CFA二级-阶段总结与重点精讲-经济学

阶段总结与重点精讲直播即将开始L2–Economics1Ethicsweight:StudySession1-2Ethics&ProfessionalStandardsQuantitativeAnalysisEconomics10%-15%5%-10%15%-20%5%-15%15%-25%10%-20%5%-15%5%-10%5%-10%100%StudySession3StudySession4StudySession5-6StudySession7-8StudySessionStudySession12-13StudySession14StudySession15StudySession16-17FinancialReportingandAnalysisCorporateFinanceEquityFixedIncomeDerivativeInvestmentAlternativeInvestmentPortfolioManagement2Ethics阶段总结L2-Economics3Economics➢Studysession4(Economicsfor✓13:CurrencyRates:Understanding(☆☆☆)✓14:EconomicGrowthInvestmentDecision(☆☆☆)✓15:EconomicsofRegulation(☆)4Economics重点精讲L2–Economics5EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibriumCross-ratesCalculationsofFXarbitrageMark-to-marketvalueofforwardcontracttrade6EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibriumCoveredinterestrateparityInternationalparityrelationshipsUncoveredinterestrateparityForwardrateparityPurchasingpowerparityTheinternationalFishereffect7EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibriumMundell-FlemingmodelThemonetaryapproachFXandpolicyTheassetmarketapproach/portfoliobalanceapproach8EconomicsCurrencyRates:Understanding–CalculationsofFX:Cross-RateABAC==CBbidbidbidAACBCBofferofferofferABBA=1bidofferABBA=1offerbid9EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–CalculationsofFX:arbitrage➢arbitrage:convertingfromcurrencyAtocurrencythenfromcurrencyBtocurrencyC,thenfromcurrencyCbacktoA.IfweendupwithmorecurrencyAtheendthanstartedwith,we'veearnedarbitrageprofit.10Economics13:CurrencyRates:Understanding–CalculationsofFX:arbitrageExample➢=0.6000-0.6015;=10.7000-10.7200➢=6.3000-6.3025.toarbitragefromthesemarkets?Answer:➢1→1/0.6015AUD→(1/0.6015)*6.3000MXN→((1/0.6015)*6.3000)/10.720USD→0.97704USD,profit➢1USD→→(1*10.700)/6.3025AUD→((1*10.700)/6.3025)*0.6000USD→1.01864USD,arbitrage11Economics13:CurrencyRates:Understanding–CalculationsofFX:Mark-to-Marketvalue➢Mark-to-Marketvalue:theprofit(orloss)thatwouldberealizedfromclosingthepositionatcurrentmarketprices.➢Iflongthebasecurrencythemark-to-marketvaluepriortoexpirationis:F−FContractSize)t0PBV=PBtdays3601+rpricecurrency12Economics13:CurrencyRates:Understanding–InternationalParityRelationships➢Coveredinterestrateparity•Thecurrencywithhighernominalyieldwilldepreciate.daysdays1+if1+idF-S360days360−ii()fdF=Sf/d=f/df/df/ddays360Sf/d1id+360daysi−i)fd36013Economics13:CurrencyRates:Understanding–InternationalParityRelationships➢Uncoveredinterestrateparity•Theinvestorisassumedtoberisk-neutral.•Theexpectedappreciation/depreciationoftheexchangeratejusttheyield(()1i1%S+−e=+1idff/de%Si-if/dfd14Economics13:CurrencyRates:Understanding–CalculationsofFX:Carrytrade➢Whenuncoveredinterestrateparitydoesnothold,inaFXcarrytrade,investorinvestsinahigheryieldingcurrencyusingfundsborrowedinaloweryielding➢Duringperiodslowcarrytradestendtogeneratepositivereturns,theyarepronetosignificantcrashriskinturbulenttimes.ifrr,returnr−r−%Sfdfdf/d15Economics13:CurrencyRates:Understanding–InternationalParityRelationships➢Forwardrateparity•Forwardratetheforwardexchangeratewillbeunbiasedpredictorthefuturespotexchangerateifbothcovereduncoveredinterestrateparityhold.FS=ef/df/d16EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–InternationalParityRelationships➢PurchasingPowerparity•AbsoluteS=PPf/dfd%S−•Relative•Ex-anteversionoff/dfd%Seef−edf/d17EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–InternationalParityRelationships➢InternationalFisherEffect:Theinterestratebetweentwocountriesshouldbeequaltotheexpectedinflationifbothuncoveredinterestrateparityex-antehold.−=iief−edfd➢InterestRaterealinterestratewillconvergetothesamelevelacrossmarketsr=rfd18EconomicsCurrencyRates:Understanding–FXandmonetaryandfiscalpolicy➢Mundell-Flemingmodel•Assumeinflationplaysnorole.•Mundell-Flemingapproachfocusestheshort-termimplicationsmonetaryandfiscal19EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–FXandmonetaryandfiscalpolicy➢Mundell-Flemingmodelmobilityandfiscallowcurrencyrestrictive+expansionaryrestrictive+restrictivecurrencycurrencycurrency20EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–FXandmonetaryandfiscalpolicy➢TheMonetaryApproach➢Assumethatoutputisfixed,sothatmonetarypolicyprimarilyinflation,whichinturnexchangerates.✓Puremonetarymodel:holdspointintimeoutputisheldconstant.expansionary(restrictive)monetarypolicyleadstoanincrease(decrease)inpricelevelandadecrease(increase)inthevaluethedomestic21EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–FXandmonetaryandfiscalpolicy➢TheMonetaryApproach➢Dornbuschovershootingmodel(多恩布什汇率超调模型）✓Assumesthatpricesaresticky(inflexible)intheshortterm.