Download 第三章 物流管理

International Finance
国际经济学
Lectured by Yuanfen Tu
School of International Trade and Economics
Email:[email protected]
1
International Finance
By Robert J. Carbaugh
13th Edition
Chapter 2:
Foreign Exchange
2
Arbitrage

Exchange arbitrage

Simultaneous purchase and sale of a currency




In different foreign-exchange markets
To profit from exchange-rate differentials in the
two locations
Brings about an identical price for the same
currency in different locations
Results in one market
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Arbitrage

Two-point arbitrage


Two currencies are traded between two
financial centers
If ₤1=$2 in New York ₤1=$2.01 in London


Foreign-exchange traders will purchase pounds at
$2 per pound in New York and immediately resell
them in London for $2.01 .
This arbitrage process will continue until the
exchange rate in New York is the same as that in
London
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Arbitrage
Arbitrage
Arbitrage
Three-point arbitrage





Triangular arbitrage
Three currencies and three financial centers
Switching funds among three currencies in order to
profit from exchange-rate inconsistencies
If ₤1=$1.5 in New York, ₤1=4francs in Geneva 1
franc=$0.50 in London

Sell $1.5million for ₤1 million

Simultaneously, sell ₤1 million for 4 million francs.

At the same time, sell 4 million francs for $2
million
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Forward Market

Currencies bought and sold now for future
delivery – typically 1, 3, or 6 months




Exchange rate agreed on at the time of the contract
Payment made only when actual delivery takes
place
Banks provide this service to earn profits
Forward rate

Rate of exchange used in the settlement of forward
transactions
The Forward Market

At a premium


When a foreign currency is worth more in the
forward market than in the spot market
At a discount

When a foreign currency is worth less in the
forward market than in the spot market
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TABLE 2.8 Forward exchange rates: selected examples
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Forward Rate

What determines the forward rate?


Interest-rate differentials between
countries
Why might it be at a premium or
discount compared to the spot rate?


One country’s interest rates higher than another’s,
currency is a forward discount
One country’s interest rates lower than another
country’s, currency is a forward premium
The Forward Market

Relation between the forward rate and spot
rate

Interest rate on six-month treasury bills is five
percent in the U.S. and three percent in Swiss
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Foreign exchange
Forward market functions
Hedging (套期保值)refers to the process of
avoiding or covering a foreign-exchange risk.
Case 1: U.S. importer hedges against a dollar
depreciation
import purchase foreign currency in the forward market
in advance
Case 2: U.S. exporter hedges against a dollar
appreciation
export sell foreign currency in the forward market in
advance
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Does Foreign-Currency Hedging
Pay Off?

Standard argument for hedging:


Increased stability of cash flows and earnings
Reasons companies may not view hedging as
a benefit:



Locks in an exchange rate costs up to half a
percentage point per year of the revenue being
hedged
Fluctuations in a firm’s business can detract from
the effectiveness of foreign-currency hedging
The ups and downs for currencies would even out
over the long run
Exchange-rate risk: the hazard of
investing abroad

Exchange-rate fluctuations


Interest rates


Can substantially change the returns on assets
denominated in a foreign currency
Key role in determining the relative attractiveness
of assets denominated in domestic and foreign
currencies
Effects of exchange-rate changes

Can swamp the effects of interest-rate
differentials
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TABLE 2.9
Return on a three-month German
investment
16
Interest Arbitrage

Interest arbitrage refers



Moving funds into foreign currencies
To take advantage of higher investment yields
abroad
Uncovered interest arbitrage

When an investor does not obtain exchangemarket cover

To protect investment proceeds from foreign-currency
fluctuations
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TABLE 2.10
uncovered interest arbitrage: an example
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Interest Arbitrage

A U.S. investor’s extra rate of return

On an investment in the United Kingdom as
compared to the U.S.

= interest-rate differential adjusted for any change in
the value of the pound
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Interest Arbitrage

Covered interest arbitrage

Investor exchanges domestic currency for
foreign currency - at the current spot rate


And uses the foreign currency to finance a foreign
investment
Investor contracts in the forward market


To sell the amount of the foreign currency that will be
received as the proceeds from the investment
With a delivery date to coincide with the maturity of
the investment
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TABLE 2.11
Covered interest arbitrage: an example
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Interest Arbitrage

Forward discount or premium



On one currency against another
Reflects the difference in the short-term interest
rates between the two nations
Forward discount


The currency of the higher-interest-rate nation
Forward premium

The currency of the lower-interest-rate nation
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Foreign-Exchange Market
Speculation

