ch15价格水平与长期汇率水平(改.ppt

CH15. Price Levels It costs DM600 in Germany Absolute PPP Example Absolute PPP as a Guide to Exchange Values Suppose the actual spot rate pertaining to the previous example is 1.480 whereas PPP says the rate should be 1.580. Only a slight difference exists, but we can conclude (for instructional purposes) that the pound is undervalued relative to the dollar. In percentage terms (1.580-1.480)/1.480 100 = 6.76 percent. Absolute PPP & Relative PPPAbsolute PPP & Relative PPP Development of the equations:Development of the equations: Relative PPP:changesRelative PPP:changes Absolute PPP:levelsAbsolute PPP:levels RequirementsRequirements Absolute PPP: international standardized basket of commodities Relative PPP: inflationary differences (differ in coverage and composition) Relative PPP: approximate percentage changes Relative PPP - A Weaker Version Rearrange APPP to E = P/P*. Divide one period equation by another period, e.g., E1/E0= (Pa1/Pa0)/(P*b1/P*b0) Rearrange as: E1 = E0(Pa1/Pa0)/(P*b1/P*b0) Can be used as a “model” of exchange rate movements. Note that the emphasis is on exchange rate movements, not levels, though it may appear otherwise. 公式： e1和e0分别表示当期和基期的汇率，Pa1和 Pa0分别表示A国当期和基期的物价水平， Pb1Pb0分别表示B国当期和基期的物价水平. Relative PPP-chinese version Relative PPP- Example Suppose the exchange rate between the dollar and the pound was 1.58 in 1999 and is 1.60 today. Further, the UK CPI was 110 and is now 115, while the US CPI was 108 and is now111. Plugging this into the formula we have st = (1.58)(111/108)/(115/110) = 1.55 Hence the is overvalued (3.125%). In words, domestic inflation less foreign inflation should equal the change in the spot rate. Implies that the higher inflation country should see its currency depreciate. Relative PPP 当本国的价格水平相对上升时，本币购 买力相对下降，即本币贬值，则汇率下 跌。 相反，当本国的价格水平相对下降时， 本币购买力相对上升，即本币升值，则 汇率上升。 这就是购买力平价所揭示的汇率与货币 相对购买力或相对价格水平之间的经济 关系。 Chinese version-对购买平价说的评论 缺陷 ： 忽视了非贸易品的存在及其影响。 忽略了贸易成本和贸易壁垒对国际商品套购 所产生的制约。 在计算购买力平价时，编制各国物价指数在 方法、范围、基期选择等方面存在着诸多技 术性困难。 它忽略了国际资本流动的存在及其对汇率的 影响。 优点： 揭示了汇率长期变动的根本原因。在分析汇率 的长期变动上，仍然有很强的生命力。 估计均衡汇率的最简便方法。 Long run is important!Long run is important! Long-run factors are important for the short run because of the central role expectations about the future play in the day-to-day determination of exchange rates. The long-run exchange model will provide the anchor for market expectations. Monetary approach to the exchange rate A theory of how exchange rates and monetary factors interact in the long run. The Fundamental Equation of the Monetary Approach Price levels can be expressed in terms of domestic money demand and supplies: In the United States: PUS = MsUS/L (R$, YUS) (3-10) In Europe: PE = MsE/L (R, YE) (3-11) A Long-Run Exchange Rate Model Based on PPP（略） The monetary approach makes a number of specific predictions about the long-run effects on the exchange rate of changes in: Money supplies An increase in the U.S. (European) money supply causes a proportional long-run depreciation (appreciation) of the dollar against the euro. Interest rates A rise in the interest rate on dollar (euro) denominated assets causes a depreciation (appreciation) of the dollar against the euro. Output levels A rise in U.S. (European) output causes an appreciation (depreciation) of the dollar against the euro. A Long-Run Exchange Rate Model Based on PPP （略） Ongoing Inflation, Interest Parity, and PPP Money supply growth at a constant rate eventually results in ongoing inflation (i.e., continuing rise in the price level) at the same rate. Changes in this long-run inflation rate do not affect the full-employment output level or the long-run relative prices of goods and services. The interest rate is not independent of the money supply growth rate in the long run. A Long-Run Exchange Rate Model Based on PPP （略） The international interest rate difference is the difference between expected national inflation rates: R$ - R = eUS - e (3-12) A Long-Run Exchange Rate Model Based on PPP （略） The Fisher Effect A rise (fall) in a countrys expected inflation rate will eventually cause an equal rise (fall) in the interest rate that deposits of its currency offer. Figure 3-29 illustrates an example, where at time t0 the Federal Reserve unexpectedly increases the growth rate of the U.S. money supply to a higher level. A Long-Run Exchange Rate Model Based on PPP （略） Slope = + Slope = + t0 MUS, t0 Slope = (a) U.S. money supply, MUS Time Slope = Slope = t0 Slope = + t0 t0 R$2 = R$1 + R$1 Figure 3-29: Long-Run Time Paths of U.S. Economic Variables after a Permanent Increase in the Growth Rate of the U.S. Money Supply (d) Dollar/euro exchange rate, E$/ Time (b) Dollar interest rate, R$ Time (c) U.S. price level, PUS Time A Long-Run Exchange Rate Model Based on PPP （略） In this example, the dollar interest rate rises because people expect more rapid future money supply growth and dollar depreciation. The interest rate increase is associated with higher expected inflation and an immediate currency depreciation. Figure 3-20 confirms the main long-run prediction of the Fisher effect. A Long-Run Exchange Rate Model Based on PPP （略） Figure 3-20: Inflation and Interest Rates in Switzerland, the United States, and Italy, 1970-2000 A Long-Run Exchange Rate Model Based on PPP （略） Figure 3-20: Continued A Long-Run Exchange Rate Model Based on PPP （略） A Long-Run Exchange Rate Model Based on PPP （略） Figure 3-20: Continued The empirical support for PPP and the law of one price is weak in recent data. The prices of identical commodity baskets, when converted to a single currency, differ substantially across countries. Relative PPP is sometimes a reasonable approximation to the data, but it performs poorly. Empirical Evidence on PPP and the Law of One Price Countries and regions Prices in local currency Implied PPP of the dollar Actual exchange rate 10/4/92 % over (+) of under(-) valuation of dollar ChinaYuan 6.302.886.32+89 Hong Kong HS$ 8.904.067.73+91 SingaporeS$ 4.752.171.65-24 U.S.A.