國際投資期末復習

1、Chapter 1匯率標價1、Direct Exchange Quotations 直接標價法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

2、 (foreign currency) is worth 0.75 euro.2、 Indirect Exchange Quotations 間接標價法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 in

3、vestor, the indirect quote is :$ = 1.34 which says that 1 euro is worth 1.34 dollar.Cross Rate Calculations 套算匯率3、A cross rate is the exchange rate between two countries inferred from each countrys exchange rate with a third country.For example, bank A gives the following quotations:$ = 1.3364 $:

4、65; = 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外匯市場標價慣例4、The international currency market has two main components:A worldwide Forex market between major banks and specialized

5、 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. 銀行間大宗交易的“批發(fā)”市場A retail market

6、where investors and corporations deal with local banks. “零售”市場5、 No need to quote both a direct and indirect rate, e.g. both $: and :$. 沒有必要在市場中同時維持歐元兌美元和美元兌歐元的標價History mostly dictates the exchange rate direction that is selected6、 Not all exchange rates are traded. 并不是所有的貨幣都有匯率交易7、 Forex quotes al

7、ways include a bid price and an ask price (or offer price), and there is no commission or fee added on a trade.外匯標價通常包括一個買入價和一個賣出價，一筆交易中不存在傭金和手續(xù)費。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

8、price of 120.17 yen per dollar,and will sell dollars at a price of 120.19 yen per dollar.Bid-Ask Quotes 買入-賣出標價9、 Bid price: the exchange rate at which the dealer is willing to buy the quoted currency in exchange for the second currency.10、 Ask (offer) price: the exchange rate at which the dealer is

9、 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: ¥:$ = 0.0065

10、5 0.00664Arbitrage 套利14、Consider the following three banks each providing a $:¥ quote :Bank A Bank B Bank C122.25-35122.40-45 122.25-45Does 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

11、. Forward Rates 遠期標價15、Spot rates are quoted for immediate currency transactions （takes place 48 hours later). 即期匯率16、Forward exchange rates are contracted today but with delivery and settlement in the future. 遠期匯率17、If the 3 month forward exchange rate is :$ = 1.23778 and the spot rate is :$ = 1.25

12、00, calculate the forward premium/discount.18、 S:Spot rate F:forward rate s=a:b (F-S)/S=(ra-rb)/(1+ra)F/S=(1+rb)/(1+ra)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=(ra-rb)/(1+ra)=（0.0339-0.0176）/1.0176=1.6%20、Spot rate

13、= $: =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+rb)/(1+ra)*S=1.058*(1+0.0339/4)/(1+0.0176/4)=1.0623Chapter2Supply and Demand for Foreign Exchange外匯的供給與需求1、 In general, there are many types of transactions that

14、affect the demand and supply of one national currency.（excess supply of euros）Balance of Payments 國際收支The convention is to treat all inflows as a credit(貸方） to the balance of payments.2、 Current Account 經常賬戶（Covers all current transactions that take place in the normal business of residents of a cou

15、ntry.）：Exports and imports (trade balance) ，Services，Income（投資、股利、各種跨境收入），Current transfers（禮品及其他流動沒有報償補償）3、 Financial Account 金融賬戶（Covers investments by residents abroad and investments by nonresidents in the home country）：Direct investment made by companies，Portfolio investments in equity, bonds a

16、nd other securities of any maturity，Other investments and liabilities （對外國銀行的存款和借款）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

17、.經常賬戶赤字會被金融賬戶盈余所抵消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?經常賬戶赤字是一個不好的經濟信號嗎?No.A current account deficit is sometimes caused by economic growth.When a country grows faster than its trading

18、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

19、sustainable? 巨額的經常賬戶赤字是可持續(xù)的嗎?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.Internati

20、onal Parity Relations 國際平價關系8、 Interest rate parity is the relation that the forward discount (premium) equals the interest rate differential between two currencies.Exact relation 精確關系：F/S = (1 + rFC)/(1 + rDC)Linear approximation 線性估算： = F/S -1 = rFC - rDC 9、 Suppose that France is the domestic cou

