学习提纲：
开放经济下的宏观经济学+ 国际金融市场 + 跨国公司财务管理 国际货币体系 外汇市场 国际直接投资 国际收支平衡 货币市场 外汇风险管理
金融危机 资本市场 跨国公司资产负债管理 金融衍生工具市场
国际银行业
考试题型：名词解释5×4=20 简答题 6×10=60
论述题 1×20=20（二选一）
Lecture 2 The International Monetary System （国际货币体系）
Readings P25-33 P39-45 P53-54
考点：国际货币体系的演变过程 格雷欣法则 金本位制的优缺点 布雷顿森林体系内容 3种汇率制度 特里芬难题 牙买加协议 广场协议 罗浮宫协议 三元悖论 International Monetary System
International monetary system can be defined as the institutional framework
in which international payments are made, movements of capital are accommodated , and exchange rates among currencies are determined. It is a complex whole of arrangements, rules, institutions, mechanisms, and
policies regarding exchange rates, international payments, and the flow of capital.
Evolution of the International Monetary System（演变过程）
Bimetallism （复本位）: Before 1875
Classical Gold Standard（金本位）: 1875-1914
Interwar Period: 1915-1944 （两次世界大战期间，没有固定货币体系） Bretton Woods System（布雷顿森林体系）: 1945-1972
The Flexible Exchange Rate Regime（浮动汇率制度）: 1973-Present Bimetallism: Before 1875
Grasham’law phenomenon(格雷欣法则) has only made the less valuable metal to
circulate.
Classical Gold Standard: 1875-1914
During this period in most major countries:
Gold alone was assured of unrestricted coinage
There was two-way convertibility between gold and national currencies at a
stable ratio.
Gold could be freely exported or imported.
The exchange rate between two country’s currencies would be determined by their
relative gold contents.
Classic Gold Standard
For Example:
If 1 ounce gold=12Francs 1 ounce gold=6pounds
1
06国贸1国际金融复习资料
Then 1pound=2Francs
Advantages of the Gold Standard:（优点）
Highly stable exchange rates under the classical gold standard provided an
environment that was conducive to international trade and investment.（没有外汇风险，有利于国际投资和国际贸易）
Misalignment of exchange rates and international imbalances of payment were
automatically corrected by the price-specie-flow mechanism. There are shortcomings:（缺点）
The supply of newly minted gold is so restricted that the growth of world trade
and investment can be hampered for the lack of sufficient monetary reserves.
货币价值与黄金挂钩，而世界的黄金储存量是有限的，黄金的供给不足，严重阻碍了国际投资和贸易，最终导致了金本位的崩溃。）
金本位制通行了约100年，其崩溃的主要原因有：
第一，黄金生产量的增长幅度远远低于商品生产增长的幅度，黄金不能满足日益扩大的商品流通需要，这就极大地削弱了金铸币流通的基础。
第二，黄金存量在各国的分配不平衡。1913年末，美、英、德、法、俄五国占有世界黄金存量的三分之二。黄金存量大部分为少数强国所掌握，必然导致金币的自由铸造和自由流通受到破坏，削弱其他国家金币流通的基础。 第三，第一次世界大战爆发，黄金被参战国集中用于购买军火，并停止自由输出和银行券兑现，从而最终导致金本位制的崩溃。
Bretton Woods System: 1945-1972（以美元为基础的金本位制）
Under the Bretton Woods system, the U.S. dollar was pegged to gold at $35 per ounce
and other currencies were pegged to the U.S. dollar. Each country was responsible for maintaining its exchange rate within ±1% to ±
2.25% of the adopted par value by buying or selling foreign reserves as necessary. The Bretton Woods system was a dollar-based gold exchange standard. Collapse of the System
Triffin Paradox（特里芬难题）
The rapid development of Germany, France and Japan
The Flexible Exchange Rate Regime: 1973-Present.各国自主决定本国的汇率制度（协议要关注）
The flexible exchange rate regime was ratified after the settlement of the Jamaica Agreement （牙买加协议）in 1976.
Flexible exchange rate were declared to IMF members, and central banks were
allowed to intervene in the exchange market.
Gold was officially abandoned as an international reserve.
Non-oil-exporting countries and less developed countries were given great
access to IMF funds
Jamaica Agreement 牙买加协议 内容：
（1）浮动汇率合法化 （2）黄金非货币化
（3）提高特别提款权的国际储备地位
2
06国贸1国际金融复习资料
（4）扩大对发展中国家的资金融通 （5）增加会员国的基金份额
Plaza Accord（广场协议） : In Sept.1985, the so-called G5 countries reached Plaza
Accord. They agreed that it would be desirable for the dollar to depreciate against most major currencies to solve the US trade deficit.
Louvre Accord:（卢浮宫协议） To address the problem of exchange rate volatility , the
G-7 countries signed the Louvre Accord.This marked the inception of the managed-float system . 该协议的主要约定是：
1、日本和西德等实施刺激内需计划，美国进一步削减财政赤字。
2、G7国家加强外汇市场“干预协调”，秘密保持美元对日元和马克汇率的非正
式浮动区，如果汇率波动超出预期目标5％，各国要加强合作干预。 该协议的主要精神是：
1、七大工业国应共同合作来稳定汇率。
2、七大工业国建立共同磋商机制，协调各国的宏观经济政策。 该协议的结果：
卢浮宫协议后，国际主要货币汇率在近两年多的时间里保持基本稳定，没有发
生太大动荡。 Current Exchange Rate Arrangements （汇率制度包括：固定汇率制度，浮动汇率制度，钉住汇率制度）
The Fixed （固定汇率） The floating（浮动汇率）
Free floating（完全自由浮动汇率）
Managed floating（有管理的浮动汇率）
The Pegged System（钉住汇率制度）
Currency Board
Pegged within crawling bands（爬行钉住汇率） Pegged within horizontal bands（钉住幅度汇率制） …..
The Trilemma by Mundell:（蒙代尔三角形，三元悖论）
When money can move freely across borders, policy markers must choose
between exchange-rate stability and an independent monetary policy. They can’t have both.
