國(guó)際財(cái)務(wù)管理教學(xué)投影

1、國(guó)際財(cái)務(wù)管理教學(xué)投影片蔡國(guó)成編撰1精選ppt國(guó)際財(cái)務(wù)管理目錄一、Course Description4二、 Topic5三、國(guó)際貨幣制度6四、國(guó)際收支表(Balance of Payment ) 17五、國(guó)際資本預(yù)算(International Capital Budgeting) 50六、外匯市場(chǎng) 582精選ppt國(guó)際財(cái)務(wù)管理目錄七、 FOREIGN EXCHANGE MARKETS92八、 Purchasing Power 1023精選pptCourse DescriptionCourse DescriptionThis course focuses on the internationa

2、l dimensions of banking , money and capital markets , and corporate financial management. The distinct contribution of this course is the development of a modern , consistent and integrated framework of foreign exchange markets and the sophisticated application of this framework to the resolution of

3、 complex and international problems of financial management. The theme of the course is financial decision making in a multicurrency setting. The emphasis is on the risk-return trade-offs in foreign investments , financing , arbitrage and swap transactions. Currency risk and foreign exchange exposur

4、e are analyzed and hedging methods are developed.4精選pptTopicTopicI. Foreign Exchange Markets and the International Monetary SystemThe International Financial Framework。Foreign Exchange Markets。Determinants of Foreign Exchange Rates。Inflation , Interest Rates and the Balance of Payments from the 70s

5、to the present。II. Multinational Corporations : Investment , Financing & Management DecisionsForeign Exchange Risk Management。Foreign Operations of the MNC : Investment。Financial Relationships between Parents and Foreign 。Branches Subsidiaries and Affiliates。5精選ppt國(guó)際貨幣制度18901914金本位制度(The Gold Standa

6、rd)1816年英國(guó)首先採(cǎi)用，1870年歐美、1890年日本繼之。一切價(jià)格以黃金為基礎(chǔ)。在同一時(shí)間，黃金並非唯一的國(guó)際貨幣，英鎊或美金是另外二種預(yù)備基金。6精選ppt國(guó)際貨幣制度(續(xù))為何黃金被用來當(dāng)匯兌標(biāo)準(zhǔn)？稀少性供給量不致於暴增。標(biāo)準(zhǔn)化品質(zhì)確認(rèn)無異。易於運(yùn)輸、切割成標(biāo)準(zhǔn)重量與價(jià)值。因此金本位制度對(duì)長(zhǎng)期物價(jià)的穩(wěn)定性貢獻(xiàn)很大。7精選ppt國(guó)際貨幣制度(續(xù))金本位制度結(jié)束的原因：第一次世界大戰(zhàn)結(jié)束，各國(guó)政府被迫變賣庫存黃金或不願(yuàn)用黃金作為清償工具。8精選ppt國(guó)際貨幣制度(續(xù))19141924波動(dòng)匯率(Fluctuating Exchange Rate)各國(guó)通貨不再釘住黃金(一切價(jià)格以黃金為基礎(chǔ)

7、)國(guó)與國(guó)之間無固定匯率(匯率隨市場(chǎng)供需自由波動(dòng))不利於國(guó)際貿(mào)易重返金本位制度之聲四起9精選ppt國(guó)際貨幣制度(續(xù))19251931金匯兌本位制(Gold Exchange Standard)黃金自由匯兌英鎊、美元。其他國(guó)家維持其通貨與英鎊、美元兌換(黃金匯兌)。黃金、美元及英鎊為國(guó)際準(zhǔn)備。10精選ppt國(guó)際貨幣制度(續(xù))1920年英國(guó)的不景氣、1929年紐約股市崩盤，造成各國(guó)對(duì)、失去信心。各國(guó)將、兌換成黃金。、貶值。英國(guó)終止與黃金兌換。黃金不再具有兌換意義。11精選ppt國(guó)際貨幣制度(續(xù))19321943英鎊集團(tuán)英國(guó)為核心。美金集團(tuán)美國(guó)為核心。黃金集團(tuán)法國(guó)為核心。12精選ppt國(guó)際貨幣制度(續(xù)

8、)19441991布來頓森林會(huì)議(Bretton Woods)採(cǎi)取可調(diào)整的釘住匯率制度。各國(guó)將其貨幣釘住美元(世界最主要貨幣)或黃金價(jià)。只有美元可以兌換黃金1盎司黃金被定價(jià)為35美元。 ex：DM 1 once Golds 1/140 1/14035=0.25美元允許匯率在1%的範(fàn)圍內(nèi)自由的變動(dòng)，所以必須進(jìn)行外匯市場(chǎng)干預(yù)(買賣本國(guó)貨幣)。匯率變動(dòng)是要付出頗大政治成本，為了維持匯率在1%的範(fàn)圍內(nèi)自由變動(dòng)於是創(chuàng)立IMF。13精選ppt國(guó)際貨幣制度(續(xù))IMF：短期資金融通各會(huì)員國(guó)會(huì)員國(guó)依經(jīng)濟(jì)規(guī)模認(rèn)捐一筆資金組合基金。原始認(rèn)捐以25%黃金或美元及75%的該國(guó)貨幣繳納。會(huì)員國(guó)可以融資借回25%黃金及1