21、ntry 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

22、 equation :F/S = (1 + rFC)/(1 + rDC), 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, = F/S -1 =rFC - rDC We have = 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$

23、per euro.10、 Purchasing Power Parity (PPP) Relation購買力平價：匯率與通貨膨脹差 inflation and exchange rate movements11、 The law of one price（一價定律），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、 Re

24、lative PPP claims that the percentage movement of the exchange rate should be equal to the inflation differential between the two economies.Exact relation:S1/S0 = (1 + IFC)/(1 + IDC) Linear approximation：s = S1/S01 =IFC - IDC13、 PPP says that what you gain with lower domestic inflation, you can expe

25、ct to lose on foreign market.14、 International Fisher Relation 國際費雪關系：利率與預期通貨膨脹差The interest rates used in day-to-day financial transactions are nominal interest rates.名義=實際+通脹15、 費雪 that the interest rate differential between two countries should be equal to the expected inflation rate differential

26、 over the term of the interest rate.Exact：(1 + rFC)/(1 + rDC) = (1 + E(IFC)/(1 + E(IDC)Linear approximation：rFCrDC= E(IFC) - E(IDC)Chapter 3Pegged Exchange Rates釘住匯率制度1、an enlargement of international reserves，the design of stable but adjustable exchange rates.擴大國際儲備，穩(wěn)定但可調匯率的設計。2、The Current Situati

27、on: Floating and Pegged Exchange Rates：Under the current system, the price of each currency is freely determined by market forces.Exchange rates fluctuate according to supply and demand.3、Has Hong Kong formally adopted a currency board?Hong Kong did not formally adopt a currency board. Instead, it a

28、nnounced a total commitment to maintain a parity of the HK dollar with the U.S. dollar within the band of 7.75 7.85 HK$/U.S$. The Hong Kong Monetary Authority stands ready to use its reserves to defend the fixed rate, despite pressures brought by the appreciation of the Chinese Yuan.本港并未正式采取貨幣委員會。相反

29、，它宣布了一個總的承諾，保持平價的港元與美元在7.757.85港元。本港金融管理局隨時準備利用其外匯儲備，以捍衛(wèi)固定匯率，盡管人民幣升值帶來的壓力。The Euro4、As of January 1, 1999 the euro was introduced for all official and inter-bank transactions, as well as for securities quotations and transactions.On January 1, 2002, euro bank notes were introduced and all former leg

30、acy currencies ceased to exist.（Denmark、Sweden、United King）（ECB established in Frankfurt）The Euro countries in 2007 include:Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal, Spain and Slovenia.奧地利、比利時、芬蘭、法國、德國、希臘、愛爾蘭、意大利、盧森堡、荷蘭、葡萄牙、西班牙和斯洛文尼亞。（27個成

31、員國，13個歐元區(qū)國）The Empirical Evidence5、 By arbitrage, IRP must hold for all major investment currencies (free / deregulated).（自由流動、無限資金）Some countries, especially developing ones, still impose various forms of capital controls and taxes that impede arbitrage.Furthermore, some smaller currencies can be b

32、orrowed and lent only domestically, and domestic money markets are often subject to political risk and various types of costly regulations and controls.一些國家，特別是發(fā)展中國家，仍實行各種形式的資本管制和稅收，阻礙套利。此外，一些較小的貨幣可以借，僅在國內，國內貨幣市場往往受到政治風險和各種類型的昂貴的法規(guī)和控制。6、The International Fisher relation does not directly involve the

33、 exchange rate. The question raised is whether real interest rates are equal among countries. Real interest rates tend to move up and down together worldwide as a function of the world business cycle. Because national business cycles are not fully synchronized, however, significant differences in re

34、al interest rates can exist in any time period.An investment strategy that takes advantage of such deviations from parity would be to invest in high-interest-rate currencies.在全球范圍內，實際利率趨向于將全球范圍內的商業(yè)周期作為一個功能來移動和下跌。因為國家的商業(yè)周期是不完全同步的，但是，在任何時間周期中，實際利率的顯著差異。投資于高利率貨幣，是一種利用這種偏離平價的投資策略。7、 PPP is considered a

