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1、I3f(,()NKXCheriei堪题.跑婿殷.,笺lft)S)50婿JS.口口口跄烟i5SLIbNL7池烟外丫b外匚般翔6知！Ii口殷弼B弼！a口V往殷翔！+骰期B痫！J77)S笺亩D%一跑e苦&)$一笺算*17点婢算挟.l口外口DZ苦筒2.&)$aIIn；e $H冰匚婿&)$筠口升里焜1167(7旧口&)J127o班籥&)$咏力a荃*%果觞果TopicWeightingsinCFALevelIISessionNO.ContentWeightingsStudySession1Ethical&ProfessionalStandards10-15StudySession2-3Quantitati
2、veMethods5-10StudySession4Economics5-10StudySession5-6FinancialReportingandAnalysis10-15StudySession7-8CorporateFinance5-10StudySession9-11Equity10-15StudySession12-13FixedIncome10-15StudySession14DerivativesS-10StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagementS-15Framewor
3、kSS4EconomicsEconomicAnalysisRlOCurrencyExchangeRates:UnderstandingEquilibriumValueRllEconomicGrowthandtheInvestmentDecisionR12EconomicsofRegulation4-80与业&WiItH_CurrencyExchangeRates:UnderstandingEquilibriumValueFramework1.Bid-AskSpread2.CrossRateandTriangularArbitrage3.ForwardPremiumorDiscount4.Mar
4、k-to-marketvalue5.TheInternationalParityRelationships6.FXCarryTrade7.TheImpactofBalance-Of-PaymentsFlows8.ExchangeRateDeterminationModels9.ExchangeRateManagement多亚金新NI1I1.Bid-AskSpreadThespreadquotedbythedealerdependson,Thebid-offerspreadintheinterbankforeignexchangemarketforthetwocurrenciesinvolved
5、.Theinterbankmarketamongprofessionalmarketparticipantsallowsdealerstoadjusttheirinventoriesandriskpositions.Thesizeofthetransaction.Typically,thelargerthetransaction,thefurtherawayfromthecurrentspotexchangeratethedealingpricewillbe.7-80Therelationshipbetweenthedealerandclient.Inacompetitivebusinesse
6、nvironment,inordertowintheclientsbusiness,thedealermightprovideatighter(i.e.zsmaller)bid-offerspotexchangeratequote.当业国新ra一Bid-AskSpreadTheinterbankspreadonacurrencypairdependson,Thecurrencypairinvolved.Marketparticipationisgreaterforsomecurrencypairsthanothers.Liquidityinthemajorcurrencypairs-forex
7、ample,USD/EUR,JPY/USD,orUSD/GBPcanbeconsiderable.Thetimeofday.ThetimeoverlapduringthetradingdaywhenboththeNewYorkandLondoncurrencymarketsareopenisconsideredthemostliquidtimewindow;spreadsarenarrowerduringthisperiodthanatothertimesoftheday.NewYorktime:8:0011:00a.m.1.ondontime:13:0016:00Marketvolatili
8、ty.Whenmajormarketparticipantshavegreateruncertaintyaboutthefactorsinfluencingmarketpricing,theywillattempttoreducetheirriskexposuresand/orchargeahigherpricefortakingonrisk.IntheFXmarketthisresponseimplieswiderbid-offerspreadsinboththeinterbankandbroadermarkets.8-80Spreadsinforwardexchangeratequotes
9、increasewithmaturity.MW&新IBU.2Example:CrossRateQCalculatecrossratewithbid-askspreadsExarfplei:点ID:IJSD=。.尿O-0.6015USD:MXN=10.7000-10.7200AD:1XN-6.42006.4481Example2:USD:SFR=1.5960-70USD:ASD=1.8225-35,11SFRiASDc口口匚JbhJ匚&FR:ASD=1.1412-1.1425Example:TriangularArbitrageThefollowingarespotratequotesinthe
10、interbankmarket:9USDER1.4559/1.4561JPYSD81.87/81.89CADSD0.9544/0.9546SEKSD6.8739/6.8741Ifadealerquotedabid-offerrateof85.73/85.75inJPY/CAD,thenatriangulararbitragewouldinvolvebuying:A.CADintheinterbankmarketandsellingittothedealer,foraprofitofJPY0.01perCAD.B.JPYfromthedealerandsellingitintheinterban
11、kmarket,foraprofitofCAD0.01perJPY.C.CADfromthedealerandsellingitintheinterbankmarket,foraprofitofJPY0.01perCAD.CorrectAnswerC1Q8OHHM亚国新IB.3.ForwardDiscountandPremiumForwarddiscountorpremiumWiththeconventionofgivingthevalueofthequotedcurrency(thefirstcurrency)intermsofunitsofthesecondcurrency,thereis
12、apremiumonthequotedcurrencywhentheforwardexchangerateishigherthanthespotrateandadiscountotherwise.Example:OnemonthforwardrateisEUR:USD=1.2468,thespotrateis12500,itisadiscountforEURWhenatraderannouncesthatacurrencyquotesatapremium,thepremiumshouldbeaddedtothespotexchangeratetoobtainthevalueoftheforwa