9、00%的認(rèn)捐額，目前是每年可借回150%認(rèn)捐金額。失敗原因：IMF無法同時(shí)要求美元與國(guó)際收支盈餘國(guó)家貨幣升值。14精選ppt國(guó)際貨幣制度(續(xù))1972史密松寧協(xié)定(Smithsonian Agreement)放寬匯率波動(dòng)幅度：允許匯率變動(dòng)範(fàn)圍從1%上升到2.25%。重訂各國(guó)通貨比例：1盎司黃金被定價(jià)為38美元。壽命不及1年。15精選ppt國(guó)際貨幣制度(續(xù))1979EEC(European Economic Community)歐體歐體組成歐洲貨幣制度(European Monetary System, EMS)以穩(wěn)定匯價(jià)並刺激歐洲整合為一經(jīng)濟(jì)同盟。ECU(Eiropean Currency U

10、nit)是國(guó)際準(zhǔn)備的一種。ECU價(jià)值由會(huì)員國(guó)佔(zhàn)歐洲內(nèi)部貿(mào)易量比重決定。每個(gè)會(huì)員國(guó)以ECU來衡量其貨幣價(jià)值。會(huì)員國(guó)同意匯價(jià)維持在中心價(jià)2.25%內(nèi)浮動(dòng)。16精選ppt國(guó)際收支表(Balance of Payment )定義：在一特定期間，一國(guó)居民與他國(guó)居民之間，所有經(jīng)濟(jì)性的會(huì)計(jì)記錄。通常以1年為單位 。時(shí)點(diǎn)的選擇標(biāo)準(zhǔn)：採(cǎi)權(quán)責(zé)發(fā)生基礎(chǔ) 。17精選ppt國(guó)際收支表(Balance of Payment )定義(續(xù))：居民：是指長(zhǎng)久居住在該國(guó)的自然人和法人。自然人：具有血肉之身軀、靈魂的自然界人，自然人創(chuàng)造法律，而為法律所規(guī)範(fàn)。18精選ppt國(guó)際收支表(Balance of Payment )定義(續(xù)

11、)：法人：法律上賦與權(quán)利能力之一種團(tuán)體人 。公法人：國(guó)家、地方自治團(tuán)體。私法人：財(cái)團(tuán)法人(多數(shù)財(cái)產(chǎn)之集合)，例如私立 學(xué)校、慈善機(jī)構(gòu)。私法人：社團(tuán)法人(多數(shù)人之集合) ，例如公 益法人工會(huì)； 營(yíng)利法人公司。19精選ppt國(guó)際收支表(Balance of Payment )定義(續(xù))：駐外人員不包括國(guó)外分支機(jī)構(gòu)子公司。正在國(guó)外旅遊、求學(xué)人員。20精選ppt國(guó)際收支表(Balance of Payment )定義(續(xù))：經(jīng)濟(jì)性交易商業(yè)交易活動(dòng)雙向有償?shù)慕灰住７巧虡I(yè)交易活動(dòng)單向無償?shù)慕灰?片面無償?shù)囊妻D(zhuǎn))ex.贈(zèng)與、援助。會(huì)計(jì)記錄採(cǎi)用複式簿記(Double Entry Bookkeeping)每一筆

12、交易均有借方與貸方，且借貸雙方之金額相等。21精選ppt國(guó)際收支表內(nèi)容 經(jīng)常帳(Current Account)商品交易(Merchandise Transaction) 以海關(guān)與央行押、結(jié)匯統(tǒng)計(jì)而得，不含走私品勞務(wù)交易(Service Transaction) 勞務(wù)出口 勞務(wù)進(jìn)口投資所得(Return on Investments) 對(duì)外投資所得 外人投資所得片面移轉(zhuǎn)(Unilateral Transfers) 現(xiàn)金 實(shí)物捐贈(zèng) 實(shí)物援助22精選ppt國(guó)際收支表內(nèi)容資本帳(Capital Account) 長(zhǎng)期資本流動(dòng)(Long-term Capital Flow) 是指契約期限在1年以上或未

13、載明到期日之證券交易直接對(duì)外投資(Direct Foreign Investment) 取得他國(guó)企業(yè)所有權(quán)或控制權(quán)的投資短期資本流動(dòng)(Short-term Capital Flow) 是指契約期限在1年以內(nèi)之證券交易誤差與遺漏(Errors and Omissions)現(xiàn)已改為統(tǒng)計(jì)差額(Statistical Discrepancy)23精選ppt為何誤差與遺漏歸類在資本帳？誤差與遺漏來自巨額資本在國(guó)際間流動(dòng)而未正式記錄。ex.外國(guó)人暗中地將資金移入其心目中的安全政治天堂美國(guó)。24精選ppt國(guó)際收支表內(nèi)容官方準(zhǔn)備交易帳戶(Official Reserve Transactions Accoun

14、t)貨幣用黃金(Monetary Gold)一國(guó)央行持有做為金融性資產(chǎn)的黃金特別提款權(quán)(Special Drawing Rights, SDRs)IMF基於國(guó)際流動(dòng)性長(zhǎng)期不足，所創(chuàng)造及分配給其會(huì)員國(guó)的國(guó)際準(zhǔn)備資金。臺(tái)灣無此項(xiàng) 臺(tái)灣不是IMF的會(huì)員國(guó)25精選ppt國(guó)際收支表內(nèi)容官方準(zhǔn)備交易帳戶(Official Reserve Transactions Account)在國(guó)際貨幣基金的準(zhǔn)備部位(Reserve Position in IMF)由IMF會(huì)員國(guó)對(duì)IMF的債權(quán)所構(gòu)成，IMF基金由其會(huì)員國(guó)依各國(guó)經(jīng)濟(jì)規(guī)模決定其攤額，攤額中25%使用黃金或美元繳納，75%以各國(guó)的本國(guó)貨幣繳納，準(zhǔn)備部位變動(dòng)時(shí)

