國(guó)際金融-期末復(fù)習(xí)-中英文

1、【名詞解釋】【The Special Drawing Right (SDR) 特別提款權(quán)】p 30The Special Drawing Right (SDR) is an international reserve asset created by the IMF to supplement existing foreign exchange reserves. (It serves as a unit of account for the IMF and is also the base against which some countries peg the exchange rate

2、for their currencies. 【LIBOR 倫敦同業(yè)銀行拆解率】p 33Eurocurrency Interest Rates: LIBOR LIBORLondon Interbank Offered Rate is the reference rate of interest in the Eurocurrency market, and is now the most widely accepted rate of interest used in standardized quotations, loan agreements or financial derivative

3、s valuations. LIBOR is officially defined by the British Bankers Association.【Dollarization美元化】Dollarization the use of the US dollar as the official currency of the country.只將美元用作官方通貨?！綞urodollar 歐洲美元】 Eurodollar is one of the European currency types，which refers to the dollar deposits in banks out

4、side the united states是指存放在美國(guó)以外的銀行中的美元存款，歐洲美元是歐洲貨幣的一種類型?！綝irect Quotes直接報(bào)價(jià)】 A direct quote is a home currency price of a unit of foreign currency. 直接報(bào)價(jià)法是用本幣表示一單位外幣的價(jià)格?！綢n direct quotes 間接報(bào)價(jià)】 An indirect quote is a foreign currency price of a unit of home currency. 間接報(bào)價(jià)法是用外幣表示一單位本幣的價(jià)格?！綞uropean optio

5、n 歐式期權(quán)】 A European option may be exercised only on its expiration date，not before. 只能在到期日那天執(zhí)行的期權(quán)【American option 美式期權(quán)】 An American option may be exercised at any time between the date of writing and the expiration or maturity date. 可在包括到期日之前的任一天執(zhí)行的期權(quán)。 【call option 看漲期權(quán)】市場(chǎng)價(jià)格>期權(quán)費(fèi)+合約價(jià) Call option is

6、 the right of buying foreign currency or other financial contracts at a specific price within a particular period, but not the obligation. 在一個(gè)特定時(shí)期以特定價(jià)格買入外匯或其他金融合約的權(quán)利，而非義務(wù)。【put option 看跌期權(quán)】市場(chǎng)價(jià)格<期權(quán)費(fèi)+合約價(jià)Put option is the right of selling foreign currency or other financial contracts at a specific pr

7、ice within a particular period, but not the obligation. 在一個(gè)特定時(shí)期以特定價(jià)格賣出外匯或其他金融合約的權(quán)利，而非義務(wù)【Interest rate parity 利率平價(jià)條件】 The theory states：the difference in the national interest rates for securities of similar risk and maturity should be equal to， but opposite in sign to, the forward rate discount or p

8、remium for the foreign currency, except for transactions costs.這一理論認(rèn)為：風(fēng)險(xiǎn)相同、期限相同的證券的名義利率差異應(yīng)該等于負(fù)的去除交易本錢的外匯遠(yuǎn)期升貼水?！続t-the-money (ATM) 到價(jià)】An option whose price is the same as the spot price of the underlying currency is said to be at-the-money (ATM).當(dāng)期權(quán)的執(zhí)行價(jià)格等于現(xiàn)時(shí)市場(chǎng)價(jià)格時(shí)，該期權(quán)被稱為到價(jià)。【In-the-money (ITM) 價(jià)內(nèi)】An op

9、tion that would be profitable, excluding the cost of premium, if exercised immediately is said to be in-the-money (ITM). 除去期權(quán)費(fèi)用之后還能帶來(lái)盈利的期權(quán)合約被稱為是價(jià)內(nèi)。【Out-of-the-money (OTM)價(jià)外】An option that would not be profitable, again excluding the cost of the premium, if exercised immediately is referred to as out

10、-of-the-money (OTM). 除去期權(quán)費(fèi)用之后不能帶來(lái)盈利的期權(quán)合約被稱為是價(jià)外。u IMF Exchange Rate Regime Classifications 匯率體制的分類1 ) Exchange Arrangements with No Separate Legal Tender無(wú)獨(dú)立法定貨幣的匯率安排: Currency of another country circulates as sole legal tender or member belongs to a monetary or currency union in which same legal tend

11、er is shared by members of the union 指一國(guó)采用另一國(guó)的貨幣作為唯一法定貨幣。如美元化2 ) Currency Board Arrangements貨幣局匯率: Monetary regime based on implicit national commitment to exchange domestic currency for a specified foreign currency at a fixed exchange rate指貨幣當(dāng)局規(guī)定本國(guó)貨幣與某一外國(guó)貨幣之間可以以一固定比率無(wú)限制兌換，貨幣發(fā)行當(dāng)局要確保這一兌換義務(wù)實(shí)現(xiàn)的匯率制度。3 )