35、poor explanation for short term exchange rate movements, and hence for exchange rate volatility. However, PPP tends to holds quite well in the long run.購買力平價對于短期匯率變化不是很好，因此對匯率波動的解釋力也比較差，但是從長期來看，購買力關系能夠較好的成立。8、 There are several explanations of why PPP is not verified in the short run:The measurement

36、 of an inflation rate is questionable.Transfer costs, import taxes and restrictions and export subsidies may not allow arbitrage in the goods markets to restore PPP.Many factors other than inflation influence exchange rates.衡量的通貨膨脹率是值得懷疑的。轉移成本，進口稅和限制和出口補貼可能不允許套利在商品市場，以恢復購買力平價。通貨膨脹以外的許多因素影響匯率。Chapter

37、4Efficient Market Hypothesis：EMH 有效市場假說1、In an efficient market, any new information would be immediately and fully reflected in prices.In an efficient market, the typical investor could consider an asset price to reflect its true fundamental value at all times.The general consensus is that individu

38、al markets across the world are quite efficient.在一個有效的市場中，任何新的信息都會立即得到充分的反映在價格上。在一個有效的市場，在任何時候典型的投資者可以考慮資產價格，以反映其真正的基本價值。普遍的共識是，整個世界的個人市場都相當有效。Integration VS Segmentation一體化 VS 市場分割2、International markets are integrated if they are efficient in the sense that securities with the same risk characteri

39、stics have the same expected return wherever in the world they are traded.An integrated world financial market would achieve international efficiency, in the sense that capital flows across markets would instantaneously take advantage of any new information throughout the world.Most developed market

40、s are considered to be integrated.國際市場是一體化的如果他們是有效的，也就是說，無論在哪里交易，具有相同的風險特征的證券具有相同的預期回報。一體化的國際金融市場將會產生國際有效性，即世界市場的流動資本將會同步利用任何新消息獲利。大多數發(fā)達市場被認為是一體化的。3、 International markets are considered to be segmented if they are inefficient in the sense that securities with the same risk characteristics sell at d

41、ifferent exchange rate adjusted prices in different countries, thus violating the law of one price.如果國際市場不有效，就被認為是分割的，即具有相同的風險特征的證券在不同國家有不同價格，因此違反了一價定律。Impediments to Capital Mobility資本流動的障礙4、 Psychological barriers心理障礙：Unfamiliarity with foreign market,language,sources of information,and so on migh

42、t curtail(縮減) foreign investment. .Legal restrictions.法律約束：Institutional investors are often constrained in their foreign investment.Transaction costs.交易成本：The cost of foreign investment can be high than for domestic investment.Discriminatory taxation.差別征稅：Foreign investment might be more heavily ta

43、xed than domestic investment.Political risks政治風險：The political risks of foreign investment might dampen enthusiasm for international diversification.外國投資的政治風險可能會挫傷國際投資的積極性。Foreign currency risks.外匯風險：Foreign investment bear the unexpected changes in the foreign exchange rate.5、 Segmentation tends to

44、 be more apparent with emerging markets.The flow of foreign investment has grown rapidly over the years; thus, it does not seem that the international markets are fully segmented.Domestic Capital Asset Pricing Model （CAPM）6、 Assumptions of Standard CAPM(5個假設）Investors care about risk and return, and

45、 they prefer less risk & more expected return;All investors agree about the expected return and risk of all assets;Investors care about nominal returns in their domestic currency;A risk-free interest rate exists,Borrowing and lending at the risk-free rate is possible;No transactions costs or tax

46、es.7、 Separation Theorem;When risk-free borrowing and lending are possible, everyone should hold the same portfolio of risky assets, and the optimal combination of risky assets can be separated from the investors preferences toward risk and return.All investors should hold a combination of the risk-

