CFA二级知识精讲-经济：Economics for Valuation.docx

IntroductionTopicweight:StudySession1-2Ethics&ProfessionalStandards10%-15%StudySession3QuantitativeAnalysis5%-10%StudySession4Economics5%-10%StudySession5-6FinancialReportingandAnalysis10%-15%StudySession7-8CorporateFinance5%-10%StudySession9-11EquityValuation10%-15%StudySession12-13FixedIncome10%-15%StudySession14DerivativeInvestment5%10%StudySession15AlternativeInvestment5%-10%StudySession16-17PortfolioManagement5%-15%Weights:100%ContentsStudySession4:EconomicsforValuationReading11:CurrencyExchangeRates:UnderstandingEquilibriumValUeReading12:EconomicGrowthandInvestmentDecisionReading13:EconomicsofRegulationIntroduction考纲对比:与2018年相比，2019年的考纲没有变化4Introduction学习建议:本门课程难度适中，知识点与一级经济学保持较强连贯性做原版教材章节后习题常考知识点比较固定，要记住关键的计算公式和理论CurrencyExchangeRates：UnderstandingEquilibriumValueBasicsofForeignExchangeTasks:CalculateandInterpretthebid-askspreadonaspotorforwardforeigncurrencyquotationDescribethefactorsthataffectthebid-offerspread.AUUJJJrDSBq 一|一SBAQlISJrD-ISLUOa-UO-IelOnbI。-pu- .LuseqlSeAJUeJJS -t-0M-:uo=elonb一J-A3u0Jm ram -HnWAOUm2dmodco9S8.0UHmIS0Hdc史BnUJs80HHnUJdc9SSH0»sra2三ui3encyExchangeRatesNominalexchangerate:Thepricethatweobserveinthemarketplaceforforeignexchange.Realexchangerate:Adjustnominalexchangeratetoreflecttherelativepurchasingpowerbetweencountries.Nominal(df)Real(df)=6rd耳(Sda寸)寸000.0S,-PEdS一U.IbZTbTSSBseqP-PIOQ0nIlI-dcuBxLlJ.dsbU9J。BSPEdSPeJldSjlp=B0S-JdzPUBl-fcoLlI仁Mlqol-fcRJmJotun=-M-oo-lS-od<.iunOmJdABd=_Ml-ra-8d-3dP880ST<90sI38td13SNSM!GoSkSpreadExample:AdealerisquotingtheAUD/GBPspotrateas1.5060-1.5067.Computeproceedsofconverting1millionGBP.Computeproceedsofconverting1millionAUD.Answer:1.Consumer:SellAUD/GBP,usingdealerbidprice1.5060.1millionGBPX1.5060=1.506millionAUD.2.Consumer:SellGBP/AUD,usingdealerbidprice1/1.5067.1millionAUD/1.5067=663702.13GBP.Bid-AskSpreadThespreadquotedbythedealerdependson：Thespreadintheinterbankmarketforthesamecurrencypair.Thesizeofthetransaction.Therelationshipbetweenthedealerandclient.InterbankspreadonacurrencypairdependsonCurrenciesinvolved.Timeofday.Marketvolatility.Example 1:Rate CalculationUSD/EUR=1.4,CHF/USD=0.9,andUSD/GBP=2,CalculateGBP/EURAnswer1：GBP/EUR=(USD/EUR)×(GBP/USD)=1.4×(1/2)=0.7prossRateCalculationExample2:USD:SFR=1.5960-70zUSD:ASD=1.8225-35CalculateSFR:ASDAnswer2:SFR/USD=1.5960-70,ASD/USD=1.8225-35USD/SFR=1/1.5970-1/1.5960ASD/SFR=(ASD/USD)×(USD/SFR)=(1.8225-1.8235)X(1/1.5970-1/1.5960)SFR:ASD=1.1412-1.1425maryImportance:Content:Bid-AskspreadFactorsaffectingbid-askspread*cross-ratecalculationExamtips:熟悉外汇买卖价差，及影响外汇价差的因素能计算交叉汇率的买卖报价CurrencyExchangeRates：UnderstandingEquilibriumValueTriangularArbitrageMark-to-MarketValuesofForwardContractsTasks:IdentifyatriangulararbitrageopportunityandcalculateitsprofitCalculatetheforwardpremium/discountforagivencurrencyCalculatethemark-to-marketvalueofaforwardcontractIanguIarArbitrageTriangulararbitragemeansconvertingfromcurrencyAtocurrencyB,thenfromcurrencyBtocurrencyC,thenfromcurrencyCbacktoA.IfWeendupwithmoreofcurrencyAattheendthanwestartedwith,we'veearnedanarbitrageprofit.Example:SDAD=0.6000-0.6015MXN/USD=10.7000-10.7200MXNAD=63000-6.3025Howtoarbitragefromthesemarkets?USDAD二0.6000-0.6015MXNSD=10.7000-10.7200MXNAD=6.3000-6.3025StepOne:IUSD÷l0.6015AD-÷(l0.6015)*6.3000MXN÷(l0.6015)*6.3000)10.720SD÷0.97704SDnoprofitStepTwo:IUSDl*10.700MXN÷(l*10.700)6.3025AD(l*10.700)6.3025)*0.6000USD-÷1.01864SDzarbitragel-七U-UoPQq。