1、Chapter 6 International Parity Relationships & Forecasting Exchange RatesChapter Objective:通過(guò)這一章的學(xué)習(xí)，掌握幾個(gè)平價(jià)關(guān)系，如利率平價(jià)和購(gòu)買(mǎi)力平價(jià)。掌握平價(jià)關(guān)系有助于理解：1）匯率是如何決定的；2）如何預(yù)測(cè)匯率。1Chapter OutlinepInterest Rate ParitypPurchasing Power ParitypThe Fisher EffectspForecasting Exchange Ratesp利率平價(jià)p購(gòu)買(mǎi)力平價(jià)p費(fèi)雪郊應(yīng)p匯率預(yù)測(cè)2Chapter Outlin

2、epInterest Rate ParitynCovered Interest Arbitrage 抵補(bǔ)套利nIRP and Exchange Rate Determination 利率平價(jià)與匯率決定nReasons for Deviations from IRP 利率平價(jià)發(fā)生偏離的原因pPurchasing Power ParitypThe Fisher EffectspForecasting Exchange Rates3Chapter OutlinepInterest Rate ParitypPurchasing Power ParitynPPP Deviations and the R

3、eal Exchange Raten購(gòu)買(mǎi)力平價(jià)偏離和實(shí)際匯率nEvidence on Purchasing Power Parityn購(gòu)買(mǎi)力平價(jià)的實(shí)證匯率pThe Fisher EffectspForecasting Exchange Rates4Chapter OutlinepInterest Rate ParitypPurchasing Power ParitypThe Fisher Effects 費(fèi)雪效應(yīng)pForecasting Exchange Rates5Chapter OutlinepInterest Rate ParitypPurchasing Power ParitypThe

4、 Fisher EffectspForecasting Exchange RatesnEfficient Market Approach 有效市場(chǎng)理論nFundamental Approach 基本分析法nTechnical Approach 技術(shù)分析法nPerformance of the Forecasters 匯率預(yù)測(cè)的業(yè)績(jī)6Interest Rate Parity利率平價(jià)pInterest Rate Parity Defined 利率平價(jià)的定義pCovered Interest Arbitrage 抵補(bǔ)套利pInterest Rate Parity & Exchange Rat

5、e Determination 利率平價(jià)與匯率決定pReasons for Deviations from Interest Rate Parity 利率平價(jià)發(fā)生偏離的原因7Interest Rate Parity Defined利率平價(jià)pIRP is an arbitrage condition that must hold when international financial markets are in equilibrium. 利率平價(jià)是國(guó)際金融市場(chǎng)保持均衡時(shí)的套利條件。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. 當(dāng)利率平價(jià)被打破時(shí)，就有可能給與敏銳的交易商以無(wú)風(fēng)險(xiǎn)利率借入資金、開(kāi)發(fā)套利機(jī)會(huì)。pSince we dont typically observe persistent arbitrage conditions, we can safely assume that IRP holds. 由于我們通常觀察不到持續(xù)的套利條件，我們可以假定IRP是存在的。8Interest Rate Parity Defined Suppose y

7、ou have $1 to invest for one year. 假設(shè)你有1美元投資1年, 現(xiàn)有兩種投資方式可供選擇：v以i$的利率在美國(guó)進(jìn)行投資，到期值 = $1(1 + i$) v以國(guó)外利率在國(guó)外進(jìn)行投資，如英國(guó)按即期匯率(S)將$1兌換成，即(1/S);將英鎊以英國(guó)利率(i)進(jìn)行投資，到期值為(1/S) (1 + i)；將英國(guó)投資的到期值以遠(yuǎn)期匯率售出，獲得預(yù)定的美元，即$(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. 由于兩種投資方式的風(fēng)險(xiǎn)相同，兩種等價(jià)投資所產(chǎn)生的未來(lái)美元收益必須相等，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和抵補(bǔ)套利pIf IRP failed to hold, an arbitrage would exist. Its easiest to see this in the form of an example. 當(dāng)利率平價(jià)被打破時(shí)，就會(huì)產(chǎn)生套利機(jī)會(huì)。pConsider the following set of foreign and domestic interest rates and spot and forward exchange rates. 考慮下表中國(guó)內(nèi)外的利率和即期和遠(yuǎn)期的匯率。Spot exchange rateS($/)=$1.80/360-day

10、forward rateF360($/)=$1.78/美國(guó)的年利率i$=5%英國(guó)的年利率 i =8%12首先，要檢驗(yàn)利率平價(jià)在當(dāng)前的市場(chǎng)條件下是否成立。顯然，利率平價(jià)不成立，因而存在套利機(jī)會(huì)。IRP and Covered Interest ArbitrageIRP和抵補(bǔ)套利068. 1)080. 1 (80. 178. 1)1( iSF)1()1 ($iSFi13IRP and Covered Interest ArbitrageIRP和抵補(bǔ)套利p假設(shè)一個(gè)套利者能借到 $1 000 000，它可以進(jìn)行以下交易。p在美國(guó)貸入$1 000 000，1年后將歸還 $1 050 000 = $ 1

11、000 000 1.05 l把所借$1 000 000在即期市場(chǎng)上兌換成 555 556l在英國(guó)市場(chǎng)上投資 555 556 ，到期值為 600 000 = 555 556 1.08l到遠(yuǎn)期市場(chǎng)上賣出 600 000 ，得到 $1 068 000 = (600 000 )($ 1.78/ )14IRP & Exchange Rate Determination利率平價(jià)與匯率決定p利率平價(jià)是與(即期)匯率相關(guān)的套利均衡的條件，對(duì)匯率的決定有直接影響。FiiS11$)|(1ttISEF)|(111$ttISEiiS)()($eEii15Reasons for Deviations from

12、IRP利率平價(jià)發(fā)生偏離的原因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 資本管制nGovernments sometimes restrict import and export of money through taxes or outright bans. 政府有時(shí)會(huì)通過(guò)征稅或下令禁止的手段限制資本的流入和流出。16Purchasing Power Parity購(gòu)買(mǎi)力平價(jià)pPurchasing Power Parity a

13、nd Exchange Rate Determination 購(gòu)買(mǎi)力平價(jià)與匯率決定pPPP Deviations and the Real Exchange Rate 購(gòu)買(mǎi)力平價(jià)偏離和實(shí)際匯率pEvidence on PPP 購(gòu)買(mǎi)力平價(jià)的實(shí)證研究17Purchasing Power Parity and Exchange Rate Determination購(gòu)買(mǎi)力平價(jià)和匯率決定pThe exchange rate between two currencies should equal the ratio of the countries price levels. 兩國(guó)貨幣間的匯率應(yīng)該等于這兩

14、個(gè)國(guó)家物價(jià)水平的比率。 S($/) = P$ /P $ 1.50/ = $ 225/ 150 P$ = S Pp購(gòu)買(mǎi)力平價(jià)理論要求用同一種貨幣表示的標(biāo)準(zhǔn)商品籃子的價(jià)格在國(guó)際間是相同的。18Purchasing Power Parity and Exchange Rate Determination購(gòu)買(mǎi)力平價(jià)和匯率決定pRelative PPP states that the rate of change in an exchange rate is equal to the differences in the rates of inflation. 相對(duì)購(gòu)買(mǎi)力平價(jià)說(shuō)明匯率的變化率與通貨膨脹率

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%. 若美國(guó)的年通脹率為6%，英國(guó)的年通脹率為4%，則英鎊相對(duì)于美元每年會(huì)升值2%， 即e 2%。19)1)(1 (1$eqPPP Deviations and the Real Exchange Rate購(gòu)買(mǎi)力平價(jià)偏離和實(shí)際匯率實(shí)際匯率 q是用來(lái)衡量購(gòu)買(mǎi)力平價(jià)偏離的。如果購(gòu)買(mǎi)力平價(jià)存在，(1 + e) = (1 + $)/(1 + ), then q = 1 本國(guó)競(jìng)爭(zhēng)力不變If q 1 隨著貨幣的升值

16、，本國(guó)競(jìng)爭(zhēng)力削弱20Evidence on PPP購(gòu)買(mǎi)力平價(jià)的實(shí)證研究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. 但是由購(gòu)買(mǎi)力平價(jià)決定匯率仍能提供一個(gè)有價(jià)值的基準(zhǔn)。21pAn increase (decrease) in the expected rate of inflation will cause a proportionate increase (decrease) in the interest rate in th

18、e country. 一國(guó)預(yù)期通貨膨脹率的升高（降低）將引起該國(guó)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 $ ：實(shí)際利率的期望值E($) ：預(yù)期通貨膨脹率i$ ：名義利率的期望值International Fisher Effect費(fèi)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費(fèi)雪效用23International Fisher Effect費(fèi)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匯率關(guān)系均衡S(F - S)E(e) )-i(i$IRPPPPFEFPPPIFEFEP)($-E25Forecasting Exchange Rates匯率預(yù)測(cè)pEfficient Markets Approach 有效市場(chǎng)理論pFundamental Approach 基本分析法pTechnical Approach 技術(shù)分析法pPerformance of the Forecasters 匯率預(yù)測(cè)的業(yè)績(jī)26Efficient Markets Approach有效市場(chǎng)理論pFinancial Markets a

21、re efficient if prices reflect all available and relevant information. 在金融市場(chǎng)上，如果資產(chǎn)的價(jià)格能完全反映所有可用的相關(guān)信息，那么此時(shí)的金融市場(chǎng)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. 利用有效市場(chǎng)理論預(yù)測(cè)匯率有兩大優(yōu)勢(shì)： (1)不需要花費(fèi)成本；(2)以市場(chǎng)為基礎(chǔ)的預(yù)測(cè)是最優(yōu)的27Fundamental Approach基本分析法pInvolves econometrics to develop models that use a variety of explanatory variables. This involves three steps: 用計(jì)量經(jīng)濟(jì)學(xué)的方法開(kāi)發(fā)出包含一系列變量的模型來(lái)預(yù)測(cè)匯率。nstep 1: Estimate the structural model. 對(duì)構(gòu)建的模型進(jìn)行估計(jì)nstep 2: Es

23、timate future parameter values. 估計(jì)參數(shù)的未來(lái)值nstep 3: Use the model to develop forecasts. 將變量代入模型，預(yù)測(cè)匯率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. 基本分析模型不如遠(yuǎn)期匯率模型，也不如隨機(jī)漫步模型。29Technical Approach技術(shù)分析法pTechnic

24、al analysis looks for patterns in the past behavior of exchange rates. 技術(shù)分析法分析匯率過(guò)去的變動(dòng)情況，以便確定其變化規(guī)律，進(jìn)而再以此預(yù)測(cè)未來(lái)的變動(dòng)情況。pClearly it is based upon the premise that history repeats itself. 顯然它是以歷史重演為前提的。 30Performance of the Forecasters匯率預(yù)測(cè)的業(yè)績(jī)pForecasting is difficult, many firms and investors subscribe to p

25、rofessional forecasting services for a fee. 匯率預(yù)測(cè)有一定的難度，所以許多公司和投資者向?qū)I(yè)機(jī)構(gòu)購(gòu)買(mǎi)預(yù)測(cè)服務(wù)。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、市場(chǎng)狀況總結(jié)如下：i$= 4%; i= 3.5