سرمایه گذاری خارجی با اوراق بهادار با نرخ تورم مرتبط: داد و ستد طبیعی بر اساس نظریه فیشر

All foreign holders of U.S. dollars currencies face significant risk of unfavorable currency exchange movements, proportional to the amounts they hold. Some of these risks can be hedged to an extent, but the costs of doing so can be significant, and errors in execution or maintenance of the hedges can cause serious capital losses. Today the vast holdings of China and others creates currency risk on an unprecedented scale. China alone now has a total in excess of a trillion (1 × 1012) U.S. dollars, which makes traditional approaches to hedging problematic at best.1 This paper analyzes the potential hedging effectiveness of investing foreign dollar holdings in U.S. inflation-indexed securities under Fisher's Identity. To the extent that Fisher's Identity and its derivative theories hold, foreign investors can effectively protect the purchasing power of their dollar balances, and earn an assured rate of return. Investment in inflation-indexed securities does not incur the additional expenses that swaps and currency hedges do.

Fisher's theories provide rationale for numerous academic papers to test. For this work, the key assumption is that Fisher's Identity, which is the basis for the Fisher and International Fisher effects, holds at least approximately. Literature Review reveals no conclusive agreement on how well the Fisher Identity or its derivative theories hold. Some studies suggest it is appropriate to assume they hold at least approximately. Woodward (1992), using monthly data for UK inflation-linked securities at 14 maturities for his analysis concluded, “the hypothesis that the after-tax nominal interest rate is a constant plus anticipated inflation proves to be a reasonable approximation to reality.” In addition, he found that for “… longer maturities, the coefficients on the expected rate of inflation are approximately equal to one.” Later, Coppock and Poitras (2000) examined the Fisher hypothesis that nominal interest rates respond to point-for-point changes in expected inflation rate using long-term cross-country data. Their evidence suggests that interest rates do not fully adjust to inflation because of differences in financial asset liquidity premia. An earlier study by Nelson and Schwert (1977) concluded that neither market efficiency nor real rate constancy by themselves provide testable hypotheses. Owen (1993) showed that it is not appropriate to add a proxy for expected real rate to an hypothesized cointegrating relation for the nominal interest rate and the rate of inflation. Shelton (2000) provides a thorough discussion of risk premia, real yields, and market acceptance of inflation-indexed securities in the US. For this study, it is significant that no prior published work on use of inflation-indexed securities by foreign holders of dollars was found. The continuing massive current account deficits of the United States create a winner's curse for foreign dollar holders. There is significant risk of a decline in the value of the dollar vis-à-vis other currencies. Alternatives for addressing this problem are limited in number, and most suffer from problems of their own. The problems owe largely to the huge amounts that are at risk, particularly by China. Available ways for managing risk or reducing the amounts held by foreign dollar holders (FDH) include the following, individually or in combinations as alternatives to inaction: (1) Convert dollars into euros or other currencies. (2) Purchase stores of wealth such as gold and other commodities. (3) Make direct investments in mines, timber, businesses. (4) Make indirect investments with stocks and bonds. (5) Invest in U.S. Treasury securities. (6) Sell dollars in the forward market. (7) Hedge dollars with swaps and other derivatives. 1.1. Convert dollars into euros or other currencies Conversion out of dollars into other currencies has merit ex ante, but not ex post for those who hold huge amounts of dollars. Conversion of major dollar holdings would induce a decline in the dollar's exchange rate. Such a decline in the dollar simply realizes a loss of wealth. Thus, conversion of dollars into other currencies as a portfolio diversification prior to devaluation can be a viable strategy. However, either after a significant accumulation of dollars, or after an already experienced decline in dollar exchange value, it is not a viable strategy. 1.2. Purchase stores of wealth such as gold and other commodities There are many shortcomings of this action, especially for huge foreign dollar holders (HFDH). The obvious and widely recognized fact that there is no dividend or other return is important, coupled with the costs of storage and security. Those who would move large holdings of dollars into commodities face liquidity problems. With the exception of the bulk commodities, most of which have short useful lives and require massive storage facilities or payments to those who do, the markets are thin. This is especially so considering the massive dollar holdings to be moved into these markets. A large flow of dollars into gold, silver, or the other precious metals, or even into copper, can drive the price up because there is relatively little free supply to meet the increased demand. On top of this, if the buyer wishes to take possession, transportation and insurance costs must be factored into the decision process. 