15、，應(yīng)記載於BOP。外匯資產(chǎn)(Foreign Exchange Assets)是指關(guān)鍵貨幣，如美元。26精選ppt調(diào)整借貸 借貸準(zhǔn)則：借方()表示，使本國(guó)國(guó)際準(zhǔn)備資產(chǎn)流出的交易活動(dòng)。貸方()表示，使外國(guó)國(guó)際準(zhǔn)備資產(chǎn)流入的交易活動(dòng)。27精選ppt調(diào)整借貸 (借)Debits()(a)Import(進(jìn)口商品與勞務(wù))(b)Decrease in Liabilities to ForeignersA/P (減少對(duì)外國(guó)的負(fù)債)(c)Increase in Claims on ForeignersA/R (增加對(duì)外國(guó)的債權(quán))(d)Increase in Assets and Investments Abro

16、ad(增加國(guó)外投資與資產(chǎn))(貸)Credits() (a)Export(出口商品與勞務(wù))(b)Increase in Liabilities to ForeignersA/P (增加對(duì)外國(guó)的負(fù)債)(c)Decrease in Claims on ForeignersA/R (減少對(duì)外國(guó)的債權(quán))(d)Decrease in Assets and Investments Abroad(減少國(guó)外投資與資產(chǎn))28精選ppt自發(fā)性交易項(xiàng)目(Autonomous Transactions)Current Accounts Capital Accounts基於經(jīng)濟(jì)或非經(jīng)濟(jì)因素而產(chǎn)生的交易行為。例如：財(cái)貨價(jià)格

17、之差異導(dǎo)致進(jìn)(出)口商品。生產(chǎn)技術(shù)和地理環(huán)境不同勞務(wù)的輸出(入)?；锻顿Y報(bào)酬率資本流出(入)。基於人道立場(chǎng)(非經(jīng)濟(jì)因素)。29精選ppt調(diào)節(jié)性交易項(xiàng)目(Accommodating Transactions) 與調(diào)節(jié)國(guó)際收支失衡有關(guān)的交易項(xiàng)目ex. Official Reserve Account(官方準(zhǔn)備帳戶)國(guó)際收支的會(huì)計(jì)均衡是經(jīng)過自發(fā)性交易活動(dòng)之後，以調(diào)節(jié)性交易調(diào)整記載的結(jié)果30精選ppt貿(mào)易餘額(Balance of Trade)一國(guó)商品進(jìn)出口交易淨(jìng)額。目前各國(guó)廠商仍使用貿(mào)易餘額作為要求政府，保護(hù)國(guó)內(nèi)市場(chǎng)免於外國(guó)市場(chǎng)競(jìng)爭(zhēng)的衡量標(biāo)準(zhǔn)。31精選ppt經(jīng)常帳餘額(Balance of Cur

18、rent Account)一個(gè)國(guó)家的貿(mào)易餘額、勞務(wù)輸出入淨(jìng)額、投資所得淨(jìng)額和片面移轉(zhuǎn)淨(jìng)額的總和。是指一國(guó)與他國(guó)經(jīng)濟(jì)資源的移轉(zhuǎn)。表示外國(guó)需求增加或國(guó)內(nèi)需求減少。表示該國(guó)的國(guó)際債權(quán)和債務(wù)方向，順差時(shí)該國(guó)外匯收入外匯支出 該國(guó)的國(guó)外資產(chǎn)淨(jìng)額增加或該國(guó)對(duì)外國(guó)債權(quán)增加。32精選ppt經(jīng)常帳餘額影響國(guó)內(nèi)物價(jià)和就業(yè)水準(zhǔn)經(jīng)常帳順差 該國(guó)的總需求增加 導(dǎo)致該國(guó)物價(jià)水準(zhǔn)上升且就業(yè)水準(zhǔn)增加33精選ppt基本餘額(Basic Balance)一個(gè)國(guó)家的經(jīng)常帳餘額、長(zhǎng)期資本流動(dòng)淨(jìng)額和直接投資淨(jìng)額的總和。顯示一國(guó)之國(guó)際收支的長(zhǎng)期趨勢(shì)。只要一國(guó)的Basic Balance處於失衡，即該國(guó)國(guó)際收支處於長(zhǎng)期失衡(基本失衡)。3

19、4精選ppt流動(dòng)性餘額(Liquidity Balance)一個(gè)國(guó)家的Basic Balance 、短期資本流動(dòng)淨(jìng)額和誤差與遺漏的總和。用以衡量一國(guó)通貨升(貶)值的潛在壓力。流動(dòng)性順差(流動(dòng)性餘額0，貸餘)，表示一國(guó)的官方準(zhǔn)備增加，對(duì)外國(guó)私人流動(dòng)性負(fù)債和官方負(fù)債的減少。35精選ppt官方清算餘額(Official Settlements Balance)Official Settlements Balance官方清算餘額經(jīng)常帳餘額資本帳餘額36精選ppt編製臺(tái)灣的國(guó)際收支表臺(tái)灣在去年所從事的國(guó)際經(jīng)濟(jì)活動(dòng)如下：(1)臺(tái)灣給泰國(guó)一筆信用期限十年的一百五十萬之貸款，該筆貸款存入臺(tái)灣銀行活期帳戶。(2