12、 Other Conventional Fixed Peg Arrangements傳統(tǒng)的固定盯住匯率: Country pegs its currency (formal or de facto) at a fixed rate to a major currency or a basket of currencies where exchange rate fluctuates within a narrow margin or at most ± 1% around central rate以固定的匯率將其貨幣盯住另一貨幣或一貨幣籃子，國(guó)家當(dāng)局通過(guò)直接或間接敢于維持固定平價(jià),

13、匯率圍繞中心匯率在+1%的狹窄范圍內(nèi)波動(dòng)4 ) Pegged Exchange Rates w/in Horizontal Bands有波幅的盯住匯率: Value of the currency is maintained within margins of fluctuation around a formal or de facto fixed peg that are wider than ± 1% around central rate 對(duì)單一貨幣或?qū)ω泿呕@子即期市場(chǎng)匯率的波幅能夠保持在一個(gè)± 1%的范圍內(nèi) 5 ) Crawling Peg爬行盯住匯率: Curr

14、ency is adjusted periodically in small amounts at a fixed, preannounced rate in response to changes in certain quantitative measures匯率按預(yù)先宣布的固定范圍作較小的定期調(diào)整或?qū)x定的定量指標(biāo)的變化做定期的調(diào)整。6 ) Exchange Rates within Crawling Peg有波幅的爬行盯住匯率: Currency is maintained within certain fluctuation margins around a central rate

15、 that is adjusted periodically 匯率圍繞一個(gè)定期調(diào)整的中心匯率，維持在在一定的利潤(rùn)范圍內(nèi)7 ) Managed Floating with No Preannounced Path for Exchange Rate: 不帶目的的管理浮動(dòng)匯率Monetary authority influences the movements of the exchange rate through active intervention in foreign exchange markets without specifying a pre-announced path for

16、 the exchange rate 貨幣當(dāng)局試圖通過(guò)干預(yù)外匯市場(chǎng)來(lái)對(duì)匯率的變動(dòng)施加影響，但沒(méi)有事先確定干預(yù)路徑8 ) Independent Floating完全浮動(dòng)匯率: Exchange rate is market determined, with any foreign exchange intervention aimed at moderating the rate of change and preventing undue fluctuations in the exchange rate, rather than at establishing a level for it

17、 匯率由市場(chǎng)決定，官方的干預(yù)旨在緩解匯率的過(guò)度波動(dòng)，不在于將匯率維持在某一水平。u The accounts of the balance of payments 國(guó)際收支平衡表A. Current account 經(jīng)常賬戶 1. Goods trade 貨物 2. Service trade 效勞3. Income 收入 4. Current transfers 經(jīng)常轉(zhuǎn)移B. Capital account 資本賬戶1. Transfers of financial assets 金融資產(chǎn)的轉(zhuǎn)移2. The acquisition and disposal of nonproduced/no

18、nfinancial assets非生產(chǎn)/非金融資產(chǎn)的收買和放棄Direct investment 直接投資 Portfolio investment 證券投資C. Financial account Other investment assets/Liabilities 其他投資資產(chǎn)/負(fù)債 Reserve assets 儲(chǔ)藏資產(chǎn) D.Net errors and Omissions 凈誤差與遺漏u 金本位制與布雷頓森林體系的區(qū)別金本位制：以黃金為本位幣的貨幣制度。實(shí)質(zhì)各國(guó)貨幣與黃金掛鉤布雷頓森林體系：確立了以美元為中心的國(guó)際貨幣制度 美元與黃金掛鉤 實(shí)質(zhì)“雙掛鉤 各國(guó)貨幣與美元掛鉤 u Th

19、e BOP & Exchange Rates 國(guó)際收支平衡與匯率的關(guān)系1. Fixed exchange rate countries Under a fixed exchange rate system, the government bears the responsibility to ensure that the BOP is near zero.If the sum of the current and capital accounts do not approximate zero, the government is expected to intervene in t

20、he foreign exchange market by buying or selling official foreign exchange reserves.If the sum of the current and capital accounts is greater than zero, a surplus demand for the domestic currency exists in the world. To preserve the fixed exchange rate, the government must then intervene in the forei

21、gn exchange market and sell domestic currency for foreign currencies or gold so as to bring the BOP back near zero.If the sum of the current and capital accounts is negative, an excess supply of the domestic currency exists in the world markets. The government must intervene by buying the domestic c