1.3. Make direct investments in mines, timber, businesses Direct investment by foreign holders of dollars is a politically explosive issue. Recently Chinese investment in Canadian mining companies was in the limelight. Several years ago, Chinese purchase of New Zealand timber plantations was a source of controversy. Fierce opposition in the summer of 2005 over China's CNOOC proposed purchase of U.S. oil firm Unocal for some $18.5 billion provides another example of this. Besides the potential for political backlash, there is the very real danger of eventual expropriation of foreign direct investment. History abounds in examples illustrating that relations between nations do not always continue peacefully, and turns in relationships are difficult to predict sufficiently in advance for investors to take remedial action. Finally, direct investment poses liquidity problems if it is later decided to divest a portion of these assets. Investment and divestiture of direct investment is generally lumpy — assets are not finely divisible. Unless the foreign investors are willing to sell common or preferred stock, and thus welcome a minority stake in the business, they are faced with the prospect of selling fixed assets. The prices one can get by selling fixed assets, which may be specialized in function or location, are difficult to predict. 1.4. Make indirect investments in stocks and bonds Indirect, portfolio investments allow a low profile that is less likely to come to unfavorable attention by the media and thus is less politically sensitive than direct investment. It has the further advantages of greater liquidity and diversification. However, it subjects the investors to possibly greater transaction costs, portfolio management and monitoring costs, and lessened control over results. In addition, there remains systematic risk from concentrating investment in the U.S. market. Bond investment exposes foreign investors to inflation risk and thus interest rate risk since nominal rates are a bundle of real rates with expected inflation, risk premium and other components. All these indirect investments expose foreign investors to dollar devaluation, though they do offer some offsetting returns to net against such costs. In addition, investment in stocks and bonds is vulnerable to risk of freeze and expropriation, although nominee agents who manage these investments can, with varying success, shield the identity of the behind-the-scene owners. 1.5. Invest in U.S. Treasury securities This has the advantages of high liquidity with nil default risk. It has a further strong advantage because these investments are politically more acceptable, less controversial, and may be considered as helping finance the government of the U.S. However, if market rates of interest rise after purchasing these securities, they will bring capital losses unless held to maturity. Rising inflation in the U.S., besides inducing higher nominal interest rates, diminishes the purchasing power of the dollars invested, though falling interest rates can occasionally produce capital gains. For securities paying a fixed real return, the capital gain depends on changes in the market's required real rate, which tends to be more stable than the nominal rate. Moreover, as with direct investment, there is the hazard of a freeze of those assets, or expropriation if relations between the investor's nation and the U.S. were to deteriorate. 1.6. Sell dollars in the forward market This is a partial solution to disposing of dollars. Nevertheless, it is combined with investment in dollar-denominated investments producing a return in excess of the forward discount that reflects the market's view of the dollar's value; it is at best a holding strategy. It delays the conversion of dollars into other currencies, but retains the shortcomings associated with immediate conversion. At best, it seems to be a tactic for dealing with conversion of dollars into currencies for which the market is thin, thus avoiding buying pressure that would move the market. 1.7. Hedge dollars with swaps and other derivatives Given the immensity of foreign dollar holdings, swaps provide the only major derivative for hedging a portion against losses in dollar exchange value. However, the costs of placing and maintaining swaps may reduce the attractiveness of this tactic. Moreover, given the size of dollar holdings by some foreign owners, it would require a large number of swaps involving multiple counterparties and possibly multiple swap dealers. For some foreign holdings of dollars, it may be attractive, but for dollars amounts such as China currently has, it is not likely to be feasible for any but a minor portion of the total at risk.

Under certain restrictive assumptions about equality of real rates of return and about risk premia for miscellaneous influences such as uncertainty about future inflation, default risk, and other factors, it is shown that the theoretical change in effective exchange rate, ef, is expected to be nil for high grade fully inflation-indexed securities. This suggests that those who hold U.S. dollars or other currencies for which there are sovereign government issues (or high-grade corporate issues) that are fully-inflation-indexed can protect their purchasing power by investing in those indexed issues. The logical next step will be to test the empirical relationship of real rates within and between countries. Testing with ex post historical data should pose few problems for those countries with reliable historical data series. However, testing with ex ante data for the expected rate of inflation faces the serious and vexing problem that all research requiring estimation of expectations faces. However, the expected real return, while conceptually important, is unobservable. Therefore, empirical work may have to focus on realized, historical real returns. These can be used to develop forecasts of expected real rates besides providing a basis for measuring the ex post validity of our conclusion.