20、)臺(tái)灣輸出價(jià)值一百五十萬的商品到泰國(guó)，貨款由(1)之銀行支付。(3)臺(tái)灣居民收到投資美國(guó)債券的利息二萬元，並且將它存入一家美國(guó)銀行。(4)臺(tái)灣居民前往美國(guó)旅遊，提用(3)之存款。(5)臺(tái)灣捐贈(zèng)科威特價(jià)值三十萬元的穀物。37精選ppt臺(tái)灣的國(guó)際收支平衡表項(xiàng)目借方()貸方()餘額一.經(jīng)常帳：商品 1,500,000(2) 300,000(5) 貿(mào)易餘額(Balance of Trade)勞務(wù)投資所得片面移轉(zhuǎn) 20,000(4) 300,000(5) 20,000(3) 1,800,000 經(jīng)常帳餘額(Balance of Current Accounts)二.資本帳：長(zhǎng)期資本流動(dòng) 1,500,00

21、0(1) 1,500,000 基本餘額(Basic Balance)0短期資本流動(dòng)1,500,000(2) 20,000(3)1,500,000(1) 20,000(4)38精選ppt臺(tái)灣的國(guó)際收支平衡表(續(xù))項(xiàng)目借方()貸方()餘額流動(dòng)性餘額(Liquidity Balance) 0 Above the Line Items (線上項(xiàng)目)三.官方準(zhǔn)備交易帳Below the Line Items (線下項(xiàng)目)官方準(zhǔn)備餘額(Balance on Official Reserves) 0國(guó)際收支餘額 039精選ppt國(guó)民產(chǎn)出大於國(guó)民支出的國(guó)家，資本將如何流動(dòng)？國(guó)民產(chǎn)出National Produ

22、ct (NP)國(guó)民支出National Expenditure (NE)消費(fèi)Comsumption (C)儲(chǔ)蓄Savings (S)投資Investment (Id)出口Export (X)進(jìn)口Import (M)40精選ppt國(guó)民產(chǎn)出大於國(guó)民支出的國(guó)家，資本將如何流動(dòng)？(續(xù))國(guó)內(nèi)儲(chǔ)蓄投資及資本帳NPCS .(1)(即NP不是用於C，就是用於S)NECId .(2)(I：國(guó)內(nèi)實(shí)質(zhì)投資可增加一國(guó)生產(chǎn)效能的支出ex.廠房、設(shè)備、研究發(fā)展的支出)41精選ppt國(guó)民產(chǎn)出大於國(guó)民支出的國(guó)家，資本將如何流動(dòng)？(續(xù))NPNESId(i)NPNE0 SId0 SId (生產(chǎn)資本盈餘，而資本盈餘必定用來投資海外

23、) S國(guó)內(nèi)實(shí)質(zhì)投資(Id)淨(jìng)國(guó)外投資(If) 而淨(jìng)國(guó)外投資一國(guó)淨(jìng)資本流出官方準(zhǔn)備的增加 又一國(guó)淨(jìng)資本流出資本帳赤字(淨(jìng)流出為正)或盈餘(淨(jìng)流出為負(fù)) 淨(jìng)官方準(zhǔn)備增加官方準(zhǔn)備帳餘額結(jié)論：產(chǎn)出支出的國(guó)家，其儲(chǔ)蓄將大於國(guó)內(nèi)投資，並且有淨(jìng)資本流出。這項(xiàng)資本流出以資本帳赤字和官方準(zhǔn)備增加的結(jié)合形式出現(xiàn)。42精選ppt經(jīng)常帳盈餘國(guó)，則此國(guó)必為資本輸出國(guó)或輸入國(guó)？NP對(duì)本國(guó)商品勞務(wù)的支出Export (X).(1)(Spending on Goods & Serves)NE對(duì)本國(guó)商品勞務(wù)的支出Import (M) .(2)(1)(2)NPNE XM43精選ppt經(jīng)常帳盈餘國(guó)，則此國(guó)必為資本輸出國(guó)或輸入國(guó)？(

24、續(xù))當(dāng)NPNE 0 XM 0 (表經(jīng)常帳盈餘) 經(jīng)常帳盈餘乃因國(guó)民產(chǎn)出國(guó)民支出所致 又NPNE SId SId XM44精選ppt經(jīng)常帳盈餘國(guó)，則此國(guó)必為資本輸出國(guó)或輸入國(guó)？(續(xù))當(dāng)SId0 XM 0 經(jīng)常帳盈餘乃因一國(guó)儲(chǔ)蓄其投資 又SId淨(jìng)國(guó)外投資(If) 淨(jìng)國(guó)外投資XM (經(jīng)常帳餘額必等於淨(jìng)資本流出)45精選ppt經(jīng)常帳盈餘國(guó)，則此國(guó)必為資本輸出國(guó)或輸入國(guó)？(續(xù))X M淨(jìng)國(guó)外投資 (任何出口所賺取的外匯，不是用於進(jìn)口支出，就是轉(zhuǎn)變?yōu)閷?duì)外國(guó)人的求償權(quán)) 一國(guó)經(jīng)常帳盈餘，則這個(gè)國(guó)家必為資本輸出國(guó)。YE SId XM If0一國(guó)產(chǎn)出較支出多，其儲(chǔ)蓄較投資多，出口大於進(jìn)口，結(jié)果有資本流出。46精選

