第三十二章 跨国公司财务.pptx

第三十二章 跨国公司财务.pptx

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ChapterOutline,32.1Terminology32.2ForeignExchangeMarketsandExchangeRates32.3TheLawofOnePriceandPurchasingPowerParity32.4InterestRatesandExchangeRates:

InterestRateParity32.5InternationalCapitalBudgeting32.6InternationalFinancialDecisions32.7ReportingForeignOperations32.8SummaryandConclusions,32.1Terminology,AmericanDepositoryReceipt（ADR）:

asecurityissuedintheU.S.torepresentsharesofaforeignstock.Crossrate:

theexchangeratebetweentwoforeigncurrencies,e.g.theexchangeratebetweenand.Euro（）:

thesinglecurrencyoftheEuropeanMonetaryUnionwhichwasadoptedby11MemberStateson1January1999.Thesememberstatesare:

Belgium,Germany,Spain,France,Ireland,Italy,Luxemburg,Finland,Austria,PortugalandtheNetherlands.Eurobonds:

bondsdenominatedinaparticularcurrencyandissuedsimultaneouslyinthebondmarketsofseveralcountries.,32.1Terminology,Eurocurrency:

moneydepositedinafinancialcenteroutsidethehomecountry.EurodollarsaredollardepositsheldoutsidetheU.S.;EuroyenareyendenominateddepositsheldoutsideJapan.Foreignbonds:

bondsissuedinanothernationscapitalmarketbyaforeignborrower.Gilts:

BritishandIrishgovernmentsecurities.LIBOR:

theLondonInterbankOfferRateistheratemostinternationalbankschargeonanotherforloansofEurodollarsovernightintheLondonmarket.,32.2ForeignExchangeMarketsandExchangeRates,Withoutadoubttheforeignexchangemarketistheworldslargestfinancialmarket.Inthismarketonecountryscurrencyistradedforanothers.Mostofthetradingtakesplaceinafewcurrencies.,FOREXMarketParticipants,TheFOREXmarketisatwo-tieredmarket:

InterbankMarket（Wholesale）About700banksworldwidestandreadytomakeamarketinForeignexchange.Nonbankdealersaccountforabout20%ofthemarket.ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventoryandFXspecialists.ClientMarket（Retail）Marketparticipantsincludeinternationalbanks,theircustomers,nonbankdealers,FOREXbrokers,andcentralbanks.,CorrespondentBankingRelationships,Largecommercialbanksmaintaindemanddepositaccountswithoneanotherwhichfacilitatestheefficientfunctioningoftheforexmarket.Internationalcommercialbankscommunicatewithoneanotherwith:

SWIFT:

TheSocietyforWorldwideInterbankFinancialTelecommunications.CHIPS:

ClearingHouseInterbankPaymentsSystemECHOExchangeClearingHouseLimited,thefirstglobalclearinghouseforsettlinginterbankFOREXtransactions.,SpotRateQuotations,Thespotmarketisthemarketforimmediatedelivery.（Settlementisduewithintwodays.）DirectquotationtheU.S.dollarequivalente.g.“aJapaneseYenisworthaboutapenny”IndirectQuotationthepriceofaU.S.dollarintheforeigncurrencye.g.“youget100yentothedollar”,SpotFXtrading,Intheinterbankmarket,thestandardsizetradeisaboutU.S.$10million.Abanktradingroomisanoisy,activeplace.Thestakesarehigh.The“longterm”isabout10minutes.,CrossRates,SupposethatSDM（0）=.50i.e.$1=2DMinthespotmarketandthatS（0）=100i.e.$1=100WhatmusttheDM/crossratebe?

TriangularArbitrage,$,CreditLyonnaisS（0）=1.50,CreditAgricoleS/（0）=85,BarclaysS（0）=120,Supposeweobservethesebankspostingtheseexchangerates.,Firstcalculatetheimpliedcrossratestoseeifanarbitrageexists.,TriangularArbitrage,$,CreditLyonnaisS（0）=1.50,CreditAgricoleS/（0）=85,BarclaysS（0）=120,TheimpliedS（/）crossrateisS（/）=80,CreditAgricolehaspostedaquoteofS（/）=85sothereisanarbitrageopportunity.,So,howcanwemakemoney?

TriangularArbitrage,$,CreditLyonnaisS（0）=1.50,CreditAgricoleS/（0）=85,BarclaysS（0）=120,Aseasyas123:

1.Sellour$for,2.Sellourfor,3.Sellthosefor$.,TriangularArbitrage,Sell$100,000foratS（0）=1.50receive150,000,Sellour150,000foratS/（0）=85receive12,750,000,Sell12,750,000for$atS（0）=120,receive$106,250,profitperroundtrip=$106,250-$100,000=$6,250,TheForwardMarket,Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.Ifyouhaveeverhadtoorderanout-of-stocktextbook,thenyouhaveenteredintoaforwardcontract.,ForwardRateQuotations,TheforwardmarketforFOREXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday.Bankquotesfor1,3,6,9,and12monthmaturitiesarereadilyavailableforforwardcontracts.Longer-termswapsareavailable.,ForwardRateQuotations,SupposeyouobservethatforJapaneseyen,thespotrateis115.75=$1.00Whilethe180-dayforwardrateis112.80=$1.00Whatsupwiththat?

