国际金融市场 英文版PDF电子书下载

PART Ⅰ INTRODUCTION AND OVERVIEW 2

1 Introduction to the Study of International Financial Markets 2

1 Introduction to the Study of International Financial Markets 2

PART Ⅰ INTRODUCTION AND OVERVIEW 2

The Changing Financial Landscape 3

The Expanding Menu of Financial Choices 4

Greater Volatility as a Feature of Financial Markets 5

Box 1．1:Accidents along the International Financial Superhighway 6

Increased Competition within and among Financial Markets 6

Major Themes 8

Prices in International Financial Markets 8

Policy Issues in International Financial Markets 10

Box 1．2: London，Tokyo Said Crucial to Market in U．S．Treasurys 13

Box 1．3: Germany Will Issue Short-Term Bills，Sign of Pressure from Euro-Currency 14

Challenges in the Study of International Financial Markets and the Practice of International Financial Management 14

The Importance of Foreign Exchange in the United States 15

The Importance of Foreign Exchange outside the United States 15

The Study of International Financial Markets:More Demanding 18

The Practice of International Financial Management:More Demanding 18

A Road Map for the Remainder of the Book 18

Summary of Major Topics 18

Typical Chapter Outline 20

2 An Overview of International Monetary Systems and Recent Developments in International Financial Markets 21

2 An Overview of International Monetary Systems and International Financial Markets 21

International Monetary Arrangements in Theory and Practice 22

The International Gold Standard，1879-1913 24

Box 2．1:Rules of the Game:The International Gold Standard，1879-1913 24

The Spirit of the Bretton Woods Agreement，1945 26

Box 2．2:Rules of the Game:The Spirit of the Bretton Woods Agreement in 1945 27

The Fixed-Rate Dollar Standard，1950-1970 28

Box 2．3:Rules of the Game:The Fixed-Rate Dollar Standard，1950-1970 29

The Floating-Rate Dollar Standard，1973-1984 32

The Plaza-Louvre Intervention Accords and the Floating-Rate Dollar Standard，1985-1996 33

Box 2．4:Rules of the Game:The Floating-Rate Dollar Standard，1973-1984 33

Box 2．5:Rules of the Game:The Plaza-Louvre Intervention Accords and the Floating-Rate Dollar Standard，1985-1996 35

The Spirit of the European Monetary System，1979 35

Box 2．6:Rules of the Game:The Spirit of the European Monetary System，1979 38

The European Monetary System as a Greater DM Area，1979-1992 38

Exchange Rate Developments 39

Recent Behavior of Prices in International Financial Markets 39

Box 2．7:Rules of the Game:The European Monetary System as a Greater DM Area，1979-1992 39

Box 2．8:A Primer on Foreign Exchange Market Math and Terminology 41

Interest Rate Developments 49

Summary of Recent Developments 56

Policy Matters-Private Enterprises 57

The Conduct of Business under Pegged and Floating Exchange Rates 57

Greater Exchange Rate Variability under Floating 57

Costs of Exchange Rate Variability 57

Policy Matters-Public Policymakers 58

Exchange Rate Policies in Emerging Markets 58

Problems in the European Monetary System 60

Summary 62

PART Ⅱ FOREIGN EXCHANGE MARKETS 66

3 Market Structure and Institutions 66

PART Ⅱ FOREIGN EXCHANGE MARKETS 66

3 Market Structure and Institutions 66

Importance of Foreign Exchange Market Trading 67

Origins of the Market 67

Volume of Foreign Exchange Trading 68

Foreign Exchange Trading Profits 69

Explaining the Profitability of Foreign Exchange Trading 71

Box 3:1:How to Succeed at Intervention by Really Signaling 73

Foreign Exchange Market Products and Activities 73

Spot and Forward Contracts 73

Foreign Exchange Swaps 74

Types of Trading Activities:Speculation and Arbitrage 75

The Relationship between Spot and Forward Contracts 77

Box 3:2:Example of Reuters Screen Page，Citibank Long-Dated Forward Rates February 22，1985 80