25、ppt政府預(yù)算赤字與經(jīng)常帳赤字國(guó)民支出 家計(jì)部門支出私人投資政府支出國(guó)民支出 國(guó)民產(chǎn)出私人儲(chǔ)蓄稅賦私人投資政府支出國(guó)民支出 國(guó)民產(chǎn)出私人投資私人儲(chǔ)蓄政府支出稅賦047精選ppt政府預(yù)算赤字與經(jīng)常帳赤字(續(xù))國(guó)民支出國(guó)民產(chǎn)出 私人投資私人儲(chǔ)蓄政府預(yù)算赤字超額國(guó)民支出=超額私人國(guó)內(nèi)投資政府 預(yù)算赤字超額國(guó)民支出 超額私人國(guó)內(nèi)投資政府預(yù)算赤字 經(jīng)常帳盈餘 儲(chǔ)蓄盈餘政府預(yù)算赤字48精選ppt政府預(yù)算赤字與經(jīng)常帳赤字(續(xù)) (NENP) (私人投資私人儲(chǔ)蓄政府預(yù)算赤字) NPNE 私人儲(chǔ)蓄私人投資政府預(yù)算赤字 經(jīng)常帳赤字該國(guó)儲(chǔ)蓄不足以融資其私人投資與政府預(yù)算赤字改善經(jīng)常帳的赤字，只有在同時(shí)改變私人儲(chǔ)蓄、

26、投資及政府預(yù)算赤字才能有效49精選ppt國(guó)際資本預(yù)算(International Capital Budgeting)增額現(xiàn)金流量：Incremental Cash Flow在評(píng)估一項(xiàng)資本計(jì)畫時(shí)，我們只考慮直接由該項(xiàng)計(jì)畫所產(chǎn)生的淨(jìng)現(xiàn)金流量。這些現(xiàn)金流量，就稱為增額現(xiàn)金流量。資金成本： Cost of capital必要報(bào)酬率50精選ppt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)CAPM資本資產(chǎn)評(píng)估法(Capital Asset Pricing Method)KeKRF(KMKRF)Ke=權(quán)益報(bào)酬KRF=無風(fēng)險(xiǎn)報(bào)酬率(國(guó)庫券利率)=風(fēng)險(xiǎn)係數(shù)KM：市場(chǎng)平

27、均報(bào)酬率KMKRF =報(bào)酬升水或貼水51精選ppt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)計(jì)算風(fēng)險(xiǎn)係數(shù)的方法引用法 ： 找出和預(yù)估計(jì)劃生產(chǎn)同樣產(chǎn)品的單一產(chǎn)品公司，並以他們的來決定自己的資金成本。52精選ppt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)資本預(yù)算決策法則還本期間法：Pay Back Period Method公司預(yù)期由淨(jìng)現(xiàn)金流量收回其原始投資所需的時(shí)間。折現(xiàn)還本期間法：Discounted Pay Back Period Method 公司預(yù)期由折現(xiàn)後淨(jìng)現(xiàn)金流量收回其原始投資所需的時(shí)間。53精選p

28、pt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)資本預(yù)算決策法則淨(jìng)現(xiàn)值法：Net Present Value(NPV)MethodNPV54精選ppt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)資本預(yù)算決策法則淨(jìng)現(xiàn)值法：Net Present Value(NPV)Method當(dāng)NPV=0 Accept財(cái)富未變，但公司因投資而規(guī)模擴(kuò)大當(dāng)NPV0 Accept 當(dāng)NPV0 Reject55精選ppt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)資本預(yù)算決策法則內(nèi)部報(bào)酬率：Inter

29、nal Rate of Return(IRR)使NPV0之折現(xiàn)率=056精選ppt國(guó)際資本預(yù)算(續(xù))(International Capital Budgeting)資本預(yù)算決策法則內(nèi)部報(bào)酬率：當(dāng)IRR k Acceptwhere kCost of Capital 當(dāng)IRR k Reject57精選ppt外匯市場(chǎng) 外匯市場(chǎng) (Foreign Exchange Markets)外國(guó)通貨買賣的市場(chǎng)。為何需要外匯市場(chǎng)？因?yàn)槭澜缟蠜]有一種共通的貨幣。58精選ppt外匯市場(chǎng) (續(xù))外匯市場(chǎng)由三層市場(chǎng)所組成顧客市場(chǎng)(Customer Markets)銀行間市場(chǎng)(Inter Bank Markets)國(guó)際間

30、市場(chǎng)(International Markets)59精選ppt外匯市場(chǎng) (續(xù))國(guó)內(nèi)市場(chǎng)：指定銀行-InterBank Markets -指定銀行 指定銀行-Customer Market-顧客國(guó)外市場(chǎng)： 指定銀行- InternationalMarkets-授權(quán)銀行60精選ppt外匯市場(chǎng) (續(xù))國(guó)內(nèi)市場(chǎng)：InterBank Markets產(chǎn)生原因：為避免匯率波動(dòng)，所產(chǎn)生的損失，故必須與其它銀行進(jìn)行外匯交易 。國(guó)外市場(chǎng)：International Markets：透過大型商業(yè)銀行或外匯經(jīng)紀(jì)商在國(guó)際金融中心進(jìn)行外匯交易。 61精選ppt外匯市場(chǎng) (續(xù))臺(tái)灣外匯市場(chǎng)為何是國(guó)內(nèi)市場(chǎng)？臺(tái)幣非國(guó)際性通貨

