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1、第十讲 经营风险的管理 Managing Operating Exposure to Currency Risk,教学要点:To definition of Operating Exposure to Currency RiskTo discuss the exposure of shareholders equityThe methods for Managing Operating Exposure,Definition of Operating exposure,It refers to the impact exchange rate fluctuations can have on
2、a firms future cash flows即由于汇率的非预期变动引起企业未来营运现金流发生变化，从而使得企业的现值发生变动的可能性Recall that corporate cash flows can be affected by exchange rate movements in ways not directly associated with foreign transactions.Cash flows that do not require conversion of currencies do not reflect transaction exposure.Yet,t
3、hese cash flows may also be influenced significantly by exchange rate movements.The importance of managing operating exposure can be seen from the case of the bankruptcy of Laker Airways,and from the the 1997-98 Asian crisis.,How Financial Markets Affected Laker Airlines,A firms operating exposure i
4、s determined by its use of the debt markets,as well as by foreign exchange market conditions.Consider the case of Laker Airway,a British airline that generated much of its revenue in British pounds.A large proportion of its expenses,however,were denominated in dollars.As the dollar strengthened in t
5、he foreign exchange market in 1981,Laker needed larger amounts in pounds to cover its dollar-denominated expenses.In January 1981,Laker borrowed$131 million in the financial markets from a group of U.S.and European banks.As the dollar continued go strengthen,the firms revenues could not adequately c
6、over its dollar-denominated expenses.Consequently,Laker Airways went bankrupt.It might have avoided bankruptcy if it had reduced its operating exposure,either by reducing its dollar-denominated expenses or by increasing its dollar-denominated revenue.Overall,Lakers performance was affected by condit
7、ions in the foreign exchange market along with its decision to borrow dollars in the debt markets.,美国跨国公司的运营风险,从事国际业务的跨国公司,承受汇率波动带来的运营风险的程度远远高于纯粹的国内企业.例如,凯特彼勒公司的销售收入严重依赖出口.美元走强将增加该公司的外国进口商支付的价款,因此,凯特彼勒公司特别容易受到美元价值波动的影响.20世纪80年代前叶,美元出现了持续的强势,对其他主要货币的升值幅度超过40%,因其主要竞争对手-日本的小松公司的出口品以日元标价,在日元对美元贬值时,许多外国进
8、口商放弃了凯特彼勒而选择了小松.20世纪80年代早期,墨西哥比索对美元贬值了40%,美元升值大幅降低了墨西哥顾客的购买力,结果,美国通用公司向墨西哥出售软件的业务受到惨重打打击,通用公司对墨西哥的销售大幅下降.,Operating Exposure and the Competitive Environment,外汇的经营风险大小与企业竞争性环境密切相关。In an integrated market（一体化市场中汇率风险大，此时PPP理论成立）purchasing power parity holds so that equivalent assets trade for the same
9、price regardless of where they are traded（(e.g.,currencies,interest rates,or financial claims on oil or gold are determined by worldwide supply and demand.）In a pletely segmented market（分割市场至少部分地隔绝了汇率风险，此时PPP理论不成立。）prices are locally determined（Causes of market segmentation include transaction costs
10、,transportation costs,information costs,legal or institutional barriers,and government intervention in the form of taxes,tariffs,or other barriers to trade.比如，劳动力成本就是由各地的劳动力供求所决定的。）Real-world markets fall somewhere between these extremes,Operating Exposure and the Competitive Environment,因此，不同的公司，其外