1rou×UtOJS3巴rou×AQlIOJUnO-weMUeiPXiv-O>l3-PaUJlU-0JS3。u×ucssu-lelc×3dsMSraKMiIeiIXi三s3(AUUJlrDSBqysluH(IUn8-P)E-El-PJBMoU-lu三E2dPPMOM-P-QDU-Pel-AQUPD8d.IUnOJS-P20IeMU-PeJlS-A。U3&dIodSuessS-lonbpeMOJ-IUno<JS-PpeMOJI。<S-0l-0j3dlurludPJeMoJeMu-peIS-umSBc08zdIodSue<-SGlOnbPjleMOJTl三vf三13s!aIUBMI£rdDiscountorPremiumExample:GiventhefollowingquotesforAUD/CAD,computethebidandofferratesfora30-dayforwardcontract.MaturitySpot1.0511 / 1.0519Rate30-day+3.9/+4.190-day+15.6/+16.8180-day+46.9/+52.3Answer:CADistradingataforwardpremium.30-daybid=1.0511+3.910z000=1.0514930-dayoffer=1.0519+4.1/10,000=1.0523130-dayforwardquoteforAUD/CADis1.05149/1.05231.Mark-to-marketvalueofaforwardcontractThevalueofaforwardcurrencycontractpriortoexpirationisknownasthemark-to-marketvalue.V=(FPt- FP)(contract size)Mark-to-marketvalueofaforwardcontractYewMunYiphasenteredintoa90-dayforwardcontractlongCAD1millionagainstAUDataforwardrateof1.05358AUD/CAD.Thirtydaysafterinitiation,thefollowingAUD/CADquotes are available ：MaturityRateSpot1,0612/1.061430-day60-day90-day180-dav+4.9/+5.2+8+6/+9.0+ 14.6/+16.8+42.3/+48.3The following is for AUD interest rates (at t=30):30-day rate: 1.12% 60-day rate: 1.16% 90-day rate: 1.20%What is mark-to-market value in AUD of Y,s forward contract?Mark-to-marketvalueofaforwardcontractAnswer:TheforwardbidpriceforanewcontractexpiringinT-1=60daysis1.0612+8.6/10,000=1.06206.Theinterestratetousefordiscountingthevalueisalsothe60-dayAUDinterestrateof1.16%:(FPt- FP)(contract size)8463.64(1.06206-1.05358)(1000000)1().0116I1360maryImportance:Content:TriangulararbitrageForwardpremiumanddiscountMark-to-marketvaluesofforwardcontractsExamtips:，能计算外汇三角套利能计算远期升水和贴水-能计算远期合约的盯市价值PlIrreiICVExchangeRates：UnderstandingEquilibriumValueInternationalParityRelationships111Tasks:ExplaininternationalparityrelationsDescriberelationsamongtheinternationalparityconditionsEvaluatetheuseinternationalparityrelationstoforecastfuturespotexchangeratesCoveredInterestRateParityCoveredinterestrateparityaninvestmentinaforeignmoneymarketinstrumentthatiscompletelyhedgedagainstexchangerateriskshouldyieldexactlythesamereturnasanotherwiseidenticaldomesticmoneymarketinvestment.Thecurrencywithhighernominalinterestratewilldepreciate.F I*'forward (xy) Sspot(xy)1+Udays360days360%AS(y) F-SJ + l 1 L-FyS l + rv X y yr -rUncoveredInterestRateParityUncoveredinterestrateparitystatethatthechangeinspotrateovertheinvestmenthorizonshouldequalthedifferentialininterestratesbetweenthetwocountries.Theexpectedappreciation/depreciationoftheexchangerate just offsets the yield differential, implying that the current forward exchange rate is an unbiased predictor of the future spot