国际金融管理ch09 Exchange Rate Forecasting.pptVIP

Part IIIExchange Rate Risk Management Exchange Rate Forecasting Chapter Objectives To explain how firms can benefit from forecasting exchange rates; To describe the common techniques used for forecasting; and Why Firms ForecastExchange Rates MNCs need exchange rate forecasts for their: hedging decisions, short-term financing decisions, short-term investment decisions, capital budgeting decisions, earnings assessments, and long-term financing decisions. Corporate Motives for Forecasting Exchange Rates Forecasting Techniques The numerous methods available for forecasting exchange rates can be categorized into four general groups: technical, fundamental, market-based, and mixed. Technical Forecasting Technical forecasting involves the use of historical data to predict future values. Speculators may find the models useful for predicting day-to-day movements. However, since the models typically focus on the near future and rarely provide point or range estimates, they are of limited use to MNCs. Fundamental Forecasting Fundamental forecasting is based on the fundamental relationships between economic variables and exchange rates. E.g. subjective assessments, quantitative measurements based on regression models and sensitivity analyses. Note that the use of PPP to forecast future exchange rates is inadequate since PPP may not hold and future inflation rates are also uncertain. Fundamental Forecasting In general, fundamental forecasting is limited by: the uncertain timing of the impact of the factors, the need to forecast factors that have an immediate impact on exchange rates, the omission of factors that are not easily quantifiable, and changes in the sensitivity of currency movements to each factor over time. Market-Based Forecasting Market-based forecasting uses market indicators to develop forecasts. The current spot/forward rates are often used, since speculators will ensure that the current rates reflect the market expectation of the future exchan