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PART Ⅰ INTRODUCTION AND OVERVIEW2

1 Introduction to the Study of International Financial Markets2

1 Introduction to the Study of International Financial Markets2

PART Ⅰ INTRODUCTION AND OVERVIEW2

The Changing Financial Landscape3

The Expanding Menu of Financial Choices4

Greater Volatility as a Feature of Financial Markets5

Box 1．1:Accidents along the International Financial Superhighway6

Increased Competition within and among Financial Markets6

Major Themes8

Prices in International Financial Markets8

Policy Issues in International Financial Markets10

Box 1．2: London，Tokyo Said Crucial to Market in U．S．Treasurys13

Box 1．3: Germany Will Issue Short-Term Bills，Sign of Pressure from Euro-Currency14

Challenges in the Study of International Financial Markets and the Practice of International Financial Management14

The Importance of Foreign Exchange in the United States15

The Importance of Foreign Exchange outside the United States15

The Study of International Financial Markets:More Demanding18

The Practice of International Financial Management:More Demanding18

A Road Map for the Remainder of the Book18

Summary of Major Topics18

Typical Chapter Outline20

2 An Overview of International Monetary Systems and Recent Developments in International Financial Markets21

2 An Overview of International Monetary Systems and International Financial Markets21

International Monetary Arrangements in Theory and Practice22

The International Gold Standard，1879-191324

Box 2．1:Rules of the Game:The International Gold Standard，1879-191324

The Spirit of the Bretton Woods Agreement，194526

Box 2．2:Rules of the Game:The Spirit of the Bretton Woods Agreement in 194527

The Fixed-Rate Dollar Standard，1950-197028

Box 2．3:Rules of the Game:The Fixed-Rate Dollar Standard，1950-197029

The Floating-Rate Dollar Standard，1973-198432

The Plaza-Louvre Intervention Accords and the Floating-Rate Dollar Standard，1985-199633

Box 2．4:Rules of the Game:The Floating-Rate Dollar Standard，1973-198433

Box 2．5:Rules of the Game:The Plaza-Louvre Intervention Accords and the Floating-Rate Dollar Standard，1985-199635

The Spirit of the European Monetary System，197935

Box 2．6:Rules of the Game:The Spirit of the European Monetary System，197938

The European Monetary System as a Greater DM Area，1979-199238

Exchange Rate Developments39

Recent Behavior of Prices in International Financial Markets39

Box 2．7:Rules of the Game:The European Monetary System as a Greater DM Area，1979-199239

Box 2．8:A Primer on Foreign Exchange Market Math and Terminology41

Interest Rate Developments49

Summary of Recent Developments56

Policy Matters-Private Enterprises57

The Conduct of Business under Pegged and Floating Exchange Rates57

Greater Exchange Rate Variability under Floating57

Costs of Exchange Rate Variability57

Policy Matters-Public Policymakers58

Exchange Rate Policies in Emerging Markets58

Problems in the European Monetary System60

Summary62

PART Ⅱ FOREIGN EXCHANGE MARKETS66

3 Market Structure and Institutions66

PART Ⅱ FOREIGN EXCHANGE MARKETS66

3 Market Structure and Institutions66

Importance of Foreign Exchange Market Trading67

Origins of the Market67

Volume of Foreign Exchange Trading68

Foreign Exchange Trading Profits69

Explaining the Profitability of Foreign Exchange Trading71

Box 3:1:How to Succeed at Intervention by Really Signaling73

Foreign Exchange Market Products and Activities73

Spot and Forward Contracts73

Foreign Exchange Swaps74

Types of Trading Activities:Speculation and Arbitrage75

The Relationship between Spot and Forward Contracts77

Box 3:2:Example of Reuters Screen Page，Citibank Long-Dated Forward Rates February 22，198580

The Foreign Exchange Market Setting83

Comparing the Foreign Exchange Market with Other Markets83

Tracking a Foreign Exchange Transaction84

Corporate Foreign Exchange Trading88

Access to the Interbank Foreign Exchange Market88

Trends Toward Automated Brokerage，Trading，Clearing，and Settlement89

Policy Matters-Private Enterprises90

A Close-Up View on Foreign Exchange Trading90

Controls over Foreign Exchange Trading91

Valuing Foreign Exchange Trading Profits93

Policy Matters-Public Policymakers93

Summary94

4 International Parity Conditions:Purchasing Power Parity98

4 International Parity Conditions:Purchasing Power Parity98

An Overview of International Parity Conditions in a Perfect Capital Market99

The Usefulness of Parity Conditions in International Financial Markets99

Purchasing Power Parity in a Perfect Capital Market101

The Law of One Price101

Absolute Purchasing Power Parity102

Relative Purchasing Power Parity102

Box 4.1:Absolute PPP Comparisons with Alternative Market Baskets and Alternative Inflation Scenarios104