根据蒙代尔的三元悖论，一国的经济目标有三种：：①各国货币政策的独立性；
②汇率的稳定性；③资本的完全流动性。 这三者，一国只能三选其二，而不可能三者兼得。例如，在1944年至1973年的“布雷顿森林体系”中，各国“货币政策的独立性”和“汇率的稳定性”得到实现，但“资本流动”受到严格限制。而1973年以后，“货币政策独立性”和“资本自由流动”得以实现，但“汇率稳定”不复存在。“永恒的三角形”的妙处，在于它提供了一个一目了然地划分国际经济体系各形态的方法。
【三者之间的选择关系】
3
06国贸1国际金融复习资料
根据三元悖论，在资本流动，货币政策的有效性和汇率制度三者之间只能
进行以下三种选择：
(1)保持本国货币政策的独立性和资本的完全流动性，必须牺牲汇率的稳
定性，实行浮动汇率制。这是由于在资本完全流动条件下，频繁出入的国内外资金带来了国际收支状况的不稳定，如果本国的货币当局部进行干预，亦即保持货币政策的独立性，那么本币汇率必然会随着资金供求的变化而频繁的波动。利用汇率调节将汇率调整到真实反映经济现实的水平，可以改善进出口收支，影响国际资本流动。虽然汇率调节本身具有缺陷，但实行汇率浮动确实较好的解决了“三难选择”。但对于发生金融危机的国家来说，特别是发展中国家，信心危机的存在会大大削弱汇率调节的作用，甚至起到恶化危机的作用。当汇率调节不能奏效时，为了稳定局势，政府的最后选择是实行资本管制。
(2)保持本国货币政策的独立性和汇率稳定，必须牺牲资本的完全流动性，
实行资本管制。在金融危机的严重冲击下，在汇率贬值无效的情况下，唯一的选择是实行资本管制，实际上是政府以牺牲资本的完全流动性来维护汇率的稳定性和货币政策的独立性。大多数经济不发达的国家，比如中国，就是实行的这种政策组合。这一方面是由于这些国家需要相对稳定的汇率制度来维护对外经济的稳定，另一方面是由于他们的监管能力较弱，无法对自由流动的资本进行有效的管理。
(3)维持资本的完全流动性和汇率的稳定性，必须放弃本国货币政策的独
立性。根据蒙代尔-弗莱明模型，资本完全流动时，在固定汇率制度下，本国货币政策的任何变动都将被所引致的资本流动的变化而抵消其效果，本国货币丧失自主性。在这种情况下，本国或者参加货币联盟，或者更为严格地实行货币局制度，基本上很难根据本国经济情况来实施独立的货币政策对经济进行调整，最多是在发生投机冲击时，短期内被动地调整本国利率以维护固定汇率。可见，为实现资本的完全流动与汇率的稳定，本国经济将会付出放弃货币政策的巨大代价。
Lecture 3 The Balance of Payments (国际收支平衡) Readings P59-72
考点：国际收支平衡项目表 Balance of Payments Statements
The Balance of Payments is the statistical record of a country’s international
transactions over a certain period of time presented in the form of double-entry bookkeeping.
N.B. when we say “a country’s balance of payments” we are referring to the transactions of its citizens and government.
The balance of payments accounts are those that record all transactions between the
residents of a country and residents of all foreign nations. They are composed of the following:
The Current Account（经常项目） The Capital Account（资本项目） Statistical Discrepancy（错误遗漏）
The Official Reserves Account（官方储备账户）
国际收支账户中经常账户、资本账户和错误遗漏的累计值称为总余额或官方结算余额。如果为“+”，则是顺差，表明在一定时期内一国流入的外汇大于流出的外汇，国家外汇
4
06国贸1国际金融复习资料
储备增加。如果为“—”，则是逆差，表示在一定时期内，一国流入的外汇小于流出的外汇，要动用国家外汇储备，外汇储备减少。
为什么美国经常项目的逆差会这么大？有什么影响？结合实际进行分析。（国际收支不平衡的原因）
The Capital Account Question 1
Since the early 1980s, foreign portfolio investors have purchased a significant portion
of U.S treasury bond issues. Discuss the short-term and long-term effects of foreigners’ portfolio investment on the U.S. balance of payments.
5 possible factors which causes the imbalance of Payments
The effects of Economic Development Period National Income Economic Structure The Currency factors Accidental factors
The Influences of the Imbalance of Payments
The Influences of the BOP Deficit The BOP deficit means the more capital outflow than the capital inflow, thus it
would increase the demand of the foreign currency, bringing out the depreciation of one country’s currency.
If the imbalance of the BOP is caused by the current account deficit, the
economic development will slows down and unemployment will increase.
If the imbalance of the BOP is caused by the capital account deficit, it will
increase the interest level, slows down the economy development.
Question 2
Comment on the following statement: “since the US imports more than it exports, it is
necessary for the US to import capital from foreign countries to finance its current account deficits”.
Questions
A) The US has experienced continuous current account deficits since early 1980s. What
do you think are the main causes for the deficits? What would be the consequences of continuous US current account deficits?
B) In contrast to the US, Japan has realized continuous current account surpluses. What
would be the main cause for these surpluses? Is it desirable to have continuous current account surpluses?
The Adjustments of Imbalance of Payments
Fiscal Policy
The government adopts tax reduction policy to encourage export. The government affects the BOP through fiscal expenditure policies.
Currency Policy
5
06国贸1国际金融复习资料
The reserve ratio policy The discount policy The direct intervention. The forex exchange policy
Lecture 4 The International Reserve and China’s International Reserve Management （中国的国际外汇储备）
考点：国际储备包括黄金和外汇，中国的外汇储备主要是外汇。 论述题（其中之一，论述题二选一作答）：中国的外汇储备是怎样增加的？为什么会增加？有何影响？要如何进行管理？（除了了解课件的内容，还要准备其他材料，请自行查阅相关的资料）
The International Reserve Account
The international reserve account includes all the assets undertaken by the authorities
to finance the overall balance and intervene in the foreign exchange markets.
International Liquidity refers to the country’s capability to maintain the
balance of payments and the exchange rate without any special adjustments which will influence the country’s economic well-being.
Official reserves assets is composed of
Gold
Foreign exchange
Special Drawing Rights
Reserve positions in the IMF
China’s Forex Reserve Management （中国外汇储备管理）
Until June of 2007, China’s forex reserve has exceeded 1.3trillion U.S.Dollar
Debate on China’s forex reserve scale
Some think China’s current reserve scale is unreasonable. The others hold that it is reasonable.
How to decide the forex reserve scale?
Normally, the following ratio is used to decide whether one country’s forex reserve scale is reasonable.
Reserve/Imports: 30-40% Reserve/GDP: 8%
Reserve/Foreign debt: 30%
China’s Forex Reserve Scale
However, most people hold that China’s forex reserve scale is reasonable since
China’s special economic conditions
It’s the result of BCA and BKA surplus, not the government’s special policy. A significant part of the reserve is foreign debt which should be return in
future years.
Some hold that China’s reserve level is too high and it has some adverse effects.
The high opportunity costs
The possibility to loss the IMF loans
6
06国贸1国际金融复习资料
The RMB appreciation pressure The possibility of inflation
The foreign exchange and interest risks
The Current Situation of China’s forex reserve management
A large part of the reserve is U.S.Dollar.
About 80% is used in purchasing US treasury bond. China’s Forex Reserve Management
Some suggestions are raised
Make proper use of the reserve
Encourage foreign investment
Encourage investment in resources, like petroleum, and minerals
Reduce the portion of USD and adjust the reserve structure Further promote the opening of the capital market
Promote the foreign exchange system reform and fulfill the complete
convertibility of RMB currency.
Lecture 5 The Market for Foreign Exchange（外汇市场）Readings
P106-117
P123-124
考点：什么是买入价？卖出价？如何计算？何时用买入价？何时用卖出价？ 三种套汇方式是什么？（两角套汇 三角套汇 套利保值）
The Forex market is an over-the-counter market
How is the Forex Market Like?
