Valuation and Accounting for Inflation and Foreign Exchange

Inflation and foreign exchange raise new issues with respect to accounting representations of equity value. For example, inflation creates an earnings illusion as an artifact of the mismatching of expenses based on allocations of historical costs with current revenues in determining earnings. This mismatching distorts mappings of aggregate earnings and book values into equity value such that value‐relevant information is lost. In this article we consider the consequences of inflation and foreign exchange accounting policies, including those contained in accounting standards, on the value relevance of bottom‐line accounting numbers. Policies are identified that achieve efficient accounting in the sense that aggregate (comprehensive) earnings and book values are sufficient for an accounting representation of equity value. The linear relations that emerge provide predictions on capitalization coefficients that help explain results of empirical inquiries. As well, our analysis provides a theoretical foundation for policies contained in accounting standards that contributes to the resolution of controversies such as that concerning foreign exchange accounting.     

On the Foreign Exchange Risk Premium in Sticky-Price General Equilibrium Models

The properties of the foreign exchange risk premium in general equilibrium models with sticky nominal pricesare examined. In these models, risk premiums arise endogenously because monetary shocks lead to covariationof consumption and exchange rates. In some cases, the risk premiums are much larger than those produced inneoclassical general equilibrium models.     

金融不良债权估值问题探讨

一、金融不良债权及其估值的概念 从我国的现实情况出发,在当前资本市场不发达,商业银行的资产结构比较单一且主要集中在贷款这一项目的情况下．金融不良债权实际是特指银行不良贷款,即银行发放的到期难以全额回收的贷款。     

Equilibrium Exchange Rate Hedging

We assume a world like the one that gives the capital asset pricing model, but with many goods and many countries. We assume that investors in a given country have homothetic utility functions with the same weights, and a currency that has a sure end-of-period value using a price index with those weights. Siegel's paradox (derived from Jensen's inequality) makes investors want a positive amount of exchange risk. When average risk tolerance is the same across countries, every investor will hold the same mix of market risk (through the world market portfolio of all assets) and exchange risk (in a diversified basket of foreign currencies). In fact, the ratio of exchange risk to market risk is equal to the average investor's risk tolerance. We can write the ratio of exchange risk to market risk (and the fraction of the market's exchange risk that investors hedge) as depending on an average of world market risk premia, an average of world market volatilities, and an average of exchange rate volatilities. The weights in these averages are the same as the weights of the different countries in the currency basket. Given these averages, the ratio (and the fraction hedged) will not depend directly on exchange rate means or covariances. In equilibrium, we can use the ratio of exchange risk to market risk to measure average risk tolerance: in this model, risk tolerance is observable.     

The Valuation of Sequential Exchange Opportunities

Sequential exchange opportunities are valued using the techniques of modern option-pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented.     

The Valuation of Multivariate Contingent Claims in Discrete Time Models

There are several examples in the literature of contingent claims whose payoffs depend on the outcomes of two or more stochastic variables. Familiar cases of such claims include options on a portfolio of options, options whose exercise price is stochastic, and options to exchange one asset for another. This paper derives risk neutral valuation relationships (RNVRs) in a discrete time setting that facilitate the pricing of such complex contingent claims in two specific cases: joint lognormally distributed underlying variables and constant proportional risk aversion on the part of investors, and joint normally distributed underlying variables and constant absolute risk aversion preferences, respectively. This methodology is then applied to the valuation of several interesting complex contingent claims such as multiperiod bonds, multicurrency option bonds, and investment options.     

金融不良债权评估中假设清算法的应用

我国过去所沉淀的大量金融不良资产,严重影响了我国的金融安全和金融秩序.借鉴国际经验,我国政府于1999年先后组建了信达、长城、华融、东方四家资产管理公司,接受了所剥离的1.4万亿元金融不良资产.截止到2005年1 2月底,四家资产管理公司累计处置了其中的8397.5亿元,累计处置率达到60%.资产管理公司处置金融不良资产的方式主要为债务追偿、资产置换、转让与销售、债务重组、企业重组、债权转股权、债权转让、破产清偿等.所有这些处置方式的核心问题是资产的定价.     

跨境关联交易、外汇资金流动与外汇管理

跨境关联交易是涉及境内外关联方之间转移资源或义务的交易活动,它与外汇资金的流动密切相关,对一国的外汇管理具有不可忽视的影响。特别是在当前我国国际收支持续大幅双顺差、外汇储备不断增加的形势下,更需要高度关注跨境关联交易的各种风险。     

Contingent Claims on Foreign Assets Following Jump-Diffusion Processes

In this paper we price contingent claims on several foreign assetsthat follow jump-diffusion processes. Discontinuities (jumps) arise dueto the assets' movement in the respective countries, or the exchangerates, or both. We assume the existence of multiple classes (sources)of jumps. Each jump can affect one or more state-variables and is definedby its intensity of arrival and by the joint probability distributionof its magnitude. The existence of jumps gives rise to significant deviationsfrom the joint lognormality assumptions of the multivariate geometricBrownian motion, and affords more flexibility in capturing the empiricallyobserved asymmetry and fat tails in asset returns. Analytic solutionsare provided for the European option on the best of several assets withoutor with exchange rate (quanto-type) protection. A Markov-chainnumerical method that can also handle American claims is given and itsaccuracy is demonstrated. Neglecting the effect of jumps causes seriousmisspricing and leads to erroneous decision-making when purchasing orexercising such options.     

