国际金融 chapter 4

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1、ChapterFourForwardExchangeandInternationalFinancialInvestment一、Exchangeraterisk1.ExchangerateschangeovertimeinbothFloating-ratesystemandFixed-ratesystem2.Exchangeraterisk3.Hedging套期保值---actofreducingoreliminatinganetassetornetliabilitypositionintheforeigncurrencyHedger4.Specul

2、ating---actoftakinganetassetposition净资产头寸/多头oranetliabilityposition净负债头寸/空头insomeassetclassSpeculator二、Themarketbasicsofforwardforeignexchange1.Forwardforeignexchangecontract---agreementtoexchangeonecurrencyforanotheronsomedateinthefutureatapricesetnow(forwardexchangerate)2.Ba

3、nks---foreignexchangedealers,willingtomeettheneedsofcustomersforthespecificsizeoftheforwardexchangecontract3.Commondatesforfutureexchange:30,90,180days4.Thefuturespotrate---thespotratetheendsupprevailinginthefuture5.Forwardexchangemarketisparticularlyconvenientforlargecustomer

4、s.6.Somecustomersmustpledgeamargin保证金uHedgingusingforwardforeignexchange1.Hedging---acquiringanassetinaforeigncurrencytooffsetanetliabilityposition空头alreadyheldintheforeigncurrency,oracquiringaliabilityinaforeigncurrencytooffsetanetassetposition多头alreadyheld；---reducingbothkin

5、dsof“open”positions敞口inaforeigncurrency2.Longpositions多头头寸---holdingnetassetintheforeigncurrency3.Shortpositions空头头寸---owingmoreoftheforeigncurrencythanoneholdsuSpeculatingusingforwardforeignexchange1.“buylow,sellhigh”2.Whatifmanypeopleexpectthespotexchangeratevalueofthepoundt

6、odepreciateto$1.70byAug.,andtheyarewillingtospeculateusingtheforwardexchangemarket?---Theywillsellpoundsforwardinlargeamounts.Theincreasedsupplyofpoundsforwardwillputdownwardpressureontheforwardexchangeratevalueofthepound,drivingittoward$1.70.3.Hypothesis:Thespeculators’pressu

7、reonsupplyanddemandshoulddrivetheforwardexchangeratetoequaltheaverageexpectedvalueofthefuturespotexchangerate.uFutures,options,andswaps1.Currencyfutures外汇期货---contractstradedonorganizedexchangesüComparedtoforwardforeignexchangecontract:1)standardcontract2)providemargin保证金3)con

8、tractis“markedtomarket”daily逐日结算制.>>toomanylossesandyouwillre