CFA二级强化班：经济学-数量-道德-固收-组合-打印版.docx

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$H冰匚婿&)$筠口升里焜1167(7旧口&)J127o班籥&)$咏力a荃*%果觞果TopicWeightingsinCFALevelIISessionNO.ContentWeightingsStudySession1Ethical&ProfessionalStandards10-15StudySession2-3QuantitativeMethods5-10StudySession4Economics5-10StudySession5-6FinancialReportingandAnalysis10-15StudySession7-8CorporateFinance5-10StudySession9-11Equity10-15StudySession12-13FixedIncome10-15StudySession14DerivativesS-10StudySession15AlternativeInvestments5-10StudySession16-17PortfolioManagementS-15FrameworkSS4EconomicsEconomicAnalysisRlOCurrencyExchangeRates:UnderstandingEquilibriumValueRllEconomicGrowthandtheInvestmentDecisionR12EconomicsofRegulation4-80与业&WiItH_CurrencyExchangeRates:UnderstandingEquilibriumValueFramework1.Bid-AskSpread2.CrossRateandTriangularArbitrage3.ForwardPremiumorDiscount4.Mark-to-marketvalue5.TheInternationalParityRelationships6.FXCarryTrade7.TheImpactofBalance-Of-PaymentsFlows8.ExchangeRateDeterminationModels9.ExchangeRateManagement多亚金新NI1I1.Bid-AskSpreadThespreadquotedbythedealerdependson,Thebid-offerspreadintheinterbankforeignexchangemarketforthetwocurrenciesinvolved.Theinterbankmarketamongprofessionalmarketparticipantsallowsdealerstoadjusttheirinventoriesandriskpositions.Thesizeofthetransaction.Typically,thelargerthetransaction,thefurtherawayfromthecurrentspotexchangeratethedealingpricewillbe.7-80Therelationshipbetweenthedealerandclient.Inacompetitivebusinessenvironment,inordertowintheclient'sbusiness,thedealermightprovideatighter(i.e.zsmaller)bid-offerspotexchangeratequote.当业国新ra一Bid-AskSpreadTheinterbankspreadonacurrencypairdependson,Thecurrencypairinvolved.Marketparticipationisgreaterforsomecurrencypairsthanothers.Liquidityinthemajorcurrencypairs-forexample,USD/EUR,JPY/USD,orUSD/GBPcanbeconsiderable.Thetimeofday.ThetimeoverlapduringthetradingdaywhenboththeNewYorkandLondoncurrencymarketsareopenisconsideredthemostliquidtimewindow;spreadsarenarrowerduringthisperiodthanatothertimesoftheday.NewYorktime:8:0011:00a.m.1.ondontime:13:0016:00Marketvolatility.Whenmajormarketparticipantshavegreateruncertaintyaboutthefactorsinfluencingmarketpricing,theywillattempttoreducetheirriskexposuresand/orchargeahigherpricefortakingonrisk.IntheFXmarketthisresponseimplieswiderbid-offerspreadsinboththeinterbankandbroadermarkets.8-80Spreadsinforwardexchangeratequotesincreasewithmaturity.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:TriangularArbitrageThefollowingarespotratequotesintheinterbankmarket:9USDER1.4559/1.4561JPYSD81.87/81.89CADSD0.9544/0.9546SEKSD6.8739/6.8741Ifadealerquotedabid-offerrateof85.73/85.75inJPY/CAD,thenatriangulararbitragewouldinvolvebuying:A.CADintheinterbankmarketandsellingittothedealer,foraprofitofJPY0.01perCAD.B.JPYfromthedealerandsellingitintheinterbankmarket,foraprofitofCAD0.01perJPY.C.CADfromthedealerandsellingitintheinterbankmarket,foraprofitofJPY0.01perCAD.CorrectAnswerC1Q8OHHM亚国新IB.3.ForwardDiscountandPremiumForwarddiscountorpremiumWiththeconventionofgivingthevalueofthequotedcurrency(thefirstcurrency)intermsofunitsofthesecondcurrency,thereisapremiumonthequotedcurrencywhentheforwardexchangerateishigherthanthespotrateandadiscountotherwise.Example:OnemonthforwardrateisEUR:USD=1.2468,thespotrateis12500,itisadiscountforEURWhenatraderannouncesthatacurrencyquotesatapremium,thepremiumshouldbeaddedtothespotexchangeratetoobtainthevalueoftheforwardexchangerate.Theforwardpremiumordiscount<forwardpniumQ卜_、<ordiscountforY<：11-80HH当亚国新IBU.4.Mark-to-MarketValueMark-to-marketvalueofaforwardcontractThemark-to-marketvalueofforwardcontractsreflectstheprofit(orloss)thatwouldberealizedfromclosingoutthepositionatcurrentmarketprices.Whenaforwardcontractisinitiated,theforwardrateissuchthatnocashchangeshands(i.e.themark-to-marketvalueofthecontractatinitiationiszero).Themark-to-marketvalueoftheforwardcontractwillchangeasthespotexchangeratechangesandasinterestrateschangeineitherofthetwocurrencies.Vt(T)=PresentvalueofthedifferenceinforwardpricesFt(T)F360WhereristheinterestrateofpricecurrencyExample:Mark-to-MarketValueHYewMunYiphasenteredintoa90-dayforwardcontractlongCAD1millionagainstAUDataforwardrateof1.05358AUD/CAD.Thirtydaysafterinitiation,thefollowingAUD/CADquotesareavailable:MaturityFXRateSpot1.0612/1.061430-day+4.9/+5.260-day+8.6/+9.090-day+14.6/+16.8180-day÷42.3+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).Tovaluethecontractwewouldlooktounwindtheposition.Tounwindtheposition,Yipcantakeanoffsettingpositioninanewforwardcontractwiththesamematurity.Hence,YipwouldbesellingCADinexchangeforAUDand,hence,goingupthebid(i.e.fusethebidprice).Notethatafter30days,60moredaysremainintheoriginalcontract.TheforwardbidpriceforanewcontractexpiringinT-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)=8,463.64Thirtydaysintotheforwardcontract,Yip,spositionhasgained(positivevalue)AUD8,463.64.ThisisbecauseYip'spositionislongCAD,whichhasappreciatedrelativetoAUDsinceinceptionofthecontract.YipcancloseoutthecontractonthatdayandreceiveAUD8,463.64.Note:BesuretousetheAUD(pricecurrency)interestrate.*5.TheInternationalParityRelationshipsInterestRateParity(-)CoveredInterestRateParityUncoveredInterestRateParityForwardRateParityPPP(-朗)AbsolutePPPRelativePPP16-80InternationalFisherRelation(-朗)M亚国新IBU_5.1CoveredInterestRateParityCoveredInterestrateparity(IRP)Coveredinterestrateparityisbasedonanarbitragerelationshipamongrisk-freeinterestratesandspotandforwardexchangerates.Thisparityconditiondescribesarisklessarbitragerelationshipinwhichaninvestmentinaforeignmoneymarketinstrumentthatiscompletelyhedgedagainstexchangerateriskshouldyieldexactlythesamereturnasanotherwiseidenticaldomesticmoneymarketinvestment,(fullyhedge)InterestdifferentialforwarddifferentialInterestrateparityrelationship: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.ThedaycountconventionisActual/360.<Actual<<XW<360<fActual<<y6360«<<<Adual<<xSS1VACtuaI«<<1&360ArbitrageITc.<Ir)Ir,SSFXthenborrowXcurrency,theprofitwillbe<(lr)f(Ir)*FMSIf-,土<")«"、合MOnS1r/F19-80thenborrowYcurrency,theprofitwillbe当业国新tillUncoveredInterestRateParityUncoveredinterestrateparitystatesthatthechangeinspotrateovertheinvestmenthorizonshould,onaverage,equalthedifferentialininterestratebetweenthetwocountries.Theexpectedappreciation/depreciationoftheexchangeratejustoffsetstheyielddifferential,implyingthatthecurrentforwardexchangerateisanunbiased(i.e.correctonaverage)predictorofthefuturespotrate.