11、汇的经营风险是不一样的。“Classic”operating exposures to currency riskDomestic firms buy and sell locally when local markets are segmented from foreign markets.Importers buy globally and sell locally.If the local market is segmented from other markets,the importer will have a negative exposure to foreign currenc
12、y values.Exporters manufacture locally and sell globally.If the local market is segmented from other markets,the exporter is positively exposed to foreign currency values.Multinational corporations buy and sell in global markets and are hence sensitive to foreign currency values.,Operating exposures
13、 to fx risk,Domestic firms,Importers,Exporters,Global MNCs&importers/exportersin globallypetitive markets,Revenues,Operating expenses,Local,Global,Local,Global,(0),(-),(+),(?),竞争环境国内外市场是分割的。,Operating exposures to fx risk,竞争环境国内外市场是一体化的。,Operating exposures to fx risk,小结：一般来说,本币实际汇率的升值伤害了本国出口工业和进口替代
14、工业,增强了外国竞争力,使得本国企业的现金流入量和流出量都会减少.一般来说,本币实际汇率的贬值会增加出口产品和进口替代产品的竞争力,减少外国竞争,使得本国企业的现金流入量和流出量都会增加.因此,最终结果要取决于流入变量是否比流出变量受到更大的影响.,Equity exposure to currency risk,Economic exposure to foreign exchange riskTransaction exposure change in value of contractual cash flowschange in value of monetary assets&lia
15、bilitiesNet monetary assets=货币资产 货币负责净货币资产的汇率风险就是等于货币资产的外汇暴露货币负债的外汇暴露，也就是外汇的交易风险或交易暴露Operating exposure change in value of noncontractual cash flowschange in value of real assets（工厂、设备、关键技术、商标等）由于汇率的变化导致的实物资产价值的变化就是汇率的经营风险，即经营现金流对汇率变化的敏感性。在此基础上，必然要影响到公司价值，即股东权益，这就是股东权益的汇率风险。Equity exposure is equal
16、to transaction exposure plus operating exposure股东权益暴露（The exposure of shareholders equity）净货币资产暴露实物资产暴露可以从两个方面来衡量：一个是从公司资产负债表中衡量；二个是以市场基础来衡量。,股东权益的敞口从资产负债表角度衡量,净货币资产20美元是企业的外汇交易风险；净实物资产35美元是企业的外汇经营风险,股东权益的敞口从资产负债表角度衡量,Monetary assets and liabilities are exposed one-for-one to currency risk假定外升值 10%导
17、致 公司净价值上升(20)(0.1)=2.即由于外汇升值，使得所有者权益也上升10%（2/20)The exposure of real assets to currency risk may be positive,negative,or zero.If the value of real assets is independent of foreign currency values,then real assets are not exposed to currency risk.If real assets are exposed 1-for-1,then a 10%increase
18、in foreign currency value results in a 10%increase in the value of real assets,or(1)(10%)(35)=3.5.If real assets are exposed 1-for-2,then a 10%increase in foreign currency value results in a 5%increase in the value of real assets,or()(10%)(35)=1.75.因此，If real assets are exposed 1-for-1,a 10%increase
19、 in foreign currency value results in a(2+3.5)=5.5 increase in equity value in this example.,基于市场的股东权益暴露的衡量（Market-based Measures of the Exposure of shareholders equity）,Rtd=ad+bf std/f+etd,This regression equation measures the exposure of equity to currency risk.Rtd是t时期用国内货币表示的股本收益率Std/f是t时期即期汇率变化百
20、分比下式表明，公式价值由两部分构成：一是货币风险（第二项）；二是货币风险独立部分（第一和三项）The regression coefficient f 股权价值变化对汇率变化的敏感度。决定系数,r-square用来说明即期汇率的变动对股权收益率变动的解释程度，它等于回归相关系数的平方，即如果相关系数为0，则r-square为0，表明股权价值没有汇率风险如果相关系数为0.2，则r-square为0.04，表明股权价值变动的4%来源于汇率的波动如果相关系数为1,则r-square为1，表明误差项为0，汇率变动能100%解释股东权益的变动。,基于市场的股东权益暴露的衡量（Market-based M
21、easures of the Exposure of shareholders equity,以上是关于公司面临一种货币的汇率风险情况。现实中，公司可能会面临一种以上货币的风险暴露。此时，就要引入多元回归模型，用来衡量跨国公司面临的多种外币带来的外汇风险：Rtd=ad+bf1 std/f1+bf2 std/f2+bf3 std/f3+-+etd 例如：Ford Motor Companys exposuresrt$=a$+b st$/+b st$/+b st$/+et$=0.060+0.02 st$/+0.01 st$/+(-0.01)st$/+et$What is the expected
22、return on Ford stock whenst$/=+10%st$/=+8%st$/=+8%Ert$=0.06+(0.02)(0.10)+(0.01)(0.08)+(-0.01)(0.08)=0.062 or 6.2 percent,运用金融市场工具管理经营风险Managing Operating Exposure in the Financial Markets,An Exporters Financial Market Hedging Alternatives:(1)远期外汇市场长期多头交易（卖出长期远期外汇）（2）为国外项目举债长期外债（货币市场套期）（3）利用货币互换取得外币债
23、务（利用本币债务与外币债务互换）（4）利用循环套期法（一系列的短期远期外汇、期货或期权交易）来重复地出售外汇。以上方法可以锁定合同现金流出量正好等于公司的经营现金入量。An Importers Financial Market Hedging Alternatives:(1)远期外汇市场长期空头交易（购买长期远期外汇）（2）投资长期外币债券（货币市场套期）（3）利用货币互换取得外币金融资产（4）利用循环套期法（一系列的短期远期外汇、期货或期权交易）来重复地购买外汇。,运用金融市场工具管理经营风险,AdvantagesMost financial market instruments are a
24、ctively traded and liquidIf financial prices reflect true value,then financial market transactions are zero-NPV transactionsBecause financial transactions in efficient markets are zero-NPV transactions,you get what you pay forthere is no gain or loss on the hedge in isolation.DisadvantageA financial
25、 market hedge provides an imperfect hedge of operating exposure to currency risk The contractual cash flows of a financial market hedge cannot fully hedge the uncertain operating cash flows of the firms real assetsManagers should assess the performance of financial market hedges of operating exposur
26、es in the following ways:Vary the amount of the hedge Vary the term or maturity of the hedge Vary the type of hedge,经营风险管理案例,与交易风险通常是短期的相对立，经营风险通常是长期的。因此，运用金融市场工具管理经营风险并不是最完善的。对冲并不能完全减少经营风险，只是通过大致相反头寸部分抵减风险暴露考虑跨国公司Duracell，从美国出口电池到日本，其日元销售的美元现金流量至少取决于两方面的变化：（1）日元销售收入的变化（2）日元兑美元汇率的变化。假定Duracell公司预期下一
27、年的日元销售额为￥100百万，但是，实际的销售收入可能至少是￥50百万或至多￥150百万。假定预期汇率为$0.01/￥,但是，实际汇率可能是$0.005/￥或$0.015/￥,Duracells Operating Exposure,Duracells Operating Exposure,Duracells Operating Exposure,管理经营风险的经营策略Managing operating exposure through operations,跨国公司面临实际汇率波动时处理的灵活性大。（MNCs have a natural advantage over domestic f
28、irms in responding to changes in real exchange rates.)Take advantage of the MNCs ability to respond to differences in real foreign exchange ratesPlant location:Gain access to low-cost labor or capital resourcesProduct sourcing:Shift production to countries with low real costsMarket selection:Shift m
29、arketing efforts toward countries with higher demand or“overvalued”currenciesDiversification(whether product market or geographic)provides the MNC with flexibility in its sourcing,production,and marketing decisions.,Pricing strategy in intlmarkets,定价策略也会影响公司的经营风险。Pricing alternatives includeHold the
30、 foreign currency price constant Try to Sell the same quantityBigger domestic profit margin per unitHold the domestic currency price constantLower foreign priceTry to increase sales volumeThe issue is:“Which pricing strategy creates the highest value for the exporter?”Which pricing strategy dominate
31、s depends on the nature of petition in the exporters industryIf the exporter is peting against other international petitors,the entire industry will face the same situationIf the exporter is peting against local(foreign)firms,the exporter will enjoy a cost advantage relative to its local(foreign)pet
