Chap06_chinese

1、Chapter 6 International Parity Relationships & Forecasting Exchange RatesChapter Objective:通过这一章的学习，掌握几个平价关系，如利率平价和购买力平价。掌握平价关系有助于理解：1）汇率是如何决定的；2）如何预测汇率。1Chapter OutlinepInterest Rate ParitypPurchasing Power ParitypThe Fisher EffectspForecasting Exchange Ratesp利率平价p购买力平价p费雪郊应p汇率预测2Chapter Outlin

2、epInterest Rate ParitynCovered Interest Arbitrage 抵补套利nIRP and Exchange Rate Determination 利率平价与汇率决定nReasons for Deviations from IRP 利率平价发生偏离的原因pPurchasing Power ParitypThe Fisher EffectspForecasting Exchange Rates3Chapter OutlinepInterest Rate ParitypPurchasing Power ParitynPPP Deviations and the R

3、eal Exchange Raten购买力平价偏离和实际汇率nEvidence on Purchasing Power Parityn购买力平价的实证汇率pThe Fisher EffectspForecasting Exchange Rates4Chapter OutlinepInterest Rate ParitypPurchasing Power ParitypThe Fisher Effects 费雪效应pForecasting Exchange Rates5Chapter OutlinepInterest Rate ParitypPurchasing Power ParitypThe

4、 Fisher EffectspForecasting Exchange RatesnEfficient Market Approach 有效市场理论nFundamental Approach 基本分析法nTechnical Approach 技术分析法nPerformance of the Forecasters 汇率预测的业绩6Interest Rate Parity利率平价pInterest Rate Parity Defined 利率平价的定义pCovered Interest Arbitrage 抵补套利pInterest Rate Parity & Exchange Rat

5、e Determination 利率平价与汇率决定pReasons for Deviations from Interest Rate Parity 利率平价发生偏离的原因7Interest Rate Parity Defined利率平价pIRP is an arbitrage condition that must hold when international financial markets are in equilibrium. 利率平价是国际金融市场保持均衡时的套利条件。pIf IRP did not hold, then it would be possible for an a

6、stute trader to make unlimited amounts of money exploiting the arbitrage opportunity. 当利率平价被打破时，就有可能给与敏锐的交易商以无风险利率借入资金、开发套利机会。pSince we dont typically observe persistent arbitrage conditions, we can safely assume that IRP holds. 由于我们通常观察不到持续的套利条件，我们可以假定IRP是存在的。8Interest Rate Parity Defined Suppose y

7、ou have $1 to invest for one year. 假设你有1美元投资1年, 现有两种投资方式可供选择：v以i$的利率在美国进行投资，到期值 = $1(1 + i$) v以国外利率在国外进行投资，如英国按即期汇率(S)将$1兑换成，即(1/S);将英镑以英国利率(i)进行投资，到期值为(1/S) (1 + i)；将英国投资的到期值以远期汇率售出，获得预定的美元，即$(1/S) (1 + i)F9Interest Rate Parity DefinedSince both of these investments have the same risk, they must ha

8、ve the same future valueotherwise an arbitrage would exist. 由于两种投资方式的风险相同，两种等价投资所产生的未来美元收益必须相等，即(F/S)(1 + i) = (1 + i$) 11$iiSF10Interest Rate Parity DefinedFormally, (F/S)(1 + i) = (1 + i$) or if you prefer,SFii$11IRP is sometimes approximated as S(F- S)iS(F- S)-ii)1 ()($11IRP and Covered Interest

9、ArbitrageIRP和抵补套利pIf IRP failed to hold, an arbitrage would exist. Its easiest to see this in the form of an example. 当利率平价被打破时，就会产生套利机会。pConsider the following set of foreign and domestic interest rates and spot and forward exchange rates. 考虑下表中国内外的利率和即期和远期的汇率。Spot exchange rateS($/)=$1.80/360-day

10、forward rateF360($/)=$1.78/美国的年利率i$=5%英国的年利率 i =8%12首先，要检验利率平价在当前的市场条件下是否成立。显然，利率平价不成立，因而存在套利机会。IRP and Covered Interest ArbitrageIRP和抵补套利068. 1)080. 1 (80. 178. 1)1( iSF)1()1 ($iSFi13IRP and Covered Interest ArbitrageIRP和抵补套利p假设一个套利者能借到 $1 000 000，它可以进行以下交易。p在美国贷入$1 000 000，1年后将归还 $1 050 000 = $ 1

11、000 000 1.05 l把所借$1 000 000在即期市场上兑换成 555 556l在英国市场上投资 555 556 ，到期值为 600 000 = 555 556 1.08l到远期市场上卖出 600 000 ，得到 $1 068 000 = (600 000 )($ 1.78/ )14IRP & Exchange Rate Determination利率平价与汇率决定p利率平价是与(即期)汇率相关的套利均衡的条件，对汇率的决定有直接影响。FiiS11$)|(1ttISEF)|(111$ttISEiiS)()($eEii15Reasons for Deviations from

12、IRP利率平价发生偏离的原因pTransactions Costs 交易成本nia ib, Sa Sb , Fa Fb nFb/Sa F/S nThus(Fb/Sa)(1 + ib) (1 + i$a) 0pCapital Controls 资本管制nGovernments sometimes restrict import and export of money through taxes or outright bans. 政府有时会通过征税或下令禁止的手段限制资本的流入和流出。16Purchasing Power Parity购买力平价pPurchasing Power Parity a