Theforexmarketclearlythinksthattheyenisgoingtobeworthmoreinsixmonths（theyenisexpectedtoappreciate）becauseonedollarwillbuyfeweryen.,LongandShortForwardPositions,Ifyouhaveagreedtosellanything（spotorforward）,youare“short”.Ifyouhaveagreedtobuyanything（forwardorspot）,youare“long”.Ifyouhaveagreedtosellforexforward,youareshort.Ifyouhaveagreedtobuyforexforward,youarelong.,32.3TheLawofOnePriceandPurchasingPowerParity,Theexchangeratebetweentwocurrenciesshouldequaltheratioofthecountriespricelevels.S（0）=P$PRelativePPPstatesthattherateofchangeinanexchangerateisequaltothedifferencesintheratesofinflation.e=$-IfU.S.inflationis5%andU.K.inflationis8%,thepoundshoulddepreciateby3%.,EvidenceonPPP,PPPprobablydoesntholdpreciselyintherealworldforavarietyofreasons.Haircutscost10timesasmuchinthedevelopedworldasinthedevelopingworld.Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.Shippingcosts,aswellastariffsandquotascanleadtodeviationsfromPPP.PPP-determinedexchangeratesstillprovideavaluablebenchmark.,32.4InterestRatesandExchangeRates:

InterestRateParity,IRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastutetradertomakeunlimitedamountsofmoneyexploitingthearbitrageopportunity.Sincewedonttypicallyobservepersistentarbitrageconditions,wecansafelyassumethatIRPholds.,InterestRateParityDefined,Supposeyouhave$100,000toinvestforoneyear.YoucaneitherInvestintheU.S.ati$.Futurevalue=$100,000（1+ius）Tradeyourdollarsforyenatthespotrate,investinJapanatiandhedgeyourexchangerateriskbysellingthefuturevalueoftheJapaneseinvestmentforward.Futurevalue=$100,000（F/S）（1+i）Sincebothoftheseinvestmentshavethesamerisk,theymusthavethesamefuturevalueotherwiseanarbitragewouldexist.（F/S）（1+i）=（1+ius）,InterestRateParityDefined,Formally,（F/S）（1+i）=（1+ius）orifyouprefer,IRPissometimesapproximatedas,IRPandCoveredInterestArbitrage,IfIRPfailedtohold,anarbitragewouldexist.Itseasiesttoseethisintheformofanexample.Considerthefollowingsetofforeignanddomesticinterestratesandspotandforwardexchangerates.,IRPandCoveredInterestArbitrage,Atraderwith$1,000toinvestcouldinvestintheU.S.,inoneyearhisinvestmentwillbeworth$1,071=$1,000（1+i$）=$1,000（1.071）Alternatively,thistradercouldexchange$1,000for800attheprevailingspotrate,（notethat800=$1,000$1.25/）invest800ati=11.56%foroneyeartoachieve892.48.Translate892.48backintodollarsatF（360）=$1.20/,the892.48willbeexactly$1,071.,AccordingtoIRPonlyone360-dayforwardrate,F（360）,canexist.ItmustbethecasethatF（360）=$1.20/Why?

IfF（360）$1.20/,anastutetradercouldmakemoneywithoneofthefollowingstrategies:

IRP&ExchangeRateDetermination,ArbitrageStrategyI,IfF（360）$1.20/i.Borrow$1,000att=0ati$=7.1%.ii.Exchange$1,000for800attheprevailingspotrate,（notethat800=$1,000$1.25/）invest800at11.56%（i）foroneyeartoachieve892.48iii.Translate892.48backintodollars,ifF（360）$1.20/,892.48willbemorethanenoughtorepayyourdollarobligationof$1,071.,ArbitrageStrategyII,IfF（360）$1.20/i.Borrow800att=0ati=11.56%.ii.Exchange800for$1,000attheprevailingspotrate,invest$1,000at7.1%foroneyeartoachieve$1,071.iii.Translate$1,071backintopounds,ifF（360）$1.20/,$1,071willbemorethanenoughtorepayyourobligationof892.48.,YouareaU.S.importerofBritishwoolensandhavejustorderednextyearsinventory.Paymentof100Misdueinoneyear.,IRPandHedgingCurrencyRisk,IRPimpliesthattherearetwowaysthatyoufixthecashoutflowa）Putyourselfinapositionthatdelivers100Minoneyearalongforwardcontractonthepound.Youwillpay（100M）（1.2/）=$120Mb）Formaforwardmarkethedgeasshownbelow.,IRPandaForwardMarketHedge,Toformaforwardmarkethedge:

Borrow$112.05millionintheU.S.（inoneyearyouwillowe$120million）.Translate$112.05millionintopoundsatthespotrateS（0）=$1.25/toreceive89.64million.Invest89.64millionintheUKati=11.56%foroneyear.Inoneyearyourinvestmentwillhavegrownto100millionexactlyenoughtopayyoursupplier.,ForwardMarketHedge,Wheredothenumberscomefrom?

Weoweoursupplier100millioninoneyearsoweknowthatweneedtohaveaninvestmentwithafuturevalueof100million.Sincei=11.56%weneedtoinvest89.64millionatthestartoftheyear.,Howmanydollarswillittaketoacquire89.64millionatthestartoftheyearifS（0）=$1.25/?

ReasonsforDeviationsfromIRP,TransactionsCostsTheinterestrateavailabletoanarbitrageurforborrowing,ib,mayexceedtheratehecanlendat,il.Theremaybebid-askspreadstoovercome,Fb/SaF/SThus（Fb/Sa）（1+il）（1+ib）0CapitalControlsGovernmentssometimesrestrictimportandexportofmoneythroughtaxesoroutrightbans.,EquilibriumExchangeRateRelationships,$-,IRP,PPP,FE,FRPPP,IFE,FP,Arecipeforinternationaldecisionmakers:

1.Estimatefuturecashflowsinforeigncurrency.2.ConverttoU.S.dollarsatthepredictedexchangerate.3.CalculateAPVusingtheU.S.costofcapital.,32.5InternationalCapitalBudgeting,