国际金融资本预算以货币风险.pptVIP

International Finance Today Capital Budgeting (international style) Financing (international style) Topics Exchange rates Currency risk Managing Currency Risk Capital Budgeting w/ currency risk Financing w/currency risk Exchange Rates Spot Rate The price of a currency for immediate delivery (i.e. today’s exchange rate) Forward Rate The price of a currency on a specified future date (i.e. a forward contract in which the exercise price is the exchange rate) Futures - Same as forward (w/secondary markets) Options - on exchange rates Future Ks Exchange Rates Example German mark spot price is M1.4457 per $1 German mark 6 mt forward price is M1.4282 per $1 The Mark is selling at a Forward Premium The Dollar is selling at a Forward Discount This means that the market expects the dollar to get weaker, relative to the mark Example (premium? discount?) The Japanese Yen spot price is 101.18 per $1 The Japanese 6mt fwd price is 103.52 per $1 Exchange Rates Example What is the Mark premium (annualized)? Exchange Rates Example What is the Mark premium (annualized)? Exchange Rates Example What is the Mark premium (annualized)? Exchange Rates Example What is the Mark premium (annualized)? Exchange Rates 1) Interest Rate Parity Theory 1 + rf = Ff/$ 1 + r$ Sf/$ The difference between the risk free interest rates in two different countries is equal to the difference between the forward and spot rates Exchange Rates Exchange Rates Exchange Rates Exchange Rates Exchange Rates Exchange Rates 2) Expectations Theory of Forward Rates Ff/$ = E (Sf/$) Sf/$ Sf/$ Exchange Rates 3) Law of One Price (Purchasing Power Parity) E (Sf/$) = E ( 1 + if ) Sf/$ E ( 1 + i$ ) Exchange Rates Example Given a spot rate of dm:$ 1.4457:$1 Given a 1yr fwd rate of 1.4194:$1 If inflation in the US is forecasted at 4.5% this year,what do we know about the forecasted inflation rate in Germany? Exchange Rates Example Given