CFA二级知识精讲-经济：Economics for Valuation.docx

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1、IntroductionTopicweight:StudySession1-2Ethics&ProfessionalStandards10%-15%StudySession3QuantitativeAnalysis5%-10%StudySession4Economics5%-10%StudySession5-6FinancialReportingandAnalysis10%-15%StudySession7-8CorporateFinance5%-10%StudySession9-11EquityValuation10%-15%StudySession12-13FixedIncome10%-1

2、5%StudySession14DerivativeInvestment5%10%StudySession15AlternativeInvestment5%-10%StudySession16-17PortfolioManagement5%-15%Weights:100%ContentsStudySession4:EconomicsforValuationReading11:CurrencyExchangeRates:UnderstandingEquilibriumValUeReading12:EconomicGrowthandInvestmentDecisionReading13:Econo

3、micsofRegulationIntroduction考纲对比:与2018年相比，2019年的考纲没有变化4Introduction学习建议:本门课程难度适中，知识点与一级经济学保持较强连贯性做原版教材章节后习题常考知识点比较固定，要记住关键的计算公式和理论CurrencyExchangeRates：UnderstandingEquilibriumValueBasicsofForeignExchangeTasks:CalculateandInterpretthebid-askspreadonaspotorforwardforeigncurrencyquotationDescribethefa

4、ctorsthataffectthebid-offerspread.AUUJJJrDSBq 一|一SBAQlISJrD-ISLUOa-UO-IelOnbI。-pu- .LuseqlSeAJUeJJS -t-0M-:uo=elonb一J-A3u0Jm ram -HnWAOUm2dmodco9S8.0UHmIS0Hdc史BnUJs80HHnUJdc9SSH0sra2三ui3encyExchangeRatesNominalexchangerate:Thepricethatweobserveinthemarketplaceforforeignexchange.Realexchangerate:Adju

5、stnominalexchangeratetoreflecttherelativepurchasingpowerbetweencountries.Nominal(df)Real(df)=6rd耳(Sda寸)寸000.0S,-PEdS一U.IbZTbTSSBseqP-PIOQ0nIlI-dcuBxLlJ.dsbU9J。BSPEdSPeJldSjlp=B0S-JdzPUBl-fcoLlI仁Mlqol-fcRJmJotun=-M-oo-lS-od.iunOmJdABd=_Ml-ra-8d-3dP880STl3-PaUJlU-0JS3。uucssu-lelc3dsMSraKMiIeiIXi三s3(AU

6、UJlrDSBqysluH(IUn8-P)E-El-PJBMoU-lu三E2dPPMOM-P-QDU-Pel-AQUPD8d.IUnOJS-P20IeMU-PeJlS-A。U3&dIodSuessS-lonbpeMOJ-IUnoJS-PpeMOJI。S-0l-0j3dlurludPJeMoJeMu-peIS-umSBc08zdIodSue)EleqIoUAeUJ-EOoo0M+jU-SPooco-ljos+-,q-Mo-P-OqIoUI-UJddd5-Oora-uot-仁一s-Jd-PUo4。UJaqlJO04。lllAq-El-s-s,lUnooOMI一巴-l-oEn=nbBmlllIBdd

7、dBln-OsqvAlMid=ESBIIUIIdSSMSRelativePurchasingPowerParitvRelativePPP:thepercentagechangeinthespotexchangeratewillbecompletelydeterminedbythedifferencebetweentheforeignanddomesticinflationrate.St%AS产一I -ITheevidencesuggeststhattherelativeformofPPPholdsapproximatelyinthelongrun.Ex-AnteVersionofPPPEx-a

8、nteversionofpurchasingpowerparityisthesameasrelativepurchasingpowerparityexceptthatitusesexpectedinflationinsteadofactualinflation.Wecanalsouseinflationdifferentialstoforecastfutureexchangerates.。叫心E(St)-SOSoE(f)-E(iy)InternationalParityRelationshipsCombinedEx-antePPP,uncoveredinterestrateparityorfo

9、rwardratestoforecastfuturespotrates.UncoveredinterestrateparityandPPParenotboundbyarbitrageandseldomworkovertheshortandmediumterms.TheforwardrateisnotanunbiasedpredictoroffuturespotrateoPPPholdsoverreasonablylongtimehorizons.internationalParityRelationshipsCombinedExampleAccordingtothetheoryandempir

10、icalevidenceregardingpurchasingpowerparity,whichofthefollowingwouldnotbetrueifPPPholdsinthelongrun?A.Anexchangeratesequilibriumpathshouldbedeterminedbythelong-termtrendindomesticrelativetoforeignpricelevels.B.DeviationsfromPPPmightoccurovershort-andmedium-termperiods,butfundamentalforcesshouldeventu

