Ch外汇资产需求与利率平价学生.ppt

Ch14.2 The demand for Foreign Currency Assets and Interest Parity (此部分在英文书的P334P347),Demand for Foreign Currency Assets,The demand for a foreign currency bank deposit is influenced by the same considerations that influence the demand for any other asset. What will the deposit be worth in the future? the interest rate expected change in the currencys exchange rate against other currency,Asset return,the percentage increase in value it offers over some time period. Your decision must be based on an expected rate of return. the expected real rate of return.,Defining Asset Returns The percentage increase in value an asset offers over some time period. The Real Rate of Return The rate of return computed by measuring asset values in terms of some broad representative basket of products that savers regularly purchase.,Risk and Liquidity,Risk: the variability it contributes to savers wealth; Savers dislike uncertainty Liquidity: the ease with which the asset can be sold or exchanged for goods; the cost and speed at which savers can dispose of them.,Interest Rates,Market participants need two pieces of information in order to compare returns on different deposits: How the money values of the deposits will change How exchange rates will change A currencys interest rate is the amount of that currency an individual can earn by lending a unit of the currency for a year. Example: At a dollar interest rate of 10% per year, the lender of $1 receives $1.10 at the end of the year. The depositor is acquiring an asset denominated in the currency it deposits.,Figure 13-2: Interest Rates on Dollar and Deutschemark Deposits, 1975-1998,The returns on deposits traded in the foreign exchange market depend on interest rates and expected exchange rate changes. In order to decide whether to buy a euro or a dollar deposit, one must calculate the dollar return on a euro deposit.,Exchange Rates and Asset Returns,The dollar rate of return on euro deposits is approximately the euro interest rate plus the rate of depreciation of the dollar against the euro. The rate of depreciation of the dollar against the euro is the percentage increase in the dollar/euro exchange rate over a year.,A Simple Rule,The expected rate of return difference between dollar and euro deposits is: R$ - R + (Ee$/ - E$/ )/E$/ = R$ - R - (Ee$/ -E$/ )/E$/ (13-1) where: R$ = interest rate on one-year dollar deposits R = todays interest rate on one-year euro deposits E$/ = todays dollar/euro exchange rate (number of dollars per euro) Ee$/ = dollar/euro exchange rate (number of dollars per euro) expected to prevail a year from today,When the difference above is positive, dollar deposits yield the higher expected rate of return; when it is negative, euro deposits yield the higher expected rate of return.,Table 13-3. A Simple Rule,Return, Risk, and Liquidity in the Foreign Exchange Market,The demand for foreign currency assets depends not only on returns but on risk and liquidity. There is no consensus among economists about the importance of risk in the foreign exchange market. Most of the market participants that are influenced by liquidity factors are involved in international trade.,Because payments connected with international trade make up a very small fraction of total foreign exchange transactions, we ignore the liquidity motive for holding foreign currencies.,Management of International Reserve,微观管理：,盈利性：,流动性：,安全性：,储备资产,美元,日元,欧元,马克,黄金,SDRs,利率，资产收益在除去通货膨胀以后,随时兑现，调拨,没有倒闭，管制的嫌疑,Equilibrium in the Foreign Exchange Market,When market participants willingly hold the existing supplies of deposits of all currencies, this implies that the foreign exchange market is in equilibrium.,外汇市场均衡 1. 外汇市场均衡:当市场参与者愿意持有现有的所有各种货币存款时,我们称外汇市场处于均衡状态。 2. 均衡汇率：使市场参与者愿意持有现有的所有各种货币存款的汇率,Parity The equivalent in value of a sum of money expressed in terms of a different currency at a fixed, official rate of exchange. Equality of prices of goods or securities in two different markets.,Equilibrium in the Foreign Exchange Market,Interest Parity:The Basic Equilibrium Condition The basic equilibrium condition The foreign exchange market is in equilibrium when deposits of all currencies offer the same expected rate of return.,Equilibrium in the Foreign Exchange Market,Interest parity condition The expected returns on deposits of any two currencies are equal when measured in the same currency. It implies that potential holders of foreign currency deposits view them all as equally desirable assets. The expected rates of return are equal when:,Basic Concept,Equilibrium in the Foreign Exchange Market,汇率决定理论之一-利率平价理论 利率平价是外汇市场的基本均衡条件 1. 