47、free asset and the market portfolio.分離定律：在無風險借貸是可能的，每個人都應該持有相同組合的風險資產，最優(yōu)的風險投資組合，應該與投資者對于風險的偏好分離。所有投資者都應該持有無風險資產和市場組合。（無風險市場的組合是國內市場組合）8、 The Application of CAPM；Asset Valuation資產估值，Resource Allocation資源配置（Bull Markets: higher Bear Markets: lower ）9、 The domestic CAPM extension can be justified only

48、with the addition of two unreasonable assumptions:Investors throughout the world have identical consumption baskets.Real prices of consumption goods are identical in every country. In other words, PPP holds exactly at any point in time.國內CAPM只能通過添加兩個不太合理的假設才能適用于世界市場；全世界的投資者都有相同的消費籃子。每個國家的消費品的實際價格是相同

49、的。換句話說，購買力平價在任何時候都成立。10、 With direct rates, the real exchange rate is the nominal exchange rate times the ratio of the foreign price level to the domestic price level. X = S* (PFC/PDC)X is the real exchange rate，真實匯率；S is the nominal exchange rate，名義匯率；PFC is the foreign country price level，外國物價水平；P

50、DC is the domestic country price level；國內物價水平11、The one-year risk-free interest rates are 6% in DC and 3% in FC. The expected exchange rate appreciation of FC 4%. What is the foreign currency risk premium?Solution:12、 ICAPM Separation Theorem；the optimal investment strategy for any investor is a com

51、bination of two portfolios: The risk free asset in their own currency;The world market portfolio optimally hedged against foreign currency risk.任何投資者的最優(yōu)投資策略，都是組合的投資組合的結合：所有投資者共有的風險組合；用來降低購買力風險的個人對沖組合。13、 ICAPM: Risk-Pricing Relation：E(Ri) = R0 + iw x RPw +y i x SRPFC國內無風險利率 資產i世界市場風險溢價 資產i外匯風險溢價Chap

52、ter5Price-Driven vs. Order Driven Markets1、Automated trading systems 自動交易系統(tǒng)have followed two different paths:A market organization dominated by dealers making the market (also known as a price driven or quote driven market).價格驅動市場A market organization with brokers acting as agents in an auction syst

53、em (also known as an order driven market).訂單驅動市場2、dealer marketPrice-Driven marketquote-Driven market( NASDAQ)Market makers stand ready to buy or sell at posted prices.The bid and ask quotes are firm commitments by the market maker to transact at those prices for a specified transaction size.報價是做市商做

54、出的一種承諾，即在此價格上交易特定數量的證券）Only American stock markets have retained a price driven model.This system is useful for trading large blocks.3、 Advantages:Easier to execute large block trades .Disadvantages:More expensive to operate ，Requires more human intervention(價格驅動）4、 Order Driven Marketsauction marke

55、t：（Paris, Frankfurt, Tokyo）Traders publicly post their orders and the transaction price is the result of the equilibrium of supply and demand.Most emerging markets have adopted this system.All buy and sell orders are entered in a central order book and a new order is immediately matched with the boo

56、k of limit orders previously submitted.To improve liquidity, most have retained periodic call auctions.（為了提高流動性，大部分指令驅動市場都保持周期性的集合競價）5、 Advantages:Requires little human intervention.Less costly to operate.Markets with lesser transaction volumes have found it more efficient to adopt.Disadvantages:Dif

57、ficulty in executing large tradesAmerican Capital Markets6、Major U.S. stock markets: The New York stock exchange、The nasdaq stock market、The American stock exchange7、U.S and British stock market capitalization are much larger than their respective annual GDP.France and Germany have stock market capi

58、talization that are smaller than their respective annual GDP.WHY? U.S and British firms prefer to go publish, whereas in France and Germany,tradition calls for maintaining private ownership as much as possible. In France and Germany,banks tend to provide corporations with all financial services,assisting them in both their commercial needs and their long-term debt and equity financing.U.S companies tend to go publish and raise capital in the marketplace,thereby increasing