国际财务管理重点 小抄.docx

抛补套利.Diagram of interest arbitrage (1/1+i($)) $today$ in one year （1+i($)） 1/S($/￡)S($/￡)1/F($/￡)F($/￡)(1/1+i(￡)) ￡today￡in 1 year （1+i(￡)）The diagram says, each node represent either dollars or pounds today dollars or pounds in the future period. The arrows are labeled with the associated revenue or price in terms of the currency at the final node as a result of delivering one unit of currency at the enitial node .For example: if you are at the node representing pounds today, and you want to invest 1 pound for the future period , and 1 year later you will get (1+i(￡)).In order to the repayment to work out to be $1,you borrow only 1/（1+i(S)）today.If you are at the node representing dollars today ,the number of pounds a dollar yields is 1/S($/￡)。 And if you are at the future pound node, the dollars from 1 pounds are F($/￡)。If you want to get 1 pound in the future ,now you need to borrow some dollars, the number is (S($/￡)/1+i(￡))。If you have 1 dollars today, there are two ways to invest. In one way, you can get (1+i($)) directly. In the second way, you can sell the dollar in the exchange market and get 1/s($/￡) pound, 1 year later, you can get (1+i($))/s($/￡) pound, then sell pounds for dollars, you can get ((1+i(￡)/s($/￡))xF($/￡)). You can compare the two results, and chose one to invest to get the higher profit.So that ij the Covered Interest Arbitrage. The International Parity Conditions1the covered interest rate parity (CIRR),uncovered interest rate parity(UIRP),and purchasing power parity(PPP) relationships, together with the Fisher hypothesis, are sometimes refered to as the International parity conditions.2CIRR and UH:A no-arbitrage relationship between spot and forward exchange rates and the two nominal interest rates associated with these currencies. From covered interest parity, we can relate the interest differential to the forward premium or discount, then from unbiasedness hypothesis we can get the expected forward exchange rate.PPP and Fisher relation: