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1、,第一章汇率决定与国际平价条件,基本内容,有关外汇与汇率的基本知识（reference to chapter four)汇率变化幅度的测定汇率变化的影响因素购买力平价利率平价国际费雪效应汇率预测,Foreign exchange(fx)markets,An exchange rate measures the value of one currency in units of another currency.MarketsSpot marketTrade in cash with delivery in two business daysForward marketTrade at a pr
2、e-specified price and on a pre-specified future dateVolume$1.2 trillion average daily volume during 200175%of trade is in the interbank market（75%的交易是银行之间的外汇交易，其日均交易额达1.2trillion 美元）,FX turnover by currency,Source:Bank for International Settlements(),March 2002.Percentages sum to 200 because two cur
3、rencies are involved in each transaction.,Participants in the fx market,Wholesale marketDealers(or market makers)Buy and sell at quoted bid and offer pricesBrokersServe as matchmakers,without putting their own money at risk Retail marketGovernmentsCorporationsSmaller financial institutionsIndividual
4、s,Two rules for multinational finance,Rule#1 Keep track of your units（注意货币单位）Rule#2 Always buy or sell the currency in the denominator of a foreign exchange quote（买卖的货币是指外汇标价中处于分母的货币）,Rule#1 Keep track of your units,A bottle of Georges de Bouef merlotBuy 1 bottle of wine P=40/btlSpot exchange rate S
5、$/=$0.80/S/$=1/S$/=1.25/$How much is this in dollars?P$=PS$/=(40/btl)($0.80/)=$32/btl=P/S/$=(40/btl)/(1.25/$)=$32/btl,Rule#1 Keep track of your units,A bottle of Georges de Bouef merlotBuy 1 bottle of wine P=40/btlSpot exchange rate S$/=$0.80/S/$=1/S$/=1.25/$How much is this in dollars?P$=P S/$=(40/
6、btl)(1.25/$)=250/(btl$)这是什么?因此，Keep track of your currency units!,Rule#2 Think of buying or sellingthe asset in the denominator,先从商品买卖说起，Buying and selling a bottle of wineBuy a bottle at 40/btl and sell at 50/btl 10/btl profit。在这里买卖的对象是分母中的wine。Buying or selling a foreign currency is like buying or
7、 selling any other asset.Buying and selling eurosBuy s at$0.80/and sell at$1.00/Buy s at$0.80/Sell$s at 1.25/$Sell s at$1.00/Buy$s at 1.00/$0.20/profit 0.25/$profit,An example of what can go wrong,如果买卖价格弄错了，即如果Buy$s at$0.80/and sell$s at$1.00/，结果会如何呢？Buy$s at$0.80/Sell s at 1.25/$Sell$s at$1.00/Buy
8、s at 1.00/$0.20/loss 0.25/$lossSo,Always think of buying or sellingthe currency in the denominator!,FX quotation conventions(汇率报价惯例）,European/American quotes for the$European quotes are convenient for a European because they place the foreign currency(the$)in the denominator（银行间报价多为欧式报价，即单位美元的外国货币汇率
9、，因为美元是最经常交易的货币。）欧式标价法对当地人很方便。e.g.1.25/$American quotes are convenient for an American because they place the foreign currency(the)in the denominator美式标价法对美国人很方便。e.g.$0.80/,FX quotation conventions(汇率报价惯例）,Direct/indirect quotes for foreign currency fDirect quotes are convenient for a domestic reside
