国际投资第二章Foreign Exchange Parity Relations

1、Copyright 2009 Pearson Prentice Hall. All rights reserved.Chapter 2Foreign Exchange Parity RelationsCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 2OutlineForeign exchange fundamentalsInternational parity relationsExchange rate determination theoriesCopyright 2009 Pearson Prentice Hal

2、l. All rights reserved.2 - 3IntroductionIn this chapter we look at (in details):Foreign exchange fundamentals; in particular the balance of payments and exchange rate regimes.Describe the factors that cause a nations currency to appreciate or depreciate. International parity relations.Define and dis

3、cuss the International Fisher relation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 4IntroductionDiscuss the implications of the parity relationships combined.Exchange rate determination theories and their potential implications.Discuss the asset markets approach to pricing exchange

4、 rate expectations.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 51.1Supply and Demand for Foreign ExchangeIn general, there are many types of transactions that affect the demand and supply of one national currency.Eg：EURO:USD=1.25 EURO:USD=1.5Copyright 2009 Pearson Prentice Hall. Al

5、l rights reserved.2 - 6Exhibit 2.1: Foreign Exchange Market EquilibriumCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 7 ？What are the OTHER types of factors affect the demand and supply of one national currency in the transactions？ From an accounting viewpoint, each country keeps trac

6、k of the payments on all international transactions in its balance of payments.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 81.2 Balance of PaymentsThe balance of payments tracks all financial flows crossing a countrys borders during a given period (a quarter or a year).A balance of

7、 payments is not an income statement nor a balance sheet.The convention is to treat all financial inflows as a credit to the balance of payments.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 9Balance of PaymentsAn export, for example, creates a financial inflow for the home country,

8、whereas an import creates an outflow.There are two main categories:Current accountFinancial accountCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 10概念的产生和含义国际间的经济交易必然会产生货币性和非货币性的支付问题。由此引起了国际收支统计和对国际收支进行分析的问题。 根据IMF的解释，一国的国际收支（Balance of Payments）是指一国（或地区）的居民居民在一定时期内（一年、一季度、一月）与非居民非居民之

9、间的经济交易经济交易的系统记录。Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 11有关国际收支概念的几点说明经济交易居民和非居民国际收支和国际借贷Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 12经济交易IMF所给出的国际收支概念包含全部国际经济交易，是以交易为基础(on Transaction Basis)。目前各国普遍采用的正是这一广义的国际收支概念Copyright 2009 Pearson Prentice Hall. All ri

10、ghts reserved.2 - 13不同时期的国际收支记录不同的经济交易之前国际收支被用来描述一个国家的外汇收支。外汇收支，即一经济体在一定时期内必须同其他国家立即以货币结清的各种到期收付的差额。它所包含的经济交易都是以现金支付为基础（on cash payment basis）。那些不引起现金支付的交易，如补偿贸易、易货贸易、实物形式的无偿援助以及清算支付协定下的记帐贸易等，都没有被包括在外汇收支里。目前IMF所给出的国际收支概念包含全部国际经济交易，是以交易为基础(on Transaction Basis)。 Copyright 2009 Pearson Prentice Hall.

11、All rights reserved.2 - 14IMF国际收支概念中的经济交易分为五类金融资产与商品和劳务之间的交换，即以货币货币为媒介商品和劳务的买卖；商品和劳务与商品和劳务之间的交换，即物物物物交换；金融资产和金融资产之间交换；无偿的、单向的商品和劳务转移；无偿的、单向的金融资产转移。Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 15居民和非居民只有居民(resident)和非居民(non-resident)之间的经济交易才是国际经济交易。居民和公民是两个不同的概念。公民是一个法律概念，而居民则是一个经济概念

12、。IMF作了如下规定：自然人居民，指那些在本国居住时间长达一年以上的个人，但官方外交使节、驻外军事人员等一律是所在国的非居民；法人居民，指在本国从事经济活动的各级政府机构、非盈利团体和企业。跨国公司的母公司和子公司分别是所在国居民。国际性机构如联合国、国际货币基金组织等是任何国家的非居民。 Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 161.3Current AccountCovers all current transactions that take place in the normal business o

