国际财务管理知识分析(英文版).ppt

  1. 1、本文档共33页,可阅读全部内容。
  2. 2、有哪些信誉好的足球投注网站(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
  3. 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载
  4. 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
国际财务管理知识分析(英文版)

Chapter Outline Interest Rate Parity Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Covered Interest Arbitrage IRP and Exchange Rate Determination Reasons for Deviations from IRP Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Purchasing Power Parity PPP Deviations and the Real Exchange Rate Evidence on Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Chapter Outline Interest Rate Parity Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Efficient Market Approach Fundamental Approach Technical Approach Performance of the Forecasters Interest Rate Parity Interest Rate Parity Defined Covered Interest Arbitrage Interest Rate Parity Exchange Rate Determination Reasons for Deviations from Interest Rate Parity Interest Rate Parity Defined IRP is an arbitrage condition. If IRP did not hold, then it would be possible for an astute trader to make unlimited amounts of money exploiting the arbitrage opportunity. Since we don’t typically observe persistent arbitrage conditions, we can safely assume that IRP holds. Interest Rate Parity Defined Suppose you have $100,000 to invest for one year. You can either invest in the U.S. at i$. Future value = $100,000(1 + ius) trade your dollars for yen at the spot rate, invest in Japan at i¥ and hedge your exchange rate risk by selling the future value of the Japanese investment forward. The future value = $100,000(F/S)(1 + i¥) Since both of these investments have the same risk, they must have the same future value—otherwise an arbitrage would exist. (F/S)(1 + i¥) = (1 + ius) Interest Rate Parity Defined Formally, (F/S)(1 + i¥) = (1 + ius) or if you prefer, IRP and Covered Interest Arbitrage If IRP failed to hold, an arbitrage would exist. It’s easiest to see this in

文档评论(0)

jiqinyu2015 + 关注
实名认证
内容提供者

该用户很懒,什么也没介绍

1亿VIP精品文档

相关文档