22、urrency with its reserves of foreign currencies and gold.在固定匯率制度下，政府需要承當(dāng)確保國(guó)際收支余額接近0的責(zé)任。 如果經(jīng)常賬戶和資本賬戶的余額之和不接近0，政府就要在外匯市場(chǎng)上買進(jìn)或賣出外匯儲(chǔ)藏來(lái)進(jìn)行干預(yù)。 如果這兩個(gè)賬戶的余額之和大于0，說(shuō)明世界范圍內(nèi)本國(guó)貨幣供不應(yīng)求。為了維持固定匯率，政府必須在外匯市場(chǎng)上干預(yù)，賣出本幣換取外幣或黃金，從而使國(guó)際收支余額接近0. 如果這兩個(gè)賬戶的余額之和小于0，政府那么必須在外匯市場(chǎng)上干預(yù)，賣出外幣或黃金換取本幣。經(jīng)常賬戶+資本賬戶余額0 政府干預(yù) 買進(jìn)/賣出外匯儲(chǔ)藏經(jīng)常賬戶+資本賬戶余額0 政府

23、干預(yù) 賣出本幣、換取外幣/黃金經(jīng)常賬戶+資本賬戶余額0 政府干預(yù) 賣出外幣/黃金、換取本幣2. Floating exchange rate countries Under a floating exchange rate system, the government of a country has no responsibility to peg its foreign exchange rate. 在浮動(dòng)匯率制度下，政府沒(méi)有盯住匯率的責(zé)任。3. Managed floats The countries operating with managed floats seek to alter

24、 the market activity, rather than through direct intervention in the foreign exchange market. 在實(shí)行有管理的浮動(dòng)匯率制度下，政府會(huì)通過(guò)影響市場(chǎng)行為的動(dòng)機(jī)來(lái)改變市場(chǎng)對(duì)某一貨幣的估值，而不是在外匯市場(chǎng)直接進(jìn)行干預(yù)。u Triangular arbitrage 三角套匯 P 109 PPT第五章34頁(yè)u Types of foreign exchange exposure/risk 外匯風(fēng)險(xiǎn)的類型 Transaction Exposure交易風(fēng)險(xiǎn) measures changes in the value

25、of outstanding financial obligations incurred prior to a change in exchange rates but not due to be settled until after the exchange rate changes交易風(fēng)險(xiǎn)Transaction Risk是指以外幣標(biāo)價(jià)的交易合同，由于合同簽訂時(shí)與將來(lái)結(jié)算時(shí)的匯率不同，造成的相同金額的外幣折算本錢幣時(shí)數(shù)量發(fā)生變化的風(fēng)險(xiǎn)。交易風(fēng)險(xiǎn)又可分為外匯買賣風(fēng)險(xiǎn)和交易結(jié)算風(fēng)險(xiǎn)。 Operating ExposureEconomic Exposure經(jīng)營(yíng)風(fēng)險(xiǎn) also called ec

26、onomic exposure, measures the change in the present value of the firm resulting from any change in expected future operating cash flows caused by an unexpected change in exchange rates經(jīng)營(yíng)風(fēng)險(xiǎn)又稱經(jīng)濟(jì)風(fēng)險(xiǎn)是指由于意料之外的匯率變動(dòng)，使企業(yè)在將來(lái)特定時(shí)期的收益發(fā)生變化的可能性。經(jīng)營(yíng)風(fēng)險(xiǎn)是由于匯率的變動(dòng)影響企業(yè)的生產(chǎn)本錢、銷售價(jià)格，進(jìn)而引起產(chǎn)銷數(shù)量的變化，并由此最終帶來(lái)獲利狀況的變化。經(jīng)營(yíng)風(fēng)險(xiǎn)中所說(shuō)的匯率變動(dòng)，僅指意

27、料之外的匯率變動(dòng)。兩者區(qū)別：交易風(fēng)險(xiǎn)是已合約化的現(xiàn)金流量變化；營(yíng)運(yùn)風(fēng)險(xiǎn)強(qiáng)調(diào)未合約化的預(yù)期現(xiàn)金流量變化 Translation Exposure折算風(fēng)險(xiǎn) also called accounting exposure會(huì)計(jì)風(fēng)險(xiǎn), is the potential for accounting derived changes in owners equity to occur because of the need to “translate financial statements of foreign subsidiaries into a single reporting currency f

28、or consolidated financial statements折算風(fēng)險(xiǎn)是指企業(yè)在會(huì)計(jì)處理和外幣債權(quán)、債務(wù)決算時(shí)，將必須轉(zhuǎn)換本錢幣的各種外幣計(jì)價(jià)工程加以折算時(shí)所產(chǎn)生的風(fēng)險(xiǎn)。 Tax Exposure 稅收風(fēng)險(xiǎn) the tax consequence of foreign exchange exposure varies by country, however as a general rule only realized foreign losses are deductible for purposes of calculating income taxesu 畫(huà)圖題： Call o

