MiniCase_PPTsC10MiniCaseJPMorganChaseFX课件.pptVIP

JPMorgan Chase’s Foreign Exchange Forecasting Accuracy A case study in evaluating an individual institution’s foreign exchange forecasting accuracy Veselina (Vesi) Dinova Had been asked by her director at Teknekron (US) to review the exchange rate forecasting accuracy of her company’s primary financial services provider, JPMorgan Chase (JPMC). Vesi had focused on the three primary currencies the company’s operations revolved around , the dollar, the euro, and the yen Teknekron had relied upon JPMC for most of its currency advisory services for years, and the forecasts provided by JPMC were regularly used in sales and sourcing decisions – including pricing The rise of the euro against the dollar in recent years had, however, raised the interest in the accuracy of these forecasts. US dollar/euro spot exchange rate Vesi plotted the forecasts provided by JPMC and the actual spot exchange rate for the 2002-2005 period, in 90-day increments As illustrated by Exhibit 1, the results were not encouraging. Although JPMC had hit the actual spot rate dead-on in both May and November 2002, the size of the forecasting errors, and direction of movement, seemed to increase over time Growing Tension Over Accuracy What was most worrisome to Vesi was that in a good part of 2004, JPMC was getting the direction wrong. In February 2004 they had forecast the spot rate to move from the current rate of $1.27/€ to $1.32/€, but in fact the dollar had appreciated dramatically in the following three month period to close at $1.19/€. Although Teknekron used a weighted moving average of the actual spot and forecasted rate in its foreign currency pricing (in this case, in euros), the directional error had caused the firm to average in a much weaker dollar than what had happened The buyer had been irritated Teknekron’s Exposure Whereas Teknekron did most of its sales in North America and Europe (hence the euro-based pricing), its sourcing was confined to the United States and Japan Teknekron’s