13、rdexchangerate.TheforwardpremiumordiscountforwardpniumQ卜_、ordiscountforY：11-80HH当亚国新IBU.4.Mark-to-MarketValueMark-to-marketvalueofaforwardcontractThemark-to-marketvalueofforwardcontractsreflectstheprofit(orloss)thatwouldberealizedfromclosingoutthepositionatcurrentmarketprices.Whenaforwardcontractisi
14、nitiated,theforwardrateissuchthatnocashchangeshands(i.e.themark-to-marketvalueofthecontractatinitiationiszero).Themark-to-marketvalueoftheforwardcontractwillchangeasthespotexchangeratechangesandasinterestrateschangeineitherofthetwocurrencies.Vt(T)=PresentvalueofthedifferenceinforwardpricesFt(T)F360W
15、hereristheinterestrateofpricecurrencyExample:Mark-to-MarketValueHYewMunYiphasenteredintoa90-dayforwardcontractlongCAD1millionagainstAUDataforwardrateof1.05358AUD/CAD.Thirtydaysafterinitiation,thefollowingAUD/CADquotesareavailable:MaturityFXRateSpot1.0612/1.061430-day+4.9/+5.260-day+8.6/+9.090-day+14
16、.6/+16.8180-day42.3+48.3Thefollowinginformationisavailable(att=30)forAUDinterestrates:30-dayrate:1.12%60-dayrate:1.16%90-dayrate:1.20%Whatisthemark-to-marketvalueinAUDofYipzsforwardcontract?13-80HH雪业国新ItfB_Example:Mark-to-MarketValue圜CorrectAnswer:Yip,scontractcallsforlongCAD(i.e.,convertingAUDtoCAD
17、).Tovaluethecontractwewouldlooktounwindtheposition.Tounwindtheposition,Yipcantakeanoffsettingpositioninanewforwardcontractwiththesamematurity.Hence,YipwouldbesellingCADinexchangeforAUDand,hence,goingupthebid(i.e.fusethebidprice).Notethatafter30days,60moredaysremainintheoriginalcontract.Theforwardbid
18、priceforanewcontractexpiringinT-t=60daysis1.0612+8.6/10,000=1.06206.Theinterestratetousefordiscountingthevalueisalsothe60-day14-80AUDinterestrateof1.16%:MW&新IBU.Example:Mark-to-MarketValue目Correct Answer: (Con*t)(Fpt-FP)(ContraCtSiZe)Vt=1+R(黯)1(1.06206-1.05358)(1,000,000)l+0.0116)=8,463.64Thirtydays
19、intotheforwardcontract,Yip,spositionhasgained(positivevalue)AUD8,463.64.ThisisbecauseYipspositionislongCAD,whichhasappreciatedrelativetoAUDsinceinceptionofthecontract.YipcancloseoutthecontractonthatdayandreceiveAUD8,463.64.Note:BesuretousetheAUD(pricecurrency)interestrate.*5.TheInternationalParityRe
20、lationshipsInterestRateParity(-)CoveredInterestRateParityUncoveredInterestRateParityForwardRateParityPPP(-朗)AbsolutePPPRelativePPP16-80InternationalFisherRelation(-朗)M亚国新IBU_5.1CoveredInterestRateParityCoveredInterestrateparity(IRP)Coveredinterestrateparityisbasedonanarbitragerelationshipamongrisk-f
21、reeinterestratesandspotandforwardexchangerates.Thisparityconditiondescribesarisklessarbitragerelationshipinwhichaninvestmentinaforeignmoneymarketinstrumentthatiscompletelyhedgedagainstexchangerateriskshouldyieldexactlythesamereturnasanotherwiseidenticaldomesticmoneymarketinvestment,(fullyhedge)Inter
22、estdifferentialforwarddifferentialInterestrateparityrelationship:F(forward),S(spot)XY,r#ndrjsthenominalrisk-freerateinXandYFl+rSh7F-S=x-1三/一科17-80Sl+r1+rYM亚国新(SU一CoveredInterestRateParityAssumeaoneyearhorizon.Therisk-freeassetsaretypicallybankdepositsquotedusingLIBORforthecurrencyinvolved.Thedaycoun
23、tconventionisActual/360.ActualXW360fActualy6360AdualxSS1VACtuaI1&360ArbitrageITc.Ir)Ir,SSFXthenborrowXcurrency,theprofitwillbe(lr)f(Ir)*FMSIf-,土domesticexpectedinflationdifferential,thisisknownastheInternationalFishereffect.Thedifferenceinexpectedinflationratesequalstheexpectedchangeintheexchangerat
24、e,wederivethefollowing:中一Tpv=寄Jfe，InternationalParityRelationshipsTheInternationalParityRelationshipsCombined口IRP1Foreign exchange expectations relationSO1aFisher25-80品R-pppy当业国新!raLong-RunFairValueofAnExchangeRateStudiesfindthatinthelongrun,realexchangeratesbetweencountriestendtostabilizearoundthei
