nobel08ch13克鲁格曼国际经济学汇率外汇市场资产方法.ppt

Chapter13 ExchangeRatesandtheForeignExchangeMarket AnAssetApproach Copyright 2009PearsonAddison Wesley Allrightsreserved 13 2 Preview ThebasicsofexchangeratesExchangeratesandthepricesofgoodsTheforeignexchangemarketsThedemandofcurrencyandotherassetsAmodelofforeignexchangemarketsroleofinterestratesoncurrencydepositsroleofexpectationsofexchangerates Copyright 2009PearsonAddison Wesley Allrightsreserved 13 3 DefinitionsofExchangeRates Exchangeratesarequotedasforeigncurrencyperunitofdomesticcurrencyordomesticcurrencyperunitofforeigncurrency Howmuchcanbeexchangedforonedollar 102 1Howmuchcanbeexchangedforoneyen 0 0098 1Exchangeratesallowustodenominatethecostorpriceofagoodorserviceinacommoncurrency HowmuchdoesaHondacost 3 000 000Or 3 000 000 x 0 0098 1 29 400 Copyright 2009PearsonAddison Wesley Allrightsreserved 13 4 Table13 1 ExchangeRateQuotations Copyright 2009PearsonAddison Wesley Allrightsreserved 13 5 DepreciationandAppreciation Depreciationisadecreaseinthevalueofacurrencyrelativetoanothercurrency Adepreciatedcurrencyislessvaluable lessexpensive andthereforecanbeexchangedfor canbuy asmalleramountofforeigncurrency 1 1 1 20 1meansthatthedollarhasdepreciatedrelativetotheeuro Itnowtakes 1 20tobuyoneeuro sothatthedollarislessvaluable Theeurohasappreciatedrelativetothedollar itisnowmorevaluable Copyright 2009PearsonAddison Wesley Allrightsreserved 13 6 DepreciationandAppreciation cont Appreciationisanincreaseinthevalueofacurrencyrelativetoanothercurrency Anappreciatedcurrencyismorevaluable moreexpensive andthereforecanbeexchangedfor canbuy alargeramountofforeigncurrency 1 1 0 90 1meansthatthedollarhasappreciatedrelativetotheeuro Itnowtakesonly 0 90tobuyoneeuro sothatthedollarismorevaluable Theeurohasdepreciatedrelativetothedollar itisnowlessvaluable Copyright 2009PearsonAddison Wesley Allrightsreserved 13 7 DepreciationandAppreciation cont Adepreciatedcurrencyislessvaluable andthereforeitcanbuyfewerforeignproducedgoodsthataredenominatedinforeigncurrency HowmuchdoesaHondacost 3 000 000 3 000 000 x 0 0098 1 29 400 3 000 000 x 0 0100 1 30 000Adepreciatedcurrencymeansthatimportsaremoreexpensiveanddomesticallyproducedgoodsandexportsarelessexpensive Adepreciatedcurrencylowersthepriceofexportsrelativetothepriceofimports Copyright 2009PearsonAddison Wesley Allrightsreserved 13 8 DepreciationandAppreciation cont Anappreciatedcurrencyismorevaluable andthereforeitcanbuymoreforeignproducedgoodsthataredenominatedinforeigncurrency HowmuchdoesaHondacost 3 000 000 3 000 000 x 0 0098 1 29 400 3 000 000 x 0 0090 1 27 000Anappreciatedcurrencymeansthatimportsarelessexpensiveanddomesticallyproducedgoodsandexportsaremoreexpensive Anappreciatedcurrencyraisesthepriceofexportsrelativetothepriceofimports Copyright 2009PearsonAddison Wesley Allrightsreserved 13 9 ForeignExchangeMarkets ThesetofmarketswhereforeigncurrenciesandotherassetsareexchangedfordomesticonesInstitutionsbuyandselldepositsofcurrenciesorotherassetsforinvestmentpurposes Thedailyvolumeofforeignexchangetransactionswas 1 9trillionin2004 About90 oftransactionsinvolvedUSdollars Copyright 2009PearsonAddison Wesley Allrightsreserved 13 10 ForeignExchangeMarkets Theparticipants Commercialbanksandotherdepositoryinstitutions transactionsinvolvebuying sellingofdepositsindifferentcurrenciesforinvestmentpurposes Non bankfinancialinstitutions mutualfunds hedgefunds securitiesfirms insurancecompanies pensionfunds maybuy sellforeignassetsforinvestment Non financialbusinessesconductforeigncurrencytransactionstobuy sellgoods servicesandassets Centralbanks conductofficialinternationalreservestransactions Copyright 2009PearsonAddison Wesley Allrightsreserved 