13、f residents of a country.Dominated by the trade balance, the balance of all exports and imports. Made up of:Exports and imports (trade balance)ServicesIncomeCurrent transfersCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 17Current Account It also covers:Services (such as services in t

14、ransportation, communication, insurance and finance).Income (interest, dividends and various investment income from cross-border investments).Current transfers (flows without quid pro quo 抵押物、抵偿物compensation).A current account deficit is not necessarily a bad economic signal as long as nonresidents

15、are willing to offset it by investment flows.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 18国际收支平衡表按复式簿记的记帐方法法编制：有借必有贷，借贷必相等 贷方(Credit/Plus Items) 对外实际资产的减少; 对外金融资产的减少; 对外负债的增加; 借方(Debit/Minus Items) 对外实际资产的增加; 对外金融资产的增加; 对外负债的减少; 贷方(Credit/Plus Items) 出口(货物和劳务); 资本流入,包括： 对外金融资产的减少，

16、本国对外负债的增加。 借方(Debit/Minus Items) 进口(货物和劳务); 资本流出,包括： 对外金融资产的增加， 本国对外负债的减少。Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 19Financial AccountThe sum of the current and financial accounts should be zero.Question: What if the overall balance is negative?Answer: The central bank can use u

17、p part of its reserves to restore填补 a zero balance. Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 20Financial AccountCovers investments by residents abroad and investments by nonresidents in the home country.It includes:Direct investment made by companies.Portfolio investments in equ

18、ity, bonds and other securities of any maturity.Other investments and liabilities (such as deposits or borrowing with foreign banks and vice versa).Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 21Capital and Financial AccountThe Capital Account includes unrequited 无报酬的(unilateral单方面的

19、) transfers corresponding to capital flows资本流动 without compensation such as foreign aid, debt forgiveness and expropriation losses. This is typically a very small account with a misleading title. It is often aggregated with the financial account (“capital and financial account”).Copyright 2009 Pears

20、on Prentice Hall. All rights reserved.2 - 22Capital and Financial AccountSimilarly, Net Errors and Omissions净误差与遗漏 (or “statistical discrepancy”统计误差) are usually aggregated with the capital and financial account.这一项包括一些不影响交易，但需要其用来平衡资金差额为零的项目。To be sustained长时间保持, a current account deficit must be f

21、inanced by a financial account surplus. Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 23IMF的国际收支平衡表的标准格式的简表 Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 24Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 25Balance of Payments EquilibriumThe sum of the cu

22、rrent account and of the capital and financial account is called the overall balance (OB) and should be zero in the absence of government intervention.The official reserve account tracks all reserve transactions by the monetary authorities.By accounting definition, the overall balance must mirror th

23、e official reserve account.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 261.4Differences in Real Interest rate and Economic PerformanceHigh real interest rate-appreciation of one national currencyFinancial flows are attracted by high expected return, but also by low risk.Desired Att

24、ributes:A stable political systemA rigorous 缜密but fair legal systemA fair tax systemFree movements of capitalCASE STUDY Example 2.1Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 27Factors That Cause a Nations Currency to Appreciate or DepreciateIn a flexible exchange rate system, the

25、value of a currency is driven by changes in fundamental economic factors.Amongst the factors are:Differences in national inflation rates.Changes in real interest rates.Differences in economic performance.Changes in investment climate.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 281.

26、5Government Policies: Monetary and FiscalAn expansionary monetary policy will lead to a depreciation of the home currency. 真实利率的暂时性下降，物价水平上升 非预期性的货币扩展会带来短期经济增长，但很难促使外资流入。 A restrictive monetary policy will lead to an appreciation of the home currency.A more restrictive fiscal policy should also slow

27、 down economic activity and inflation. These two factors should lead to an appreciation of the home currency. A more expansionary fiscal policy has the reverse effect.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 291.6Exchange Rate RegimesHistorically, there have been three different

28、 regimes:Flexible (or Floating) Exchange RatesFixed Exchange RatesPegged Exchange RatesCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 30Flexible (Floating) Exchange Rate RegimeOne in which the exchange rate between two currencies fluctuates freely in the foreign exchange market.Advant

