Chng 7

iu Kin Ngang
Bng Quc T

Copyright 2010 Pearson Prentice Hall. All rights reserved.

iu Kin Ngang Bng Quc T

Mt s cu hi c bn nh qun tr ca cc cng ty a quc
gia, cc nh u t danh mc u t quc t, cc nh nhp
khu, xut khu v cc quan chc chnh ph phi i ph vi
mi ngy:
Cc yu t quyt nh t gi hi oi l g?
Thay i t gi hi oi c th d bo c khng?
Cc l thuyt kinh t kt ni t gi, mc gi, v li sut li
vi nhau c gi l iu kin ngang bng quc t.
Nhng iu kin cn bng ny hnh thnh ct li ca l
thuyt ti chnh c o trong ti chnh quc t.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-2

iu Kin Ngang Bng Quc T

Nhng l thuyt ny khng phi lc no
cng ng khi so snh nhng g sinh vin
v hc vin quan st trong th gii thc,
nhng chng l trung tm cho bt k s
hiu bit v cch thc kinh doanh a quc
gia c thc hin v ti tr trn th gii
ngy hm nay.
Sai lm thng gp khng n t bn thn
l thuyt m vi vic gii thch v p dng
l thuyt.
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-3

Gi C v T Gi Hi oi
Nu sn phm hoc dch v ging ht nhau
c th:
bn ti hai th trng khc nhau; v
khng c hn ch trong vic mua bn; v
chi ph vn chuyn sn phm gia cc th
trng l bng nhau, t
Gi sn phm phi ging nhau trong c hai th
trng.

iu ny c gi l lut mt gi.
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-4

Gi C v T Gi Hi oi
Nguyn l c bn ca th trng cnh tranh
l gi c s bng nhau gia cc th trng
nu nhng ro cn (chi ph vn chuyn)
khng tn ti.
So snh gi c khi , ch yu cu mt s
chuyn i t ng tin ny sang ng tin
khc:
P$ x S = P
Vi gi sn phm tnh theo la M l (P$),
t gi giao ngay l (S) gi sn phm tnh
theo ng Yn (P).
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-5

Gi C v T Gi Hi oi
Nu lut mt gi l ng cho tt c cc hng ho
v dch v, sc mua tng ng (PPP) t gi hi
oi c th c xc nh t bt c nhm gi c
no.
Bng cch so snh gi c ca cc sn phm ging
ht nhau ca cc loi tin t khc nhau, chng ta
c th xc nh t gi hi oi "thc" hay PPP,
iu xy ra nu th trng l hiu qu.
y l phin bn tuyt i ca l thuyt PPP.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-6

Gi C v T Gi Hi oi
Nu cc gi nh ca phin bn tuyt i l
thuyt PPP c xt thoi mi hn mt
cht, chng ta s c thuyt ngang bng
sc mua tng i (RPPP).
RPPP cho rng PPP khng c bit hu ch
trong vic xc nh t gi giao ngay ngy
hm nay, nhng s thay i tng i v
gi gia hai nc trong mt khong thi
gian xc nh s phn nh s thay i
trong t gi hi oi trong giai on .
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-7

Gi C v T Gi Hi oi
C th hn, lin quan n RPPP:
Nu t gi giao ngay gia hai nc bt u

trng thi cn bng, bt k thay i no

trong t l khc bit v lm pht gia chng
c xu hng c b p v lu di bng
mt s thay i ngc li trong t gi giao
ngay."

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-8

Bng 7.2 Ngang Bng Sc Mua

Tng i (PPP)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-9

Gi C v T Gi Hi oi
Kim chng thc nghim v PPP v
lut mt gi c thc hin, nhng
khng chng minh c PPP l chnh
xc trong d bo t gi trong tng
lai.