31、。 外匯買賣受到管制。62精選ppt外匯市場(chǎng) (續(xù))外匯市場(chǎng)的功能促進(jìn)國(guó)際貿(mào)易與投資。避險(xiǎn)：避免匯率波動(dòng)的危險(xiǎn)。信用的中介。提供投機(jī)機(jī)會(huì)：投機(jī)者其目的是為了謀 利，而不是為了避險(xiǎn)。 63精選ppt外匯市場(chǎng) (續(xù))外匯市場(chǎng)的參與者涉及國(guó)際貿(mào)易的企業(yè)組織：進(jìn)出口商。保險(xiǎn)公司。運(yùn)輸公司。個(gè)人：觀光客。留學(xué)生。投機(jī)者。套匯者：尋求因不同市場(chǎng)中匯率的差異而獲利的機(jī)會(huì)。64精選ppt外匯市場(chǎng) (續(xù))外匯市場(chǎng)的參與者外匯指定銀行：外匯經(jīng)紀(jì)商(Foreign Exchange Booker)：提供外匯買賣資訊，以撮合交易，賺取鏞金，本身不涉外匯買賣央行(Central Bank)：進(jìn)入外匯市場(chǎng)的目的，為維持外

32、匯市場(chǎng)的穩(wěn)定。 65精選ppt外匯市場(chǎng) (續(xù))外匯市場(chǎng)依交割日期(Settlement Date)的不同分為：即期外匯市場(chǎng)(現(xiàn)貨外匯市場(chǎng))。遠(yuǎn)期外匯市場(chǎng)(期外匯市場(chǎng))。66精選ppt外匯市場(chǎng) (續(xù))即期外匯市場(chǎng)(現(xiàn)貨外匯市場(chǎng))外匯交易完成之後，2個(gè)營(yíng)業(yè)日內(nèi)完成交割手續(xù)的外匯市場(chǎng)。交割日若不是營(yíng)業(yè)日順延至下個(gè)營(yíng)業(yè)日。目前全球2大電子報(bào)價(jià)系統(tǒng)Reuters(路透社)、Telerate(美聯(lián)社)所顯示的就是即時(shí)匯率。67精選ppt外匯市場(chǎng) (續(xù))即期外匯市場(chǎng)(現(xiàn)貨外匯市場(chǎng))報(bào)價(jià)方式直接報(bào)價(jià)(Direct Quotation)：又稱為直接匯率(Direct Rate)1 FC？DC(一單位外國(guó)通貨多少

33、本國(guó)通貨)表示方式：DC？/ FC 1ex. NT 35/68精選ppt外匯市場(chǎng) (續(xù))即期外匯市場(chǎng)(現(xiàn)貨外匯市場(chǎng))報(bào)價(jià)方式間接報(bào)價(jià)(Indirect Quotation)：又稱為間接匯率(Indirect Rate)1 DC？FC(一單位本國(guó)通貨多少外國(guó)通貨)表示方式：FC？/ DC1ex. US 1.78/UK(大英國(guó)協(xié))，Ireland採(cǎi)用此種報(bào)價(jià)方式69精選ppt外匯市場(chǎng) (續(xù))為何銀行在進(jìn)行即期外匯報(bào)價(jià)時(shí)，通常採(cǎi)用雙方報(bào)價(jià)法(Two-way Quotation)，即同時(shí)報(bào)出買價(jià)(Bit or Buying Rate)與賣價(jià)(Ask Offer or Selling Rate)？因?yàn)椴?/p>

34、知道市場(chǎng)中的顧客是要買或賣外 國(guó)通貨。70精選ppt外匯市場(chǎng) (續(xù))交叉匯率(Implied Cross Rate)是指美元以外的兩種通貨間的匯率。Country Currency US UK WG(西德) 2/ ？ DM .50/DM ？ ？ ？71精選ppt外匯市場(chǎng) (續(xù))遠(yuǎn)期外匯市場(chǎng)(期外匯市場(chǎng))外匯完成交易後，2個(gè)營(yíng)業(yè)日以上完成交 割手續(xù)的外匯市場(chǎng)。匯率於簽訂遠(yuǎn)期外匯契約(Forward Exchange Contract)時(shí)，即已確定。避免即期匯率波動(dòng)的風(fēng)險(xiǎn)。72精選ppt外匯市場(chǎng) (續(xù))遠(yuǎn)期外匯市場(chǎng)(期外匯市場(chǎng))報(bào)價(jià)方式完全報(bào)價(jià)法(Outright Quotation)報(bào)出匯率的全

35、部數(shù)字表示方式DC？/FC 1百分比報(bào)價(jià)法(Percent-per-Annum Quotation) 0 Premium (遠(yuǎn)期升水)(Fd-Sd)/Sd360/days 0 Flat (平價(jià)) 0 Discount (遠(yuǎn)期貼水)73精選ppt外匯市場(chǎng) (續(xù))遠(yuǎn)期外匯市場(chǎng)(期外匯市場(chǎng))報(bào)價(jià)方式百分比報(bào)價(jià)法(Percent-per-Annum Quotation) 0 Premium (遠(yuǎn)期升水) (Fd-Sd)/Sd360/days 0 Flat (平價(jià)) 0 Discount (遠(yuǎn)期貼水) Note That FC DC 0PremiumDiscount Fd-Sd 0FlatFlat0Di

36、scountPremium74精選ppt外匯市場(chǎng) (續(xù))遠(yuǎn)期外匯市場(chǎng)(期外匯市場(chǎng))點(diǎn)數(shù)報(bào)價(jià)法(Point Quotation)點(diǎn)數(shù)又稱為換匯率(Swap Rate)SR(FdSd)10,000Note That FC DC 0PremiumDiscount (Depreciated) SR 0FlatFlat0DiscountPremium (Appreciated)表示方式：1.786569/銀行間的報(bào)價(jià)大多採(cǎi)用此法(省時(shí))75精選ppt外匯市場(chǎng) (續(xù))二.遠(yuǎn)期外匯市場(chǎng)(期外匯市場(chǎng))點(diǎn)數(shù)報(bào)價(jià)法(Point Quotation)ex. Fd/FC30 Days Forward Spot 2.0

