ANDCURRENCYFORECASTING(跨国公司财务管理-Joseph.ppt

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1、MultinationalFinancialManagementAlanShapiro7thEditionJ.Wiley&SonsPowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton1CHAPTER4PARITYCONDITIONSANDCURRENCYFORECASTING2CHAPTEROVERVIEWI.ARBITRAGEANDTHELAWOFONEPRICEII.PURCHASINGPOWERPARITYIII.THEFISHEREFFECTIV.THEINTERNATIONALF

2、ISHEREFFECTV.INTERESTRATEPARITYTHEORYVI.THERELATIONSHIPBETWEENTHEFORWARDANDFUTURESPOTRATEVII.CURRENCYFORECASTING3PARTI.ARBITRAGEANDTHELAWOFONEPRICEI.THELAWOFONEPRICEA.Lawstates:Identicalgoodssellforthesamepriceworldwide.4ARBITRAGEANDTHELAWOFONEPRICEB.Theoreticalbasis:Ifthepriceafterexchang

3、e-rateadjustmentwerenotequal,arbitrageinthegoodsworldwideensureseventuallyitwill.5ARBITRAGEANDTHELAWOFONEPRICEC.FiveParityConditionsResultFromTheseArbitrageActivities1.PurchasingPowerParity(PPP)2.TheFisherEffect(FE)3.TheInternationalFisherEffect(IFE)4.InterestRateParity(IRP)5.UnbiasedForwa

4、rdRate(UFR)6ARBITRAGEANDTHELAWOFONEPRICED.FiveParityConditionsLinkedby1.Theadjustmentofvariousratesandpricestoinflation.7ARBITRAGEANDTHELAWOFONEPRICE2.Thenotionthatmoneyshouldhavenoeffectonrealvariables(sincetheyhavebeenadjustedforpricechanges).8ARBITRAGEANDTHELAWOFONEPRICEE.Inflationandho

5、mecurrencydepreciation:1.jointlydeterminedbythegrowthofdomesticmoneysupply;2.Relativetothegrowthofdomesticmoneydemand.9ARBITRAGEANDTHELAWOFONEPRICEF.THELAWOFONEPRICE-enforcedbyinternationalarbitrage.10PARTII.PURCHASINGPOWERPARITYI.THETHEORYOFPURCHASINGPOWERPARITY:statesthatspotexchangerate

6、sbetweencurrencieswillchangetothedifferentialininflationratesbetweencountries.11PURCHASINGPOWERPARITYII.ABSOLUTEPURCHASINGPOWERPARITYA.Pricelevelsadjustedforexchangeratesshouldbeequalbetweencountries12PURCHASINGPOWERPARITYII.ABSOLUTEPURCHASINGPOWERPARITYB.Oneunitofcurrencyhassamepurchasing

7、powerglobally.13PURCHASINGPOWERPARITYIII.RELATIVEPURCHASINGPOWERPARITYA.statesthattheexchangerateofonecurrencyagainstanotherwilladjusttoreflectchangesinthepricelevelsofthetwocountries.14PURCHASINGPOWERPARITY1.Inmathematicalterms:whereet=futurespotratee0=spotra