The Real Exchange Rate and Pruchasing Power Parity105

Relaxing the Perfect Capital Market Assumptions107

Transaction Costs107

Uncertainty108

Taxes108

Empirical Evidence on Prices and Exchange Rates109

Empirical Methods，or How to Test a Parity Condition109

Evidence on the Law of One Price110

Relative PPP:Evidence on Recent Quarterly Data110

Relative PPP:Evidence from Hyperinflationary Economies114

Relative PPP:Evidence from Long-Run Data115

The Role of Parity Conditions for Management Decisions117

Empirical Tests of PPP:The Final Word117

Policy Matters—Private Enterprises117

Purchasing Power Parity and Managerial Decisions118

Purchasing Power Parity and Product Pricing Decisions118

Box 4:2:Gray Markets and the Law of One Price119

Policy Matters—Public Policymakers122

Summary123

Appendix4．1:PPP，Continuous Compounding and Logarithmic Returns124

5 International Parity Conditions:Interest Rate Parity and the Fisher Parities127

5 International Parity Conditions:Interest Rate Parity and the Fisher Parities127

Interest Rate Parity:The Relationship between Interest Rates，Spot Rates，and Forward Rates128

The Usefulness of the Parity Conditions in International Financial Markets:A Reprise128

Interest Rate Parity in a Perfect Capital Market129

Relaxing the Perfect Capital Market Assumptions133

Empirical Evidence on Interest Rate Parity136

The Fisher Parities140

The Fisher Effect140

The International Fisher Effect141

Box 5:1:Deviations from Uncovered Interest Parity，or How Exchange Rate Changes Can Substantially Raise（or Lower）the Cost（or Return）on Your Funds142

Relaxing the Perfect Capital Market Assumptions144

Empirical Evidence on the International Fisher Effect145

The Forward Rate Unbiased Condition148

Interpreting a Forward Rate Bias148

Empirical Evidence on the Forward Rate Unbiased Condition148

Tests Using the Level of Spot and Forward Exchange Rates149

Tests Using Forward Premiums and Exchange Rate Changes149

Policy Matters—Private Enterprises153

Application 1:Interest Rate Parity and One-Way Arbitrage153

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 Profits155

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

Application 3:Interest Rate Parity and the Country Risk Premium156

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

Application 6:International Fisher Effect and Diversification Possibilities158

Application 7:International Fisher Effect，Long-Term Bonds，and Exchange Rate Predictions158

Policy Matters—Public Policymakers160

Summary161

Appendix 5．1:Interest Rate Parity，the Fisher Parities，Continuous Compounding，and Logarithmic Returns162

Appendix 5．2:Transaction Costs and the Neutral Band Surrounding the Traditional Interest Rate Parity Line163

6 Spot Exchange Rate Determination167

6 Spot Exchange Rate Determination167

News and Foreign Exchange Rates:An Introduction168

Box 6．1:The Reaction of the Spot Exchange Rate to News Announcements on Macroeconomic and Political Events170

Exchange Rates and News Stories:Three Illustrations170

News and Foreign Exchange Rates:A Summary175

Box 6．2:Foreign Exchange Rate Behavior:Major Concepts176

An Overview of the Flow Approach177

An Overview of the Stock Approach177

Flow versus Stock Models of the Exchange Rate177

Combining Flow and Stock Concepts of the Exchange Rate179

Asset Models of the Spot Exchange Rate180

The Monetary Approach181

The Portfolio Balance Approach186

Empirical Evidence of Exchange Rate Models188

In-Sample Results189

Postsample Results194

The Role of News196

Policy Matters—Private Enterprises199

Policy Matters—Public Policymakers200

Summary202

Appendix 6．1 The Implications of Flow and Stock Equilibrium on the Foreign Exchange Rate203

