国际财务管理知识分析(英文版).pptxVIP

Chapter Five5International Parity Relationships Forecasting Exchange RatesINTERNATIONALFINANCIALMANAGEMENTChapter Objective:This chapter examines several key international parity relationships, such as interest rate parity and purchasing power parity. EUN / RESNICKSecond EditionChapter OutlineInterest Rate ParityPurchasing Power ParityThe Fisher EffectsForecasting Exchange RatesChapter OutlineInterest Rate ParityCovered Interest ArbitrageIRP and Exchange Rate DeterminationReasons for Deviations from IRPPurchasing Power ParityThe Fisher EffectsForecasting Exchange RatesChapter OutlineInterest Rate ParityPurchasing Power ParityPPP Deviations and the Real Exchange RateEvidence on Purchasing Power ParityThe Fisher EffectsForecasting Exchange RatesChapter OutlineInterest Rate ParityPurchasing Power ParityThe Fisher EffectsForecasting Exchange RatesChapter OutlineInterest Rate ParityPurchasing Power ParityThe Fisher EffectsForecasting Exchange RatesEfficient Market ApproachFundamental ApproachTechnical ApproachPerformance of the ForecastersInterest Rate ParityInterest Rate Parity DefinedCovered Interest ArbitrageInterest Rate Parity Exchange Rate DeterminationReasons for Deviations from Interest Rate Parity Interest Rate Parity DefinedIRP 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 DefinedSuppose 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