国际金融课件习题

Exchange-RateDetermination

汇率决定©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse1WhatDeterminesExchangeRates?FactorsthatcausethesupplyanddemandschedulesofcurrenciestochangeMarketfundamentals（市场因素）Productivity,inflationrates,realinterestrates,consumerpreferences,andgovernmenttradepolicyMarketexpectations（市场预期）NewsaboutfuturemarketfundamentalsTraders’opinionsaboutfutureexchangerates©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse2WhatDeterminesExchangeRates?FactorsaffectingexchangeratesShortterm:transfersofassets（短期因素）DifferencesinrealinterestratesandtotheshiftingexpectationsoffutureexchangeratesInterim:cyclicalfactors（中期因素）FluctuationsineconomicactivityLongterm:flowsofgoods,services,andinvestmentcapital（长期因素）Inflationrates,investmentprofitability,consumertastes,productivity,andgovernmenttradepolicy©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse3Thisfigureviewstheexchangevalueofanation’scurrencyasbeingdeterminedbylong-termstructural,interimcyclical,andshort-termspeculativeforces.©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse4ThepathoftheYen’sexchangerateFIGURE12.1DeterminingLong-TermExchangeRatesExchangeratechangesReactionsoftradersintheforeign-exchangemarkettochangesinRelativepricelevelsRelativeproductivitylevelsConsumerpreferencesfordomesticorforeigngoodsTradebarriers©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse5©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse6Determinantsofthedollar’sexchangerateinthelongtermTABLE12.1InflationRates,PurchasingPowerParity,

andLong-TermExchangeRatesLawofoneprice（一价定律）IdenticalgoodsshouldbesoldeverywhereatthesamepriceWhenconvertedtoacommoncurrencyAssumingthatitiscostlesstoshipthegoodbetweennations,therearenobarrierstotrade,andmarketsarecompetitivePrevailingmarket-exchangerateisthetrueequilibriumrate©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse7TheBigMacIndexAnattempttomeasurethetrueequilibriumvalueofacurrencybasedononeproduct,aBigMacCanbeusedtodeterminetheextenttowhichthemarketexchangeratediffersfromthetrueequilibriumexchangerate©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse8©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse9BigMacIndexTABLE12.2Purchasing-power-paritytheoryPurchasing-power-paritytheoryExchangeratesadjusttomakegoodsandservicescostthesameeverywhereAnapplicationofthelawofonepriceIftherateofinflationismuchhigherinonecountryItsmoneyhaslostpurchasingpoweroverdomesticgoodsCurrencydepreciationtorestoreparitywithpricesofgoodsabroad©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse10RelativePurchasingPowerParityRelativePPPtheoryUsedtopredictlong-termexchangeratesP-priceindexesoftheU.S.andSwitzerland0-thebaseperiod1-period1S0-equilibriumexchangerateinthebaseperiodS1-estimatedtargetatwhichtheactualrateshouldbeinthefuture©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse11PPP’sProblemsChoosingtheappropriatepriceindextobeusedinpricecalculationsDeterminingequilibriumperiodtouseasabaseGovernmentpolicymayinterferewiththeoperationofthetheoryTraderestrictions©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse12Thisfiguresuggeststhatthepredictivepowerofthepurchasing-power-paritytheoryismostevidentinthelongterm.Intheshortterm,thetheoryhasnegligiblepredictivepower.©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse13Purchasingpowerparity:UnitedStates-UnitedKingdom,1973–2003FIGURE12.3DeterminingShort-TermExchangeRates:

TheAsset-MarketApproachForeign-exchangemarketactivityDominatedbyinvestorsinassetsTreasurysecurities,corporatebonds,bankaccounts,stocks,andrealpropertyAsset-marketapproach资产市场定价InvestorsdecidingbetweendomesticandforeigninvestmentsRelativelevelsofinterestratesExpectedchangesintheexchangerateitselfoverthetermoftheinvestment©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse14©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse15Determinantsofthedollar’sexchangerateagainstthepoundintheshorttermTABLE12.4©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse16Inflationdifferentialsandthedollar’sexchangevalueFIGURE12.4Levelofthenominal(money)interestrateAfirstapproximationoftherateofreturnonassetsthatcanbeearnedinaparticularcountryDifferencesinthelevelofnominalinterestratesbetweeneconomiesLikelytoaffectinternationalinvestmentflowsInvestorsseekthehighestrateofreturn©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse17DeterminingShort-TermExchangeRates:

TheAsset-MarketApproachIfinterestratesinU.S.>interestratesabroadIncreaseinthedemandfordollarsDollarappreciationIfinterestratesinU.S.<interestratesabroadDecreaseinthedemandfordollarsDollardepreciationRealinterestrateNominalinterestrateminustheinflationrate©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse18Intheshortterm,theexchangeratebetweenthedollarandthepoundreflectsrelativeinterestratesandexpectedchangesintheexchangerate.©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse19Factorsaffectingthedollar’sexchangerateintheshortterm(a)FIGURE12.5©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse20Short-termnominalandrealinterestrates,2007TABLE12.5AnincreaseintheU.S.realinterestrateincreasestheexpectedreturnondollarassets,suchasTreasurybillsandcertificatesofdeposit.ThisincreaseencouragesflowsofforeigninvestmentintotheUnitedStates,thuscausingthedollar’sexchangevaluetoappreciate.Conversely,adecreaseintheU.S.realinterestratereducestheexpectedprofitabilityondollarassets,whichpromotesadepreciationofthedollar’sexchangevalue.©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse21InterestratedifferentialsandexchangeratesFIGURE12.6DeterminingShort-TermExchangeRates:

TheAsset-MarketApproachExpectedchangeintheexchangerateFutureexpectationsofanappreciationofthedollarcanbeself-fulfillingfortoday’svalueofthedollar©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse22Intheshortterm,theexchangeratebetweenthedollarandthepoundreflectsrelativeinterestratesandexpectedchangesintheexchangerate.©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse23Factorsaffectingthedollar’sexchangerateintheshortterm(b)FIGURE12.5DeterminingShort-TermExchangeRates:

TheAsset-MarketApproachOtherfactorsaffectinginvestmentflowsamongeconomiesSizeofthestockofassetsdenominatedinaparticularcurrencyininvestorportfoliosSignificantsafe-haveneffectbehindsomeinvestmentflows©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse24Exchange-RateOvershootingExchange-rateovershooting（汇率超调）Whenexchange-rateshort-termresponse(depreciationorappreciation)ToachangeinmarketfundamentalsIsgreaterthanitslong-termresponseHelpsexplainwhyexchangeratesdepreciateorappreciatesosharplyfromdaytoday©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse25Exchange-RateOvershootingExchange-rateovershootingCanbeexplainedbyTendencyofelasticitiestobesmallerintheshorttermthaninthelongtermExchangeratestendtobemoreflexiblethanmanyotherprices©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse26ForecastingForeign-ExchangeRatesForecastingexchangeratesIsverytricky,especiallyintheshorttermNecessaryforexporters,importers,investors,bankers,andforeign-exchangedealersConsultingfirms©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse27©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse28Exchange-rateforecastersTABLE12.6ForecastingForeign-ExchangeRatesJudgmentalforecastsSubjectiveorcommonsensemodels.RequireWidearrayofpoliticalandeconomicdataInterpretationofthesedataintermsofthetiming,direction,andmagnitudeofexchange-ratechangesProjectionsbasedonathoroughexaminationofindividualnationsEconomicindicators;PoliticalfactorsTechnicalfactors;Psychologicalfactors©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse29ForecastingForeign-ExchangeRatesTechnicalforecastsTechnicalanalysisUseofhistoricalexchange-ratedatatoestimatefuturevaluesIgnoringeconomicandpoliticaldeterminantsofexchange-ratemovements“Historyrepeatsitself”©2011CengageLearning.AllRightsReserved.Maynotbecopied,scanned,orduplicated,inwholeorinpart,exceptforuseaspermittedinalicensedistributedwithacertainproductorserviceorotherwiseonapassword‐protectedwebsiteforclassroomuse30Whenforecastingexchangerates,t