Normally forex market is divided into
Spot Market Forward Market
The Bid-Ask Spread
The bid price(买入报价) is the price a dealer is willing to pay you for something. The ask price（卖出报价）is the amount the dealer wants you to pay for the thing. The bid-ask spread is the difference between the bid and ask prices.
Banks provide foreign exchange services for a fee: the bank’s bid (buy) quote for a
foreign currency will be less than its ask (sell) quote. This is the bid/ask spread.
bid/ask % spread = ask rate – bid rate
ask rate
Example: Suppose bid price for £ = $1.52, ask price = $1.60. bid/ask % spread = (1.60–1.52)/1.60 = 5%
The bid/ask spread is normally larger for those currencies that are less frequently
traded.
The spread is also larger for “retail” transactions than for “wholesale” transactions
between banks or large corporations.
7
06国贸1国际金融复习资料
Spot Trading Example
Assume you have $1,000, and also assume that the bank’s bid rate is 1 £ =$1.52, ask
rate is
1 £ =$1.60, how much will you get if you change USD into pound sterling? How much
will you get if you change it back into USD?
Assume you have $1,000, and also assume that the bank’s bid rate is 1 £ =$1.52, ask
rate is 1GBP=$1.60,
If changed to £, you will get:
$1,000/1.60=625GBP If you change back to USD, you will get:
625x1.52=$950
Due to bid/ask spread, you have $50 less than you started with.
Locational Arbitrage (两角套汇)
Locational arbitrage is possible when a bank’s buying price (bid price) is higher than
another bank’s selling price (ask price) for the same currency. Example: Bank C Bid Ask Bank D Bid Ask NZ$ $.635 $.640 NZ$ $.645 $.650
Buy NZ$ from Bank C @ $.640, and sell it to Bank D @ $.645. You make profit.
In the previous example, the high demand for NZD at bank C will cause shortage of
NZD. As a result, Bank C will raise its ask price for NZD.
The excess supply of NZD at bank D will force Bank D to lower its bid price.
As the currency prices are adjusted, gains from locational arbitrage will be reduced. 1.Assume the following information:
Bank X Bank Y Bid price of NZD $0.401 $0.398 Ask price of NZD $0.404 $0.400
Given this information, is locational arbitrage possible? If so, explain the steps involved in locational arbitrage, and compute the profit if you had $1,000,000 to use.
2. Based on the information in the previous question, how would market forces would occur to eliminate any further possibilities of locational arbitrage?
Triangular Arbitrage（三角套汇）
三角套汇又称间接套汇，是指套汇者利用三个以上不同地点的外汇市场在同一时间内存在的货币汇率差异，同时在这些市场上买贱卖贵，套取汇率差额收益的交易行为。
Triangular arbitrage is possible when a cross exchange rate quote differs from the rate
calculated from spot rates. Example: Quote British pound (£) $1.60 MYR $.200 £ MYR8.1
Suppose you have $10,000. Buy £ at $1.60, sell £ for MYR, then sell MYR for dollars, and you
8
06国贸1国际金融复习资料
make money.
The profit differs if the bid/ask spread is considered. Example: Bid Ask British pound (£) $1.60 $1.61 MYR $.200 $.201 £ MYR8.1 MYR8.2
Buy £ @ $1.61, convert @ MYR8.1/£, then sell MYR @ $.200. You then make a profit. 1.Determine the number of pounds received for your dollars: $10,000=£6,250, based on the bank’s quote of $1.60 per pound.
2.Determine how many ringgit you will receive in exchange for pounds: $6,250=MYR50,625, based on the bank’s quote of 8.1 per pound.
3. Determine how many USD you will receive in exchange for ringgit: MYR50,625=$10,125 based on the bank’s quote of 0.20 per riggit (5 ringgit to the dollar). The triangular arbitrage strategy generates $10,125, which is $125 more than you start with. Realignment to Triangular Arbitrage
Participants use dollars to purchase pounds
Bank increases its ask price of pounds with respect to the dollar.
Participants use pounds to buy Riggint
-- Bank reduces its bid price of pounds with respect to the riggint, that is, it reduces the number of ringgit to be exchanged per pounds received.
Participants use ringgit to buy Dollars.
-- Bank reduces its bid price of ringgit with respect to the dollar. Triangular Arbitrage Exercise
Assume the following information for a particular bank:
Quoted price Value of C$ $0.90 Value of NZD $0.30 Value of C$ in NZD NZD3.02
Given this information, is triangular arbitrage possible? If so, explain the steps, and compute the profit from this strategy if you had $1,000,000 to use.
Covered Interest Arbitrage（套利保值）
套期保值是指把期货市场当作转移价格风险的场所，利用期货合约作为将来在现货市场上买卖商品的临时替代物，对其现在买进准备以后售出商品或对将来需要买进商品的价格进行保险的交易活动。
Covered interest arbitrage is the process of capitalizing on the interest rate differential
between two countries, while covering for exchange rate risk.
Covered interest arbitrage tends to force a relationship between forward rate
premiums and interest rate differentials. Example:
You have $800,000 to invest. £ spot rate=$1.60
£ 90-day forward rate is = $1.60 90-day interest rate in the US is 2%
9
06国贸1国际金融复习资料
90-day interest rate in the UK= 4%
Solutions:
1.Convert $800,000 to £500,000 at $1.60/ £ 2.Set up a 90 day contract simutaneously
3. By the time the deposit matures, you have 500,000x1.04= £520,000
4. Convert £520,000 to £832,000 at £1=1.60$ The return is (832,000-800,000)/800,000=4%
Equilibrium from Covered Interest Rates
Use dollars to purchase pounds in the spot market
---Upward pressure on the spot rate of pounds.
Engage in a forward contract to sell pounds
---Downward pressure on the forward rate of the pound
Invest funds from the US in the United Kingdom
---Possible upward pressure on US interest rates and downward pressure on
British interest rates.
If adjustment in exchange rates due to covered interest arbitrage happens as follows,
further efforts to conduct covered interest arbitrage no longer provides a higher return than the prevailing US interest rates.
Original Value Current value Pound spot $1.60 $1.62 Pound forward $1.60 $1.5888
Convert $800,000 to pounds:
800,000/1.62= £ 493,827
2.Accumulated pounds in 90 days at 4%:
493,827x1.04= £513,580
3. Reconvert pounds to dollars in 90 days
513,580x1.5888=$815,976
The yield from covered interest arbitrage:(815,976-800,000)/800,000=2% International Arbitrage
Locational arbitrage ensures that quoted exchange rates are similar across banks in
different locations.
Triangular arbitrage ensures that cross exchange rates are set properly.
Covered interest arbitrage ensures that forward exchange rates are set properly.
Any discrepancy will trigger arbitrage, which will then eliminate the discrepancy.
Arbitrage thus makes the foreign exchange market more orderly.
Exercise of Covered Interest Arbitrage
The one- year interest rate in New Zealand is 6%. The one-year US interest rate is 10%.
The spot rate of the NZD is $0.50 . The forward rate of the NZD is $0.54.
If a US investor has $1,000,000 to invest, is covered interest arbitrage feasible?