(SE)1+F_-.=SQ1+4N"*YUncoveredinterestrateparitysuggeststhatnominalinterestrotesreflectexpectedchangesinexchangerates.Withuncoveredinterestrateparity,thecountrywithhigher(tower)interestrateisexpectedtoseethevalueofitscurrencydepreciate(appreciate).Uncoveredinterestrateparityassumesthatthereareenoughriskneutralinvestorstoforceequalityofexpectedreturns.HH旦虬&新11I11.ForwardRateParityForwardrateparityTheforwardexchangeratewillbeanunbiasedforecastofthefuturespotexchangerateifbothcoveredanduncoveredinterestrateparityhold.Forwardrate=expectedfuturespotrate(F=E(SD一ESThereisnoadvantagetoholdinganunhedgedpositioninaforeigncurrencyandspeculatingonhowexchangeratesmightchange.Forwardrateparitybuildsupontwootherparityconditions,coveredIRPanduncoveredIRP.CoveredIRPmustholdbecauseitisenforcedbyarbitrage.UncoveredIRPisoftenviolated.Asaresult,wecanconcludethatforwardexchangeratesaretypicallypoorpredictorsoffuturespotexchangeratesintheshortrun.Overthelongerterm,uncoveredIRPandforwardrateparityhavemoreempiricalsupport.*5.2PurchasePowerParity(PPP)AbsolutePPPassertsthattheequilibriumexchangeratebetweentwocountriesisdeterminedentirelybytheratiooftheirnationalpricelevel.However,itishighlyunlikelythatonewillfindthatthisrelationshipactuallyholdsintherealword.RelativePPP:changeintheexchangeratedependsontheinflationratesinthetwocountries.Initsapproximateform,thedifferenceininflationratesisequaltotheexpecteddepreciation(appreciation)ofthecurrency.Thecountrywiththehigherinflationshouldseeitscurrencydepreciate.TheformalequationforrelativePPPisasfollows:S(XY)Ex-AnteVersionofPPPEx-anteversionofPPPTheex-anteversionofpurchasingpowerparityfocusesonexpectedchangesinthespotexchangeratebeingentirelydrivenbyexpecteddifferenceinnationalinflationrates.(S耳L +方 = rXY X YExantePPPtellsusthatcountriesthatareexpectedtorunpersistentlyhighinflationratesshouldexpecttoseetheircurrenciesdepreciateovertime.BecausethereisnotruearbitrageavailabletoforcethePPPrelationtohold,violationsoftherelativePPPrelationintheshortrunarecommon.23-80TheevidencesuggeststhatrelativeformofPPPholdsapproximatelyinthelongrunM亚国新1SU5.3InternationalFisherRelationWecanconcludethatifUIRPandex-antePPPhold,r-*/=0.Thepropositionthatrealinterestrateswillconvergetothesamelevelacrossdifferentmarketsisknownastherealinterestrateparitycondition.Ifrealinterestratesareequalacrossmarkets,thenitalsofollowsthattheforeign-domesticnominalyieldspreadisdeterminedsolelybytheforeign>domesticexpectedinflationdifferential,thisisknownastheInternationalFishereffect.Thedifferenceinexpectedinflationratesequalstheexpectedchangeintheexchangerate,wederivethefollowing:中一Tpv=寄Jfe，InternationalParityRelationshipsTheInternationalParityRelationshipsCombined口IRP1Foreign exchange expectations