11、allyworktopushexchangeratestowardtheirlong-termPPPpath.C.High-inflationcountriesshouldtendtoseetheircurrenciesappreciateovertime.AnswerCiscorrect.AccordingtoPPP,high-inflationcountriesshouldseetheircurrenciesdepreciate(atleast,overthelongerterm)inordertore-equilibraterealpurchasingpowerbetweencountr

12、ies.maryImportance:Content:AbsolutepurchasingpowerparityRelativepurchasingpowerparityEx-anteversionofPPPExamtips:理解绝对，相对和预期购买力平价关系记住平价公式-理解平价条件之间的关系CurrencyExchangeRates：UnderstandingEquilibriumValue1.ongTermEauilibriumExchangeRatesCarryTradeTasks:Explainapproachestoassessinglong-termfairvalueofanex

13、changerateDescribethecarrytradeanditsrelationtouncoveredinterestrateparityCalculatetheprofitfromacarrytradeE3El-MSLUn-EBJtdaweUOA-C-p一。dxIeweUoR-c-PwJdx)ile=s,llu二e三EOUorIe=SOlWU=B-EOU)+(M/wecrao-BE3-ME三EJdXSMlaE3EV-XS)romracs+(8lBJcraux-BJIUn二q=bU(B/q,returnrx-ry-%SxzyFXCarryTradeExample:Exchangera

14、teforUSD/GBPis1.50todayand1.49oneyearlater.Interestrateis3%forU.Kand1%forU.S.CalculationtheprofittoborrowingintheU.S.andinvestingintheU.K.Answer:return=3%-1%-(1.5-1.49)/1.5=1.33%Correct?FXCarryTradeRisksofcarrytradeisthatthefundingcurrencymayappreciatesignificantlyagainstthecurrencyoftheinvestment,w

15、hichwouldreduceatradersprofit-orevenleadtoaloss.Returndistributionofcarrytradeisnotnormal(negativeskewnessandexcesskurtosis),meaningthattheprobabilityofalargelossishigherthantheprobabilityimpliedunderanormaldistribution.Wecallthishighprobabilityofalargelossthecrashriskofthecarrytrade.FXCarryTradeRis

16、kmanagementincarrytradesVolatilityfilter:Wheneverimpliedvolatilityincreasesaboveacertainthreshold,thecarrytradepositionsareclosed.Valuationfilter:AvaluationbandisestablishedforeachcurrencybasedonPPPorothermodels.Ifthevalueofacurrencyfallsbelow(above)theband,thetraderwilloverweight(underweight)thatcu

17、rrencyinthetraderscarrytradeportfolio.maryImportance:Content:Long-termequilibriumexchangerateCarrytradeEXamtips:解释评估长期公允汇率的方法-计算套息交易的利润PlIrreiICVExchangeRates：UnderstandingEquilibriumValueTheInfluenceofBalanceofPaymentonExchangeRateTasks:Explainhowflowsinthebalanceofpaymentaccountsaffectcurrencyexch

18、angeratealance-of-PaymentsCurrentaccountmeasurestheexchangeofgoods,theexchangeofservices,theexchangeofinvestmentincome,andunilateraltransfers(giftstoandfromothernations).Capitalaccount(alsoknownasthefinancialaccount)measurestheflowoffundsfordebtandequityinvestmentintoandoutofthecountry.Officialreser

19、veaccounttransactionsarethosemadefromthereservesheldbytheofficialmonetaryauthoritiesofthecountry.alance-of-PaymentsCurrentaccount+Capitalaccount+Officialreserveaccount=0Whenacountryexperiencesacurrentaccountdeficit,itmustgenerateasurplusinitscapitalaccount(orseeitscurrencydepreciate).Capitalflowsten

20、dtobethedominantfactorinfluencingexchangeratesintheshortterm,ascapitalflowstendtobelargerandmorerapidlychangingthangoodsflows.1.ongTermEquilibriumExchangeRateAssessmentsMacroeconomicbalanceapproach:Estimateshowmuchcurrentexchangeratesmustadjusttoequalizeacountryscurrentaccountimbalance.Externalsusta

21、inabilityapproach:EstimateshowmuchcurrentexchangeratesmustadjusttoforceacountrysexternaldebtrelativetoGDPtowardsitssustainablelevel.Reduced-formeconometricmodelapproach:Estimatestheequilibriumpathofexchangeratemovementsbasedonpatternsinseveralkeymacroeconomicvariables,suchastradebalance,netforeignasset/liability,andrelativeproductivity.uUEipAlmqBEElSnSjqBPBLIl-UUBLpSuO-OwodRUUBlppuelujp/A-ddnsMo-JJzlErooE-BJcus0l-l-toO口SEoPJoUO-IePBJdBPOlPB-slp-JeplunooJBIUno-salecroQouO-IeU-ULIWaPPUesJU-eqE-IUnoeluxlnusMllEIl32SeeJO33U三