Speculation


Speculation differs from arbitrage, in that it involves
the purchase or sale of a currency in the
expectation that its value will change in the future


Attempt to profit by trading on expectations about prices
in the future
Deliberate assumption of exchange risk
With arbitrage, a currency trader simultaneously
buys a currency at a low price and sells that
currency at a high price.
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Foreign-Exchange Market
Speculation

Stabilizing speculation


Goes against market forces by moderating or
reversing a rise or fall in a currency’s exchange
rate
Useful function for bankers and businesspeople,
who desire stable exchange rates
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Foreign-Exchange Market
Speculation

Destabilizing speculation


Goes with market forces by reinforcing
fluctuations in a currency’s exchange rate
Can disrupt international transactions


High cost of hedging – impeding international trade
Disrupt international investment activity
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How to play the falling (rising)
dollar

Depreciating dollar





Purchase foreign currency
Purchase bonds denominated in a foreign
currency
Purchase stocks of foreign corporations,
denominated in foreign currencies
Savings account denominated in a foreign
currency
Variety of currency derivatives
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Foreign Exchange Trading as a
Career

Foreign exchange traders





Commercial Banks
Companies
Central Banks
Professional traders
Amateurs speculating in foreign currencies
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Foreign exchange
Speculation in the spot market
Given: spot price is $0.40 per franc
Assumption: in 3 months, the spot price of the franc
will rise to $0.50.
Procedure:
1.Purchase francs at $0.40 per franc and deposit
them in a bank.
2.In 3 months, sell the francs at $0.50 per franc.
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Foreign exchange
Speculation in the spot market
Given: spot price is $0.40 per franc
Assumption: in 3 months, the spot price of the franc
will fall to $0.25
Procedure:
1.Borrow francs today, exchange them for dollars at
$0.40 per franc, and deposit the dollars in a bank
2.In 3 months, buy the francs at $0.25 per franc
and use them to pay back the loan.
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Foreign exchange
Speculation in the forward market
Forward market speculation occurs when a
speculator believes that a currency’s spot price
at some future date differ from today’s forward
price for that same date.
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Foreign exchange
Speculation in the forward market
Given: current price of the 3-month forward franc is
$0.40 per franc
Assumption: in 3 months, the prevailing spot price of
the franc will be $0.50.
Procedure:
1.Contract to purchase a specified amount of francs
in the forward market, at $0.40 per franc, for 3month delivery.
2.In 3 months, sell the francs at $0.50 per franc in
the spot market.
31
Foreign exchange
Speculation in the forward market
Given: current price of the 3-month forward franc is
$0.40 per franc
Assumption: in 3 months, the prevailing spot price of
the franc will be $0.30.
Procedure:
1. Contract to sell a specified amount of francs in
the forward market, at $0.40 per franc, for 3month delivery.
2.In 3 months, purchase an identical amount of
franc in the spot market at $0.30 per franc and
deliver them to fulfill the forward contract.
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Foreign exchange
Speculation in the forward market
Long position（多头）is the position speculator take
when they purchase a foreign currency on the spot or
forward market with the anticipation of selling it at a
higher future spot price.
Short position（空头）is the position speculator take
when they borrow or sell forward a foreign currency
with the anticipation of purchasing it at a lower price
to repay the foreign-exchange loan or fulfill the
forward sale contract.
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多头套期保值案例
美国某进口商2月10日从德国购进价值125000马克
的货物，1个月后支付货款。为防止德国马克升值而
使进口成本增加，该进口商买入1份3月期德国马克
期货合约，面值125000马克，价格为
USD0.5841/DEM，1个月后德国马克果然升值，现
汇价由USD0.5815/DEM变为USD0.5945/DEM，期货
价变为USD0.5961/DEM，试计算该进口商的进口成
本上的损益变化。

套期保值的基本特征是，在现货市场和期货市场对同一种
类的商品同时进行数量相等但方向相反的买卖活动，即在
买进或卖出实货的同时，在期货市场上卖出或买进同等数
量的期货，经过一段时间，当价格变动使现货买卖上出现
的盈亏时，可由期货交易上的亏盈得到抵消或弥补。从而
在"现"与"期"之间、近期和远期之间建立一种对冲机制，以
使价格风险降低到最低限度。期货市场毕竟是不同于现货
市场的独立市场，它还会受一些其他因素的影响，因而期
货价格的波动时间与波动幅度不一定与现货价格完全一致
；加之期货市场上有规定的交易单位，两个市场操作的数
量往往不尽相等，这些就意味着套期保值者在冲销盈亏时
，有可能获得额外的利润或亏损。