Appendix 6．2 Demonstration That the Present Exchange Rate Reflects All Future Exogenous Macroeconomic Values207

Appendix 6．3 The Monetary Model of Exchange Rate Determination with Traded and Nontraded Goods208

7 Foreign Exchange Market Efficiency211

7 Foreign Exchange Market Efficiency211

Theory of Market Efficiency213

Defining the Equilibrium Benchmark213

Pictures of Efficient Markets214

Interpreting Efficient Market Studies215

Box 7．1:Exchange Rate Levels and Changes Generated Using the Random-Walk（No Drift）Model216

Defining the Available Information Set217

Extensions of Efficient Market Theory219

Empirical Evidence on Exchange Market Efficiency220

Market Efficiency with Certainty and Risk-Free Investment221

Market Efficiency with Uncertainty and Risky Investment222

Box 7．2:Tracking Positions and Profits in a Technical Trading Rule:A Numerical Example225

Policy Matters—Private Enterprises236

Policy Matters—Public Policymakers237

Summary240

8 Exchange Rate Forecasting243

8 Exchange Rate Forecasting243

The Forecasting Approach and the Market Setting245

Resolving Controversies in Exchange Rate Forecasting245

Forecast Performance Evaluation:Accurate versus Useful Forecasts253

Box 8．1:The Difference between Forecasting a Random Walk and an“Almost Random”Walk254

Box 8．2:Evaluating a Forecasting Track Record Using the Percentage Correct Method258