37、2 2DM .49.50求、DM升水或貼水百分比，與升水或貼水點(diǎn)數(shù)？Ans：(2.02-2)/2360/30 .12 12% PremiumDM：(.49-.50)/.50360/30 -.24 -24% Discount：(2.02-2)10,000 +200 (200 Points Premium)DM：(.49-.50)10,000 -100 (100 Points Discount)76精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)利用不同市場(chǎng)的匯率差價(jià)，從低價(jià)市場(chǎng)買進(jìn)，同時(shí)在高價(jià)市場(chǎng)賣出通貨的行為。套匯的結(jié)果會(huì)使各個(gè)市場(chǎng)匯率趨於平衡?，F(xiàn)代通訊設(shè)備齊全，各地市場(chǎng)情報(bào)迅速傳遞，已經(jīng)

38、不再有太多的套匯機(jī)會(huì)了。77精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)兩點(diǎn)套匯(Two-point Arbitrage)US Home Country CurrencySd/FCActualsSf222F Fr.0.2544DM0.50/DM2.50DM/2￥0.005200200Sf 2.50 2 1/SdBuySellWGDM2,5001,000US1,250DM2,500Profit 1,2501,000 25078精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)三點(diǎn)套匯(Triangular Arbitrage)作法：檢視是否有套匯空間。每一種外匯均會(huì)經(jīng)過買賣。須經(jīng)過三個(gè)

39、外匯市場(chǎng)。79精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)三點(diǎn)套匯(Triangular Arbitrage)Suppose： US UK WG 1 / DM 2.502 /1DM 1 /0.25 a. Arbitrage from US b. Arbitrage from UK c. Arbitrage from WG 80精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)三點(diǎn)套匯(Triangular Arbitrage)Suppose： US UK WG 1 / DM 2.502 /1DM 1 /0.25 a. Arbitrage from US BuySellUSDM 2,5

40、001,000WG625DM 2,500UK1,250625Profit：1,250 1,000 =25081精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)三點(diǎn)套匯(Triangular Arbitrage)Suppose： US UK WG 1 / DM 2.502 /1DM 1 /0.25 b. Arbitrage from UK Buy SellUK2,0001,000USDM 5,0002,000WG1,250DM 5,000Profit：1,250 1,000 =25082精選ppt外匯市場(chǎng) (續(xù))套匯(Arbitrage)三點(diǎn)套匯(Triangular Arbitrage)S

41、uppose： US UK WG 1 / DM 2.502 /1DM 1 /0.25 c. Arbitrage from WG BuySellWG250DM 1,000UK500250USDM 1,250500Profit：DM 1,250 DM 1,000 = DM 25083精選ppt外匯市場(chǎng) (續(xù))換匯交易 (Swap Transaction)同時(shí)買進(jìn)和賣出相等金額的同一種外匯， 但是交割日期不相同的外匯交易。換匯市場(chǎng)是一個(gè)銀行間市場(chǎng) (報(bào)價(jià)方式通常是使用點(diǎn)數(shù)表示)。84精選ppt外匯市場(chǎng) (續(xù))外匯風(fēng)險(xiǎn)的種類交易風(fēng)險(xiǎn)：Transaction Exposure。換算風(fēng)險(xiǎn)：Translat

42、ion Exposure。經(jīng)濟(jì)風(fēng)險(xiǎn)：Economic Exposure。85精選ppt外匯市場(chǎng) (續(xù))外匯風(fēng)險(xiǎn)的種類交易風(fēng)險(xiǎn)：Transaction Exposure。來自已成交且以外幣計(jì)價(jià)的交易所承受的未來匯率利得或損失的可能性，也就是交易時(shí)與結(jié)算時(shí)匯率不同所引起的風(fēng)險(xiǎn)。Ex：(1)國(guó)際貿(mào)易：當(dāng)時(shí)SdNT 33.5/ 公司報(bào)價(jià)時(shí)的匯率NT 32/ 簽約時(shí)的SdNT 31/ 簽約時(shí)的FdNT 30/ 押匯時(shí)的即期匯率NT 29.5/(2)國(guó)際性借貸：償還與借貸時(shí)的匯率有所變動(dòng)。86精選ppt外匯市場(chǎng) (續(xù))Hedging避險(xiǎn)Forward Exchange Market Hedge遠(yuǎn)期避險(xiǎn)。M

43、oney Market Hedge貨幣市場(chǎng)避險(xiǎn)。87精選ppt外匯市場(chǎng) (續(xù))Hedging避險(xiǎn)Forward Exchange Market Hedge遠(yuǎn)期避險(xiǎn)。Data：AR：425,000 Annual Interest rate id8%Now pay Down payment：10% of ARSd2.0290if13%90 days Fd2.003288精選ppt外匯市場(chǎng) (Forward Hedge )StepTime 090 daysSell ForwardAR0.9425,000382,500(Sign Contract)AP Deliver(交割) 382,500Recei

44、ving in 90 days-FdAR2.0032382,500766,224 (AR)Receive Now10% Down Payment10%425,00042,500()Convert into 425,0002.0290(Sd)86,233 89精選ppt外匯市場(chǎng) (Spot Hedge )StepTime 090 daysBorrow NowEqual to P.V. of AR 382,500/(1+13%/4)370,4600.9425,000382,500ARConvert Bf into SdBf2.0290370,460751,663 AP Deliver(交割) 38