The Foreign Exchange Market Setting 83

Comparing the Foreign Exchange Market with Other Markets 83

Tracking a Foreign Exchange Transaction 84

Corporate Foreign Exchange Trading 88

Access to the Interbank Foreign Exchange Market 88

Trends Toward Automated Brokerage，Trading，Clearing，and Settlement 89

Policy Matters-Private Enterprises 90

A Close-Up View on Foreign Exchange Trading 90

Controls over Foreign Exchange Trading 91

Valuing Foreign Exchange Trading Profits 93

Policy Matters-Public Policymakers 93

Summary 94

4 International Parity Conditions:Purchasing Power Parity 98

4 International Parity Conditions:Purchasing Power Parity 98

An Overview of International Parity Conditions in a Perfect Capital Market 99

The Usefulness of Parity Conditions in International Financial Markets 99

Purchasing Power Parity in a Perfect Capital Market 101

The Law of One Price 101

Absolute Purchasing Power Parity 102

Relative Purchasing Power Parity 102

Box 4.1:Absolute PPP Comparisons with Alternative Market Baskets and Alternative Inflation Scenarios 104

The Real Exchange Rate and Pruchasing Power Parity 105

Relaxing the Perfect Capital Market Assumptions 107

Transaction Costs 107

Uncertainty 108

Taxes 108

Empirical Evidence on Prices and Exchange Rates 109

Empirical Methods，or How to Test a Parity Condition 109

Evidence on the Law of One Price 110

Relative PPP:Evidence on Recent Quarterly Data 110

Relative PPP:Evidence from Hyperinflationary Economies 114

Relative PPP:Evidence from Long-Run Data 115

The Role of Parity Conditions for Management Decisions 117

Empirical Tests of PPP:The Final Word 117

Policy Matters—Private Enterprises 117

Purchasing Power Parity and Managerial Decisions 118

Purchasing Power Parity and Product Pricing Decisions 118

Box 4:2:Gray Markets and the Law of One Price 119

Policy Matters—Public Policymakers 122

Summary 123

Appendix4．1:PPP，Continuous Compounding and Logarithmic Returns 124

5 International Parity Conditions:Interest Rate Parity and the Fisher Parities 127

5 International Parity Conditions:Interest Rate Parity and the Fisher Parities 127

Interest Rate Parity:The Relationship between Interest Rates，Spot Rates，and Forward Rates 128

The Usefulness of the Parity Conditions in International Financial Markets:A Reprise 128

Interest Rate Parity in a Perfect Capital Market 129

Relaxing the Perfect Capital Market Assumptions 133

Empirical Evidence on Interest Rate Parity 136

The Fisher Parities 140

The Fisher Effect 140

The International Fisher Effect 141

Box 5:1:Deviations from Uncovered Interest Parity，or How Exchange Rate Changes Can Substantially Raise（or Lower）the Cost（or Return）on Your Funds 142

Relaxing the Perfect Capital Market Assumptions 144

Empirical Evidence on the International Fisher Effect 145

The Forward Rate Unbiased Condition 148

Interpreting a Forward Rate Bias 148

Empirical Evidence on the Forward Rate Unbiased Condition 148

Tests Using the Level of Spot and Forward Exchange Rates 149

Tests Using Forward Premiums and Exchange Rate Changes 149

Policy Matters—Private Enterprises 153

Application 1:Interest Rate Parity and One-Way Arbitrage 153

Application 2:Credit Risk and Forward Contracts—To Buy or to Make? 155

Box 5:2:An Example of One-Way Arbitrage Profits When There Are No Round-Trip Arbitrage Profits 155

Application 4:Are Deviations from the International Fisher Effect Predictable? 156

Application 3:Interest Rate Parity and the Country Risk Premium 156

Application 5:Are Deviations from the International Fisher Effect Excessive? 157

Application 6:International Fisher Effect and Diversification Possibilities 158

Application 7:International Fisher Effect，Long-Term Bonds，and Exchange Rate Predictions 158