外汇理财面面观

随着国内经济市场化程度提高、涉外经济日益扩大和金融资产的多元化,外汇理财正逐渐成为企业经营的重要内容。尽管国内的外汇理财发展方兴未艾,但也暴露出不少问题,需要深入地探讨和研究。概念解读一般而言,外汇理财是指机构或个人为实现既定的财务目标,借助各     

人民币均衡汇率的测算研究

本文通过创新性地将国际货币基金组织(IMF)和美国皮特森国际经济研究所两大均衡汇率研究机构的方法进行了整合,并基于各国之间的贸易往来数据和汇率对经常账户差额的弹性,用更为客观的方法测算出未来人民币均衡汇率水平及其与主要贸易伙伴国货币之间的双边汇率。研究结果有效弥补了国内在这一研究领域的空白,具有较高的学术价值;同时,依据该方法测算得到的结果,能够较好地服务于人民币汇率政策的决策实践,有助于提高汇率政策的前瞻性、科学性、有效性和针对性,因而也具有较高的实际应用价值。     

外汇高顺差形势下外汇统计监测应对策略探讨

在当前外汇收支统计监测中，资本项目和经常项目外汇收支相互融合，离岸外汇收支混入在岸外汇收支，个人跨境外汇收支流动增势迅猛。要加强外汇统计监测，就要加快设计和构建外汇信息统计监测体系，加强统计监测，建立各类监测分析的快捷反应机制。     

我国外汇储备世界第一资产管理呈多元化格局

我国外汇储备经营管理始终坚持长期．战略的眼光,审慎优化货币和资产结构,已经基本形成了适应大规模外汇储备和我国国情的经营管理理念和模式,确立了较为成熟和完善的多元化经营格局。     

国外税基评估中的地域概念

一、不动产市场和不动产评估中的地域概念 1．一般来说,市场的概念并不是指一个地理空间。但不动产市场的地理位置是相对固定的,其为具有同一价格倾向的一个地理区域。由于不动产市场与地理上的空间联系在一起,所以不动产市场是以国家来划分的。一个国家的不动产市场又可以分为许多个局部市场。该局部市场可分为以空间范围划分的市场和以不动产类型划分的市场。其中．以空间范围划分的市场可划分为各个地区或各个城市的市场。以不动产类型划分的局部市场有住宅不动产、商业不动产和工业不动产的市场等。     

Beating the Foreign Exchange Market

Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home-foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy-and-hold.     

Implied Foreign Exchange Risk Premia

This paper uses implied volatilities from foreign exchange option prices and the results of no‐arbitrage theory to estimate foreign exchange risk premia. In particular, under the assumption of no‐arbitrage, the foreign exchange risk premium is driven by the difference between investors’ market prices of risk in the two currencies. In an international economy with three currencies, sterling, US dollar and Deutschemark, we can use the information on implied volatilities of the three cross rates to derive estimates of implied or ex ante market prices of risk and of foreign exchange risk premia. The foreign exchange risk premia estimates are then compared to survey‐based risk premia.     

European Foreign Exchange Risk Exposure

We find that about 13% of our sample of 817 European multinational firms experienced economically significant exposure effects to the Japanese yen, 14% to the US dollar and 22% to the UK pound. Our evidence differs substantially from the US experience and is robust across sub‐sample periods, suggesting that a depreciating (appreciating) euro against foreign currencies has a net negative (positive) impact on European stock returns. Short‐term exposure seems to be relatively well hedged, where considerable evidence of long‐term exposure is found. Firms with weak liquidity positions tend to have smaller exposures. Foreign exposure is found to increase with firm size.     

潮起潮落看汇市

一波三折 今年年初以来伴随伊拉克战争的酝酿、爆发、结束,美元汇率的走势也随之一波三折.美元走势的急剧变化主要围绕信心、投机、政策三者的交错运用,推高或打压美元策略、技术性凸显.     

An Extended Set of Risk Neutral Valuation Relationships for the Pricing of Contingent Claims

This article establishes an extended set of risk neutral valuation relationships (RNVR's), assuming a representative agent who has an extended power utility function, of the HARA class of utility functions. The utility function of the representative agent displays either increasing, constant or decreasing proportional risk aversion. Aggregate consumption and the random payoff of the underlying asset are bivariate three-parameter lognormal distributed. As an application of the RNVR's, closed-form solutions for the price of a call written on a stock are derived. These include an extra parameter, the threshold parameter, not contained in the Black-Scholes formula.