rate.InternationalFisherRelationTheinterestratedifferentialbetweentwocountriesshouldbeequaltotheexpectedinflationdifferential.Assumesthatrealinterestratesarestableovertimeandequalacrossinternationalboundaries.X:1+nom(x)1+Ial(X)Hl+E(I)Y：1+110m(y)l+rrcail+E(Iy)1.real(x)real(y)1+11om(x)_l+E(I)nom(x)-om(y)_E(Is)-E(Iy)1+11om(y)l+E(Iy)1+nom(y)l+E(Iy)l°gxnom(y)=E(IX)-E(Iy)uncoveredinterestrateparityExampleThefixedincomemanagercollectsthefollowinginformation,andusesitalongwiththeinternationalparityconditionsinordertoestimateinvestmentreturnsandfutureexchangeratemovements.Today,sOne-YearLiborCurrencyPairSpotRateTodayJPY0.10%JPY/USD81.30USD0.10%USD/GBP1.5950GBP3.00%JPY/GBP129.67Ifuncoveredinterestparityholds,today'sexpectedvaluefortheJPY/GBPcurrencypaironeyearfromnowwouldbeclosestto:A.126.02.B.129.67.C.130.05.uncoveredinterestrateparityAnswerAiscorrect.Ifuncoveredinterestrateparityholds,thentheexpectedspotrateoneyearforwardisequaltotheone-yearforwardexchangerate.Thisforwardrateiscalculatedintheusualmanner,giventhespotexchangeratesandLibors:SeF129.67(126.021.03maryImportance:Content:CoveredinterestrateparityUncoveredinterestrateparityInternationalfisherrelationExamtips:理解抛补利率平价，无抛补利率平价，和国际费雪关系-记住平价关系公式PlIrreiICVExchangeRates：UnderstandingEquilibriumValueInternationalParityRelationships121Tasks:ExplaininternationalparityrelationsDescriberelationsamongtheinternationalparityconditionsEvaluatetheuseinternationalparityrelationstoforecastfuturespotexchangerates"v)sTU(UBdBfU-8SoluPUBB-SSPIHU-osOIUIe-dod>)EleqIoUAeUJ-EOoo0M+jU-SPooco-<-ra>ljos+-,q-Mo-P-OqIoUI-UJddd5-Oora-uot-仁一s>-Jd-PUo4。UJaqlJO04。lllAq-El-s-s,lUnooOMI一巴-l-o×En=nbBmlllIBdddBln-OsqvAlM£id=ESBIIUIIdSSMSRelativePurchasingPowerParitvRelativePPP:thepercentagechangeinthespotexchangeratewillbecompletelydeterminedbythedifferencebetweentheforeignanddomesticinflationrate.St%AS产一I -ITheevidencesuggeststhattherelativeformofPPPholdsapproximatelyinthelongrun.Ex-AnteVersionofPPPEx-anteversionofpurchasingpowerparityisthesameasrelativepurchasingpowerparityexceptthatitusesexpectedinflationinsteadofactualinflation.Wecanalsouseinflationdifferentialstoforecastfutureexchangerates.。叫心E(St)-SOSoE(f)-E(iy)InternationalParityRelationshipsCombinedEx-antePPP,uncoveredinterestrateparityorforwardratestoforecastfuturespotrates.UncoveredinterestrateparityandPPParenotboundbyarbitrageandseldomworkovertheshortandmediumterms.TheforwardrateisnotanunbiasedpredictoroffuturespotrateoPPPholdsoverreasonablylongtimehorizons.internationalParityRelationshipsCombinedExampleAccordingtothetheoryandempiricalevidenceregardingpurchasingpowerparity,whichofthefollowingwouldnotbetrueifPPPholdsinthelongrun?A.Anexchangerate'sequilibriumpathshouldbedeterminedbythelong-termtrendindomesticrelativetoforeignpricelevels.B.DeviationsfromPPPmightoccurovershort-andmedium-termperiods,butfundamentalforcesshouldeventuallyworktopushexchangeratestowardtheirlong-termPPPpath.C.High-inflationcountriesshouldtendtoseetheircurrenciesappreciateovertime.AnswerCiscorrect.AccordingtoPPP,high-inflationcountriesshouldseetheircurrenciesdepreciate(atleast,overthelongerterm)inordertore-equilibraterealpurchasingpowerbetweencountries.maryImportance:Content:AbsolutepurchasingpowerparityRelativepurchasingpowerparityEx-anteversionofPPPExamtips:理解绝对，相对和预期购买力平价关系记住平价公式-理解平价条件之间的关系CurrencyExchangeRates：UnderstandingEquilibriumValue1.ongTermEauilibriumExchangeRatesCarryTradeTasks:Explainapproachestoassessinglong-termfairvalueofanexchangerateDescribethecarrytradeanditsrelationtouncoveredinterestrateparityCalculatetheprofitfromacarrytrade<E3El-MSLUn-EBJtdaweUOA-C-p一。