10、nt because they place the foreign currency in the denominator(d/f);e.g.110.95/for a resident of JapanIndirect quotes are inconvenient for a domestic resident because they place the foreign currency in the numerator(f/d);e.g.110.95/for a resident of Europe,汇率变动幅度的测定,When a currency declines in value,
11、it is said to depreciate.When it increases in value,it is said to appreciate.外国货币相对于本国货币的变动百分比The percentage change(%D)in the value of a foreign currency is computed as:A positive%D represents appreciation of the foreign currency,while a negative%D represents depreciation.本国货币相对于外国货币汇率的变动百分比,人民币兑美元汇
12、率变动,例如：人民币兑美元汇率:2005年7月21日:$1=8.1100RMB2010年3月4日:$1=6.8265RMB请计算美元相对于人民币的变化率和人民币相对于美元的变化率？美元相对于人民币的汇率变动率=（）/8.1100=-15.8%人民币相对于美元的汇率变动率=（8.1100-6.8265)/6.8265=18.8%,人民币兑欧元汇率变动,例如：人民币兑欧元汇率:2005年7月21日:1=10.0641RMB2010年3月4日:1=9.3482RMB欧元相对于人民币的汇率变动率=（）/10.0641=-7.1%人民币相对于欧元的汇率变动率=（10.0641-9.3482)/9.348
13、2=7.7%,RMB.inflation 中国对美国商品的需求增加,因而外汇需求也增加美国对中国商品的需求减少,因而美元外汇供应减少,影响汇率变化的因素,1.Relative Inflation Rates,RMB.interest rates 人民币对美元存款的需求减少,因而外汇需求下降美元对人民币存款的需求增加,因而外汇供给增加,影响汇率变化的因素,2.Relative Interest Rates,RMB.income level 人民币对美国商品需求增加,因而外汇需求上升对外汇供给的影响不无法预测,影响汇率变化的因素,3.Relative Income Levels,S1,4.Gove
14、rnment Controlsimposing foreign exchange barriers（设置外汇交易障碍）,imposing foreign trade barriers（设置贸易障碍）,intervening in the foreign exchange market（干预外汇市场）,affecting macro variables such as inflation,interest rates,and income levels.（影响宏观变量）,影响汇率变化的因素,5.ExpectationsForeign exchange markets react to any n
15、ews that may have a future effect.当市场预计某种货币趋跌时，交易者会大量抛售该货币，造成该货币汇率下浮的事实；反之，当人们预计某种货币趋于坚挺时，又会大量买进该种货币，使其汇率上扬。由于公众预期具有投机性和分散性的特点，加剧了汇率短期波动的振荡。,影响汇率变化的因素,Expectations,Fed chairman suggests Fed isStrengthenedunlikely to cut U.S.interest ratesA possible decline in GermanStrengthenedinterest ratesCentral
16、banks expected toWeakenedintervene to boost the euro,SignalImpact on$Poor U.S.economic indicatorsWeakened,影响汇率变化的因素,6.Speculating自1973年实行浮动汇率制以来，外汇市场的投机活动越演越烈，投机者往往拥有雄厚的实力，可以在外汇市场上推波助澜，使汇率的变动远远偏离其均衡水平。投机的关键内容是低价买入、高价卖出，或者是高价卖出、低价买入。,Purchasing Power Parity,or PPP,1.绝对购买力平价的基本内容The absolute form of P
17、PP,or the“law of one price”（Equivalent assets sell for the same price.）suggests that similar products in different countries should be equally priced when measured in the same currency.这就是绝对购买力的基本公式即，汇率取决于以不同货币衡量的可贸易商品的价格水平之比，也就是不同货币对可贸易商品的购买力之比。,The Law of One Price,Equivalent assets sell for the s
18、ame price(also called purchasing power parity,or PPP)Seldom holds for nontraded assetsCant compare assets that vary in qualityMay not hold precisely when there are market frictions,An example:The world price of gold,SupposeP=250/oz in London P=400/oz in BerlinThe law of one price requires:Pt=Pt St/2