29、ageThe exchange rate is a market-determined price that reflects economic fundamentals at each point in time.Governments are free to adopt independent domestic monetary and fiscal policies.DisadvantageQuite volatile exchange rates.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 31Fixed

30、Exchange Rate RegimeOne in which the exchange rate between two currencies remains fixed at a preset level在预先设定的水平上, known as official parity.Advantages:Eliminates exchange rate risk, at least in the short run.Brings discipline to government policies.Disadvantages:Deprives 剥夺the country of any moneta

31、ry independence.Also constrains countrys fiscal policy.Its long-term credibility可靠性Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 32Currency BoardToday some countries try to maintain a fixed exchange rate regime against the dollar or euro.This is done through a “currency board”The sup

32、ply of home currency is fully backed by an equivalent amount of that major currency. Currency board arrangement 货币局制度是一种汇率机制，它有两项基本原则，一是本国货币钉住一种强势货币，与之建立货币联系，此货币成为锚货币，二是本国通货发行以外汇储备特别是锚货币的外汇储备为发行保证，保证本国货币与外币随时可按固定汇率兑汇Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 33Pegged Exchange Rate

33、 Regime Characterized as a compromise between a flexible and a fixed exchange rate.The exchange rate is allowed to fluctuate within a (small) band around a target exchange rate (“peg”) and the target exchange rate is periodically revised to reflect changes in economic fundamentals.AdvantagesReduces

34、exchange rate volatility in the short run.Also encourages monetary discipline for the home country.对本国货币有约束性DisadvantageCan induce destabilizing speculation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 342 International Parity RelationsThe parity relations of international finance a

35、re as follows:Interest rate parity relationPurchasing power parity relation.International Fisher relation.Uncovered interest rate parity relation.Foreign exchange expectation relation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 352.1International Parity Relations: DefinitionsThe te

36、rm spot rate (S) refers to the exchange rate for immediate delivery.The forward rate (F) is set on one date for delivery at a future specified date. For example, the $: forward exchange rate for delivery in six months might be F = 106.815 yen per dollar.rFC and rDC are the foreign and domestic inter

37、est rates (annualized). IFC and IDC are the foreign and domestic inflation rates (annualized).Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 362.2Interest Rate Parity RelationInterest rate parity is the relation that the forward discount (premium) equals the interest rate differential

38、 between two currencies.Indicates that what we gain on the interest rate differential, we lose on the discount on the forward contract.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 37Interest Rate Parity RelationExact relationF/S = (1 + rFC)/(1 + rDC)Linear approximation = F/S -1 rFC

39、 - rDC Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 382022-7-2Multinational Finance38利率平价理论图示外币相对于本币的远期升水（+）/贴水（-）率（%）123 1国内外利差（%）23平价线CABCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 39Parity RelationsThe purchasing power parity relation, linking spot exchange rate

40、s and inflation.The International Fisher relation, linking interest rates and expected inflation.The uncovered interest rate parity relation, linking spot exchange rates, expected exchange rates and interest rates.The foreign exchange expectation relation, linking forward exchange rates and expected

41、 spot exchange rates.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 402.3Purchasing Power Parity (PPP) RelationPPP states that the spot exchange rate adjusts perfectly to inflation differentials between two countries. There are two versions of PPP:Absolute PPPThis claims that the exch

42、ange rate should be equal to the ratio of the average price levels in the two economies.Relative PPPFocuses on the general across the board inflation rates.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 41基于一价定律基于一价定律2022-7-2Multinational Finance41涵义：如果市场处于完全竞争 状态，在不考虑运输成本和可能的贸易摩擦的前提下

43、，不同市场上同样商品以同一种货币表示的价格应相等公式表示：其中： ：本国货币计价的商品i的价格 ：外国货币计价的商品i的价格 ：本外币间的汇率dfiiPPSdiPfiPSCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 422.2Purchasing Power Parity (PPP) RelationRelative PPPThis claims that the percentage movement of the exchange rate should be equal to the inflation dif

44、ferential between the two economiesThe PPP relation is presented as:ExactS1/S0 = (1 + IFC)/(1 + IDC)Linear approximations = S1/S0 1 IFC - IDCCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 432022-7-2Multinational Finance43购买力平价理论购买力平价理论外国与本国通货膨胀率的差额购买力平价线123-1-2-3外币相对于本币汇率的变动（%）Copyrig