Assessing the Economic Value of Currency Forecasts258

Forecasting Methods:Some Specific Examples260

Short-Run Forecasts:Trends versus Random Walk260

Long-Run Forecasts:Reversion to the Mean?264

Composite Forecasts:Theory and Examples265

Policy Issues and Special Forecasting Problems268

“Consumers”of Exchange Rate Forecasts268

“Producers”of Exchange Rate Forecasts269

Special Problems in Exchange Rate Forecasting269

Summary271

9 The Eurocurrency Market276

PART Ⅲ OFFSHORE FINANCIAL MARKETS276

PART Ⅲ OFFSHORE FINANCIAL MARKETS276

9 The Eurocurrency Market276

The Origins of Supply and Demand for Offshore Banking278

Historical Overview278

Onshore Banking Regulations Boost the Offshore Market279

The Offshore Markets Endure280

Box 9．1:Creating Eurodollars280

Growth of the Eurocurrency Market282

Pricing of Eurocurrency Deposits and Loans284

Pricing in the Case of One Currency and Two Financial Centers285

Box 9．2:Costs of Collecting Deposits and Servicing Loans286

Can Offshore and Onshore Markets Coexist?287

The Impact of Capital Controls and Taxes289

Market Share and Pricing in Competing Offshore Centers291

The General Case with Many Currencies and Many Financial Centers292

Policy Matters—Private Enterprises293

Concems of Depositors293

Box 9．3:Risk in Cross-Border Transactions:The Wells Fargo-Citibank Case296

Concems of Borrowers297

Policy Matters—Public Policymakers299

Offshore Markets and Macroeconomic Stability300

Could the Offshore Markets Expand Indefinitely?301

Approaches to Regulating Offshore Markets302

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

Competing for Markets:U．S．Policy Initiatives304

Offshore Markets:European Policy Concerns307

Summary308

10 The Eurobond Market311

10 The Eurobond Market311

Historical Overview and Dimensions of the Eurobond Market312

A First Stimulus to the Eurobond Market:The IET313

A Second Round of Stimulus to the Eurobond Market313

The Eurobond Market Endures313

Regulatory and Institutional Characteristics of the Market317

Regulatory Bodies and Disclosure Practices317

Queuing，Currency of Denomination，and Speed of Offering319

Issuing Costs，Ratings，and Exchange Listings319

Summing Up:The Pros and Cons of Onshore and Offshore Markets320

Issuing Practices and Competitive Conditions in the Eurobond Market321

A Brief Sketch of Eurobond Underwriting322

Tensions and Incentives within a Eurobond Syndicate323

Box 10．1:“Excessive Competition”in the Eurobond Market324

The Gray Market326

Box 10．2:Examples of Gray Market Prices in the Eurobond Market327

Evidence of Competition among Eurobond Lead Managers327

Another Innovation:Global Bonds331

Pricing Eurobonds331

Eurobonds and Secrecy332

Market Segmentation and the Pricing of Eurobonds332

Eurodollar Bond Prices:Some Examples333

Onshore-Offshore Arbitrage Opportunities334

Eurodollar Bond Prices:A General Model336

Policy Matters—Private Enterprises337

Onshore-Offshore Arbitrage Once Again:Exxon Capital Corporation338

Using the Eurobond Market to Enhance the Value of the Firm339

Box 10．3:Recent Cases of Scarcity Value in the Eurobond Market341

Policy Matters—Public Policymakers341

The U．S．Competitive Response341

European Union and the Eurobond Market343

Summary346

PART Ⅳ DERIVATIVE SECURITY MARKETS:FUTURES，OPTIONS，AND SWAPS350

11 Currency and Interest Rate Futures350

PART Ⅳ DERIVATIVE SECURITY MARKETS:FUTURES，OPTIONS，AND SWAPS350

11 Currency and Interest Rate Futures350

Distinctions between Futures and Forwards:Institutions and Terminology352

Dispersed versus Centralized Trading353

Customized versus Standardized Transactions353

Variable Counterparty Risks versus the Clearinghouse354

Cash Settlement and Delivery versus Marking-to-Market Convention355

Box 11．1:Rogue Trading Sinks Baring Brothers—But Not the Futures Market356

Description of Futures Contracts359

Contract Specifications361

Payoff Profiles for Futures and Forward Contracts366

Box 11．2:Hedging the Interest Rate Risk in Planned Investment and Planned Borrowing370

Futures Pricing and Forward Pricing372

Forward Pricing and the Cost-of-Carry Model372

Futures Pricing and the Marking-to-Market Convention373

The Term Structure of Forward Rates374

A Risk Premium in Forwards?377

Policy Matters—Private Enterprises379

Deciding on Futures versus Forwards379

New Futures Contracts and Trading Arrangements380

Policy Matters—Public Policymakers382

Futures Prices and Cash Market Volatility382

Transaction Costs and Transaction Taxes383

Summary384

Appendix 11．1 Synthetic Interest Rate Futures386

12 Currency and Interest Rate Options391

12 Currency and Interest Rate Options391

First Principles:Terminology and Institutions393

Types of Contracts393

Location of Trading395

Contract Specifications397

Option Pricing:An Introduction403

Spot Currency Options:Prices at Maturity403

Interest Rate Futures Options:Prices at Maturity406

Option Prices Prior to Maturity406

Box 12．1:Practical Applications of Currency and Interest Rate Options408

Option Pricing:Formal Models413

Pricing Spot Currency Options414

Pricing Currency and Interest Rate Futures Options423

Box 12．2:A Link between Put Prices，Call Prices，and Market Sentiment424

Empirical Evidence on Option Prices426

Arbitrage Boundary Conditions426

Pricing Efficiency and Pricing Biases426

Policy Matters—Private Enterprises428

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

Is Volatility Constant or Does Volatility Vary?431

Other Shortcomings of Option Pricing Models433

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

Policy Matters—Public Policymakers435

Options Markets and Price Volatility in Underlying Markets435

Capital Requirements for Option Traders435

Summary436

Appendix 12．1 Determination of the Replicating Portfolio in the Two-Period Binomial Model437

Appendix 12．2 Boundary Conditions，Early Exercise，and Option Prices438

Appendix 12．3 Introduction to Exotic Options440

13 Currency and Interest Rate Swaps446

13 Currency and Interest Rate Swaps446

The Role of Capital Controls447

Origins and Underpinnings of the Swap Market447

Factors Favoring the Rise of Swaps449

Swaps Outstanding，the Volume of Transactions，and Gross Exposure449

The Basic Cash Flows of a Swap Transaction452

Currency Swap452

Interest Rate Swap454

Box 13．1:A Summary of the IBM/World Bank Currency Swap455

Box 13．2:Comparing Genuine Fixed-Rate and Synthetic Fixed-Rate Financing:A Detailed Example458

Risks in Swaps460

Swap Risks for the Hedger460

Swap Risks for the Speculator460

Box 13．3:Interest Rate Volatility and the Potential for Gain and Loss in an Interest Rate Swap Contract462