25、raveragevalue-thatis,theymeanrevert.Statedanotherway,nominalexchangeratesgraduallygravitatetowardtheirPPP-basedvalues.Thismeansthatalthoughovershorterhorizonsnominalexchangeratemovementsmayappearhaphazard.Overlongertimehorizonsnominalexchangerateswilltendtogravitatetowardtheirlong-runPPPequilibriumv
26、alues.MH昌亚&新EH*6.FXCarryTradeFXcarrytradeinvolvestakingonlongpositionsinhigh-yieldCurrenciesandshortpositionsinlow-yieldcurrencies(fundingcurrency).Historicalevidenceshowsthatsuchcarrytradestrategiesoftengenerateattractiveexcessreturnsoverextendedperiods.ReturnTherewardisthegradualaccrualoftheintere
27、stratedifferentialincomethatisunrelatedtoexchangeratevolatility.Ifuncoveredinterestrateparityheldatalltimes,investorswouldnotbeabletoprofitfromastrategythatundertooklongpositionsinbasketsofhigh-yieldcurrenciesandshortpositionsinbasketsoflow-yieldcurrencies.RiskTheriskarisesfromthepotentialforsuddena
28、dverseexchangeratemovementsthatresultininstantaneouscapitallosses.Example:FXCarryTradeHMehmetisconsideringacarrytradeinvolvingtheUSDandtheEuro.Heanticipatesitwillgenerateahigherreturnthanbuyingaone-yeardomesticnoteatthecurrentmarketquoteduetolowUSinterestratesandhispredictionsofexchangeratesinoneyea
29、r.TohelpMehmetassessthecarrytrade,SmithprovidesMehmetwithselectedcurrentmarketdataandhisoneyearforecastsinExhibit1.Exhibit1.SpotRatesandInterestRatesforProposedCarryTradeTodaysOne-yearLiborCurrencypair(Price/Base)SpotratetodayProjectedspotrateinoneyearUSD0.80%CAD/USD1.00551.0006CAD1.71%ERCAD0.72180.
30、7279EUR2.20%Calculatethepotentialall-inUSDreturnonthecarrytrade.28-80HHM亚国新IB.Example:FXCarryTradeHCorrectAnswer:TherelevanttradeistoborrowUSDandlendinEuros.Tbcalculatetheall-inUSDreturnfromaone-yearEURLibordeposit,firstdeterminethecurrentandone-yearlaterUSD/EURexchangerates.BecauseoneUSDbuysCAD1.00
31、55today,andoneCADbuysEUR0.7218today,todaysEUR/USDrateistheproductofthesetwonumbers:1.00550.7218=0.7258.Theprojectedrateoneyearlateris:1.00060.7279=0.7283Accordingly,measuredindollars,theinvestmentreturnfortheunhedgedEURLibordepositisequalto:(1.00550.7218)(1+0.022)1/(1.000607279)-1=0.7258(1.022)(1/0.
32、7283)-1=1.0184-1=1.84%However,theborrowingcostsmustbechargedagainstthisgrossreturntofundthecarrytradeinvestment(one-yearUSDLiborwas0.80%).Thenetreturnonthecarrytradeistherebyclosestto:1.84%-0.80%=1.04%.29QHHH当亚国新IBU.7.Balance-Of-PaymentsAccountsBalance-of-paymentsaccountsCurrentAccountrepresentsthes
33、umofallrecordedtransactionsintradedgoods,services,income,andnettransferpaymentsinacountry,soverallbalanceofpayments.FinancialAccount(alsoknownasthecapitalaccount)reflectsfinancialflows.Investment/financingdecisionsareusuallythedominantfactorindeterminingexchangeratemovements,atleastintheshorttointer
34、mediateterm.Balance-Of-PaymentsAccountsCurrentaccountinfluence:countriesthatrunpersistentcurrentaccountdeficitsoftenseetheircurrenciesdepreciateovertimeTheflowsupply/demandchannelItisbasedonafairlysimplemodelthatfocusesonthefactthatpurchasesandsalesofinternationallytradedgoodsandservicesrequiretheex
35、changeofdomesticandforeigncurrenciesinordertoarrangepaymentforthosegoodsandservices.Theinitialgapbetweenimportsandexports.Theresponseofimportandexportpricestochangesintheexchangerate.Theresponseofimportandexportdemandtothechangeinimportandexportprices.31-80HHH岩业国新匡值.Balance-Of-PaymentsAccountsThepor
36、tfoliobalancechannel.Currentaccountimbalancesshiftfinancialwealthfromdeficitnationstosurplusnations.Overtime,thismayleadtoshiftsinglobalassetpreferences,whichinturncouldexertamarkedimpactonthepathofexchangerates.Thedebtsustainabilitychannel.Ifinvestorsbelievethatthedeficitcountrysexternaldebtisrisingtounsustainablelevels,theyarelikelytoreasonthata