If a New Zealand investor has NZD1,000,000 to invest, is covered interest arbitrage
possible?
Lecture 6 The Foreign Exchange Rate Determinants（决定汇率市场波动
10
06国贸1国际金融复习资料
的因素） Readings P141-149
考点：汇率为什么会变化？重点关注购买力平价理论（假设 内容 局限性和原因） 影响汇率波动的因素包括：利率和通货膨胀率。 决定汇率波动的几种因素：
购买力平价理论认为决定汇率变动的主要因素是国家间通货膨胀率的差异，如果本国的通货膨胀率高于外国，则本币会贬值。
国际收支理论认为，在外汇市场上，国际收支顺差表现为外汇的供给大于外汇的需求，则外币贬值，本币升值；国际收支逆差变现为外汇的供给小于外汇需求，则外币升值，本币贬值。
利率平价认为，汇率的远期升贴水率等于两国货币的利率之差；利率高的货币远期会贴水，利率低的货币远期会升水。这是因为，当两个国家的利率存在差异，市场上的投资者会通过套利行为获取收益，汇率的变动也会反映在而套利行为之中。 超调理论注重分析汇率的短期变化和预期因素对汇率变动的影响。 Equilibrium Exchange Rate
An exchange rate represents the price of a currency, which is determined by the
demand for that currency relative to the supply for that currency.
Main Contents
Purchasing Power Parity（购买力平价理论） Interest Rate Parity （利率平价理论） The Fisher Effects （费雪理论）
Purchasing Power Parit（关注其假设条件 内容 局限性和原因）
The theory of purchasing power parity(PPP) is based on the The law of one price. The law of one price states that one basket of goods should cost the same regardless of
the currency in which it is sold.
• Absolute Purchasing Power Parity（绝对购买力平价理论）两国货币间的汇率等于两
国的间价格水平之比
Absolute Purchasing Power Parity states that the exchange rate between two
currencies should equal the ratio of the countries’ price levels.
S($/£) = P$ P£
E.g. The standard basket of goods costs $225 in the US, and £150 in the UK, the
exchange rate between $ and £ is:
S=$225/ £ 150=$1.5/ £
Relative Purchasing Power Parity （相当购买力平均理论）两国货币间的汇率等于两
国通货膨胀率之差
Relative Purchasing Power Parity states that the rate of change in an exchange rate is
equal to the differences in the rates of inflation.
e = $ - £
Alternatively, suppose the base year price index is identical between two countries, the equilibrium exchange rate at t:
St =S0 (Ph t /Pf t)
If U.S. inflation is 5% and U.K. inflation is 8%, the pound should depreciate by 3%.
11
06国贸1国际金融复习资料
Suppose that the rate of sterling and USD at the beginning of the year is at USD1.50/ £ Over the year the inflation rate in the UK is 15%, the same basket costs £11,500 at the end of the year.
US prices rose by 3% and the US domestic cost of a basket will be USD15,450. If the exchange rate remains at $1.50/ £:
A UK consumer has two choices: to buy £11,500 of UK produced goods or exchange
£11,500 into dollars and buy US goods.
£11,500 will buy $17,250 at $1.50/ £, more than one basket. As the inflation rate difference is 15%-3%=12% $/ £1 =$/ £0 x(1-12%)=1.5x0.88=1.32
The US dollar appreciates against sterling by about 12%. A basket of goods costing USD 15,450 in the USA has a sterling cost of 15,450/1.32= £11,500and thus PPP maintained. 对购买力平价理论的评价： Does PPP hold True?
PPP holds better in the following circumstances:
Long run rather than short run Geographically close countries
When the country has a very high inflation rate-PPP becomes dominant.
For traded goods rather than non-traded goods( inflation index based on
traded goods only)
Long run-Yes. Short run-rarely
Why doesn't it work all the time?
It only applies to goods freely traded internationally
(there are non-traded goods, transportation fee, and trade barriers).
Speculation
Government’s manage exchange rate.
Many other factors like FDI, portfolio investment.
Why is PPP still widely used？
One can use PPP determined exchange rate as a benchmark in judging whether a
country’s currency is undervalued or overvalued.
One can use PPP determined exchange rate in getting more meaningful international
comparison of economic data.
Equilibrium Exchange Rate Relationships Factors that Influence Exchange Rates
Government Controls
Other Factors that Influence Exchange Rates Expectations
Interaction of Factors
Performance of the Forecasters
Lecture 7 The International Money Market （货币市场）
12
06国贸1国际金融复习资料
Readings Chapter 11
考点：国际银行业 国际银行业的《巴塞尔协议》资本充足率 欧洲货币市场是什么？如何发展起来的？要如何评价？ 远期利率协议：防范利率风险 投机 辛迪加贷款 Main Contents
International Banking
International Money Market International Debt Crisis International Banking Services
International Banks do everything domestic banks do and:
Arrange trade financing. Arrange foreign exchange.
Offer hedging services for foreign currency receivables and payables through
forward and option contracts.
Offer investment banking services (where allowed).
Low Marginal Costs Knowledge Advantage
Home Nation Information Services Prestige
Regulatory Advantage
Wholesale Defensive Strategy Retail Defensive Strategy Transactions Costs Growth
Risk Reduction
Types of International Banking Offices
Correspondent Bank（往来业务） Representative Offices（代表处） Foreign Branches（国外分行）
Subsidiary and Affiliate Banks（子银行和联营银行） Edge Act Banks （埃奇法案银行）
Offshore Banking Centers（离岸金融中心）
International Banking Facilities（国际银行便利） Capital Adequacy Standards（资本充足率）
Bank capital adequacy refers to the amount of equity capital and other securities a
bank holds as reserves against risky assets to reduce the probability of a bank failure. In a 1988 agreement known as the Basle Accord（巴塞尔协议）, the Bank for
International Settlement(BIS) established a framework for measuring bank capital adequacy. 8% is stipulated as the minimum rate.
There are various standards and international agreements regarding how much bank
capital is “enough” to ensure the safety and soundness of the banking system.
While traditional bank capital standards may be enough to protect depositors from
traditional credit risk, they may not be sufficient protection from derivative risk.
13
06国贸1国际金融复习资料
For example, Barings Bank, which collapsed in 1995 from derivative losses, looked
good on paper relative to capital adequacy standards. Basel II（巴塞尔协议II） is based on three mutually reinforcing pillars: minimum capital
requirements, a supervisory review process, and the effective use of market discipline. With respect to the first pillar ( the minimum capital requirements), bank capital is
defined as per 1988 accord, but the minimum 8% ratio is calculated on the sum of the bank’s credit, market, and operational risk.
The second pillar is designed to ensure that each bank has a sound internal process in
place to properly assess the adequacy of its capital based on a thorough evaluation. The third pillar is designed to complement the other two. It is believed that public
disclosure of key information will bring market discipline to bear on banks and supervisors to better manage risk and improve bank stability.
International Money Market
欧洲货币：Eurocurrency is a time deposit in an international bank located in a country different than the country that issued the currency.