dxIeweUoR-c-PwJdx)i<le=s,llu二e三EOUorIe=SOlWU=B-EOU)+(M/<wecrao×-BE3-M<E三EJdXSMlaE3EV-XS)»<ro<-c-ra>mracs+(8<lBJcraux-BJIUn二q=bU(B/<BlBJBMUelPXEvcoso三asBHMUEIP2il»»LongTermExchangeRateDeterminationTherealexchangeratewilltendtorise,relativetoitslong-runequilibriumvalue,when:ThenominalyieldspreadbetweenthehighandlowyieldmarketrisesInflationexpectationsinthehighyieldmarketdeclinerelativetothelowyieldmarketTheriskpremiumdemandedbyinvestorstoholdtheassetsofthehighyieldmarketdeclinesrelativetothelowyieldmarket.FXCarryTradeUncoveredinterestrateparityisnotboundbyarbitrage.InaFXcarrytrade,aninvestorinvestsinahigheryieldingcurrencyusingfundsborrowedinaloweryieldingcurrency.Theloweryieldingcurrencyiscalledthefundingcurrency.If&>q,returnrx-ry-%SxzyFXCarryTradeExample:ExchangerateforUSD/GBPis1.50todayand1.49oneyearlater.Interestrateis3%forU.Kand1%forU.S.CalculationtheprofittoborrowingintheU.S.andinvestingintheU.K.Answer:return=3%-1%-(1.5-1.49)/1.5=1.33%Correct?FXCarryTradeRisksofcarrytradeisthatthefundingcurrencymayappreciatesignificantlyagainstthecurrencyoftheinvestment,whichwouldreduceatrader'sprofit-orevenleadtoaloss.Returndistributionofcarrytradeisnotnormal(negativeskewnessandexcesskurtosis),meaningthattheprobabilityofalargelossishigherthantheprobabilityimpliedunderanormaldistribution.Wecallthishighprobabilityofalargelossthecrashriskofthecarrytrade.FXCarryTradeRiskmanagementincarrytradesVolatilityfilter:Wheneverimpliedvolatilityincreasesaboveacertainthreshold,thecarrytradepositionsareclosed.Valuationfilter:AvaluationbandisestablishedforeachcurrencybasedonPPPorothermodels.Ifthevalueofacurrencyfallsbelow(above)theband,thetraderwilloverweight(underweight)thatcurrencyinthetrader'scarrytradeportfolio.maryImportance:Content:Long-termequilibriumexchangerateCarrytradeEXamtips:解释评估长期公允汇率的方法-计算套息交易的利润PlIrreiICVExchangeRates：UnderstandingEquilibriumValueTheInfluenceofBalanceofPaymentonExchangeRateTasks:Explainhowflowsinthebalanceofpaymentaccountsaffectcurrencyexchangeratealance-of-PaymentsCurrentaccountmeasurestheexchangeofgoods,theexchangeofservices,theexchangeofinvestmentincome,andunilateraltransfers(giftstoandfromothernations).Capitalaccount(alsoknownasthefinancialaccount)measurestheflowoffundsfordebtandequityinvestmentintoandoutofthecountry.Officialreserveaccounttransactionsarethosemadefromthereservesheldbytheofficialmonetaryauthoritiesofthecountry.alance-of-PaymentsCurrentaccount+Capitalaccount+Officialreserveaccount=0Whenacountryexperiencesacurrentaccountdeficit,itmustgenerateasurplusinitscapitalaccount(orseeitscurrencydepreciate).Capitalflowstendtobethedominantfactorinfluencingexchangeratesintheshortterm,ascapitalflowstendtobelargerandmorerapidlychangingthangoodsflows.1.ongTermEquilibriumExchangeRateAssessmentsMacroeconomicbalanceapproach:Estimateshowmuchcurrentexchangeratesmustadjusttoequalizeacountry'scurrentaccountimbalance.Externalsustainabilityapproach:Estimateshowmuchcurrentexchangeratesmustadjusttoforceacountry'sexternaldebtrelativetoGDPtowardsitssustainablelevel.Reduced-formeconometricmodelapproach:Estimatestheequilibriumpathofexchangeratemovementsbasedonpatternsinseveralkeymacroeconomicvariables,suchastradebalance,netforeignasset/liability,andrelativeproductivity.uUEipAlmqBEElSnSjqBPBLIl-UUBLpSuO-OwodRUUBlppuelujp/A-ddnsMo-JJzlErooE-BJcu>s0l-l-toO口SEoPJoUO-IePBJdBPOlPB-slp-JeplunooJBIUno-salecroQ×ouO-IeU-ULIWaPPUesJU-eqE-IUnoeluxlnusMllEIl32SeeJO33U三