当所有的货币存款都提供相同的预期收益率时,外汇市场处于均衡状态。 2. 用相同货币衡量的任意两种货币存款的预期收益率相等的条件，称作利率平价条件。 利率平价又称未抵补利率平价（interest Parity or Uncovered Interest Parity ）,How Changes in the Current affect Expected Returns Depreciation of a countrys currency today lowers the expected domestic currency return on foreign currency deposits. Appreciation of the domestic currency today raises the domestic currency return expected of foreign currency deposits.,Equilibrium in the Foreign Exchange Market,Table 13-4: Todays Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro Deposits When,Figure 3-2: The Relation Between the Current Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro Deposits,Equilibrium in the Foreign Exchange Market,The Equilibrium Exchange Rate Exchange rates always adjust to maintain interest parity. Assume that the dollar interest rate R$, the euro interest rate R, and the expected future dollar/euro exchange rate Ee$/, are all given.,Equilibrium in the Foreign Exchange Market,Figure 3-3: Determination of the Equilibrium Dollar/Euro Exchange Rate,Equilibrium in the Foreign Exchange Market,Uncovered Interest Parity （此部分英文书上没有）,Uncovered Interest Parity,UIP is a condition relating interest differentials to an expected change in the spot exchange rate of the domestic currency. If foreign exchange risk is not hedged when purchasing a foreign financial instrument, the transaction is said to be uncovered.,Uncovered Interest Parity,If a savings decision is uncovered, the individual is basing their decision on their expectation of the future spot exchange rate. The expected future spot exchange rate is expressed as Se+1.,Uncovered Interest Parity,Using this expression for the expected future spot rate, UIP can be written as: R R* = (Se+1 S)/S. In words, the right-hand-side of the UIP condition is the expected change in the spot rate over the relevant time period. We can express the expected change in the spot rates as Se.,Uncovered Interest Parity,Hence, UIP is expressed as: R R* = Se. According to UIP, if the domestic interest rate is greater than the foreign interest rate, the domestic currency is expected to depreciate over the relevant time period.,Uncovered Interest Parity,Likewise, if the domestic interest rate is less than the foreign interest rate, the domestic currency is expected to appreciate over the relevant time period. UIP can be useful in understanding why funds may flow from one economy to another.,UIP as an Equilibrium Condition,Consider the following situation: R R* Se, with both sides positive. The interest differential in favor of the domestic financial instrument exceeds the expected depreciation of the domestic currency. In this case, and ignoring transaction costs, the saver would be induced to reallocate their funds and we would expect funds to flow to the domestic economy.,UIP as an Equilibrium Condition,Consider the following situation: R R* Se, with both sides positive. The interest differential in favor of the domestic financial instrument is less than the expected depreciation of the domestic currency. In this case, and ignoring transaction costs, the saver would be induced to reallocate their funds and we would expect funds to flow to the foreign economy economy.,UIP as an Equilibrium Condition,The various scenarios that are possible can be summarized in a single diagram, the UIP parity grid. The UIP grid graphs the interest differential on the horizontal axis and the expected change in the spot exchange rate on the vertical axis. Points on a 45 degree line bisecting the grid indicate points where UIP holds.,Covered Interest Parity,Covered interest parity is a condition that relates interest differentials to the forward premium or discount. It begins with the interest parity condition: (1+R) = (1+R*)(F/S) The condition can be rewritten, and with a slight approximation, yields: R- R* = (F-S)/S.,抛补利率平价与无抛补利率平价相比的特点,抛补利率平价与无抛补利率平价相比，抛补的利率平价并未对投资者的风险偏好做出假定，即套利者在套利的时候，可以在期汇市场上签订与套利方向相反的远期外汇合同（掉期交易），确定在到期日交割时所使用的汇率水平,Covered