国际财务管理知识分析(英文版).ppt

Chapter Outline Interest Rate Parity Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Covered Interest Arbitrage IRP and Exchange Rate Determination Reasons for Deviations from IRP Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Purchasing Power Parity PPP Deviations and the Real Exchange Rate Evidence on Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Efficient Market Approach Fundamental Approach Technical Approach Performance of the Forecasters Interest Rate Parity Interest Rate Parity Defined Covered Interest Arbitrage Interest Rate Parity Exchange Rate Determination Reasons for Deviations from Interest Rate Parity Interest Rate Parity Defined IRP is an arbitrage condition. If IRP did not hold, then it would be possible for an astute trader to make unlimited amounts of money exploiting the arbitrage opportunity. Since we don’t typically observe persistent arbitrage conditions, we can safely assume that IRP holds. Interest Rate Parity Defined Suppose you have $100,000 to invest for one year. You can either invest in the U.S. at i$. Future value = $100,000(1 + ius) trade your dollars for yen at the spot rate, invest in Japan at i￥ and hedge your exchange rate risk by selling the future value of the Japanese investment forward. The future value = $100,000(F/S)(1 + i￥) Since both of these investments have the same risk, they must have the same future value—otherwise an arbitrage would exist. (F/S)(1 + i￥) = (1 + ius) Interest Rate Parity Defined Formally, (F/S)(1 + i￥) = (1 + ius) or if you prefer, IRP and Covered Interest Arbitrage If IRP failed to hold, an arbitrage would exist. It’s easiest to see this in