✓Underanexpansionarymonetaryintheshortterm,exchangeratesovershootthelong-runimpliedvalues.ThedepreciationofcurrencyisgreaterthanthedepreciationimpliedInthelongterm,exchangeratesgraduallyincreasetowardtheirimpliedvalues.22EconomicsCurrencyRates:Understanding–FXandmonetaryandfiscalpolicy➢ThePortfolioBalanceApproach➢Portfoliobalancemodelfocusesthelong-termimplicationsfiscalpolicyoncurrencyvalues.✓Continuedincreasesinfiscaldeficitsareunsustainableandinvestorsmayrefusetofundthedeficits.Thegovernmentwillhavetomonetizeitsdebtleadingtocurrencydepreciation.✓Inthelongterm,thegovernmenttoreversecourse(tighterbudgetarypolicy)leadingtodepreciationofthedomestic23EconomicsReading14:EconomicGrowthandInvestmentDecisionCobb-DouglasproductionfunctionProductionfunctionProductivitycurveGrowthaccounting24EconomicsReading14:EconomicGrowthandInvestmentDecisionClassicalgrowththeoryTheoriesofgrowthNeoclassicalgrowththeoryEndogenousgrowththeory25EconomicsReading14:EconomicGrowthandInvestmentDecisionAbsoluteconvergenceConvergenceConditionalconvergenceclubconvergence26EconomicsReading14:EconomicGrowthandInvestmentDecision➢Cobb-DouglasproductionfunctionYAK=ATotalfactorproductivityShareofoutputallocatedtocapital(K)andlabor(L)➢importantproperties:✓Constantreturnstoscale:increasingallinputsafixedpercentageleadstothesamepercentageincreaseinoutput.✓Diminishingmarginaltheextraoutputproducedfromaone-unitincreaseinaninputdecrease,keepingtheotherinputsunchanged.27EconomicsReading14:EconomicGrowthandInvestmentDecision➢Productivitycurve28EconomicsReading14:EconomicGrowthandInvestmentDecision➢Productivitycurve•Growthincapitalperworker(capitaldeepening)causesalongaproductivitycurve.•Thecurvaturetherelationshipderivesfromthediminishingmarginalproductivitycapital.•Economieswillincreaseinvestmentincapitallongas>thelevelof=capitaldeepeningstopsandlaborproductivitybecomesstagnant.•growthcausestheproductivitycurvetoshiftupwards.29EconomicsReading14:EconomicGrowthandInvestmentDecision➢Growthaccounting-GrowthAccountingEquationYY=AA+KK+)LL✓aistheelasticityofoutputwithrespecttocapital✓1-aistheelasticityoutputwithrespecttolabor✓ChangeinTFPestimatedaresidual:ex-post(realized)changeinoutputminusoutputimpliedex-postchangesinlaborandcapital.30EconomicsReading14:EconomicGrowthandInvestmentDecision➢Growthaccounting-LaborProductivityGrowthAccountingEquationY=YY=yy+LL✓Itavoidstheneedtoestimatethecapitalinputandtheassociatedwithcomputingtotalfactor✓ItincorporatesbothcapitaldeepeningTFPprogressinthelaborproductivityterm.31EconomicsReading14:EconomicGrowthandInvestmentDecision➢Theoriesofgrowth-Classicalgrowththeory➢Thegrowthinpercapitaincomeisnotpermanent.➢advances→investmentinnewcapital↑→laborproductivity↑→demandforlabor↑→realwagesandemployment↑→populationexplosion→percapitaincome↓➢matterhowmuchtechnologyadvances,realwageswilleventuallydrivenbacktothesubsistencelevel,andnopermanentproductivitygrowthimprovementinthestandardlivingwill32EconomicsReading14:EconomicGrowthandInvestmentDecision➢Theoriesofgrowth-Neoclassicalgrowththeory➢Inthesteadystate:✓Theoutput-to-capitalratioisconstant✓Capitalperworker(k)andoutputperworker(y)growthesamerateθ/(1-α).✓Themarginalproductcapitalisequaltotherealinterestrate(rentalpricecapital).✓ThemarginalproductcapitalisalsoconstantαY/K.✓Capitaldeepeninghasnoeffectonthesteadystategrowthrateoftheeconomyoronthemarginalproductofcapital.33EconomicsReading14:EconomicGrowthandInvestmentDecision➢Theoriesofgrowth-Neoclassicalgrowththeory➢Inthesteadystate:✓Thegrowthrateofoutputequalstherateoflaborgrowthplusthesteadystaterategrowthinoutputperworker:θ/(1-α)+✓Highersaving(investment)rateleadstoahigheroutputworkerhighercapitalworker✓Highersaving(investment)ratecannotpermanentlyraisethegrowthrateoutputperworkerandthegrowthrateofoutput.34EconomicsReading14:EconomicGrowthandInvestmentDecision➢Theoriesofgrowth-Endogenousgrowththeory✓Incontrasttotheneoclassicalmodel,endogenousgrowththeorycontendsthattechnologicalgrowthemergesasaresultofinvestmentinbothphysicalandhumancapital.progressenhancesproductivitybothlaborandcapital.✓Unliketheneoclassicalmodel,therearediminishingmarginalreturntocapitalfortheeconomyawholebecauseinvestmentshavepotentiallylargepositiveexternalitiesorspillovereffects.35EconomicsReading14:EconomicGrowthandInvestmentDecision➢Theoriesofgrowth-Endogenousgrowththeory✓Unliketheneoclassicalmodel,thereissteadystategrowthrate,highersaving(investment)rate(s)impliesapermanentlyhighergrowthrate.36EconomicsReading14:EconomicGrowthandInvestmentDecision➢Convergence➢Absoluteconvergencedevelopingcountries,regardlesstheirparticularcharacteristics,