chapter4 forward exchange and international financial investment.pptVIP免费

HuangzhiyongHuangzhiyongNanjingUniversityofFinance&Economicshzy196896@sina.comTel：84028241Chapter4ForwardExchangeandInternationalFinancialInvestmentMaincontentsThischapterexaminesfutureexchangesofmoneysandtheexposuretotheriskofuncertainfutureexchangerates.Itdiscusseshowforwardforeignexchangecontractscanbeusedtoreducetheriskexposureortospeculateonfutureexchangerates.一、ExchangerateriskExchangerateschangeovertime.Exchangeraterisk:whentheexchangerateschangeunpredictablyinthefuture,thevalueoftheperson’sincome,wealth,ornetworthchanges.Foreignexchangeposition:longposition,shortpositionandsquarepositionHedgerandspeculator二、ThebasicsofforwardforeignexchangeAforwardforeignexchangecontractisanagreementtoexchangeonecurrencyforanotheronsomedateinthefutureatapricesetnow.Contractscanbenegotiatedforjustaboutanymaturitybutmostbankssupplyregularquotesonmaturitiesof30,60,90,and180days.Donotconfusetheforwardratewiththefuturespotrate.HedgingUsingforwardforeignExchangeAcquiringanassetinaforeigncurrencytooffsetanetliabilitypositionalreadyheld.Acquiringaliabilityinaforeigncurrencytooffsetanetassetpositionalreadyheld.Hedgingmeansavoidingbothkindsof“open”positionsinaforeigncurrency.SpeculatingUsingForwardRateAspeculatorisanybodywhoiswillingtotakeanetpositioninaforeigncurrency.Speculator’spressuresonsupplyanddemandshoulddrivetheforwardexchangeratetoequaltheaverageexpectedvalueofthefuturespotexchangerate.三、InternationalFinancialInvestmentSupposeyouhaveRMB¥1toinvestforoneyear.Youcaneither1.investinChinaati¥.Futurevalue=¥1(1+i¥)or2.tradeyourRMBfordollarsatthespotrate,investinU.S.ati$andhedgeyourexchangerateriskbysellingthefuturevalueoftheAmericaninvestmentforward.Thefuturevalue=¥1(f/e)(1+i$)¥1¥1(1+i¥)¥1(f/e)(1+i$)Coveredinterestdifferential(CD)Forwardpremium(F)soCD=(f/e)(1+i$)-(1+i¥)F=(f-e)/e=f/e-1,f/e=1+F,(f/e)(1+i$)=1+F+i$+Fi$≈1+F+i$CD≈F+(i$-i¥)CoveredinterestarbitrageBothoftheseinvestmentsmusthavethesamefuturevalue—othe...