欧洲货币是指货币发行国之外的国际银行所拥有的该货币的定期存款。
For example, Eurodollars are U.S. dollar-denominated time deposits in banks located abroad.如：欧洲美元是在美国以外的美元
Euroyen are yen-denominated time deposits in banks located outside of Japan. 欧洲日元是日本外的日圆
The foreign bank doesn’t have to be located in Europe.
Eurocurrency Market（欧洲货币市场）
Most Eurocurrency transactions are interbank transactions in the amount of $1,000,000 and up. 大多数的欧洲货币的交易都是金额在一百万以上的银行间拆借。 Common reference rates include
LIBOR the London Interbank Offered Rate 伦敦同业银行拆借利率 PIBOR the Paris Interbank Offered Rate 巴黎同业银行拆借利率 SIBOR the Singapore Interbank Offered Rate 新加波同业银行拆借利率
A new reference rate for the new euro currency
EURIBOR the rate at which interbank time deposits of are
offered by one prime bank to another.
欧洲货币市场是怎样发展起来的：
由于英美等主要资本主义国家实行严格的外汇管制措施，国际金融市场发展步伐放
慢。此时，美国国际收支出现持续巨额逆差，黄金外流，美元的国际信用开始动摇，美国的资金外逃严重，美国被迫采取了一些限制资本外逃的措施，导致大量美元为逃避管制而纷纷流向境外金融市场，形成了“欧洲美元市场”。后来，由于类似的原因，又出现了“欧洲英镑市场”，“欧洲西德马克市场”等其他欧洲货币市场，与欧洲美元市场一起统称为欧洲货币市场。因此，欧洲货币市场是在欧洲美元市场的基础上发展起来的，交易对象也主要是欧洲美元。
欧洲货币市场业务的作用：对国际资本的流动产生了巨大的作用。
正面的：为国际企业融资提供了更大的空间，对国际企业的发展起了促进作用，因
为存贷款的利差小，存款的利率高，贷款的利率低，促进了国际资本的流动。
14
06国贸1国际金融复习资料
反面的：是一个没有管理的市场，因为欧洲货币市场不属于任何一个国家，对国际
经济的发展非常不利，引起资本的进出和国际金融市场的动荡，减少了国家的自主性，这样是的欧洲货币市场的功效大打折扣。
Euro credits(欧洲信贷)：关注辛迪加贷款
Eurocredits are short- to medium-term loans of Eurocurrency.
The loans are denominated in currencies other than the home currency of the
Eurobank.
Eurocredits feature an adjustable rate. On Eurocredits originating in London the base
rate is LIBOR.
Because eurocurrency loans are frequently too large for a single bank to handle, Eurobanks will band together to form a bank lending syndicate（辛迪加贷款） to share the risk.
The lending rate on these credits is stated as LIBOR+X%
Rollover pricing is created on Eurocredits so that eurobanks do not end up paying more on time deposits than they earn from the loans. 由于对于一个银行来说贷款数额通常很大，许多银行一起建立一个辛迪加贷款来共担风险。 Eurocredits Example
Teltrex international can borrow $3,000,000 at LIBOR plus a lending margin of 0.75
percent per annum on a three-month rollover basis from Barclays in London. Suppose that three-month LIBOR is currently 5 17/32 percent. Further suppose that over the second three-month interval LIBOR falls to 5 1/8 percent. How much will Teltrex pay in interest to Barclays over the six-month period for the Eurodollar loan?
Exercises
Grecian Tile Manufacturing of Athens, Georgia, borrows $1,500,000 at LIBOR plus a
lending margin of 1.25 percent per annum on a six-month rollover basis from a London bank. If six-month LIBOR is 4 ½ percent over the first six-month interval and 5 3/8 percent over the second six-month interval, how much will Grecian Tile pay interest over the first year of its Eurodollar loan?
Forward Rate Agreements(FRAs)（远期利率协议）
FRAs are useful devices for hedging future interest rate risks.（防范外汇风险） They are agreements about the future level of interests.
The rate of interest at some point in the future is compared with the level agreed when
the FRA was established.
The compensation is paid by one party to the other based on the difference. An interbank contract that involves two parties, a buyer and a seller.
The buyer agrees to pay the seller the increased interest cost on a notational amount if
interest rates fall below an agreed rate.
The seller agrees to pay the buyer the increased interest cost if interest rates increase
above the agreed rate.
Forward Rate Agreements can be used to:
Hedge assets that a bank currently owns against interest rate risk. （防范外汇
风险）
15
06国贸1国际金融复习资料
Speculate on the future course of interest rates.（用于投机）
The daily global turnover in FRAs now exceeds 4bn GBP.
A company needs to borrow $6million in 3 month for a period of one year. Current
interest rate is 7%. How will the company use the FRA?
The company is concerned that the interest rate will rise in 3 month.So it will
buy the FRA.
A $10million is expected to be available for putting into a one-year bank deposit in
three month. How will the company use the FRA?
The company could lock into a rate now by selling an FRA to a bank.
Lecture 8 The International Capital Market （资本市场）Readings Chapter 12
Chapter 13
考点：债券市场是重点，要掌握：债券的分类及其概念 评价 发行程序（结合次贷危机分析）
股票市场，要掌握ADR：American Depository Receipts（美国存托凭证） Main Contents
The International Bond Market (国际债券市场) The International Equity Market（国际股票市场） The International Bond Market
Bond is a long term contract in which the bondholders lend money to a company. In return the company promises to pay the bondholders a series of interest, known as the coupon payments, until the bond matures.
Bond
Charateristics Bond can be regarded as IOU(I owe you) with pages of legal clauses.
At maturity the bondholder receives a specified principal sum called the par
value or face value. This is usually £100 in the UK and $1000 in the USA.
The time of maturity is generally between 7 to 30 years The World’s Bond Market
Foreign Bonds（外国债券） Eurobond（欧洲债券）
Foreign Bond is the bond denominated in the currency of the country where it is issued
when the issuer is a non-resident.
E.g. A German company issuing dollar bonds to the US investors. E.g. Yankee, Bulldog, Samurai.
Eurobonds
Eurobonds are bonds sold outside the jurisdiction of the country of the currency in
which the bond is denominated.
A Dutch borrower issuing Dollar denominated bonds to UK, or Switzerland, or
even Netherlands.
Most of the Eurobonds are of fixed rate, 25% are floated rate. The currencies denominated most often are USD, GBP, Deutsche Mark and Japanese
Yen.
Bearer Bonds and Registered Bonds（不记名债券与记名债券）
16
06国贸1国际金融复习资料
Bearer Bonds are bonds with no registered owner.
With bearer bonds, possession is the evidence of ownership.
Registered Bonds: the owners name is registered with the issuer.
With registered bonds, the owner’s name is on the bond and it is recorded
by the issuer.
U.S. security laws require Yankee bonds sold to U.S. citizens to be registered. Global Bonds（全球债券）
A global bond is a very large international bond offering by a single borrower that
is simultaneously sold in North America, Europe and Asia. Mostly institutional investors are the purchasers so far. Types of Instruments
Straight Fixed Rate Debt （固定利率债券） Floating-Rate Notes （浮动利率票据）
Equity-Related Bonds（与权益相关的债券） Zero Coupon Bonds（零息债券） Dual-Currency Bonds （双币债券） Composite Currency Bonds Straight Fixed Rate Debt
These are “plain vanilla” bonds with a specified coupon rate and maturity and no
options attached.