Policy Matters—Public Policymakers 160

Summary 161

Appendix 5．1:Interest Rate Parity，the Fisher Parities，Continuous Compounding，and Logarithmic Returns 162

Appendix 5．2:Transaction Costs and the Neutral Band Surrounding the Traditional Interest Rate Parity Line 163

6 Spot Exchange Rate Determination 167

6 Spot Exchange Rate Determination 167

News and Foreign Exchange Rates:An Introduction 168

Box 6．1:The Reaction of the Spot Exchange Rate to News Announcements on Macroeconomic and Political Events 170

Exchange Rates and News Stories:Three Illustrations 170

News and Foreign Exchange Rates:A Summary 175

Box 6．2:Foreign Exchange Rate Behavior:Major Concepts 176

An Overview of the Flow Approach 177

An Overview of the Stock Approach 177

Flow versus Stock Models of the Exchange Rate 177

Combining Flow and Stock Concepts of the Exchange Rate 179

Asset Models of the Spot Exchange Rate 180

The Monetary Approach 181

The Portfolio Balance Approach 186

Empirical Evidence of Exchange Rate Models 188

In-Sample Results 189

Postsample Results 194

The Role of News 196

Policy Matters—Private Enterprises 199

Policy Matters—Public Policymakers 200

Summary 202

Appendix 6．1 The Implications of Flow and Stock Equilibrium on the Foreign Exchange Rate 203

Appendix 6．2 Demonstration That the Present Exchange Rate Reflects All Future Exogenous Macroeconomic Values 207

Appendix 6．3 The Monetary Model of Exchange Rate Determination with Traded and Nontraded Goods 208

7 Foreign Exchange Market Efficiency 211

7 Foreign Exchange Market Efficiency 211

Theory of Market Efficiency 213

Defining the Equilibrium Benchmark 213

Pictures of Efficient Markets 214

Interpreting Efficient Market Studies 215

Box 7．1:Exchange Rate Levels and Changes Generated Using the Random-Walk（No Drift）Model 216

Defining the Available Information Set 217

Extensions of Efficient Market Theory 219

Empirical Evidence on Exchange Market Efficiency 220

Market Efficiency with Certainty and Risk-Free Investment 221

Market Efficiency with Uncertainty and Risky Investment 222

Box 7．2:Tracking Positions and Profits in a Technical Trading Rule:A Numerical Example 225

Policy Matters—Private Enterprises 236

Policy Matters—Public Policymakers 237

Summary 240

8 Exchange Rate Forecasting 243

8 Exchange Rate Forecasting 243

The Forecasting Approach and the Market Setting 245

Resolving Controversies in Exchange Rate Forecasting 245

Forecast Performance Evaluation:Accurate versus Useful Forecasts 253

Box 8．1:The Difference between Forecasting a Random Walk and an“Almost Random”Walk 254

Box 8．2:Evaluating a Forecasting Track Record Using the Percentage Correct Method 258