19、50/oz=(400/oz)St/即St/0.6250/or 1/(0.6250/)=1.6000/,Purchasing Power Parity,or PPP,2.相对购买力平价的基本内容The relative form of PPP 认为，即期汇率应根据两国预期的通货膨胀率进行调整。即EStd/f=S0d/f(1+Epd/(1+E(pf)t即RPPP将汇率的涨落归因于物价或货币购买力的变动。RPPP states that the expected appreciation or depreciation of the spot rate is determined by the ex
20、pected inflation differential.If inflation is a known constant in each currency,then RPPP can be stated as EStd/f=S0d/f(1+pd/(1+pft,Arbitrage,If PPP does not hold,then there is an opportunity to lock in a riskless arbitrage profit.有些书上将arbitrage 指为speculative positions，但是，arbitrage is more strictly
21、defined as a profitable position obtained with:No net investment and No risk因此，套利利润是指无净投资和无风险情况下的利润。考虑交易成本，在不存在市场摩擦的情况下，如果一价定律不成立，则存在无风险套利机会。Eg,X银行：Bid A$0.5838/;Offer A$0.5841/Y银行：Bid A$0.5842/;Offer A$0.5845/套利者可以从X银行买进欧元，与此同时，再卖给Y银行，即可赚取无风险利润。因为汇率比为：(Y银行)0.5842/(X银行)0.5841=1.00017121，套利收益率为0.0171
22、2%,The No-Arbitrage Condition,PPP意味着：即期汇率由本国货币资产价格与相同资产的外国货币价格之比决定。如果PPP不成立，则价格差异会使套利有利可图。Pd/Pf=Sd/f Pd=PfSd/fThe No-Arbitrage Condition 非套利条件，即PPP成立。双边套汇的汇率均衡条件SXd/f/SYd/f=1 即SXd/f=SYd/f交叉三角套汇情况下的均衡汇率：Sd/e Se/f Sf/d=1,An example with transactions costs,Gold dealer AGold dealer B,401.40/oz Offer,401
23、.00/oz Bid,250.25/oz Offer,250.00/oz Bid,Buy low from A,Sell high to B,FX dealer1.599/bid1.601/ask,Arbitrage profit,Cross exchange rates and triangular arbitrage,Which way do you go?If Sd/eSe/fSf/d 1,then either Sd/e,Se/f or Sf/d must fall（说明分母货币相对于分子货币价格较高，有下降的可能）For each spot rate,sell the currenc
24、y in the denominator（分母）for the currency in the numerator：即出售分母货币，购买分子货币,Cross exchange rates and triangular arbitrage,SupposeSRbl/$=Rbl 5.000/$S$/Rbl=$0.2000/RblS$/=$0.01000/S/$=100.0/$S/Rbl=20.20/RblSRbl/Rbl 0.04950/SRbl/$S$/S/Rbl=(Rbl 5/$)($.01/)(20.20/Rbl)=1.01 1,Cross exchange rates and triangu
25、lar arbitrage,SRbl/$S$/S/Rbl=1.01 1Currencies in the denominators(分母)are too high relative to the numerators（分子）,（出售分母货币以购买分子货币）：sell dollars and buy rubles：Sell$1 million and buy Rbl 5 millionsell rubles and buy yen：Sell Rbl 5 million and buy 101 million（520.20）sell yen and buy dollars：Sell 101 mil
26、lion yen and buy$1.01 million（1010.01）Profit of$1 million=($1.01-$1)million=0.01 million=10000$or 1%of the initial amount(利润率为1%）,An example of triangular arbitrage,反之也成立。检验过程：根据汇率折算方式，有下式成立：（SRbl/$S$/S/Rbl）-1 S$/Rbl S￥/$SRbl/￥由于S$/Rbl S￥/$SRbl/￥0.21000.049500.991Currencies in the denominators(分母)ar
27、e too low relative to the numerators（分子）,（出售分子货币以购买分母货币）：仍以$1million出发sell dollars and buy rubles：1million/0.2=5million rubles sell rubles and buy yen:5million/0.0495=101million yensell yen and buy dollars:101million/100=1.01million dollarsProfit of$1 million=($1.01-$1)million=0.01 million or 1%of t