Interest Parity,CIP is helpful in understanding short-term market movements. As an equilibrium condition, it aids in our understanding of potential adjustments in various financial markets. These adjustments occur if there is a flow of savings from one nation to another.,Example,Suppose the 90-day U.S. interest rate is 5.5% while the U.K. rate on a similar instrument is 5.0% (both expressed as annual rates). The current spot rate is 1.4546 ($/) and the three-month forward rate is 1.4900. To use the uncovered interest parity condition, we must convert the interest rates to quarterly values: (0.055)/(12/3) = 0.01375 and (0.05)/(12/3) = 0.0125.,Example,Now substitute the values into the CIP condition: 0.01375 - 0.0125 = (1.4900-1.4546)/1.4546, 0.00125 0.0243. Though the interest rate on the U.S. instrument is higher than that on the U.K. instrument, the difference is outweighed by the depreciation (forward discount) of the dollar over the time interval.,Conclusion,Our finding for the previous example indicates that funds would flow from the United States to the United Kingdom. This flow of funds could impact interest rates in both countries, the forward exchange rate, and the spot rate.,Interest Rates, Expectations, and Equilibrium,The exchange rate (which is the relative price of two assets) responds to factors that alter the expected rates of return on those two assets.,The Effect of Changing Interest Rates on the Current Exchange Rate,An increase in the interest paid on deposits of a currency causes that currency to appreciate against foreign currencies.,The Perils of Forecasting Exchange Rates,Forward rates contain little information useful in predicting future spot rates. Forward rates might be related to expected future spot rates. Contradictions?,Contradictions?,A rise in the expected future exchange rate causes a rise in the current exchange rate. Similarly, a fall in the expected future exchange rate causes a fall in the current exchange rate.,无抛补利率平价的含义 本国利率高于（低于）外国利率的差额等于本国货币的预期贬值（升值）幅度。 当一种货币存款比另一种货币存款提供的收益更高时，投资者都试图把资金转化为收益高的货币，该货币会相对于另一货币升值；反之，贬值。 但是由于远期还要反向卖出货币回收，所以远期的升贬值正好与即期的方向相反。,UIP模型评论,1. UIP利率平价理论是一种忽略了许多其它可能影响外汇市场均衡的因素的理想的均衡条件。正如所有的理论（如购买力平价理论）都有其局限性一样，利率平价在现实中也未必一定成立。 例如：如果风险因素不可忽略，投资者会要求风险较高的货币资产具有一定的风险溢价，UIP 在现实中经常不成立。 2. UIP利率平价模型是一个简单的、不完整的汇率决定理论。 3. UIP利率平价其本身即是一个简单的汇率决定模型，又作为假设条件之一出现在其它汇率决定模型中。,抛补利率平价含义,本国利率高于（低于）外国利率的差额等于本国货币的远期贴水（升水）。 高利率国的货币在远期外汇市场上必定贴水，低利率国的货币在该市场上必定升水。如果国内利率高于国际利率水平，资金将流入国内牟取利润。 抛补利率平价中，套利者不仅要考虑利率的收益，还要考虑由于汇率变动所产生的收益变动。,对于在一个金融中心里发行的不同货币存款，CIP通常成立； 远期汇率报价，常通过CIP计算而得。 对远期汇率的决定作用，主要表现为国际金融市场的套利活动使资金跨国移动，并推动不同国家相似金融工具的收益率趋向一致。,CIP模型评论,CIP模型评论,自20世纪20年代利率平价被首次提出后，利率平价受到西方经济学家的重视。它与购买力平价所不同的是考察资本流动（而不是商品流动）与汇率决定之间的关系，它从一个侧面阐述了汇率变动的原因。 资本在国际间的流动，利率平价同样并非是一个完善的汇率决定理论，对其的批评主要有： 利率平价的实现依据是国际金融市场上的“一价定律”， 但现实中，不仅完善的外汇市场没有普遍存在，而且许多国家实际对外汇实行管制并对资本流动进行限制。,“一价定律”的先决条件,（1）有效的且处于完全自由竞争状态的外汇市场。即需要一个有组织的即期和远期外汇市场，市场的信息能够非常有效地流通，从而消除可能出现的机会利润； （2）无市场壁垒，资本在国际间的流动不受任何限制； （3）交易成本很低或可以基本忽略不计。,结论,在资本具有充分国际流动性的前提下，抛补与无抛补的利率平价均告诉我们：如果本国利率上升，超过利率平价所要求的水平，本币将会预期贬值；反之，则升值。,Asset Approach,Because the exchange rate is the relative price of two assets, it is most appropriately thought of as being an asset price itself. The basic principle of asset pricing is that an assets current value depends on its expected future purchasing power. Savers care about an assets expected real rate of return.,The interest parity relationship can also be used to illustrate the concept of effective return on a foreign investment. If the forward exchange rate is equal to the expected future spot rate, then the forward premium is also equal to the expected change in the exchange rate and uncovered interest rate parity will hold. (i.e., The expected change in the exchange rate is equal to the interest differential.),Summary of Covered Interest Parity,CIP UIP,Covered transactions do not involve exchange rate risk, non-covered transactions do.,Empirical Evidence: Does UIP fit the facts?,In this case it is not immediately possible to compute a UIP-consistent spot rate as might be suggested by the approach to this question in the case of PPP and CIP. This is because we dont observe Se,All tests of UIP face this problem and there are various possibl