Assessing the Economic Value of Currency Forecasts 258

Forecasting Methods:Some Specific Examples 260

Short-Run Forecasts:Trends versus Random Walk 260

Long-Run Forecasts:Reversion to the Mean? 264

Composite Forecasts:Theory and Examples 265

Policy Issues and Special Forecasting Problems 268

“Consumers”of Exchange Rate Forecasts 268

“Producers”of Exchange Rate Forecasts 269

Special Problems in Exchange Rate Forecasting 269

Summary 271

9 The Eurocurrency Market 276

PART Ⅲ OFFSHORE FINANCIAL MARKETS 276

PART Ⅲ OFFSHORE FINANCIAL MARKETS 276

9 The Eurocurrency Market 276

The Origins of Supply and Demand for Offshore Banking 278

Historical Overview 278

Onshore Banking Regulations Boost the Offshore Market 279

The Offshore Markets Endure 280

Box 9．1:Creating Eurodollars 280

Growth of the Eurocurrency Market 282

Pricing of Eurocurrency Deposits and Loans 284

Pricing in the Case of One Currency and Two Financial Centers 285

Box 9．2:Costs of Collecting Deposits and Servicing Loans 286

Can Offshore and Onshore Markets Coexist? 287

The Impact of Capital Controls and Taxes 289

Market Share and Pricing in Competing Offshore Centers 291

The General Case with Many Currencies and Many Financial Centers 292

Policy Matters—Private Enterprises 293

Concems of Depositors 293

Box 9．3:Risk in Cross-Border Transactions:The Wells Fargo-Citibank Case 296

Concems of Borrowers 297

Policy Matters—Public Policymakers 299

Offshore Markets and Macroeconomic Stability 300

Could the Offshore Markets Expand Indefinitely? 301

Approaches to Regulating Offshore Markets 302

Box 9．4:Japanese Banking Woes:The Daiwa Banking Scandal and the“Japan Premium” 303

Competing for Markets:U．S．Policy Initiatives 304

Offshore Markets:European Policy Concerns 307

Summary 308

10 The Eurobond Market 311

10 The Eurobond Market 311

Historical Overview and Dimensions of the Eurobond Market 312

A First Stimulus to the Eurobond Market:The IET 313

A Second Round of Stimulus to the Eurobond Market 313

The Eurobond Market Endures 313

Regulatory and Institutional Characteristics of the Market 317

Regulatory Bodies and Disclosure Practices 317

Queuing，Currency of Denomination，and Speed of Offering 319

Issuing Costs，Ratings，and Exchange Listings 319

Summing Up:The Pros and Cons of Onshore and Offshore Markets 320

Issuing Practices and Competitive Conditions in the Eurobond Market 321

A Brief Sketch of Eurobond Underwriting 322

Tensions and Incentives within a Eurobond Syndicate 323

Box 10．1:“Excessive Competition”in the Eurobond Market 324

The Gray Market 326

Box 10．2:Examples of Gray Market Prices in the Eurobond Market 327

Evidence of Competition among Eurobond Lead Managers 327

Another Innovation:Global Bonds 331

Pricing Eurobonds 331

Eurobonds and Secrecy 332

Market Segmentation and the Pricing of Eurobonds 332

Eurodollar Bond Prices:Some Examples 333

Onshore-Offshore Arbitrage Opportunities 334

Eurodollar Bond Prices:A General Model 336

Policy Matters—Private Enterprises 337

Onshore-Offshore Arbitrage Once Again:Exxon Capital Corporation 338

Using the Eurobond Market to Enhance the Value of the Firm 339

Box 10．3:Recent Cases of Scarcity Value in the Eurobond Market 341

Policy Matters—Public Policymakers 341

The U．S．Competitive Response 341

European Union and the Eurobond Market 343

Summary 346

PART Ⅳ DERIVATIVE SECURITY MARKETS:FUTURES，OPTIONS，AND SWAPS 350

11 Currency and Interest Rate Futures 350

PART Ⅳ DERIVATIVE SECURITY MARKETS:FUTURES，OPTIONS，AND SWAPS 350

11 Currency and Interest Rate Futures 350

Distinctions between Futures and Forwards:Institutions and Terminology 352

Dispersed versus Centralized Trading 353

Customized versus Standardized Transactions 353

Variable Counterparty Risks versus the Clearinghouse 354

Cash Settlement and Delivery versus Marking-to-Market Convention 355

Box 11．1:Rogue Trading Sinks Baring Brothers—But Not the Futures Market 356

Description of Futures Contracts 359

Contract Specifications 361

Payoff Profiles for Futures and Forward Contracts 366

Box 11．2:Hedging the Interest Rate Risk in Planned Investment and Planned Borrowing 370