13 11 ForeignExchangeMarkets cont Buyingandsellingintheforeignexchangemarketaredominatedbycommercialandinvestmentbanks Inter banktransactionsofdepositsinforeigncurrenciesoccurinamounts 1millionormorepertransaction Centralbankssometimesintervene butthedirecteffectsoftheirtransactionsaresmallandtransitoryinmanycountries Copyright 2009PearsonAddison Wesley Allrightsreserved 13 12 ForeignExchangeMarkets cont Computerandtelecommunicationstechnologytransmitinformationrapidlyandhaveintegratedmarkets Theintegrationofmarketsimpliesthatthereisnosignificantarbitragebetweenmarkets Arbitrage buyingatalowpriceandsellingatahighpriceforaprofit IfdollarsarecheaperinNewYorkthaninHongKong whatdoyoupredictwillhappen Whenotherfactorsarethesame peoplewillbuyassetsinNewYorkandstopbuyingtheminHongKong sothattheirpriceinNewYorkrisesandtheirpriceinHongKongfalls untiltheyareequalinthetwomarkets Copyright 2009PearsonAddison Wesley Allrightsreserved 13 13 SpotRatesandForwardRates Spotratesareexchangeratesforcurrencyexchanges onthespot orwhentradingisexecutedinthepresent Forwardratesareexchangeratesforcurrencyexchangesthatwilloccuratafuture forward date Forwarddatesaretypically30 90 180 or360daysinthefuture Ratesarenegotiatedbetweentwopartiesinthepresent buttheexchangeoccursinthefuture Copyright 2009PearsonAddison Wesley Allrightsreserved 13 14 Fig 13 1 Dollar PoundSpotandForwardExchangeRates 1981 2007 Source Datastream Ratesshownare90 dayforwardexchangeratesandspotexchangerates atendofmonth Copyright 2009PearsonAddison Wesley Allrightsreserved 13 15 OtherMethodsofCurrencyExchange Foreignexchangeswaps acombinationofaspotsalewithaforwardrepurchase Swapsoftenresultinlowerfeesortransactionscostsbecausetheycombinetwotransactions andtheyallowpartiestomeeteachothersneedsforatemporaryamountoftime Futurescontracts acontractdesignedbyathirdpartyforastandardamountofforeigncurrencydelivered receivedonastandarddate Contractscanbeboughtandsoldinmarkets andonlythecurrentownerisobligedtofulfillthecontract Copyright 2009PearsonAddison Wesley Allrightsreserved 13 16 OtherMethodsofCurrencyExchange Optionscontracts acontractdesignedbyathirdpartyforastandardamountofforeigncurrencydelivered receivedonorbeforeastandarddate Contractscanbeboughtandsoldinmarkets Acontractgivestheownertheoption butnotobligation ofbuyingorsellingcurrencyiftheneedarises Copyright 2009PearsonAddison Wesley Allrightsreserved 13 17 TheDemandofCurrencyDeposits Whatinfluencesthedemandof willingnesstobuy depositsdenominatedindomesticorforeigncurrency Factorsthatinfluencethereturnonassetsdeterminethedemandofthoseassets Copyright 2009PearsonAddison Wesley Allrightsreserved 13 18 TheDemandofCurrencyDeposits cont Rateofreturn thepercentagechangeinvaluethatanassetoffersduringatimeperiod Theannualreturnfor 100savingsdepositwithaninterestrateof2 is 100 x1 02 102 sothattherateofreturn 102 100 100 2 Realrateofreturn inflation adjustedrateofreturn whichrepresentstheadditionalamountofgoods servicesthatcanbepurchasedwithearningsfromtheasset Therealrateofreturnfortheabovesavingsdepositwheninflationis1 5 is 2 1 5 0 5 Afteraccountingfortheriseinthepricesofgoodsandservices theassetcanpurchase0 5 moregoodsandservicesafter1year Copyright 2009PearsonAddison Wesley Allrightsreserved 13 19 TheDemandofCurrencyDeposits cont Ifpricesarefixed theinflationrateis0 and nominal ratesofreturn realratesofreturn Becausetradingofdepositsindifferentcurrenciesoccursonadailybasis weoftenassumethatpricesdonotchangefromdaytoday Agoodassumptiontomakefortheshortrun Copyright 2009PearsonAddison Wesley Allrightsreserved 13 20 TheDemandofCurrencyDeposits cont Riskofholdingassetsalsoinfluencesdecisionsaboutwhethertobuythem