第三十二章 跨国公司财务.pptx
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1、McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-0Chapter Outline32.1 Terminology32.2 Foreign Exchange Markets and Exchange Rates32.3 The Law of One Price and Purchasing Power Parity32.4 Interest Rates and Exchange Rates: Interest Rate Parity32.5 Internationa
2、l Capital Budgeting32.6 International Financial Decisions32.7 Reporting Foreign Operations32.8 Summary and ConclusionsMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-132.1 Terminology American Depository Receipt (ADR): a security issued in the U.S. to repres
3、ent shares of a foreign stock. Cross rate: the exchange rate between two foreign currencies, e.g. the exchange rate between and . Euro (): the single currency of the European Monetary Union which was adopted by 11 Member States on 1 January 1999. These member states are: Belgium, Germany, Spain, Fra
4、nce, Ireland, Italy, Luxemburg, Finland, Austria, Portugal and the Netherlands. Eurobonds: bonds denominated in a particular currency and issued simultaneously in the bond markets of several countries.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-232.1 Ter
5、minology Eurocurrency: money deposited in a financial center outside the home country. Eurodollars are dollar deposits held outside the U.S.; Euroyen are yen denominated deposits held outside Japan. Foreign bonds: bonds issued in another nations capital market by a foreign borrower. Gilts: British a
6、nd Irish government securities. LIBOR: the London Interbank Offer Rate is the rate most international banks charge on another for loans of Eurodollars overnight in the London market.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-332.2 Foreign Exchange Marke
7、ts and Exchange Rates Without a doubt the foreign exchange market is the worlds largest financial market. In this market one countrys currency is traded for anothers. Most of the trading takes place in a few currencies.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights res
8、erved.32-4FOREX Market Participants The FOREX market is a two-tiered market: Interbank Market (Wholesale) About 700 banks worldwide stand ready to make a market in Foreign exchange. Nonbank dealers account for about 20% of the market. There are FX brokers who match buy and sell orders but do not car
9、ry inventory and FX specialists. Client Market (Retail) Market participants include international banks, their customers, nonbank dealers, FOREX brokers, and central banks.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-5Correspondent Banking Relationships L
10、arge commercial banks maintain demand deposit accounts with one another which facilitates the efficient functioning of the forex market. International commercial banks communicate with one another with: SWIFT: The Society for Worldwide Interbank Financial Telecommunications. CHIPS: Clearing House In
11、terbank Payments System ECHO Exchange Clearing House Limited, the first global clearinghouse for settling interbank FOREX transactions.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-6Spot Rate Quotations The spot market is the market for immediate delivery.
12、 (Settlement is due within two days.) Direct quotation the U.S. dollar equivalent e.g. “a Japanese Yen is worth about a penny” Indirect Quotation the price of a U.S. dollar in the foreign currency e.g. “you get 100 yen to the dollar”McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc.
13、All rights reserved.32-7Spot FX trading In the interbank market, the standard size trade is about U.S. $10 million. A bank trading room is a noisy, active place. The stakes are high. The “long term” is about 10 minutes.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights res
14、erved.32-8Cross Rates Suppose that SDM(0) = .50 i.e. $1 = 2 DM in the spot market and that S(0) = 100 i.e. $1 = 100 What must the DM/ cross rate be?50 DM1or .02 )0(5011$21001$,$ since/DMSDMDMDMDMDMMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-9Triangular A
15、rbitrage$Credit Lyonnais S(0) = 1.50Credit AgricoleS/(0) = 85BarclaysS(0) = 120Suppose we observe these banks posting these exchange rates.First calculate the implied cross rates to see if an arbitrage exists.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-1
16、0Triangular Arbitrage$Credit Lyonnais S(0) = 1.50Credit AgricoleS/(0) = 85BarclaysS(0) = 120The implied S(/) cross rate is S(/) = 80Credit Agricole has posted a quote of S(/)=85 so there is an arbitrage opportunity.8011201$1$50. 1So, how can we make money?McGraw-Hill/IrwinCopyright 2002 by The McGra
17、w-Hill Companies, Inc. All rights reserved.32-11Triangular Arbitrage$Credit Lyonnais S(0) = 1.50Credit AgricoleS/(0) = 85BarclaysS(0) =120As easy as 1 2 3:1. Sell our $ for , 2. Sell our for , 3. Sell those for $.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
18、32-12Triangular ArbitrageSell $100,000 for at S(0) = 1.50receive 150,000 Sell our 150,000 for at S/(0) = 85 receive 12,750,000Sell 12,750,000 for $ at S(0) = 120receive $106,250profit per round trip = $ 106,250- $100,000 = $6,250McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All
19、rights reserved.32-13The Forward Market A forward contract is an agreement to buy or sell an asset in the future at prices agreed upon today. If you have ever had to order an out-of-stock textbook, then you have entered into a forward contract.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Compa
20、nies, Inc. All rights reserved.32-14Forward Rate Quotations The forward market for FOREX involves agreements to buy and sell foreign currencies in the future at prices agreed upon today. Bank quotes for 1, 3, 6, 9, and 12 month maturities are readily available for forward contracts. Longer-term swap
21、s are available.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-15Forward Rate Quotations Suppose you observe that for Japanese yen, the spot rate is 115.75 = $1.00While the 180-day forward rate is 112.80 = $1.00 Whats up with that?The forex market clearly t
22、hinks that the yen is going to be worth more in six months (the yen is expected to appreciate) because one dollar will buy fewer yen.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-16Long and Short Forward Positions If you have agreed to sell anything (spot
23、or forward), you are “short”. If you have agreed to buy anything (forward or spot), you are “long”. If you have agreed to sell forex forward, you are short. If you have agreed to buy forex forward, you are long.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32
24、-1732.3 The Law of One Price and Purchasing Power Parity The exchange rate between two currencies should equal the ratio of the countries price levels.S(0) = P$ P Relative PPP states that the rate of change in an exchange rate is equal to the differences in the rates of inflation. e = $ - If U.S. in
25、flation is 5% and U.K. inflation is 8%, the pound should depreciate by 3%.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.32-18Evidence on PPP PPP probably doesnt hold precisely in the real world for a variety of reasons. Haircuts cost 10 times as much in the d
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