relationSO1aFisher25-80品R-pppy当业国新!raLong-RunFairValueofAnExchangeRateStudiesfindthatinthelongrun,realexchangeratesbetweencountriestendtostabilizearoundtheiraveragevalue-thatis,theymeanrevert.Statedanotherway,nominalexchangeratesgraduallygravitatetowardtheirPPP-basedvalues.Thismeansthatalthoughovershorterhorizonsnominalexchangeratemovementsmayappearhaphazard.Overlongertimehorizonsnominalexchangerateswilltendtogravitatetowardtheirlong-runPPPequilibriumvalues.MH昌亚&新EH*6.FXCarryTradeFXcarrytradeinvolvestakingonlongpositionsinhigh-yieldCurrenciesandshortpositionsinlow-yieldcurrencies(fundingcurrency).Historicalevidenceshowsthatsuchcarrytradestrategiesoftengenerateattractiveexcessreturnsoverextendedperiods.ReturnTherewardisthegradualaccrualoftheinterestratedifferentialincomethatisunrelatedtoexchangeratevolatility.Ifuncoveredinterestrateparityheldatalltimes,investorswouldnotbeabletoprofitfromastrategythatundertooklongpositionsinbasketsofhigh-yieldcurrenciesandshortpositionsinbasketsoflow-yieldcurrencies.RiskTheriskarisesfromthepotentialforsuddenadverseexchangeratemovementsthatresultininstantaneouscapitallosses.Example:FXCarryTradeHMehmetisconsideringacarrytradeinvolvingtheUSDandtheEuro.Heanticipatesitwillgenerateahigherreturnthanbuyingaone-yeardomesticnoteatthecurrentmarketquoteduetolowUSinterestratesandhispredictionsofexchangeratesinoneyear.TohelpMehmetassessthecarrytrade,SmithprovidesMehmetwithselectedcurrentmarketdataandhisoneyearforecastsinExhibit1.Exhibit1.SpotRatesandInterestRatesforProposedCarryTradeToday'sOne-yearLiborCurrencypair(Price/Base)SpotratetodayProjectedspotrateinoneyearUSD0.80%CAD/USD1.00551.0006CAD1.71%ERCAD0.72180.7279EUR2.20%Calculatethepotentialall-inUSDreturnonthecarrytrade.28-80HHM亚国新IB.Example:FXCarryTradeHCorrectAnswer:TherelevanttradeistoborrowUSDandlendinEuros.Tbcalculatetheall-inUSDreturnfromaone-yearEURLibordeposit,firstdeterminethecurrentandone-yearlaterUSD/EURexchangerates.BecauseoneUSDbuysCAD1.0055today,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)(1/0.7283)-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-paymentsaccountsCurrentAccountrepresentsthesumofallrecordedtransactionsintradedgoods,services,income,andnettransferpaymentsinacountry,soverallbalanceofpayments.FinancialAccount(alsoknownasthecapitalaccount)reflectsfinancialflows.Investment/financingdecisionsareusuallythedominantfactorindeterminingexchangeratemovements,atleastintheshorttointermediateterm.Balance-Of-PaymentsAccountsCurrentaccountinfluence:countriesthatrunpersistentcurrentaccountdeficitsoftenseetheircurrenciesdepreciateovertimeTheflowsupply/demandchannelItisbasedonafairlysimplemodelthatfocusesonthefactthatpurchasesandsalesofinternationallytradedgoodsandservicesrequiretheexchangeofdomesticandforeigncurrenciesinordertoarrangepaymentforthosegoodsandservices.Theinitialgapbetweenimportsandexports.Theresponseofimportandexportpricestochangesintheexchangerate.Theresponseofimportandexportdemandtothechangeinimportandexportprices.31-80HHH岩业国新匡值.Balance-Of-PaymentsAccountsTheportfoliobalancechannel.Currentaccountimbalancesshiftfinancialwealthfromdeficitnationstosurplusnations.Overtime,thismayleadtoshiftsinglobalassetpreferences,whichinturncouldexertamarkedimpactonthepathofexchangerates.Thedebtsustainabilitychannel.Ifinvestorsbelievethatthedeficitcountry'sexternaldebtisrisingtounsustainablelevels,theyarelikelytoreasonthata