29、ption 看漲期權(quán)Breakeven price盈虧平衡價(jià)收益為0Area of limited loss有限損失區(qū)域Area of unlimited profit無(wú)限收益區(qū)域Buyer：Profit 收益無(wú)窮大 Maximum loss premium 損失至多為期權(quán)費(fèi)Seller：Loss 損失無(wú)窮大 Maximum profit 收益至多為期權(quán)費(fèi) 注：盈虧平衡價(jià)是指市場(chǎng)價(jià)等于合約價(jià)。u Tridents Transaction Exposure 泰鼎公司的外匯風(fēng)險(xiǎn)1. Unhedged position1) Maria may decide to accept the transac

30、tion risk2) If she believes that the future spot rate will be $1.76/£, then Trident will receive £1,000,000 x $1.76/£ = $1,760,000 in 3 months time3) However, if the future spot rate is $1.65/£, Trident will receive only $1,650,000 well below the budget rate 2. Forward Market hed

31、ge1) A forward hedge involves a forward or futures contract and a source of funds to fulfill the contract2) The forward contract is entered at the time the A/R is created, in this case in March3) When this sale is booked, it is recorded at the spot rate. 4) In this case the A/R is recorded at a spot

32、 rate of $1.7640/£, thus $1,764,000 is recorded as a sale for Trident5) If Trident does not have an offsetting A/P in the same amount, then the firm is considered uncovered6) Should Maria want to cover this exposure with a forward contract, then she will sell £1,000,000 forward today at th

33、e 3 month rate of $1.7540/£ 7) She is now “covered and Trident no longer has any transaction exposure8) In 3 months, Trident will received £1,000,000 and exchange those pounds at $1.7540/£ receiving $1,754,0009) This sum is $6,000 less than the uncertain $1,760,000 expected from the U

34、nhedged position10) This would be recorded in Tridents books as a foreign exchange loss of $10,000 ($1,764,000 as booked, $1,754,000 as settled)3. Money Market hedge1) To hedge in the money market, Maria will borrow pounds in London, convert the pounds to dollars and repay the pound loan with the pr

35、oceeds from the salea. To calculate how much to borrow, Maria needs to discount the PV of the £1,000,000 to todayb. £1,000,000/1+0.25 = £975,610 (本息和)c. Maria should borrow £975,610 today and in 3 months time repay this amount plus £24,390 in interest (£1,000,000) from

36、the proceeds of the sale2) Trident would exchange the £975,610 at the spot rate of $1.7640/£ and receive $1,720,976 at once In order to compare the forward hedge with the money market hedge, Maria must analyze the use of the loan proceeds First, if Trident is cash rich the loan proceeds mi

37、ght be invested at the US rate of 6.0% p.a. Second, Maria could use the loan proceeds to substitute an equal dollar loan that Trident would have otherwise taken for working capital needs at a rate of 8.0% p.a. Third, Maria might invest the loan proceeds in the firm itself in which case the cost of c

38、apital is 12.0% p.a.Received today Invested in Rate Future value in 3 months $1,720,976Treasury bill6% p.a. or 1.5%/quarter$1,746,791$1,720,976Debt cost 8% p.a. or 2.0%/quarter$1,755,396$1,720,976Cost of capital 12% p.a. or 3.0%/quarter$1,772,605a. Because the proceeds in 3 months from the forward h

39、edge will be $1,754,000, the money market hedge is superior to the forward hedge if Maria used the proceeds to replace a dollar loan (8%) or conduct general business operations (12%)b. The forward hedge would be preferable if Maria were to just invest the loan proceeds (6%)c. We will assume she uses

40、 the cost of capital as the reinvestment rate A breakeven investment rate can be calculated in order to forgo numerous calculations and still aid Maria in her decisionTo convert this 3 month rate to an annual rate, In other words, if Maria can invest the loan proceeds at a rate equal to or greater t

41、han 7.68% p.a. then the money market hedge will be superior to the forward hedge The following chart shows the value of Tridents A/R應(yīng)到款項(xiàng) over a range of possible spot rates both uncovered and covered using the previously mentioned alternatives3. Option market hedge Maria could also cover the £1

42、,000,000 exposure by purchasing a put option. This allows her to speculate on the upside potential for appreciation of the pound while limiting her downside risk¨ Given the quote earlier, Maria could purchase 3 month put option at an ATM strike price of $1.75/£ and a premium of 1.5%¨ The cost of this option would be (Size of option)(Premium)(Spot price)=Cost of option £1,000,0