C hai kt lun c th rt ra t nhng th

nghim ny:
PPP ng trong di hn nhng km trong ngn
hn v,
l thuyt ny ng hn vi cc quc gia vi t
l tng i cao ca lm pht v th trng vn
km pht trin.
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-10

Gi C v T Gi Hi oi
Cc ng tin quc gia thng cn phi
c nh gi theo gi tr ng tin khc
xc nh sc mua tng i.
Mc tiu l xc nh xem liu t gi
mt quc gia l vt gi" hay di
gi" so vi PPP.
Vn ny thng c gii quyt thng
qua vic tnh ton ch s t gi hi oi
nh cc ch s t gi hi oi hiu qu
danh ngha.
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-11

Bng 7.3 Ch S T Gi Hiu Qu Thc

ca IMF cho Hoa K, Nht Bn, v
Khu Vc Chu u (2000 = 100)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-12

Gi C v T Gi Hi oi
S chuyn qua t gi hi oi khng y l mt
trong nhng l do thc s khin ch s t gi hi oi hiu
qu thc ca mt quc gia c th b chch i
Mc m gi hng ho xut khu, nhp khu thay
i nh l kt qu ca thay i t gi hi oi c
gi l s chuyn qua.
Mc d PPP hm rng tt c cc thay i t gi hi oi
s chuyn qua gi c hng ha cai tc thng mi,
nghin cu thc nghim nhng nm 1980 nghi vn gi
nh ny.
V d, mt nh sn xut xe hi c th hoc khng iu
chnh gi c ca cc xe bn nc ngoi nu t gi hi
oi thay i c cu chi ph ca nh sn xut trong
tng quan vi th trng nc ngoi.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-13

Gi C v T Gi Hi oi
S chuyn qua cng c th l mt phn v c
nhiu c ch m cc cng ty c th b p tc
ng ca thay i t gi hi oi.
co gin v gi ca ng cu l mt yu
t quan trng khi xc nh mc ca s
chuyn qua.
Co gin v gi ca ng cu i vi bt k hng
ha no l phn trm thay i v s lng ca
hng ha c yu cu nh l kt qu ca s thay
i t l phn trm trong gi ca hng ha .

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-14

Li Sut v T Gi Hi oi
Tc ng Fisher ni rng li sut danh ngha ti mi
quc gia bng vi t l li nhun yu cu cng vi bi
hon cho lm pht k vng.
Phng trnh ti gin nh sau:
i=r+

Trong i = li sut danh ngha, r = li sut thc v = d

kin lm pht.

Kim tra thc nghim t l lm pht quc gia cho

thy tc ng Fisher thng ng vi cc chng khon
chnh ph ngn hn (tri phiu kho bc).

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-15

Li Sut v T Gi Hi oi
Mi quan h gia phn trm thay i trong
t gi giao ngay theo thi gian v khc bit
gia li sut so snh trn th trng vn
ca cc quc gia khc nhau c gi l
hiu ng Fisher quc t.

"Fisher-m rng", nh tn gi, ni rng t

gi giao ngay nn thay i mt lng bng
nhng theo hng ngc li vi s khc
bit v li sut gia hai nc.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-16

Li Sut v T Gi Hi oi
Chnh thng hn:
S1 S2

S2

= i$ - i

WhereTrong i$ v i ln lt l li sut quc

gia v S l t l giao ngay bng cch bo gin
tip (/$).
L gii cho hiu ng Fisher quc t chnh
l vic nh u t phi c khen thng
hoc b trng pht b p s thay i
k vng trong t gi hi oi.
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-17

Li Sut v T Gi Hi oi
Mt t gi k hn l t gi hi oi nim
yt dnh cho mt thi im trong tng
lai.
Tha thun trao i giao k hn cc ng
tin th hin t gi hi oi m ti mt
ng tin s c mua hoc bn vo mt
ngy c th trong tng lai.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-18

Li Sut v T Gi Hi oi
T gi giao trc c tnh cho bt k khong o
hn c th bng cch iu chnh t gi giao ngay
hin ti bng t l ca mc li sut cng k hn
hai ng tin.
V d, t gi k hn 90 ngy cho franc Thy S/
la M (FSF/$90) c tnh bng cch nhn t gi
giao ngay (SSF/$) vi t s gia li sut tin gi
euro-franc Thy S 90 ngy euro-Thy S franc
tin gi t l (iSF) v li sut tin gi ng la
M 90 (i$).