28、he initial amount(利润率为1%）,An example of triangular arbitrage,what can go wrong？如果将方向反了，就会带来亏损。例如，当SRbl/$S$/S/Rbl=(Rbl 5/$)($.01/)(20.20/Rbl)=1.01 1却从买进分母货币入手，这样的套利结果是：仍以100万美元出发，就是卖出美元买进日元、然后卖出日元买进卢布，最后卖出卢布买进美元，则有：$100万1/0.011/20.201/5=99.01亏损：99.011000.99万美元。,PPP的图示:Which way do you go?,外国商品的购买力上升,
29、外国商品的购买力下降,C,D,PPP的图示:Which way do you go?,例如,D点,表示国内通货膨胀比国外低3%,但是,外币只贬值了2%,因此,出现了购买力差别,外国商品的购买力低于本国商品的购买力.PPP理论表明在这个例子中外币应该贬值3%,以便完全抵销3%的通货膨胀差额.由于外币没有疲软到这种程度,本国消费者不再继续购买外国的商品,外币需求下降,使外币疲软到PPP理论所预计的水平,因此,D点应移向PPP线PPP线右边或下面的所有点表示对本国商品的购买力大于对外国商品的购买力,PPP的图示：Which way do you go?,例如,C点,表示国内通货膨胀比国外高4%,但是
30、,外币只升值了1%,因此,出现了购买力差别,外国商品的购买力高于本国商品的购买力.PPP理论表明在这个例子中外币应该升值4%,以便完全抵销4%的通货膨胀差额.由于外币没有坚挺到这种程度,本国消费者不再继续购买本国的商品,而是转而购买外国商品,外币需求上升,使外币坚挺到PPP理论所预计的水平,因此,C点应移向PPP线PPP线左边或上面的所有点表示对外国商品的购买力大于对本国商品的购买力.,四、Interest Rate Parity,or IRP,Covered Interest Arbitrage Unconered Interest Arbitrage Ftd/f/S0d/f=(1+id)/
31、(1+if)t=EStd/f/S0d/f=(1+pd)/(1+pf)t where S0d/f=todays spot exchange rate EStd/f=expected future spot rate Ftd/f=forward rate for time t exchange i=a countrys nominal interest rate p=a countrys inflation rate Forward premiums and discounts are entirely determined by interest rate differentials.(远期升贴
32、水几乎完全由利率差异所决定),Interest rate parity:Which way do you go?,Which currency do we borrow and which currency do we lend in order to take advantage of a market disequilibrium?If Ftd/f/S0d/f(1+id)/(1+if)t then so.Ftd/f must fallSell f at Ftd/fS0d/f must riseBuy f at S0d/fid must riseBorrow at id if must fa
33、ll Lend at if,If Ftd/f/S0d/f(1+id)/(1+if)t then so.Ftd/f must riseBuy f at Ftd/fS0d/f must fallSell f at S0d/fid must fallLend at idif must rise Borrow at if,Interest rate parity:Which way do you go?,Interest rate parity is enforced through“covered interest arbitrage”,An Example:Given:i$=7%S0$/=$1.2
34、0/i=3%F1$/=$1.25/F1$/S0$/(1+i$)/(1+i)1.041667 1.038835The fx and Eurocurrency markets are not in equilibrium.,Covered interest arbitrage,1.Borrow$1,000,000 at i$=7%2.Convert$s to s at S0$/=$1.20/3.Invest s at i=3%4.Convert s to$s at F1$/=$1.25/5.Take your profit:$1,072,920-$1,070,000=$2,920,+$1,000,
35、000,+833,333,-$1,000,000,-833,333,-$1,070,000,+858,333,+$1,072,920,-858,333,Rules,If If Ftd/f/S0d/f(1+id)/(1+if)t,then borrow at id,buy S0d/f,lend at id,and sell Fd/fIf If Ftd/f/S0d/f(1+id)/(1+if)t,then borrow at if,sell Sd/f,lend at id,and buy F0d/f.,Forward rates as predictors of future spot rates
36、,Ftd/f=EStd/f that is:Forward rates are unbiased estimates of future spot rates.Ftd/f/S0d/f=EStd/f/S0d/f that is:forward premiums reflect the expected change in the spot exchange rate.Forward rates are not good predictors of future spot rates over short forecasting horizons.At the very least,the lon