Liquidityofanasset oreaseofusingtheassettobuygoodsandservices alsoinfluencesthewillingnesstobuyassets Butweassumethatriskandliquidityofcurrencydepositsinforeignexchangemarketsareessentiallythesame regardlessoftheircurrencydenomination Riskandliquidityareonlyofsecondaryimportancewhendecidingtobuyorsellcurrencydeposits Importersandexportersmaybeconcernedaboutriskandliquidity buttheymakeupasmallfractionofthemarket Copyright 2009PearsonAddison Wesley Allrightsreserved 13 21 TheDemandofCurrencyDeposits cont Wethereforesaythatinvestorsareprimarilyconcernedabouttheratesofreturnoncurrencydeposits Ratesofreturnthatinvestorsexpecttoearnaredeterminedbyinterestratesthattheassetswillearnexpectationsaboutappreciationordepreciation Copyright 2009PearsonAddison Wesley Allrightsreserved 13 22 TheDemandofCurrencyDeposits cont Acurrencydeposit sinterestrateistheamountofacurrencythatanindividualorinstitutioncanearnbylendingaunitofthecurrencyforayear Therateofreturnforadepositindomesticcurrencyistheinterestratethatthedepositearns Tocomparetherateofreturnonadepositindomesticcurrencywithoneinforeigncurrency considertheinterestratefortheforeigncurrencydeposittheexpectedrateofappreciationordepreciationoftheforeigncurrencyrelativetothedomesticcurrency Copyright 2009PearsonAddison Wesley Allrightsreserved 13 23 TheDemandofCurrencyDeposits cont Supposetheinterestrateonadollardepositis2 Supposetheinterestrateonaeurodepositis4 Doesaeurodeposityieldahigherexpectedrateofreturn Supposetodaytheexchangerateis 1 1 andtheexpectedrateoneyearinthefutureis 0 97 1 100canbeexchangedtodayfor 100 These 100willyield 104afteroneyear These 104areexpectedtobeworth 0 97 1x 104 100 88inoneyear Copyright 2009PearsonAddison Wesley Allrightsreserved 13 24 TheDemandofCurrencyDeposits cont Therateofreturnintermsofdollarsfrominvestingineurodepositsis 100 88 100 100 0 88 Let scomparethisrateofreturnwiththerateofreturnfromadollardeposit Therateofreturnissimplytheinterestrate After1yearthe 100isexpectedtoyield 102 102 100 100 2 Theeurodeposithasalowerexpectedrateofreturn thus allinvestorsshouldbewillingtodollardepositsandnoneshouldbewillingtoholdeurodeposits Copyright 2009PearsonAddison Wesley Allrightsreserved 13 25 TheDemandofCurrencyDeposits cont Notethattheexpectedrateofappreciationoftheeurowas 0 97 1 1 0 03 3 Wesimplifytheanalysisbysayingthatthedollarrateofreturnoneurodepositsapproximatelyequalstheinterestrateoneurodepositsplustheexpectedrateofappreciationofeurodeposits4 3 1 0 88 R Ee E E Copyright 2009PearsonAddison Wesley Allrightsreserved 13 26 TheDemandofCurrencyDeposits cont ThedifferenceintherateofreturnondollardepositsandeurodepositsisR R Ee E E R R Ee E E Copyright 2009PearsonAddison Wesley Allrightsreserved 13 27 Table13 3 ComparingDollarRatesofReturnonDollarandEuroDeposits Copyright 2009PearsonAddison Wesley Allrightsreserved 13 28 ModelofForeignExchangeMarkets Weusethedemandof rateofreturnon dollardenominateddepositsandthedemandof rateofreturnon foreigncurrencydenominateddepositstoconstructamodelofforeignexchangemarkets Thismodelisinequilibriumwhendepositsofallcurrenciesofferthesameexpectedrateofreturn interestparity Interestparityimpliesthatdepositsinallcurrenciesareequallydesirableassets Interestparityimpliesthatarbitrageintheforeignexchangemarketisnotpossible Copyright 2009PearsonAddison Wesley Allrightsreserved 13 29 ModelofForeignExchangeMarkets cont Interestparitysays R R Ee E E Whyshouldthisconditionhold Supposeitdidn t SupposeR R Ee E E Thennoinvestorwouldwanttoholdeurodeposits drivingdownthedemandandpriceofeuros Thenallinvestorswouldwanttoholddollardeposits drivingupthedemandandpriceofdollars Thedollarwouldappreciateandtheeurowoulddepreciate