Ch09Forecasting Exchange Rates(国际金融管理-山东大学,秦风鸣).ppt

Part IIIExchange Rate Risk Management Forecasting Exchange Rates Chapter Objectives To explain how firms can benefit from forecasting exchange rates; To describe the common techniques used for forecasting; and To explain how forecasting performance can be evaluated. Why Firms ForecastExchange Rates MNCs need exchange rate forecasts for their: Hedging（套期保值） decisions, short-term financing decisions, short-term investment decisions, capital budgeting（预算） decisions, long-term financing decisions, and earnings assessment（估价）. Forecasting Techniques The numerous methods available for forecasting exchange rates can be categorized into four general groups: technical, fundamental, market-based,and mixed. Technical Forecasting Technical forecasting involves the use of historical data to predict future values. It includes statistical（统计） analysis and time series models（时间序列模型）. Speculators（投机者） may find the models useful for predicting day-to-day movements. However, since they typically focus on the near future and rarely provide point/range estimates, they are of limited use to MNCs. Fundamental Forecasting Fundamental forecasting is based on the fundamental relationships between economic variables and exchange rates. A forecast may arise simply from a subjective assessment of the factors that affect exchange rates. A forecast may be based on quantitative measurements (with the aid of regression（回归） models and sensitivity （灵敏度）analysis too. Fundamental Forecasting Known relationships like the PPP（购买力平价） can be used for the regression models. However, problems may arise. In the case of PPP: the timing of the impact of inflation on trade behavior is not known for sure, prices may be measured inaccurately, trade barriers may disrupt the trade patterns that should emerge, and other influential factors may exist. Fundamental Forecasting In general, fundamental forecasting is limited by : the uncertain timing of the impact of the factors, the need for forecasts for factor