32、ition.,定价管理案例,Managing transaction operating internally,multinational netting(currency diversification)leading and lagging,multinational netting净额冲抵,即子公司之间以及子公司与母公司之间通过净额结算相互冲抵彼此所承担的汇率风险.A.双边冲抵(Bilateral Netting)-强调两个子公司之间进行净额结算以冲抵各自所承担的汇率风险。例如：假设德国公司在英国和美国分别设有子公司，并且英国子公司欠美国子公司900万美元，而美国子公司欠英国子公司400
33、万英镑，假设汇率为1.8$/,则英国子公司只需要向美国子公司支付180万美元便可了结彼此的债权与债务关系。而且，还节省了成本，因为如果不进行双边冲抵，双方的资金结算总额为1620万美元，而净额冲抵只需要双方进行180万美元的结算。B.多边冲抵（Multilateral Netting)-强调在跨国公司内部两个以上的子公司之间进行净额计算，以最终达到降低汇率风险和减少交易成本的目的。,Example:,The parent firm is located in the U.K.and uses pound sterling as its functional currency.Each affi
34、liate invoices in its local currency.In this example,the corporate Treasury can avoid the external currency markets entirely by using bookkeeping entries at the home office to indicate transfers of value to/from each affiliate.Of course,there will still be cash flows to and from the firms external p
35、artners.,Multinational netting,Germansubsidiary,U.S.subsidiary,U.K.parent,100m,Cross rates1.5000/$1.2500/$0.8333/,200m,$75m,$125m,150m,60m,Cash flows before netting,Germansubsidiary,U.S.subsidiary,U.K.parent,100m,200m,60m,100m,100m,40m,This slide shows the gross cash flows in pound sterling.This cap
36、tures the gross change in value of each affiliate and of the parent.,Cash flows after netting,Germansubsidiary,U.S.subsidiary,U.K.parent,60m,140m,This slide shows the net transfer of value within the corporation.Of course,something of value must have been transferred in the other direction.In this e
37、xample,the parent firm may have shipped goods to the foreign affiliates for sale in foreign markets.,Leading and lagging,Like multinational netting,leading and lagging works best when the currency needs of the individual units within the corporation offset one another.即对资金转移时间进行调整-企业之间通过提前或延期支付(或收入)
38、外汇款项降低经营风险和交易风险。Refers to altering the timing of cash flows within the corporation to offset foreign exchange exposuresLeading-If a U.S parent firm is short euros,it can accelerate euro payments from its subsidiariesLagging-If a U.S parent firm is long euros,it can accelerate euro payments to its su
39、bsidiaries,Leading and lagging,Leading and lagging,具体地：如果该公司提前一个月取得它的应收收入，不能做到收入与支出的同时发生了。它可以这样做：Factoringsell receivables to the bank at a discount to the 7.5million face value Borrowingborrow 7.5million for one month using receivables as collateralRenegotiatingnegotiate with his customer to receiv
40、e payment one month earlier 但是，无论怎样做，该公司都会放弃7.5million 却只得到一个更小的金额（现值）因此，它必须计算这样做的成本All-in-cost合计成本（指一项金额交易中所有相关的成本费用）,Leading and lagging,假定成本分别如下：Factoring:the bank will buy the receivables for 7.48millionBorrowing:the bank charges a monthly rate of 0.25 percent on a line of creditRenegotiating:the NewZealand customer is willing to pay 7.46million early The all-in-cost of each alternative is then:Factoring:(7.5/7.48)-1=0.2674 percent per monthBorrowing:0.25 percent per monthRenegotiating:(7.5/7.46)-1=0.5362 percent per month因此，通过银行借款成本最低。可以选择这种方式进行期限匹配。,