$ 2.19 The hamburger standard, Big Mac Prices The U.S. price was nearly 89 percent higher than the Chinas Price Empirical Evidence on PPP and the Law of One Price Figure 3-21: The Dollar/DM Exchange Rate and Relative U.S./German Price Levels, 1964-2000 The actual mark-dollar exchange rate and The actual mark-dollar exchange rate and the PPP-implied exchange ratethe PPP-implied exchange rate The failure of the empirical evidence to support the PPP and the law of one price is related to: Trade barriers and nontradables Departures from free competition International differences in price level measurement Explaining the Problems with PPP Trade Barriers and Nontradables Transport costs and governmental trade restrictions make trade expensive and in some cases create nontradable goods. The greater the transport costs, the greater the range over which the exchange rate can move. Explaining the Problems with PPP Departures from Free Competition When trade barriers and imperfectly competitive market structures occur together, linkages between national price levels are weakened further. Pricing to market When a firm sells the same product for different prices in different markets. It reflects different demand conditions in different countries. Example: Countries where demand is more price-inelastic will tend to be charged higher markups over a monopolistic sellers production cost. Explaining the Problems with PPP International Differences in Price Level Measurement Government measures of the price level differ from country to country because people living in different counties spend their income in different ways. PPP in the Short Run and in the Long Run Departures from PPP may be even greater in the short- run than in the long run. Example: An abrupt depreciation of the dollar against foreign currencies causes the price of farm equipment in the U.S. to differ from that of foreigns until markets adjust to the exchange rate change. Explaining the Problems with PPP Explaining the Problems with PPP Figure 3-22: Price Levels and Real Incomes, 1992 The Real Exchange Rate It is a broad summary measure of the prices of one countrys goods and services relative to the others. It is defined in terms of nominal exchange rates and price levels. The real dollar/euro exchange rate is the dollar price of the European basket relative to that of the American: q$/ = (E$/ x PE)/PUS (3-13) Beyond Purchasing Power Parity: A General Model of Long-Run Exchange Rates（略） Example: If the European reference commodity basket costs 100, the U.S. basket costs $120, and the nominal exchange rate is $1.20 per euro, then the real dollar/euro exchange rate is 1 U.S. basket per European basket. Real depreciation of the dollar against the euro A rise in the real dollar/euro exchange rate That is, a fall in the purchasing power of a dollar within Europes borders relative to its purchasing power within the United States Or alternatively, a fall in the purchasing power of Americas products in general over Europes. A real appreciation of the dollar against the euro is the opposite of a real depreciation. Beyond Purchasing Power Parity: A General Model of Long-Run Exchange Rates （略） Demand, Supply, and the Long-Run Real Exchange Rate In a world where PPP does not hold, the long- run values of real exchange rates depend on demand and supply conditions. Beyond Purchasing Power Parity: A General Model of Long-Run Exchange Rates （略） There are two specific causes that explain why the long-run values of real exchange rates can change: A change in world relative demand for American products An increase (fall) in world relative demand for U.S. output causes a long-run real appreciation (depreciation) of the dollar against the euro. A change in relative output supply A relative expansion of U.S (European) output causes a long-run real depreciation (appreciation) of the dollar against the euro. Beyond Purchasing Power Parity: A General Model of Long-Run Exchange Rates （略） Nominal and Real Exchange Rates in Long-Run Equilibrium Changes in national money supplies and demands give rise to the proportional long-run movements in nominal exchange rates and international price level ratios predicted by the relative PPP theory. From Equation (3-13), one can obtain the nominal dollar/euro exchange rate, which is the real dollar/euro exchange rate times the U.S.-Europe price level ratio: E $/ = q$/ x (PUS/PE) (3-14) Beyond Purchasing Power Parity: A General Model of Long-Run Exchange Rates （略） Equation (3-14) implies that for a given real dollar/euro exchange rate, changes in money demand or supply in Europe or the U.S. affect the long-run nominal dollar/euro exchange rate as in the monetary approach. Changes in the long-run real exchange rate, however, also affect the long-run nominal exchange rate. Beyond Purchasing Power Parity: A General Model of Long-Run Exchange Rates （略） The most important determinants of long- run swings in nominal exchange rates (assuming that all variables start out at their long-run levels): A shift in relative money supply le