Since most Eurobonds are bearer bonds, coupon dates tend to be annual rather than
semi-annual.
The vast majority of new international bond offerings are straight fixed-rate issues. Floating-Rate Notes
Just like an adjustable rate mortgage.
Common reference rates are 3-month and 6-month U.S. dollar LIBOR
Since FRN reset every 6 or 12 months, the premium or discount is usually quite
small…as long as there is no change in the default risk.
Question
Your firm has just issued five-year floating-rate notes indexed to six-month U.S. dollar
Libor plus ¼ percent. What is the amount of the first coupon payment your firm will pay U.S. $1,000 of the face value, if six-month Libor is currently 7.2%? 0.5 x (.072 + .0025) x $1,000 = $37.25. Equity-Related Bonds
Convertibles
Convertible bonds allow the holder to surrender his bond in exchange for a
specified number of shares in the firm of the issuer.
Bonds with equity warrants
These bonds allow the holder to keep his bond but still buy a specified number
of shares in the firm of the issuer at a specified price.
Zero Coupon Bonds
Zeros are sold at a large discount from face value because there is no cash flow until
maturity.
In the U.S., investors in zeros owe taxes on the “imputed income” represented by the
17
06国贸1国际金融复习资料
increase in present value each year, while in Japan, the gain is a tax-free capital gain.
Question
Suppose two kinds of zero-coupon bonds: The DM300,000,000 issue due in 1995 sold
at 50 percent of face value, and the DM300,000,000 due in 2000 sold at 33 1/3 percent of face value. Both were issued in 1985. Calculate the implied yield to maturity of the two.
1.( DM1,000/500)1/10-1=7.177% 2.(DM1,000/333.33)1/15-1=7.599% Dual-Currency Bonds
A straight fixed-rate bond, with interest paid in one currency, and principal in another
currency.
Japanese firms have been big issuers with coupons in yen and principal in dollars. Good option for a MNC financing a foreign subsidiary. Question
Consider 8.5% Swiss Franc/US Dollar dual-currency bonds that pay $666.67 at maturity
per SF1,000 of par value. What is the implicit SF/$ exchange rate at maturity? Will the investor be better off or worse off at maturity if the actual SF/$ exchange rate is SF1.35/$1.00?
Solution
1. The exchange rate is: SF1000/666, =1.5SF/$
2. If the exchange rate at maturity is SF1.35/$1.00, SF1,000 would buy $740.74 =
SF1,000/SF1.35. Thus, the dual currency bond investor is worse off with $666.67 because the dollar is at a depreciated level in comparison to the implicit exchange rate of SF1.50/$1.00.
Composite Currency Bonds
Denominated in a currency basket, like the SDRs or ECUs instead of a single currency. Often called currency cocktail bonds. Typically straight fixed rate debt.
International Bond Market Credit Ratings（国际债券市场评级）
Fitch IBCA, Moody’s and Standard & Poor’s sell credit rating analysis. Focus on default risk, not exchange rate risk.
Assessing sovereign debt focuses on political risk and economic risk. 债券发行过程：一级市场&二级市场
公司 投资银行（组成承销团） 保险基金、对冲基金 其他金融机构 其他投资者
Eurobond Market Structure
Primary Market（一级市场）
A borrower desiring to raise funds by issuing Eurobonds to the investing public
will contact an investment banker and ask it to serve as leader manager of an underwriting syndicate that will bring the bonds to the market.
The underwriting syndicate is a group of investment banks, merchant banks,
and the merchant banking arms of commercial banks that specialize in some phase of a public issuance.
18
06国贸1国际金融复习资料
Secondary Market（二级市场）
OTC market centered in London.Others as Frankfurt and Amsterdam.
The Secondary Market
Bonds which are traded in the secondary market usually have to be priced. The main
influences on the price of the a bond will be the general level of interest rates for securities of that risk level and maturity.
Valuing bonds is important in the secondary market. Valuing Bonds
Based on whether the bond is with fixed redemption date, the bond may be divided
into:
Redeemable bond Irredeemable bond
A bond is priced according to general market interest rates for the risk class and
maturity:
Irredeemable: Pd = I Kd Redeemable:
Pd = i1 + i2 + i3 + Rn
(1+kd) (1+kd)2 (1+Kd)3 (1+kd)n Exercise
Suppose an irredeemable bond with an annual coupon of 8%, and the face value is
$100.
1. What’s the bond’s value if the market interest rate is 10%? 2.What’s the bond’s value if the market interest rate is 6%? 1. =8/0.10=80 2.=8/0.6=133.33
Blackby plc issued a bond with a par value of £100 in September 1996, redeemable in
September 2002 at par. The coupon is 8% payable annually in September. The facts available from this are:
The bond might have a par value of £100 but this may not be what the
investors will pay for it.
The annual cash payment will be £8(8% of par)
In Sept.2002, £100 will be handed over to the bondholder.
What is the price investors will pay for this bond at the time of issue if the
market rate of interest for a security in this risk class is 7%?
International Stock Market
American Depository Receipts（ADR）是指由美国银行发行的外国公司存托凭证，用于证明持有人在外国公司的股权。
Foreign stocks often trade on U.S. exchanges as ADRs.
It is a receipt that represents the number of foreign shares that are deposited at a U.S.
bank.
The bank serves as a transfer agent for the ADRs
19
06国贸1国际金融复习资料
There are many advantages to trading ADRs as opposed to direct investment in the
company’s shares:
ADRs are denominated in U.S. dollars, trade on U.S. exchanges and can be
bought through any broker.
Dividends are paid in U.S. dollars.
Most underlying stocks are bearer securities, the ADRs are registered.
Lecture 9 The Currency Derivatives Market（金融衍生工具市场）
Readings Page 162-172
考点：远期合同的定义 计算 如何防范风险
期货 期权的定义
Currency Forward（远期合同） Currency Future（货币期货） Currency Options（货币期权） Forward Contract
A forward contract is an agreement between a corporation and a commercial bank to exchange a specified amount of a currency at a specified exchange rate (called the forward rate) on a specified date in the future.
When a firm anticipate future need or future receipt of a foreign currency, they can set
up forward contracts to lock in the exchange rate, hedge the risk.
Forward contracts are used to reduce the risk that foreign exchange rate change will
adversely affect transactions that will be settled in the future.
Eg. Assume an American car dealer expects to import ten Jaguar motor cars in 90 days from now. The Jaguar Motor car company quotes a price for ten cars at £335,570.The current spot rate is $1.49/ £.And the forward rate quoted for 90 days is $1.4867/ £. How will the company hedge the risk?