increasingtherightsideuntilequalitywasachieved R R Ee E E Copyright 2009PearsonAddison Wesley Allrightsreserved 13 30 ModelofForeignExchangeMarkets cont Howdochangesinthecurrentexchangerateaffecttheexpectedrateofreturnofforeigncurrencydeposits Copyright 2009PearsonAddison Wesley Allrightsreserved 13 31 ModelofForeignExchangeMarkets cont Depreciationofthedomesticcurrencytodaylowerstheexpectedrateofreturnonforeigncurrencydeposits Why Whenthedomesticcurrencydepreciates theinitialcostofinvestinginforeigncurrencydepositsincreases therebyloweringtheexpectedrateofreturnofforeigncurrencydeposits Appreciationofthedomesticcurrencytodayraisestheexpectedreturnofdepositsonforeigncurrencydeposits Why Whenthedomesticcurrencyappreciates theinitialcostofinvestinginforeigncurrencydepositsdecreases therebyloweringtheexpectedrateofreturnofforeigncurrencydeposits Copyright 2009PearsonAddison Wesley Allrightsreserved 13 32 Table13 4 Today sDollar EuroExchangeRateandtheExpectedDollarReturnonEuroDepositsWhenEe 1 05perEuro Copyright 2009PearsonAddison Wesley Allrightsreserved 13 33 Fig 13 3 TheRelationBetweentheCurrentDollar EuroExchangeRateandtheExpectedDollarReturnonEuroDeposits Copyright 2009PearsonAddison Wesley Allrightsreserved 13 34 TheCurrentExchangeRateandtheExpectedRateofReturnonDollarDeposits Copyright 2009PearsonAddison Wesley Allrightsreserved 13 35 Fig 13 4 DeterminationoftheEquilibriumDollar EuroExchangeRate Copyright 2009PearsonAddison Wesley Allrightsreserved 13 36 ModelofForeignExchangeMarkets Theeffectsofchanginginterestrates anincreaseintheinterestratepaidondepositsdenominatedinaparticularcurrencywillincreasetherateofreturnonthosedeposits Thisleadstoanappreciationofthecurrency Higherinterestratesondollar denominatedassetscausesthedollartoappreciate Higherinterestratesoneuro denominatedassetscausesthedollartodepreciate Copyright 2009PearsonAddison Wesley Allrightsreserved 13 37 Fig 13 5 EffectofaRiseintheDollarInterestRate Adepreciationoftheeuroisanappreciationofthedollar Copyright 2009PearsonAddison Wesley Allrightsreserved 13 38 Fig 13 6 EffectofaRiseintheEuroInterestRate Copyright 2009PearsonAddison Wesley Allrightsreserved 13 39 TheEffectofanExpectedAppreciationoftheEuro Individualsandinstitutionsnowexpecttheeurotoappreciate Copyright 2009PearsonAddison Wesley Allrightsreserved 13 40 TheEffectofanExpectedAppreciationoftheEuro Ifpeopleexpecttheeurotoappreciateinthefuture theneuro denominatedassetswillpayinvaluableeuros sothatthesefutureeuroswillbeabletobuymanydollarsandmanydollar denominatedgoods Theexpectedrateofreturnoneurosthereforeincreases Anexpectedappreciationofacurrencyleadstoanactualappreciation aself fulfillingprophecy Anexpecteddepreciationofacurrencyleadstoanactualdepreciation aself fulfillingprophecy Copyright 2009PearsonAddison Wesley Allrightsreserved 13 41 CoveredInterestParity Coveredinterestparityrelatesinterestratesacrosscountriesandtherateofchangebetweenforwardexchangeratesandthespotexchangerate R R F E E whereF istheforwardexchangerate Itsaysthatratesofreturnondollardepositsand covered foreigncurrencydepositsarethesame Howcouldyouearnarisk freereturnintheforeignexchangemarketsifcoveredinterestparitydidnothold Coveredpositionsusingtheforwardrateinvolvelittlerisk Copyright 2009PearsonAddison Wesley Allrightsreserved 13 42 Summary Exchangeratesarepricesofforeigncurrenciesintermsofdomesticcurrencies orviceversa Copyright 2009PearsonAddison Wesley Allrightsreserved 13 43 Summary Depreciationofacountry scurrencymeansthatitislessexpensive valuable andgoodsdenominatedinitarelessexpensive exportsarecheaperandimportsmoreexpensive Adepreciationwillhurtconsumersofimportsbuthelpproducersofexports Appreciationof