第1章汇率的决定与国际平价条件

第一章国际平价条件与汇率预测基本内容 有关外汇与汇率的基本知识 汇率变化幅度的测定 汇率变化的影响因素 购买力平价 利率平价 国际费雪效应 （第四、五章）外汇市场 An exchange rate measures the value of one currency in units of another currency. Markets- Spot marketTrade in cash with delivery in two business days- Forward marketTrade at a pre-specified price and on a pre-specified future date Volume- $1.2 trillion average daily volume during 2001- 75% of trade is in the interbank market（ 75%的交易是银行之间的外汇交易，其日均交易额达 1.2trillion 美元）FX turnover by currencySource: Bank for International Settlements (), March 2002.Percentages sum to 200 because two currencies are involved in each transaction.Participants in the fx market Wholesale market- Dealers (or market makers)Buy and sell at quoted bid and offer prices- BrokersServe as matchmakers, without putting their own money at risk Retail market- Governments- Corporations- Smaller financial institutions- IndividualsTwo rules for multinational finance Rule #1 Keep track of your units （注意货币单位） Rule #2 Always buy or sell the currency in the denominator of a foreign exchange quote（买卖的货币是指外汇标价中处于分母的货币）Rule #1 Keep track of your unitsA bottle of Georges de Bouef merlotBuy 1 bottle of wine P = 40/btlSpot exchange rate S$/ = $0.80/ S/$ = 1/S$/ = 1.25/$How much is this in dollars?P$ = PS$/ = (40/btl) ($0.80/) = $32/btl= P/S/$ = (40/btl) / (1.25/$) = $32/btlHow much is this in dollars?P$= P S/$ = (40/btl) (1.25/$)= 250 / (btl$) 这是什么 ?因此， Keep track of your currency unitsRule #2 Think of buying or sellingthe asset in the denominator先从商品买卖说起， Buying and selling a bottle of wineBuy a bottle at 40/btl and sell at 50/btl 10/btl profit。 在这里买卖的对象是 分母 中的 wine。Buying or selling a foreign currency is like buying or selling any other asset.Buying and selling eurosBuy s at $0.80/ and sell at $1.00/Buy s at $0.80/ Sell $s at 1.25/$ Sell s at $1.00/ Buy $s at 1.00/$ $0.20/ profit 0.25/$ profitAn example of what can go wrong如果买卖价格弄错了 ，即如果 Buy $s at $0.80/ and sell $s at $1.00/， 结果会如何呢？Buy $s at $0.80/ Sell s at 1.25/$ Sell $s at $1.00/ Buy s at 1.00/$ $0.20/ loss 0.25/$ lossSo, Always think of buying or sellingthe currency in the denominator!FX quotation conventions （汇率报价惯例） European/American quotes for the $European quotes are convenient for a European because they place the foreign currency (the $) in the denominator（银行间报价多为欧式报价，即单位美元的外国货币汇率，因为美元是最经常交易的货币。） 欧式标价法对当地人很方便。 e.g. 1.25/$American quotes are convenient for an American because they place the foreign currency (the ) in the denominator美式标价法对美国人很方便。e.g. $0.80/FX quotation conventions（汇率报价惯例） Direct/indirect quotes for foreign currency fDirect quotes are convenient for a domestic resident because they place the foreign currency in the denominator (d/f); e.g. 110.95/ for a resident of JapanIndirect quotes are inconvenient for a domestic resident because they place the foreign currency in the numerator (f/d);e.g. 110.95/ for a resident of Europe 汇率变动幅度的测定 When a currency declines in value, it is said to depreciate. When it increases in value, it is said to appreciate. 