(1) If change GBP into USD at spot rate, the company has to pay: 335,570x1.49=$500,000
(2)The importer can buy £335,570 forward for 90 days: 335,570x1.4867=$498,892
In 90 days’s time, the importer has to deliver $498,892
(3)Suppose the pound appreciates to $1.60 during the 90 days, the cars would cost the company the following amount:
1.60x335,570=537,000
The company has saved more than $1,000 on the original contract to avoide a loss of $37,000.
Example:
XYZ company, a US manufacturer receives a purchase order from a customer in England on Jan.10th. The invoice is £50,000 and payment is due on June 10th.
The current spot rate is $1.5530, and the forward rate is $1.5450 for six months. If change at spot rate: 1.5530x50,000=77,650
The firm will sell £50,000 for a maturity window of June 10th through July 9th: 50,000x1.5450=$77,250
20
06国贸1国际金融复习资料
Forward Market
A non-deliverable forward contract (NDF) is a forward contract whereby there is no
actual exchange of currencies. Instead, a net payment is made by one party to the other based on the contracted rate and the market rate on the day of settlement.
Although NDFs do not involve actual delivery, they can effectively hedge expected
foreign currency cash flows.
Jackson company determines as of April 1 that it will need 100 million Chilean pesos to purchase supplies on July 1. It can buy an NDF with a local bank. Specifically the NDF contains the following information: Buy 100 million Chilean pesos Settlement date: July 1
Reference index: Chilean peso’s closing exchange rate (in dollars) quoted by Chile’s central bank in 90 days.
Assume the current spot rate is $0.0020, the firm may need $200,000 Scenario 1
On July 1, the peso value increased to $0.0023, the value of the position is 0.0023x100million=230,000.
Since the value of NDF position is $30,000 higher that when the agreement is made, Jackson will receive a payment of $30,000 from the bank.
Since the spot rate increased, Jackson will have to pay $30,000 more than on April 1st.
However, it will receive $30,000 due to NDF. Thus, the risk is hedged.
Non-deliverable Forward Contract Scenario 2
If the peso has depreciated to $0.0018, Jackson’s position in its NDF will value 0.0018x100million=180,000. Jackson would own the bank $20,000 at that time.
However, Jackson would pay $20,000 less on spot that if it had paid fro them on April 1. Thus, an offsetting effect would also occur.
Futures Contracts: Preliminaries(货币期货)
A futures contract is like a forward contract:
It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today. 是指买卖双方规定以事先约定好的价格在未来特定的时间内交割一定数量的标的物并支付货款。
A futures contract is different from a forward contract:
Futures are standardized contracts trading on organized exchanges with daily
resettlement through a clearinghouse.
Futures Contracts
Standardizing Features:
Contract Size Delivery Month Daily resettlement
Delivery month:
21
06国贸1国际金融复习资料
Options Contracts（货币期权）
An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today. 期权是一种能在未来特定时间以特定价格买进或卖出一定数量的特定资产的权利。
Calls vs. Puts
Call options gives the holder the right, but not the obligation, to buy a given
quantity of some asset at some time in the future, at prices agreed upon today.
Put options gives the holder the right, but not the obligation, to sell a given
quantity of some asset at some time in the future, at prices agreed upon today.
European vs. American options
European options can only be exercised on the expiration date.
American options can be exercised at any time up to and including the
expiration date.
Since this option to exercise early generally has value, American options are
usually worth more than European options, other things equal.
Lecture 12 Foreign Direct Investment（国际直接投资）
Essential Readings Chapter 16
考点：为什么进行国际直接投资？
中国吸收外资情况？ Outline
Global Trends in FDI
Why Do Firms Invest Overseas? Cross-Border Acquisitions Political Risk and FDI
Why Do Firms Invest Overseas?（为什么进行国际直接投资？）
Trade Barriers
Labour Market Imperfections Intangible Assets Vertical Integration Product Life Cycle
Shareholder Diversification Trade Barriers
Government action leads to market imperfections.
Tariffs, quotas, and other restrictions on the free flow of goods, services and people. Trade Barriers can also arise naturally due to high transportation costs, particularly for
low value-to-weight goods.
Labour Market Imperfections
Among all factor markets, the labor market is the least perfect.
Recall that the factors of production are land, labor, capital, and
entrepreneurial ability.
22
06国贸1国际金融复习资料
If there exist restrictions on the flow of workers across borders, then labor services can
be underpriced relative to productivity.
The restrictions may be immigration barriers or simply social preferences.
Persistent wage differentials across countries exist. This is one on the main
reasons MNCs are making substantial FDIs in less developed nations
Intangible Assets
Coca-Cola has a very valuable asset in its closely guarded “secret formula”.
To protect that proprietary information, Coca-Cola has chosen FDI over licensing.
Since intangible assets are difficult to package and sell to foreigners, MNCs often enjoy
a comparative advantage with FDI.
Vertical Integration
MNCs may undertake FDI in countries where inputs are available in order to secure the
supply of inputs at a stable accounting price. Vertical integration may be backward or forward:
Backward: e.g. a furniture maker buying a logging company.
Forward: e.g. a U.S. auto maker buying a Japanese auto dealership.
Product Life Cycle
U.S. firms develop new products in the developed world for the domestic market, and
then markets expand overseas.
FDI takes place when product maturity hits and cost becomes an increasingly
important consideration for the MNC.
Shareholder Diversification
Firms may be able to provide indirect diversification to their shareholders if there
exists significant barriers to the cross-border flow of capital.
Capital Market imperfections are of decreasing importance, however.
Managers can therefore probably not add value by diversifying for their shareholders
as the shareholders can do so themselves at lower cost.
Lecture 13 Management of Foreign Exchange Rate Risk（外汇风险管理）
Readings Chapter 8 Chapter 9 Chapter 10 考点：外汇风险分类 交易风险 Three Types of Exposure
Economic Exposure（经济风险）
The value of the firm would be affected by unanticipated changes in exchange
rates. Transaction Exposure（交易风险）
The transactions already entered into, but the value of the contract will be
effected as a result of exchange rate changes.
Translation Exposure（折算风险）
Exchange rate risk as applied to the firm’s consolidated financial statements.
Transaction Exposure
Transaction risk is the risk that transactions already entered into, or for which the firm
is likely to have a commitment in a foreign currency, will have a variable value in the home currency because of exchange rate movements.
23
06国贸1国际金融复习资料
Clearly, transaction risk is a cash flow risk. It may be associated with trading flows. MNCs can usually anticipate foreign cash flows for an upcoming short-term period with
reasonable accuracy.
One foreign subsidiary may have inflows of a foreign currency while another has
outflows of the same currency. In this case, the MNC’s net cash flows of that currency may be negligible; If most of the subsidiaries have future inflows in another currency, the net cash flow may be substantial.
Transaction Risk
For example, if Miami expects inflow of C$12,000,000 and outflow of C$2,000,000 over
the next quarter, the net cash flow is C$10,000,000. Given an expected exchange rate of $0.80 at the end of the quarter, it can convert the expected net inflow of C$ into an expected net inflow of $8,000,000.
MNCs could assess their transaction risk during several periods by applying this
method.
Transaction Risk Hedge Transaction risk hedge
Internal techniques External techniques
Internal Technique
There is a wide range of methods available to minimize foreign exchange risk.