45、2,500Value of (SdBf) in of 90 Days SdBf(1+id)751,6639(1+8%/4)766,696(ARd) Spot Hedge better than Forward by 766,696766,224+47290精選ppt外匯市場(chǎng) (Decision Rule)Decision RuleSpot HedgeidActual idBE Where idBEBreak-Even RateIndifferenceForward HedgeProof：(SdBf)(1+idBE)FdARfidBE(FdARf)/(SdBf)-191精選pptFOREIGN

46、EXCHANGE MARKETSProblem Set ：1.You are told that the prevailing spot exchange rate between two currencies is DC 4 = FC 1,where DC = Domestic Currency and FC = Foreign Currency.a.Show the exchange rate quote in Direct Form.b.Find the quote in Indirect Form.92精選pptFOREIGN EXCHANGE MARKETSProblem Set ：

47、2.The U.S. dollar () trades against another currency (AC) at2 = AC 2.50.a.Show the quote in U.S. terms.b.Present the quote in European terms.93精選pptFOREIGN EXCHANGE MARKETSProblem Set ：3.The following are the exchange rates between the U.S. dollar and the German mark (DM) as observed on two differen

48、t dates : Date 1; .50 = DM1 and Date 2; .35 = DM1a.Did the dollar appreciate or depreciate ? What about the mark ?b.Show the percentage change in each currency value.94精選pptFOREIGN EXCHANGE MARKETSProblem Set ：4.You face the following U.S. terms quotes in NY :FCBFDM JY FF DGSd0.020.40.004 0.125 0.31

49、74What is your guess as to the values of these currencies, quote directly (DC/1FC), in their respective home-countries ? That is , based on the observed quotes in the U.S., what are the “implied rates” in the corresponding countries ?95精選pptFOREIGN EXCHANGE MARKETSProblem Set ：5.You are provided wit

50、h the following Direct quotes versus the observed in the US and in other countries for a particular instant of time.FC :DMJYDGUS :1.4135.3567.004286.3179HOME COUNTRY : 1.41352.8035233.323.3568Note : The British pound is always quoted Indirectly in London (FC per 1).a. Are the various currencies prop

51、erly priced versus the dollar ?b. The exchange rate between one pair of currencies is improper. Specify where is each of this pair of currencies overpriced or underpriced.c. Show your arbitrage profit per1,000.d. Show your arbitrage profit assuming you start with FC 1,000.96精選pptFOREIGN EXCHANGE MAR

52、KETSProblem Set ：6.A Swiss manufactures has just collected DM 2,000,000 from a client in Germany, and he wishes to convert this amount into Swiss Francs (SF). The exchange rate between these two currencies is SF .7633 =DM 1. The manufacturer is also aware of the exchange rates of theversus the SF an

53、d the DM, which are given in US terms as:Currency SFDMSd.4496.3567a. Re-state the SF and the DM exchange rates in European terms.b. Show the amount in SF, to be received by the manufacturer, on the assumption that he converts his DMc. Alternatively, the manufacturer may convert his DM intoand then c

54、onvert theinto SF. What would be the ultimate collection in SF ?d. What is the Implied Cross-Rate of exchange between the SF and the DM ?e. How should the manufacturer go about converting his DM into SF ?97精選pptFOREIGN EXCHANGE MARKETSProblem Set ：7.A foreign exchange trader observes the following e

55、xchange rates : Location : US UK Switzerland Exchange Rate :1.5 =1 ,1 = SF 4, SF 1 =.4444a. The trader wonders whether the exchange rates are consistent. Can you help ?b. Calculate the profits from triangular arbitrage, assuming the trader starts with1,000,000.c. What is the triangular arbitrage pro

56、fit based on initial scale of SF 1,000,000 ?98精選pptFOREIGN EXCHANGE MARKETSProblem Set ：8.A corporate treasurer wishes to determine the forward discount (premium) concerning the Japanese Yen and the Dutch Guilder. He has obtained the following quotes from his Spot 60 day Forward Sd FdDG.3200 .3180JY

57、 .00434783 .00442963a. Are the above currencies going at a forward premium or discount against the dollar ?b. Determine the percentage premium (discount) of these currencies.c. Determine the discount (premium) in Swap Rate (SR) points.99精選pptFOREIGN EXCHANGE MARKETSProblem Set ：9.Suppose that a fore

58、ign exchange dealer quotes spot sterling at1.4420-30 and the six-month swap at a premium of 110-125 points.a. Show the bid and the offer rates for spot transaction. What is the spread ?b. Establish the outright forward rates and the corresponding spread.c. Show the conditions under which the bank de

59、aler is willing to swap out and swap in sterling for six months.100精選pptFOREIGN EXCHANGE MARKETSProblem Set ：10.Repeat the answers to parts (a) through (c) in problem 9 on the assumption that the above quote for spot sterling was followed by a discount of 95-80 swap rate points. Compare the results

60、in 9 and 10 in order to infer the relationship between the dollar and the sterling rates of interest.101精選pptPurchasing Power購(gòu)買力(Purchasing Power)是指一國(guó)貨幣所能購(gòu)買的財(cái)貨和勞務(wù)數(shù)量。ex.NT120可以買到一隻雞，則NT120的購(gòu)買力等於一隻雞。102精選pptPurchasing Power Parity購(gòu)買力平價(jià)(Purchasing Power Parity)是指一國(guó)通貨與他國(guó)通貨相同的購(gòu)買力。ex.在臺(tái)灣NT120可以買到一隻鳥，相同的這隻