Measuring the Risks of Swaps463

Using Simulation to Estimate the Risks of Swaps464

The Pricing of Swaps468

Price Quoting Conventions in the Swap Market469

The Fundamental Determinants of Swap Prices471

Policy Matters—Private Enterprises472

Applications of Swaps:Capturing Arbitrage Opportunities，Reducing Risks，Enhancing Sales472

Pricing Interest Rate Swaps:The Source of Gains473

Applications of Swaps:Magnifying Risk and Return474

Formation of AAA-Rated Subsidiaries476

Policy Matters—Public Policymakers476

A Large-Scale Default Hits the Swap Market476

BIS Capital Requirements for Swap Transactions477

Netting Agreements and the Risk Exposure of Swap Transactions478

Summary480

Appendix 13．1 Valuing the Cash Flows in an Interest Rate Swap481

PART Ⅴ INTERNATIONAL ASSET PORTFOUOS488

14 Bond Portfolios488

PART Ⅴ INTERNATIONAL ASSET PORTFOUOS488

14 Bond Portfolios488

Dimensions of National Bond Markets492

Bonds Outstanding by Market Location492

Bonds Outstanding by Market Segment493

Return and Risk in National Bond Markets494

Calculating Unhedged Returns in USS Terms495

Calculating Currency-Hedged Returns in USS Terns496

Box 14．1:Calculation of Prices and Returns for a Five-Year German Bund on an Unhedged Investment498

Empirical Evidence on Return and Risk in Global Bond Markets499

Box 14．2:Calculation of Prices and Returns for a Five-Year German Bund on a Currency-Hedged Investment500

Returns on Unhedged Bonds501

Returns on Currency-Hedged Bonds501

The Efficient Frontier and Gains to International Bond Portfolios503

Policy Matters—Private Investors and Institutions504

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

Active versus Passive Currency-Hedging Strategies506

Problems in Implementing an International Bond Portfolio511

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

Box 14．4:To Hedge or Not To Hedge—A Global Bond Portfolio514

Policy Matters—Public Policymakers515

The Transition to European Monetary Union515

Brady Bonds and Emerging Market Debt Issues515

Summary517

Appendix 14．1 Global Asset Allocation518

15 Equity Portfolios522

15 Equity Portfolios522

Size and Institutional Features of Global Equity Markets525

Market Capitalization Measures525

Institutional Aspects of Global Equity Markets526

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

International Investment Vehicles531

Direct Purchase of Foreign Shares531

American Depositary Receipts531

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

Closed-End and Open-End Mutual Funds534

Box 15．3:ADRs:US$ Securities with Substantial Foreign Exchange Risk535

Risk and Return in International Equity Markets538

Calculating the Unhedged Returns on Foreign Equity in US$ Terms538

Portfolio Risk in Domestic and International Stocks540

Pricing Determinants544

Empirical Evidence on Pricing547

Policy Matters—Private Investors550

Factors Favoring Overweighting Foreign Markets in Portfolios551

Factors Favoring Overweighting Home Markets in Portfolios551

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 Policymakers556

Equity Market Trading Arrangements556

Diversity in Accounting Principles and Disclosure Practices558

Summary560

PART Ⅵ INTERNATIONAL ASSET PORTFOUOS AND FINANCIAL RISK MANAGEMENT566

16 Measuring and Managing the Risk in International Financial Positions566

PART Ⅵ INTERNATIONAL ASSET PORTFOUOS AND FINANCIAL RISK MANAGEMENT566

16 Measuring and Managing the Risk in International Financial Positions566

The Market Value of the Firm and Channels of Risk568

The Corporate Treasurer s Financial Risk Management Problem568

Accounting Measures of Foreign Exchange Exposure572

Exposure of the Balance Sheet:Translation Exposure573

Exposure of the Income Statement:Transaction Exposure575

U．S．Accounting Conventions:Reporting Accounting Gains and Losses575

Economic Logic of Accounting Conventions577

Economic Measures of Foreign Exchange Exposure578

The Regression Approach:The Basic Model578

The Regression Approach:An Application579

The Regression Approach:Three Extensions581

The Scenario Approach581

The Scenario Approach:Some Extensions583

Empirical Evidence on Firm Profits，Share Prices，and Exchange Rates585

Arguments for Hedging Risks at the Corporate Level586

PART Ⅶ REGULATORY ISSUES608

17 Giving Direction to International Financial Markets:Regulation and Intervention in the Competitive Marketplace608