invest £500 at 2.49% (i£) for one year to achieve £512.45. 3. Translate £512.45 back into dollars; if F360($/£) > $2.01/£, then £512.45 will be more than enough to repay your debt of $1,030.
£
源自文库
S$/£
Since these investments have the same risk, they must have the same future value (otherwise an arbitrage would exist). F$/£ (1 + i$) = (1 + i$) F$/£= S$/£× (1 + i£) × (1 + i£ ) S$/£
…almost all of the time!
6-4
Interest Rate Parity Carefully Defined
Consider alternative one-year investments for $100,000: 1. Invest in the U.S. at i$. Future value = $100,000 × (1 + i$). 2. Trade your $ for £ at the spot rate and invest $100,000/S$/£in Britain at i£ while eliminating any exchange rate risk by selling the future value of the British investment $100,000(1 + i )×F$/£ Future value = forward.
6-10
Other Choice:
Buy £ at $2/£ 500 . £ = 500 $1,000×
$1,000 £ 1
£ 500
Arbitrage I
Step 2: $2.00 Invest £ at 500 i£ = 2.49%. 500 £ 512.45 In one year £ will be worth Step 3: £ 512.45 = Repatriate to the £ (1+ i£) 500 U.S. at F360($/£ )
– – – – Efficient Market Approach Fundamental Approach Technical Approach Performance of the Forecasters
6-3
Interest Rate Parity Defined
IRP is a “no arbitrage” condition. If IRP did not hold, then it would be possible for an astute trader to make unlimited amounts of money by exploiting the arbitrage opportunity. Since we don’t typically observe persistent arbitrage conditions, we can safely assume that IRP holds.
6-13
Step 2: Buy pounds £ = 500 $1,000×
$1,000 £ 1 $2.00
Arbitrage I
Step 3: Invest £ at 500 i£ = 2.49%. 500 £ 512.45 In one year £ will be worth £ 512.45 = £ (1+ i£) 500 Step 4: Repatriate to the U.S. £ 500
Purchasing Power Parity
– PPP Deviations and the Real Exchange Rate – Evidence on Purchasing Power Parity
The Fisher Effects Forecasting Exchange Rates
6-7
Interest Rate Parity Carefully Defined
No matter how you quote the exchange rate ($ per ¥ or ¥ per $) to find a forward rate, increase the dollars by the dollar rate and the foreign currency by the foreign currency rate:
6-6
IRP
S$/£
(1+ i£) × F$/£
Interest Rate Parity Defined
The scale of the project is unimportant. $1,000 (1+ i£) × F$/£ = $1,000×(1 + i$) S$/£ F$/£ × (1+ i£) (1 + i$) = S$/£ IRP is sometimes approximated as: i$ – i£ ≈ F – S S
or F¥/$ = S¥/$ F$/¥= S$/¥ × × …be careful—it’s easy to get this wrong.
6-8
1 + i¥ 1 + i$
1 + i$ 1 + i¥
IRP and Covered Interest Arbitrage
If IRP failed to hold, an arbitrage would exist. It’s easiest to see this in the form of an example. Consider the following set of foreign and domestic interest rates and spot and forward exchange rates.
International Parity Relationships and Forecasting Foreign Exchange Rates
Chapter Six
McGraw-Hill/Irwin
Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.
Step 3: Repatriate future value to the U.S.A. $1,000
S$/£
(1+ i£)
Since both of these investments have the same risk, they must have the same future value—otherwise an arbitrage would exist.