45、ht 2009 Pearson Prentice Hall. All rights reserved.2 - 44Purchasing Power Parity (PPP) RelationPPP says that what you gain with lower domestic inflation, you can expect to lose on foreign currency depreciation when you invest in foreign currency assets.Copyright 2009 Pearson Prentice Hall. All right

46、s reserved.2 - 45购买力平价理论的实证测试购买力平价理论的实证测试2022-7-2Multinational Finance45两个基本结论：1、能很好预测长期条件下的汇率变动2、对通货膨胀率较高、资本市场不发达的国家比较合适Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 462.4International Fisher RelationClaims that the interest rate differential between two countries should be equal to

47、 the expected inflation rate differential over the term of the interest rate.The International Fisher Relation can be represented as:Exact(1 + rFC)/(1 + rDC) = (1 + E(IFC)/(1 + E(IDC)Linear approximationrFC rDC E(IFC) - E(IDC)Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 47ExampleQue

48、stion: How are the nominal and real interest rates calculated?Answer: Nominal interest rate is observed in the marketplace. The real interest rate is calculated from the observed interest rate and forecasted inflation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 482022-7-2Multinatio

49、nal Finance48国际费雪效应图示本外币利差（%）123 1外币相对于本币的预期变化率（%）23平价线GFCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 492.6Uncovered Interest Rate Parity RelationThis is a theory combining purchasing power parity and the international Fisher relation.It refers to the exchange rate exposure not cove

50、red by a forward contract.It claims the expected change in the indirect exchange rate approximately equals the foreign minus the domestic interest rate.It can be represented as:ExactE(S1)/S0 = (1 + rFC)/(1 + rDC)Linear ApproximationE(s) = E(S1)/S0 1 rFC - rDCCopyright 2009 Pearson Prentice Hall. All

51、 rights reserved.2 - 502.7Foreign Exchange Expectation RelationThis relation states that the forward exchange rate, quoted at time 0 for delivery at time 1, is equal to the expected value of the spot exchange rate at time 1. 0时刻报出的远期汇率等于即期汇率在时刻1的期望值This can be written as:F = E(S1)Copyright 2009 Pear

52、son Prentice Hall. All rights reserved.2 - 51Combining Relations - SummaryInterest rate differential: forward discount (premium) equals the interest rate differential.Inflation differential: exchange rate movement should exactly offset any inflation differential.Expected inflation rate differential:

53、 expected inflation rate differential should be matched by the interest rate differential, assuming (Fisher) real interest rates are equal.The interest rate differential: expected to be offset by the currency depreciation.The expected exchange rate movement: forward discount (or premium) is equal to

54、 the expected exchange rate movement.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 52 Summary of Parity RelationsCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 53Exhibit 2.3: International Parity Relations Linear ApproximationCopyright 2009 Pearson Prentice Hall. All r

55、ights reserved.2 - 54Exchange Rate DeterminationThe following approaches are proposed:Fundamental value based on relative PPPBalance of Payments ApproachAsset Market ApproachCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 55Fundamental Value Based on Relative PPPSuch estimation is not

56、an easy task and exchange rates can become grossly misaligned 不重合的and remain so for several years without a correction.This correction will usually take place, but it may take several years and its timing is unclear.Additional models are needed to provide a better understanding of exchange rate move

57、ments.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 56Exhibit 2.4: Fundamental Value for the Japanese YenCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 57Balance of Payments ApproachAn analysis of balance of payments provided the first approach to the economic modeling

58、 of the exchange rate.The four component groups include the current account, financial account, capital account and official reserves account.An imbalance in some account could lead to a depreciation or appreciation of the home currency.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 5

59、8Sources of Data for BOPCustoms dataCentral bank statsBank reports of transactionsCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 59BOP ComponentsCurrent AccountCapital accountFinancial accountOfficial reserve accountCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 60Exhib

60、it 2.5: Balance of Payments and the Dollar Exchange RateCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 61Asset Market ApproachThis approach claims that the exchange rate is the relative price of two currencies, determined by investors expectations about the future, not by current trad