ToExchangeRateFluctuations(国际金融管理-山东.ppt
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1、,Measuring Exposure ToExchange Rate Fluctuations,10,Chapter,South-Western/Thomson Learning 2003,See c10.xls for spreadsheets to accompany this chapter.,Chapter Objectives,To discuss the relevance of an MNCs exposure to exchange rate risk;To explain how transaction exposure can be measured;To explain
2、 how economic exposure can be measured;andTo explain how translation exposure can be measured.,Is Exchange Rate Risk Relevant?,Purchasing Power Parity ArgumentExchange rate movements will be matched by price movements.PPP does not necessarily hold.,Is Exchange Rate Risk Relevant?,The Investor Hedge
3、ArgumentMNC shareholders can hedge against exchange rate fluctuations on their own.The investors may not have complete information on corporate exposure.They may not have the capabilities to correctly insulate their individual exposure too.,Currency Diversification ArgumentAn MNC that is well divers
4、ified should not be affected by exchange rate movements because of offsetting effects.This is a naive presumption.,Is Exchange Rate Risk Relevant?,Stakeholder Diversification ArgumentWell diversified stakeholders will be somewhat insulated against losses experienced by an MNC due to exchange rate ri
5、sk.MNCs may be affected in the same way because of exchange rate risk.,Is Exchange Rate Risk Relevant?,Response from MNCsMany MNCs have attempted to stabilize their earnings with hedging strategies,which confirms the view that exchange rate risk is relevant.,Is Exchange Rate Risk Relevant?,For curre
6、nt and historic exchange rates,as well as implied currency volatilities,visit http:/www.ny.frb.org/pihome/statistics/.,Online Application,11/30/01Implied Vols 1 Week 1 Month 2 Month 3 Month 6 Month 12 Month 2 Year 3 Year EUR 10.9 9.9 10.9 11.2 11.7 11.9 11.9 11.8 JPY 9.1 8.9 9.5 9.9 10.4 10.6 10.7 1
7、0.7 CHF 11.2 10.3 11.2 11.5 11.9 12.1 12.0 12.0 GBP 9.0 8.1 8.8 9.1 9.4 9.5 9.6 9.7 CAD 6.2 5.9 6.0 6.1 6.1 6.1 6.2 6.1 AUD 10.4 10.3 11.0 11.4 11.8 12.0 12.0 12.0 GBPEUR 8.1 6.9 7.4 7.7 8.4 8.7 8.6 8.5 EURJPY 9.3 9.0 9.7 10.3 10.8 11.3 11.4 11.4,Types of Exposure,Although exchange rates cannot be f
8、orecasted with perfect accuracy,firms can at least measure their exposure to exchange rate fluctuations.Exposure to exchange rate fluctuations comes in three forms:Transaction exposureEconomic exposureTranslation exposure,Transaction Exposure,The degree to which the value of future cash transactions
9、 can be affected by exchange rate fluctuations is referred to as transaction exposure(交易风险).To measure transaction exposure:project the net amount of inflows or outflows in each foreign currency,anddetermine the overall risk of exposure to those currencies.,MNCs can usually anticipate foreign cash f
10、lows for an upcoming short-term period with reasonable accuracy.After the consolidated net currency flows for the entire MNC has been determined,each net flow is converted into either a point estimate or a range of a chosen currency,so as to standardize the exposure assessment for each currency.,Tra
11、nsaction Exposure,An MNCs overall exposure can be assessed by considering each currency position(头寸)together with the currencys variability(可变性)and the correlations among the currencies.The standard deviation statistic on historical data serves as one measure of currency variability.Note that curren
12、cy variability levels may change over time.,Transaction Exposure,Currency 1981-1993 1994-1998British pound0.03090.0148Canadian dollar0.01000.0110Indian rupee0.02190.0168Japanese yen0.02790.0298New Zealand dollar0.02890.0190Swedish krona0.02870.0195Swiss franc0.03300.0246Singapore dollar0.01110.0174,
13、Transaction Exposure,Standard Deviations of Exchange Rate MovementsBased on Monthly Data,The correlations among currency movements can be measured by their correlation coefficients,which indicate the degree to which two currencies move in relation to each other.coefficientperfect positive correlatio
14、n1.00no correlation0.00perfect negative correlation-1.00,Transaction Exposure,Can$NZ$Sk SwFBritishpound()1.00Canadiandollar(Can$).181.00Japaneseyen().45.061.00New Zealanddollar(NZ$).39.20.331.00Swedishkrona(Sk).62.16.46.331.00Swiss franc(SwF).63.12.61.37.701.00,Transaction Exposure,Correlations Amon
15、g Exchange Rate Movements,The point in considering correlations is to detect positions that could somewhat offset each other.For example,if currencies X and Y are highly correlated,the exposures of a net X inflow and a net Y outflow will offset each other to a certain degree.Note that the corrrelati
16、ons among currencies may change over time.,Transaction Exposure,Movements of Selected CurrenciesAgainst the Dollar,A related method,the value-at-risk(VAR)method,incorporates currency volatility and correlations to determine the potential maximum one-day loss.Historical data is used to determine the
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