13、nd Exchange Rate Determination 购买力平价与汇率决定pPPP Deviations and the Real Exchange Rate 购买力平价偏离和实际汇率pEvidence on PPP 购买力平价的实证研究17Purchasing Power Parity and Exchange Rate Determination购买力平价和汇率决定pThe exchange rate between two currencies should equal the ratio of the countries price levels. 两国货币间的汇率应该等于这两

14、个国家物价水平的比率。 S($/) = P$ /P $ 1.50/ = $ 225/ 150 P$ = S Pp购买力平价理论要求用同一种货币表示的标准商品篮子的价格在国际间是相同的。18Purchasing Power Parity and Exchange Rate Determination购买力平价和汇率决定pRelative PPP states that the rate of change in an exchange rate is equal to the differences in the rates of inflation. 相对购买力平价说明汇率的变化率与通货膨胀率

15、的差是相同的。 e $ - pIf U.S. inflation is 6% and U.K. inflation is 4%, the pound should appreciate by 2%. 若美国的年通胀率为6%，英国的年通胀率为4%，则英镑相对于美元每年会升值2%， 即e 2%。19)1)(1 (1$eqPPP Deviations and the Real Exchange Rate购买力平价偏离和实际汇率实际汇率 q是用来衡量购买力平价偏离的。如果购买力平价存在，(1 + e) = (1 + $)/(1 + ), then q = 1 本国竞争力不变If q 1 随着货币的升值

16、，本国竞争力削弱20Evidence on PPP购买力平价的实证研究pPPP probably doesnt hold precisely in the real world for a variety of reasons.nHaircuts cost 10 times as much in the developed world as in the developing world.nFilm, on the other hand, is a highly standardized commodity that is actively traded across borders.nShi

17、pping costs, as well as tariffs and quotas can lead to deviations from PPP.pPPP-determined exchange rates still provide a valuable benchmark. 但是由购买力平价决定汇率仍能提供一个有价值的基准。21pAn increase (decrease) in the expected rate of inflation will cause a proportionate increase (decrease) in the interest rate in th

18、e country. 一国预期通货膨胀率的升高（降低）将引起该国利率相同比例的升高（降低）。pFor the U.S., the Fisher effect is written as:i$ = $ + E($) +$E($) $ + E($) Where $ ：实际利率的期望值E($) ：预期通货膨胀率i$ ：名义利率的期望值International Fisher Effect费雪效用22If the Fisher Effect holds in the U.S. E($) i$ - $ and the Fisher Effect holds in Japan,E() i - and if

19、 the real rates are the same in each country$ = then we get the International Fisher EffectE(e) = i$ - i .International Fisher Effect费雪效用23International Fisher Effect费雪效用If the International Fisher Effect holds, E(e) = i$ - i and if IRP also holds S(F - S) E(e) S(F- S) -ii$then Forward Parity holds.

20、24Equilibrium Exchange Rate Relationships汇率关系均衡S(F - S)E(e) )-i(i$IRPPPPFEFPPPIFEFEP)($-E25Forecasting Exchange Rates汇率预测pEfficient Markets Approach 有效市场理论pFundamental Approach 基本分析法pTechnical Approach 技术分析法pPerformance of the Forecasters 汇率预测的业绩26Efficient Markets Approach有效市场理论pFinancial Markets a

21、re efficient if prices reflect all available and relevant information. 在金融市场上，如果资产的价格能完全反映所有可用的相关信息，那么此时的金融市场就是有效的。pIf this is so, exchange rates will only change when new information arrives, thus:St = ESt+1 andFt = ESt+1| ItpPredicting exchange rates using the efficient markets approach is afforda

22、ble and is hard to beat. 利用有效市场理论预测汇率有两大优势： (1)不需要花费成本；(2)以市场为基础的预测是最优的27Fundamental Approach基本分析法pInvolves econometrics to develop models that use a variety of explanatory variables. This involves three steps: 用计量经济学的方法开发出包含一系列变量的模型来预测汇率。nstep 1: Estimate the structural model. 对构建的模型进行估计nstep 2: Es

23、timate future parameter values. 估计参数的未来值nstep 3: Use the model to develop forecasts. 将变量代入模型，预测汇率28Fundamental Approach基本分析法pThe downside is that fundamental models do not work any better than the forward rate model or the random walk model. 基本分析模型不如远期汇率模型，也不如随机漫步模型。29Technical Approach技术分析法pTechnic

24、al analysis looks for patterns in the past behavior of exchange rates. 技术分析法分析汇率过去的变动情况，以便确定其变化规律，进而再以此预测未来的变动情况。pClearly it is based upon the premise that history repeats itself. 显然它是以历史重演为前提的。 30Performance of the Forecasters汇率预测的业绩pForecasting is difficult, many firms and investors subscribe to p

25、rofessional forecasting services for a fee. 汇率预测有一定的难度，所以许多公司和投资者向专业机构购买预测服务。pAs a whole, forecasters cannot do a better job of forecasting future exchange rates than the forward rate.pThe founder of Forbes Magazine once said: “You can make more money selling advice than following it.”31End Chapter Six321、市场状况总结如下：i$= 4%; i= 3.5