Futures Pricing and Forward Pricing 372

Forward Pricing and the Cost-of-Carry Model 372

Futures Pricing and the Marking-to-Market Convention 373

The Term Structure of Forward Rates 374

A Risk Premium in Forwards? 377

Policy Matters—Private Enterprises 379

Deciding on Futures versus Forwards 379

New Futures Contracts and Trading Arrangements 380

Policy Matters—Public Policymakers 382

Futures Prices and Cash Market Volatility 382

Transaction Costs and Transaction Taxes 383

Summary 384

Appendix 11．1 Synthetic Interest Rate Futures 386

12 Currency and Interest Rate Options 391

12 Currency and Interest Rate Options 391

First Principles:Terminology and Institutions 393

Types of Contracts 393

Location of Trading 395

Contract Specifications 397

Option Pricing:An Introduction 403

Spot Currency Options:Prices at Maturity 403

Interest Rate Futures Options:Prices at Maturity 406

Option Prices Prior to Maturity 406

Box 12．1:Practical Applications of Currency and Interest Rate Options 408

Option Pricing:Formal Models 413

Pricing Spot Currency Options 414

Pricing Currency and Interest Rate Futures Options 423

Box 12．2:A Link between Put Prices，Call Prices，and Market Sentiment 424

Empirical Evidence on Option Prices 426

Arbitrage Boundary Conditions 426

Pricing Efficiency and Pricing Biases 426

Policy Matters—Private Enterprises 428

Can Option Pricing and Trading Be Made an Exact Science? 428

Is Volatility Constant or Does Volatility Vary? 431

Other Shortcomings of Option Pricing Models 433

Box 12．3:What Does Implied Volatility Predict? 434

Policy Matters—Public Policymakers 435

Options Markets and Price Volatility in Underlying Markets 435

Capital Requirements for Option Traders 435

Summary 436

Appendix 12．1 Determination of the Replicating Portfolio in the Two-Period Binomial Model 437

Appendix 12．2 Boundary Conditions，Early Exercise，and Option Prices 438

Appendix 12．3 Introduction to Exotic Options 440

13 Currency and Interest Rate Swaps 446

13 Currency and Interest Rate Swaps 446

The Role of Capital Controls 447

Origins and Underpinnings of the Swap Market 447

Factors Favoring the Rise of Swaps 449

Swaps Outstanding，the Volume of Transactions，and Gross Exposure 449

The Basic Cash Flows of a Swap Transaction 452

Currency Swap 452

Interest Rate Swap 454

Box 13．1:A Summary of the IBM/World Bank Currency Swap 455

Box 13．2:Comparing Genuine Fixed-Rate and Synthetic Fixed-Rate Financing:A Detailed Example 458

Risks in Swaps 460

Swap Risks for the Hedger 460

Swap Risks for the Speculator 460

Box 13．3:Interest Rate Volatility and the Potential for Gain and Loss in an Interest Rate Swap Contract 462

Measuring the Risks of Swaps 463

Using Simulation to Estimate the Risks of Swaps 464

The Pricing of Swaps 468

Price Quoting Conventions in the Swap Market 469

The Fundamental Determinants of Swap Prices 471

Policy Matters—Private Enterprises 472

Applications of Swaps:Capturing Arbitrage Opportunities，Reducing Risks，Enhancing Sales 472

Pricing Interest Rate Swaps:The Source of Gains 473

Applications of Swaps:Magnifying Risk and Return 474

Formation of AAA-Rated Subsidiaries 476

Policy Matters—Public Policymakers 476

A Large-Scale Default Hits the Swap Market 476

BIS Capital Requirements for Swap Transactions 477

Netting Agreements and the Risk Exposure of Swap Transactions 478

Summary 480

Appendix 13．1 Valuing the Cash Flows in an Interest Rate Swap 481

PART Ⅴ INTERNATIONAL ASSET PORTFOUOS 488

14 Bond Portfolios 488

PART Ⅴ INTERNATIONAL ASSET PORTFOUOS 488

14 Bond Portfolios 488

Dimensions of National Bond Markets 492

Bonds Outstanding by Market Location 492

Bonds Outstanding by Market Segment 493

Return and Risk in National Bond Markets 494

Calculating Unhedged Returns in USS Terms 495

Calculating Currency-Hedged Returns in USS Terns 496

Box 14．1:Calculation of Prices and Returns for a Five-Year German Bund on an Unhedged Investment 498

