andcurrencyforecasting(跨国公司财务-joseph培训讲学.ppt

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1、ANDCURRENCYFORECASTING(跨国公司财务管理-JosephCHAPTEROVERVIEWI.ARBITRAGEANDTHELAWOFONEPRICEII.PURCHASINGPOWERPARITYIII.THEFISHEREFFECTIV.THEINTERNATIONALFISHEREFFECTV.INTERESTRATEPARITYTHEORYVI.THERELATIONSHIPBETWEENTHEFORWARDANDFUTURESPOTRATEVII.CURRENCYFORECASTING2PARTI.ARBITRAGEANDTHELAWOFONEPRICEI.T

2、HELAWOFONEPRICEA.Lawstates:Identicalgoodssellforthesamepriceworldwide.3ARBITRAGEANDTHELAWOFONEPRICEB.Theoreticalbasis:Ifthepriceafterexchange-rateadjustmentwerenotequal,arbitrageinthegoodsworldwideensureseventuallyitwill.4ARBITRAGEANDTHELAWOFONEPRICEC.FiveParityConditionsResultFromTheseArbitrage

3、Activities1.PurchasingPowerParity(PPP)2.TheFisherEffect(FE)3.TheInternationalFisherEffect(IFE)4.InterestRateParity(IRP)5.UnbiasedForwardRate(UFR)5ARBITRAGEANDTHELAWOFONEPRICED.FiveParityConditionsLinkedby1.Theadjustmentofvariousratesandpricestoinflation.6ARBITRAGEANDTHELAWOFONEPRICE2.Thenotionth

4、atmoneyshouldhavenoeffectonrealvariables(sincetheyhavebeenadjustedforpricechanges).7ARBITRAGEANDTHELAWOFONEPRICEE.Inflationandhomecurrencydepreciation:1.jointlydeterminedbythegrowthofdomesticmoneysupply;2.Relativetothegrowthofdomesticmoneydemand.8ARBITRAGEANDTHELAWOFONEPRICEF.THELAWOFONEPRICE-en

5、forcedbyinternationalarbitrage.9PARTII.PURCHASINGPOWERPARITYI.THETHEORYOFPURCHASINGPOWERPARITY:statesthatspotexchangeratesbetweencurrencieswillchangetothedifferentialininflationratesbetweencountries.10PURCHASINGPOWERPARITYII.ABSOLUTEPURCHASINGPOWERPARITYA.Pricelevelsadjustedforexchangeratesshoul

6、dbeequalbetweencountries11PURCHASINGPOWERPARITYII.ABSOLUTEPURCHASINGPOWERPARITYB.Oneunitofcurrencyhassamepurchasingpowerglobally.12PURCHASINGPOWERPARITYIII.RELATIVEPURCHASINGPOWERPARITYA.statesthattheexchangerateofonecurrencyagainstanotherwilladjusttoreflectchangesinthepricelevelsofthetwocountri

7、es.13PURCHASINGPOWERPARITY1.Inmathematicalterms:whereet=futurespotratee0=spotrateih=homeinflationif=foreigninflationt=thetimeperiod14PURCHASINGPOWERPARITY2.Ifpurchasingpowerparityisexpectedtohold,thenthebestpredictionfortheo