【正文】 ? 6個(gè)月匯水?dāng)?shù) 160—80 ? 求： 3個(gè)月和 6個(gè)月美元的遠(yuǎn)期匯率，并計(jì)算 3個(gè)月和 6個(gè)月美元匯率升貼水折年率（用中間價(jià)）？ 25 計(jì)算練習(xí) 我國(guó)某公司從瑞士進(jìn)口成套設(shè)備，預(yù)計(jì) 3個(gè)月后用美元存款兌付 1572萬瑞士法郎進(jìn)口貨款，擔(dān)心瑞士法郎升值，做遠(yuǎn)期外匯交易進(jìn)行保值。 ? 已知：即期匯率 $1=— ? 3個(gè)月匯水?dāng)?shù) 120—140 ? 求：該公司 3個(gè)月后應(yīng)付多少美元？ 我國(guó)某公司計(jì)劃 3個(gè)月后用美元兌付 700萬瑞士法郎進(jìn)口貨款，為防止瑞士法郎升值，做遠(yuǎn)期交易。 ? 已知：即期匯率 $1=— ? 3個(gè)月匯水?dāng)?shù) 150—170 ? 求：若 3個(gè)月后 $1=— ? 則該公司應(yīng)支付多少人民幣進(jìn)口貨款？ 26 計(jì)算練習(xí) 已知：美元年利率 5%，瑞士法郎年利率 8% ? 即期匯率 $1= ?求：理論上 3個(gè)月美元的遠(yuǎn)期匯率？理論上 3個(gè)月瑞士法郎的遠(yuǎn)期匯率？ 27 遠(yuǎn)期外匯交易的作用 ?為進(jìn)出口商和對(duì)外投資者防范匯率風(fēng)險(xiǎn) ?保持銀行遠(yuǎn)期外匯頭寸的平衡 ?遠(yuǎn)期外匯投機(jī) “多頭”先買后賣，買空 “空頭”先賣后買，賣空 Theories of FX Market I. Interest Rate Parity (IRP) ? Example: Suppose a bank, facing the decision of investing excess funds for 3 months, has obtained the following information: ?Annualized . 3month CD rate is 10%。 ?UK rate (r*), 12% ?Spot exchange rate (SR) is US$163。, and ?3month forward rate (FR) is US$ 163。. Option A : The bank will invest domestically, ., in the . CD market. $1(1+10%/4)= $ Theories of FX Market Option B: The bank will 1. Convert the US$ in 163。 , 163。(= US$1/$/163。) 2. Invest in the . CD market, 163。(1+12%/4)= 163。, and 3. Sell the investment proceeds in 163。 for US$ in the 3month forward market US$(= 163。* US$/163。) Return under Option B exceeds the return under Option A, the foreign market alternative is preferred. I. Interest Rate Parity (IRP) ? SR= spot rate for foreign currencies in terms of US$, ., US$ / 163。 FR= forward rate for foreign currencies in terms of US$ r = interest rate for US$ in . r* = interest rate for foreign currencies in their countries FR= SR(1+r)/(1+r*) or (FRSR)/SR=(rr*)/(1+r*) II. Purchasing Power Parity (PPP) ? There are two versions of PPP: absolute PPP and relative PPP ? Absolute PPP states that the exchange rateadjusted price for any good (or a basket of goods) is the same everywhere. P* and P are the foreign price and domestic price of the good, eP*= P II. Relative PPP suggests that the change in the exchange rate over time between two countries will reflect relative changes in the price levels (or the difference in the inflation rates) of the two countries. or SR1 and SR0 are the exchange rates at time 1 and 0 respectively. Further, SR1 is the expected rate one period from today (date=0). INF and INF* are the expected domestic and foreign inflation rates. e1/e0 = (1 + INF)/(1 + INF*) (SR1 SR0 )/SR0= ( INF INF*)/(1 + INF*) III. Open Fisher Parity ? Open Fisher parity assumes constant, real interest rates (or the difference in real interest rates in countries are constant) as: or ? ex ante relationship. ? It implies that there is no unique risk premium in the forward rates quoted in foreign exchange markets. SR1/SR0 = (1 + r)/(1 + r*) (SR1SR0)/SR0 = ( r r*) /(1+ r*) III. Open Fisher Parity . nominal interest rate is 8% while Japan is 12%. Given the current exchange rate, SR0, of US$165。, the expected exchange rate will be: SR1 = SR0 (1 + r)/(1 + r*) = [US$] ()/() = US$165。 ? The Japanese nominal interest rate is higher than the ., its currency is expected to depreciate. Why? IV. Unbiased Forward Market Hypothesis ? Equating the two equations (1) and (4) because their right sides are identical, we obtain: ? The forward price is an unbiased predictor for the future spot price. This is the unbiased forward market hypothesis, or speculative efficient market (SEM) hypothesis. FR = SR1 (5) Motivations of Participants in FX Market ? Foreign exchange market has three types of activities: arbitrage, hedging and speculation. ? Hedging allows of importers, exporters and multinational corporations to avoid currency exposure, ., volatility in profits due to FX volatility. ? 1. Hedging Risk: Diversifiable or Systematic? ?Diversifiable risk for both the Customer and the Bank ?Systematic for the customer but diversifiable for the bank ?Systematic for both the customer and the bank ? 2. Hedge Ratio Motivations of Participants in FX Market Example Given the following: ? Spot rate: € $ or US$€ ? Forward Rate: € $ or US$€ ? German interest rate: 12% per annum ? . interest Rate: 10% per annum A payment of € 10 million is required in three months. Which market (forward or Money Market) should be used for hedging? Motivations of Participants in FX Market Example ? Cost in forward market in three months US$ € x € 10 million = US$ million ? Cost in Money Market ? Find the present value of the foreign currency at the foreign market rate. We invest in the German money market that will yield €100 in three months, the amount of German marks required today is the present value of €100 at 12%, ., €10 million/ (1 + 12%/4) = € million Motivations of Participants in FX Market ? Convert this amount to US$ at the prevailing spot rate to determine the borrowing amount in the US$. € million x US$€ = US$ million ? Find the future payment in US$ to pay off the loan in the money market at 10%. That is, US