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-19

Li Sut v T Gi Hi oi
Cng thc tnh t gi k hn:
FSF/$90 = SSF/$ x [1 + (iSF x 90/360)]

[1 + (i$ x 90/360)]

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-20

Li Sut v T Gi Hi oi
Phn ph tri hoc chit khu giao trc l
t l phn trm (%) s khc bit gia t
gi giao ngay v t gi k hn, theo t l
phn trm hng nm.

SF

= Spot Forward
Forward

360
x 100
x
days

y l trng hp dng gi ngoi t ca ng

ni t (SF/$).

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-21

Li Sut v T Gi Hi oi
L thuyt Ngang bng li sut (IRP) cung
cp s lin kt gia cc th trng ngoi
hi v th trng tin t quc t:
S khc bit trong li sut i vi cc
chng khon c cng ri ro v k hn
nn bng, nhng ngc du, vi khon
chit khu hoc ph tri nm gi ng
ngoi t, tr i chi ph giao dch.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-22

Bng 7.5 ng Cong Li Sut v

phn trm k hn gia tng

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-23

Bng 7.6 Thuyt Ngang Bng Li

Sut (IRP)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-24

Li Sut v T Gi Hi oi
T gi giao ngay v t gi mua trc, tuy nhin,
khng lin tc trong trng thi cn bng theo
thuyt ngang bng li sut.
Khi th trng khng cn bng, s c xut
hin hay phn li nhun chnh lchphi ri
ro.
Ngi tm kim chnh lch li dng s mt cn bng cch
u t vo ng tin no cung cp li nhun cao hn trn
c s c bo v.

iu ny gi l chnh lch li sut c bo

v(CIA).
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-25

Bng 7.7 Chnh Lch Li Sut c

Bo V (CIA)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-26

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-27

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-28

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-29

Li Sut v T Gi Hi oi
Mt bin th ca CIA chnh l chnh lch li sut
khng c bo v (UIA).
Trong trng hp ny, cc nh u t vay vn ti cc
nc c ng tin li sut thp v chuyn sang nm
gi cc ng tin c li sut cao hn nhiu.
Giao dch ny khng c bo v" bi v cc nh u
t khng bn ng tin c li sut cao hn theo t gi
mua trc, la chn khng bo v v chp nhn
ri ro tin t trong vic trao i ng tin c li
sut cao hn vi ng tin c li sut thp hn
vo cui hn.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-30

Bng 7.8 Chnh Lch Li Sut KHNG

c Bo V (UIA): Nm Gi ng Yn
Nht

In the yen carry trade, the investor borrows Japanese yen at relatively low interest rates, converts the proceeds to another currency
such as the U.S. dollar where the funds are invested at a higher interest rate for a term. At the end of the period, the investor
exchanges the dollars back to yen to repay the loan, pocketing the difference as arbitrage profit. If the spot rate at the end of the
period is roughly the same as at the start, or the yen has fallen in value against the dollar, the investor profits. If, however, the yen
were to appreciate versus the dollar over the period, the investment may result in significant loss.
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-31

Li Sut v T Gi Hi oi
Bng tip theo minh ha cc iu kin cn thit
cho vic cn bng gia li sut v t gi hi oi.
Tnh trng mt cn bng, k hiu bng ch U,
nm ngoi ng ngang bng li sut.
Tuy nhin, tnh hnh ti im U l khng n nh
bi v tt c cc nh u t c ng c thc
hin cng hnh thc chnh lch li sut c bo v,
v n c bn khng c ri ro.

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-32

Bng 7.9 Ngang Bng Li Sut

(IRP) v Cn Bng

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-33

Li Sut v T Gi Hi oi
Mt s nh d bo tin rng t gi hi oi
mua trc l cng c d bo khng thin v
cho t gi giao ngay trong tng lai.
Mt cch cm tnh, iu ny c ngha rng s
phn b t gi giao ngay trong tng lai s tp
trung vo t gi mua trc c k hn.