Empirical Evidence on Return and Risk in Global Bond Markets 499

Box 14．2:Calculation of Prices and Returns for a Five-Year German Bund on a Currency-Hedged Investment 500

Returns on Unhedged Bonds 501

Returns on Currency-Hedged Bonds 501

The Efficient Frontier and Gains to International Bond Portfolios 503

Policy Matters—Private Investors and Institutions 504

Currency-Hedged Bonds:Is There a Free Lunch? 504

Active versus Passive Currency-Hedging Strategies 506

Problems in Implementing an International Bond Portfolio 511

Box 14．3:Have Global Bond Funds Delivered? 512

Box 14．4:To Hedge or Not To Hedge—A Global Bond Portfolio 514

Policy Matters—Public Policymakers 515

The Transition to European Monetary Union 515

Brady Bonds and Emerging Market Debt Issues 515

Summary 517

Appendix 14．1 Global Asset Allocation 518

15 Equity Portfolios 522

15 Equity Portfolios 522

Size and Institutional Features of Global Equity Markets 525

Market Capitalization Measures 525

Institutional Aspects of Global Equity Markets 526

Box 15．1:How Large Is the Japanese Stock Market? 527

International Investment Vehicles 531

Direct Purchase of Foreign Shares 531

American Depositary Receipts 531

Box 15．2:The Russian（ADRs）Are Coming...The Russian（ADRs）Are Coming! 533

Closed-End and Open-End Mutual Funds 534

Box 15．3:ADRs:US$ Securities with Substantial Foreign Exchange Risk 535

Risk and Return in International Equity Markets 538

Calculating the Unhedged Returns on Foreign Equity in US$ Terms 538

Portfolio Risk in Domestic and International Stocks 540

Pricing Determinants 544

Empirical Evidence on Pricing 547

Policy Matters—Private Investors 550

Factors Favoring Overweighting Foreign Markets in Portfolios 551

Factors Favoring Overweighting Home Markets in Portfolios 551

Is Investment in MNCs a Close Substitute for International Investment? 552

Can Investors Count on International Diversification Gains in the Future? 553

Are Emerging Markets Integrated with World Capital Markets? 554

Policy Matters—Public Policymakers 556

Equity Market Trading Arrangements 556

Diversity in Accounting Principles and Disclosure Practices 558

Summary 560

PART Ⅵ INTERNATIONAL ASSET PORTFOUOS AND FINANCIAL RISK MANAGEMENT 566

16 Measuring and Managing the Risk in International Financial Positions 566

PART Ⅵ INTERNATIONAL ASSET PORTFOUOS AND FINANCIAL RISK MANAGEMENT 566

16 Measuring and Managing the Risk in International Financial Positions 566

The Market Value of the Firm and Channels of Risk 568

The Corporate Treasurer s Financial Risk Management Problem 568

Accounting Measures of Foreign Exchange Exposure 572

Exposure of the Balance Sheet:Translation Exposure 573

Exposure of the Income Statement:Transaction Exposure 575

U．S．Accounting Conventions:Reporting Accounting Gains and Losses 575

Economic Logic of Accounting Conventions 577

Economic Measures of Foreign Exchange Exposure 578

The Regression Approach:The Basic Model 578

The Regression Approach:An Application 579

The Regression Approach:Three Extensions 581

The Scenario Approach 581

The Scenario Approach:Some Extensions 583

Empirical Evidence on Firm Profits，Share Prices，and Exchange Rates 585

Arguments for Hedging Risks at the Corporate Level 586

PART Ⅶ REGULATORY ISSUES 608

17 Giving Direction to International Financial Markets:Regulation and Intervention in the Competitive Marketplace 608