外国货币相对于本国货币的变动百分比The percentage change (% D) in the value of a foreign currency is computed as:A positive % D represents appreciation of the foreign currency, while a negative % D represents depreciation.本国货币相对于外国货币汇率的变动百分比人民币再创新高 汇率双向波动将更趋明显 人民币汇率一年来美元兑人民币汇率汇率变动幅度的测定 例如：美元兑人民币的汇率从 2005年 7月 21日的$1=8.1100RMB变为 2012年 8月 24日的 $1=6.3564RMB,请计算美元相对于人民币的变化幅度和人民币相对于美元的变化幅度？解：美元相对于人民币的汇率变动率=（ 6.3564-8.1100） /8.1100 = -21.6%人民币相对于美元的汇率变动率=（ 8.1100-6.3564)/6.3564 =27.6%人民币兑欧元汇率变动例如：人民币兑欧元汇率 :2005年 7月 21日 : 1=10.0641RMB2010年 3月 4日 : 1=9.3482RMB欧元相对于人民币的汇率变动率=（ 9.3482-10.0641） /10.0641= -7.1%人民币相对于欧元的汇率变动率=（ 10.0641-9.3482)/9.3482=7.7%RMB/$Quantity of $S0D0r0RMB. inflation 中国对美国商品的需求增加 ,因而外汇需求也增加 美国对中国商品的需求减少 ,因而美元外汇供应减少D1r1S1影响汇率变化的因素1.Relative Inflation RatesRMB/$Quantity of $r0S0D0S1D1r1RMB. interest rates 人民币对美元存款的需求减少 ,因而外汇需求下降 美元对人民币存款的需求增加 ,因而外汇供给增加影响汇率变化的因素2.Relative Interest RatesRMB/$Quantity of $S0D0r0RMB. income level 人民币对美国商品需求增加 ,因而外汇需求上升 对外汇供给的影响不无法预测D1r1影响汇率变化的因素3.Relative Income Levels,S14.Government Controlsimposing foreign exchange barriers（设置外汇交易障碍） ,imposing foreign trade barriers（设置贸易障碍） ,intervening in the foreign exchange market（干预外汇市场） , affecting macro variables such as inflation, interest rates, and income levels.（影响宏观变量）影响汇率变化的因素5.Expectations Foreign exchange markets react to any news that may have a future effect. 当市 场预计 某种 货币趋 跌 时 ，交易者会大量抛售 该货币 ，造成 该货币汇 率下浮的事 实 ；反之，当人 们预计 某种 货币趋 于 坚 挺 时 ，又会大量 买进该 种 货币 ，使其 汇 率上 扬 。由于公众 预 期具有投机性和分散性的特点，加 剧 了 汇 率短期波 动 的振 荡 。影响汇率变化的因素ExpectationsFed chairman suggests Fed is Strengthenedunlikely to cut U.S. interest ratesA possible decline in German Strengthenedinterest ratesCentral banks expected to Weakenedintervene to boost the euroSignal Impact on $Poor U.S. economic indicators Weakened影响汇率变化的因素6.Speculating自 1973年 实 行浮 动汇 率制以来，外 汇 市 场 的投机活动 越演越烈，投机者往往 拥 有雄厚的 实 力，可以在外 汇 市 场 上推波助 澜 ，使 汇 率的 变动远远 偏离其均衡水平。 投机的关键内容是低价买入、高价卖出，或者是高价卖出、低价买入。Purchasing Power Parity, or PPP1.绝对购买力平价的基本内容 The absolute form of PPP, or the “law of one price”（ Equivalent assets sell for the same price. ） suggests that similar products in different countries should be equally priced when measured in the same currency. 这就是绝对购买力的基本公式 即，汇率取决于以不同货币衡量的可贸易商品的价格水平之比，也就是 不同货币对可贸易商品的购买力之比 。Purchasing Power Parity, or PPP2.相对购买力平价的基本内容 The relative form of PPP 认为，即期汇率应根据两国预期的通货膨胀率进行调整。即EStd/f= S0d/f(1+Epd/(1+E(pf)t 即 RPPP将汇率的涨落归因于物价或货币购买力的变动。 RPPP states that the expected appreciation or depreciation of the spot rate is determined by the expected inflation differential. If inflation is a known constant in each currency, then RPPP can be stated as EStd/f= S0d/f(1+pd/(1+pftArbitrage If PPP does not hold, then there