资源描述
C10-,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,MeasuringExposure ToExchangeRateFluctuations,10,Chapter,South-Western/Thomson Learning,2003,See,c10.xls,for spreadsheets toaccompanythischapter.,Chapter Objectives,To discusstherelevanceof anMNCs exposure toexchangeraterisk;,To explainhowtransaction exposurecanbe measured;,To explainhoweconomic exposure can bemeasured;and,To explainhowtranslation exposurecanbe measured.,Is Exchange Rate Risk Relevant?,PurchasingPower Parity Argument,Exchange rate movements will be matchedby price movements.,PPP does not necessarilyhold.,Is Exchange Rate Risk Relevant?,The Investor Hedge Argument,MNC shareholders canhedge againstexchange rate fluctuations ontheirown.,The investors may not have completeinformation oncorporateexposure.Theymaynot have the capabilitiesto correctly insulate their individualexposure too.,Currency DiversificationArgument,An MNC that iswelldiversified should not beaffectedby exchange rate movements becauseof offsetting effects.,Thisis anaivepresumption.,Is Exchange Rate Risk Relevant?,Stakeholder Diversification Argument,Welldiversified stakeholderswillbe somewhat insulated againstlosses experienced by anMNC due toexchangeraterisk.,MNCsmay be affectedin the same way becauseof exchange rate risk.,Is Exchange Rate Risk Relevant?,Response from MNCs,ManyMNCshaveattemptedto stabilize their earnings with hedgingstrategies,which confirms the view that exchangerateriskis relevant.,Is Exchange Rate Risk Relevant?,Online Application,11/30/01,Implied 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 10.7,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,Typesof Exposure,Although exchange rates cannotbe forecastedwithperfect accuracy,firms can atleast measuretheirexposureto exchange rate fluctuations.,Exposure to exchangeratefluctuations comesin three forms:,Transaction exposure,Economic exposure,Translation exposure,Transaction Exposure,The degreeto whichthe valueof futurecashtransactions can beaffected by exchangeratefluctuations is referredto as,transaction exposure,（,（,交易风险）,.,To measuretransaction exposure:,project the netamount ofinflows or outflowsin each foreign currency,and,determinethe overall risk ofexposure to those currencies.,MNCscan usually anticipate foreigncashflows foran upcoming short-term periodwithreasonable accuracy.,AftertheconsolidatednetcurrencyflowsfortheentireMNChasbeendetermined,eachnetflowisconvertedintoeitherapointestimateorarangeofachosencurrency,soastostandardizetheexposureassessmentforeachcurrency.,TransactionExposure,AnMNC,soverallexposurecanbeassessedbyconsideringeachcurrencyposition,（,（,头,寸,寸,）,）,togetherwiththecurrency,svariability,（,（,可,变,变,性,性,）,）,andthecorrelationsamongthecurrencies.,Thestandarddeviationstatisticonhistoricaldataservesasonemeasureofcurrencyvariability.Notethatcurrencyvariabilitylevelsmaychangeovertime.,TransactionExposure,Currency1981-19931994-1998,Britishpound0.03090.0148,Canadiandollar0.01000.0110,Indianrupee0.02190.0168,Japaneseyen0.02790.0298,NewZealanddollar0.02890.0190,Swedishkrona0.02870.0195,Swissfranc0.03300.0246,Singaporedollar0.01110.0174,TransactionExposure,StandardDeviationsofExchangeRateMovements,BasedonMonthlyData,Thecorrelationsamongcurrencymovementscanbemeasuredbytheir,correlationcoefficients,whichindicatethedegreetowhichtwocurrenciesmoveinrelationtoeachother.,coefficient,perfectpositivecorrelation1.00,nocorrelation0.00,perfectnegativecorrelation-1.00,TransactionExposure,Can$,NZ$SkSwF,British,pound(,)1.00,Canadian,dollar(Can$).181.00,Japanese,yen(,).45.061.00,NewZealand,dollar(NZ$).39.20.331.00,Swedish,krona(Sk).62.16.46.331.00,Swissfranc,(SwF).63.12.61.37.701.00,TransactionExposure,CorrelationsAmongExchangeRateMovements,Thepointinconsideringcorrelationsistodetectpositionsthatcouldsomewhatoffseteachother.,Forexample,ifcurrenciesXandYarehighlycorrelated,theexposuresofanetXinflowandanetYoutflowwilloffseteachothertoacertaindegree.,Notethatthecorrrelationsamongcurrenciesmaychangeovertime.,TransactionExposure,MovementsofSelectedCurrenciesAgainsttheDollar,$/100,$/10,Indian rupees,$/,Chinese yuan,$/5,Swedish krona,$/,Canadian$,$/,Singapore$,$,per unit,Arelatedmethod,the,value-at-risk(VAR)method,incorporatescurrencyvolatilityandcorrelationstodeterminethepotentialmaximumone-dayloss.,Historicaldataisusedtodeterminethepotentialone-daydeclineinaparticularcurrency.Thisdeclineisthenappliedtothenetcashflowsinthatcurrency.,TransactionExposure,EconomicExposure,Economicexposure,referstothedegreetowhichafirm,spresentvalueoffuturecashflowscanbeinfluencedbyexchangeratefluctuations.,Cashflowsthatdonotrequireconversionofcurrenciesdonotreflecttransactionexposu
展开阅读全文