Internal methods use tools of risk management which are part of a firm’s own financial
management within the group concerned and do not resort to special contractual relationship with other parties outside the firm. Internal techniques includes the following:
Netting（净值） Matching（匹配）
Leading and lagging（提前和滞后） Pricing in foreign currency
Exposure Netting
A multinational firm should not consider deals in isolation, but should focus on
hedging the firm as a portfolio of currency positions.
As an example, consider a U.S.-based multinational with Korean won
receivables and Japanese yen payables. Since the won and the yen tend to move in similar directions against the U.S. dollar, the firm can just wait until these accounts come due and just buy yen with won.
Even if it’s not a perfect hedge, it may be too expensive or impractical to hedge
each currency separately.
Many multinational firms use a reinvoice center. Which is a financial subsidiary that
nets out the intrafirm transactions.
Once the residual exposure is determined, then the firm implements hedging. Matching
Different from netting, matching can be applied to both intragroup and to third-party
balancing.
Matching is a mechanism whereby a company matches its foreign currency inflows
24
06国贸1国际金融复习资料
with its foreign currency outflows in respect of amount and approximate timing. Practical problem is timing and amount. Hedging via Lead and Lag
If a currency is appreciating, pay those bills denominated in that currency early; let
customers in that country pay late as long as they are paying in that currency.
If a currency is depreciating, give incentives to customers who owe you in that
currency to pay early; pay your obligations denominated in that currency as late as your contracts will allow.
External Techniques
External Techniques
Money market hedge Forward hedge Option hedge
Money Market Hedge
Transaction risk can be hedged by lending and borrowing in the domestic or foreign
money markets. Generally speaking, the firm may borrow (lend) in the foreign currency to hedge its foreign currency receivables( payables).
Money market hedge on receivables
Money market hedge on Receivables
If a firm expects receivables in a foreign currency, it can hedge this position by
borrowing the currency now and converting it to home currency. The receivables will be used to pay off the loan.
Suppose that Boeing corporation exported a Boeing 747 to British airways and billed
£10 million payable in one year. The money market interest and forex rates are given as follows:
The US interest rate: 6.10% per annum The UK interest rate: 9% per annum The spot rate: $1.50/£
How to use Money market to hedge the risk?
The first important step in money market hedging is to determine the amount of
pounds to borrow. Since the maturity value of borrowing should be the same as the pound receivable, the amount to borrow can be computed as the discounted present value of the pound receivable. Step 1: Borrow £9,174,312 in the UK
Step 2: Convert £9,174,312 into $13,761,468 at the current spot rate of $1.50/£ Step 3: Invest $13,761,468 in the US.
Step 4: Collect £10 million from British airways and use it to repay the pound loan.
Step 5: Receive the maturity value of the dollar investment , that is
$14,600,918=$13,761,468(1x1.061), which is the guaranteed dollar proceeds from the British sale.
Forward Contract
Suppose that Boeing corporation exported a Boeing 747 to British airways and billed
£10 million payable in one year.
If the forward rate is $1.46/£, how to use the forward contract to hedge?
25
06国贸1国际金融复习资料
Forward market hedge
Boeing may simply sell forward its pounds receivable, £10 million for delivery in one
year, in exchange for a given amount of USD.
On the maturity date of the contract, Boeing will have to deliver £10 million to the
bank, which is the counterpart of the contract, and in return, take delivery of $14.6 million(1.46x10million). Boeing will, of course, use the £ 10 million that it is going to receive from British Airway to fulfill the contract.
Money market hedge versus forward hedge
One possible shortcoming of both forward and money market hedges is that these
methods completely eliminate exchange exposure. Consequently, the firm has to forgo the chance to benefit from favorable exchange rate changes.
Option hedge
Suppose that Boeing Corp. exported Boeing 747 to British airways and billed £10
million payable in one year. Also suppose that in the over-the –counter market Boeing purchased a put option on 10 million British pounds with an exercise price of $1.46 and one-year expiration.Suppose the premium is $0.02 per pound.
Boeing has to pay premium $200,000(=$0.02x10 million) for this option. Scenario 1: spot rate in one year =$1.30/£
Since Boeing has the right to sell each pound for $1.46, it will certainly exercise
its put option and get $14.6million.
The net Dollar proceeds from British sale is $14,400,000
($14,600,000-$200,000)
Gain of $1,400,000 (14,400,000-13,000,000)
Scenario 2 Spot rate in one year =$1.60/£
Boeing will not exercise the option.
It will rather let the option expire and convert £10 million into $16 million at
the spot rate.
The net dollar proceeds is $15,787,800 under the option hedge.
(16,000,000-212,200).
Lecture 14 The US Subprime Mortgage Crisis （美国次贷危机）
论述题之二：美国次贷危机（请自行准备材料）
What is the Subprime Mortgage ? The background information The subprime mortgage crisis Its Impact to the world economy Background Information
The reasons for the rapid growth of the subprime mortgage
The Bush Administration propagandas the so-called ownership society. The asset securitization
The US changing process of the interest rates
The continuous housing price increase has encouraged people to purchase the houses What is the Subprime Mortgage loan?
In the US, there are different kinds of products for the housing mortgage loans:
26
06国贸1国际金融复习资料
Prime mortgage Alt-Mortgage
Subprime mortgage
According to different interest rates, these products can be divided into:
Fixed Rate Mortgage
Adjustable Rage Mortgage
Background Information
During 1920-1930, the US has strict laws for the housing mortgage loans. The borrower
can only borrow from the bank after paying 40% first installment, and the tenure of the loan is between 3-6 years.
Even before 1990s, the GSE(the Government Sponsored Enterprises) has strict standard
for housing mortgage loans.
However, after 1990s, based on risk-valuation methods, some banks began to
Alt-Mortgage and Subprime mortgage to those who are not qualified for the GSE standards.
Up to 2006, among the 10 trillion USD housing mortgage, there is 1.5trillion subprime
mortgage, accounting for 1.5%.
Between 1994-2006, 9 million people has purchased the house,and the
homeownership reaches 70%.
The reasons for the rapid growth of the subprime Mortgage
The Bush administration declares the so-called ownership society. The asset securitization
The changing process of the US interest rates
The continuous housing price increase has encourage people to purchase more
houses
The Explosion of the Subprime Mortgage Crisis
The Mortgage default increases starting 2006
The crisis was unavoidable when the housing price began to decrease.
The interest rate increase starting 2004 has involved the borrowers into the
defaults.
The Mortgage Backed Securities(MBS) is also the cause of the crisis. The Situation of the US Interest Rates
1988-1992 ↓
1993-2000.9.11 ↑ 2001-2004 ↓ 2004-2006.9 ↑
2006.9—Present ↓
The Impact of the Subprime Mortgage Crisis
The impact on the world
Since many international financial institutions are the holders of the US
subprime mortgage securities, therefore the crisis has adverse impact on the whole world.
The impact on China
In general the impact on China is limited.
27
06国贸1国际金融复习资料
However, there are some impacts like….
28
因篇幅问题不能全部显示，请点此查看更多更全内容