D bo khng thin v n gin ch c

ngha l t gi mua trc c k hn c
th nh gi qu cao hoc qu thp t
gi giao ngay trong tng lai vi cng
tn s v mc .
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-34

Bng 7.10 T Gi Giao Trc C K Hn nh D

Bo khng Thin V T Gi Giao Ngay trong
Tng Lai

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-35

Bng 7.11 iu Kin Ngang Bng Quc T

Trng Thi Cn Bng (xp x)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-36

Mini-Case Questions: Currency PassThrough at Porsche

Which do you believe is most important for
sustaining the sale of the new Carrera model,
maintaining a profit margin or maintaining the
U.S. dollar price?
Given the change in exchange rates and the
strategy employed by Porsche, would you say that
the purchasing power of the U.S. dollar customer
has grown stronger or weaker?
In the long run, what do most automobile
manufacturers do to avoid these large exchange
rate squeezes?
Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-37

Chapter 7

Additional
Chapter
Exhibits

Copyright 2010 Pearson Prentice Hall. All rights reserved.

Exhibit 7.1
The
McCurrency
Menuthe
Hamburger
Standard

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-39

Exhibit 7.4 Exchange Rate PassThrough

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-40

Exhibit 1 Pass-Through Analysis for

the 911 Carrera 4S Cabriolet, 2003

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-41

1. Big Mac Index updated. Use the Economist's Web site to find the latest edition of the Big Mac Index of currency over- and under-valuation. (You will
need to do a search for "Big Mac currencies.") Create a worksheet to compare how the British pound, the euro, the Swiss franc, and the Canadian dollar have
changed from the version presented in this chapter.
The Economist http://www.economist.com
2. Purchasing power parity statistics. The Organization for Economic Cooperation and Development (OECD) publishes detailed measures of prices and
purchasing power for its member countries. Use the OECD's Web site to download the historical data for purchasing power for the member countries.
OECD Purchasing Power www.oecd.org/std/prices-ppp (updated URL)
3. International interest rates. A number of Web sites publish current interest rates by currency and maturity. Use the Financial Times Web site to isolate the
interest rate differentials between the U.S. dollar, the British pound, and the euro for all maturities up to and including one year.
Financial Times Market Data http://www.marketprices.ft.com/markets/currencies/international
Data listed by the Financial Times:
International money rates (bank call rates for major currency deposits) Money rates (LIBOR and CD rates, etc.)
10-year spreads (individual country spreads versus the euro and U.S. 10-year treasuries).
Note: Which countries actually have lower 10-year government bond rates than the United States and the euro? Probably Switzerland and Japan. Check.
Benchmark government bonds (sampling of representative government issuances by major countries and recent price movements)
Note which countries are showing longer maturity benchmark rates.
Emerging market bonds (government issuances, Brady bonds, etc.)
Eurozone rates (miscellaneous bond rates for assorted European-based companies; includes debt ratings by Moodys and S&P)
4. Emerging market currencies. Although major currencies like the U.S. dollar and the Japanese yen dominate the headlines, there are nearly as many
currencies as countries in the world. Many of these currencies are traded in extremely thin and highly regulated markets, making their convertibility suspect.
Finding quotations for these currencies is sometimes very difficult. See how many African currency quotes you can find.
Emerging Markets http://emgmkts.com
5. Exchange rate indices. JPMorgan calculates and maintains indices of many of the world's major currencies' values relative to baskets of other major
currencies. Like those published by the IMF, these indices serve as more fundamental and general indicators of relative currency value. Use the most recent
indices to determine the relative strengths of the dollar, euro, and yen.
JPMorgan Currency Indices http://www2.jpmorgan.com/cgi-bin/Indices#currency (updated URL)

Copyright 2010 Pearson Prentice Hall. All rights reserved.

7-42