37、g time holds.,Exchange rate,Time,S1,S2,S3,S4,F1,F2,F3,Error,Error,Error,The forward rate available today(Ft,t+1),time t,for delivery at future time t+1,is used as a“predictor”of the spot rate that will exist at that day in the future.Therefore,the forecast spot rate for time St2 is F1;the actual spo
38、trate turns out to be S2.The vertical distance between the prediction and the actual spot rate is the forecast error.When the forward rate is termed an“unbiased predictor of the future spot rate,”it means that the forward rateover or underestimates the future spot rate with relatively equal frequenc
39、y and amount.It therefore“misses the mark”in a regular and orderly manner.The sum of the errors equals zero.,Forward Rate as an Unbiased Predictor for Future Spot Rate,IRP的图示：Which way do you go?,Interest Rate Differential(%)home interest rate foreign interest rate,ForwardPremium(%),ForwardDiscount(
40、%),-2,-4,2,4,1,3,-1,-3,IRP line,A,B,X,Y,4,Z,W,iH-iF=2%P=4%本国投资者到外国投资有利,iH-iF=-3%P=-1%本国投资者到外国投资有利,iH-iF=3%P=-2%外国投资者到本国投资有利,iH-iF=-1%P=-3%外国投资者到本国投资有利,Managing for Value:How IRP Affects IBMs Hedge,IBM has some foreign subsidiaries based in Brazil.IBM considers hedging any funds that its Brazilian su
41、bsidiaries plan to remit to the parent.Forward contracts con be used to hedge the future transactions in which the Brazilian real will be converted into dollars.Due to IRP,however,the forward rate of the Brazilian real is unfavorable relative to its spot rate.Since the Brazilian interest rate is hig
42、her than the U.S.interest rate,IRP forces the forward rate of Brazilian real to exhibit a discount.This exchange rate may not be as favorable as the prevailing spot rate at that future time,even if todays spot rate declines over time.,International Fisher relation(Fisher Open hypothesis),Recall the
43、Fisher relation:(1+i)=(1+)(1+p)If real rates of interest are equal across currencies,from the IRP,then(1+id)/(1+if)t=(1+d)(1+pd)t/(1+f)(1+pf)t=(1+pd)/(1+pf)tThis relation is called the international Fisher relation.,International Fisher relation(Fisher Open hypothesis),(1+id)/(1+if)t=(1+pd)/(1+pf)t
44、Speculators will force this relation to hold on averageIf real rates of interest are equal across countries(d=f),then interest rate differentials merely reflect inflation differentialsThis relation is unlikely to hold at any point in time,but should hold in the long run,IFE的图示：Which way do you go?,I
45、nterest Rate Differential(%)home interest rate foreign interest rate,-2,-4,2,4,1,3,-1,-3,IFE line,%D in the foreign currencys spot rate,B,A,投资外国取得高的回报率,投资外国取得较低的回报率,亚洲金融危机期间IFE的运用,根据IFE,在亚洲危机前夕,高利率将不会吸引外国投资,因为高利率意味着汇率的下降.但是,由于一些国家中央银行实行的是固定汇率度,仍然吸引了大量的外国投资.不幸的是,中央银行的这种努力被市场力量所淹没了.结果,东南亚国家贬值 彻底消灭了高利率
46、的收益.,Summary:Intl parity conditions,Interest rates(1+id)/(1+if)t,Inflation rates(1+pd)/(1+pf)t,EStd/f/S0d/fExpected changein the spot rate,Ftd/f/S0d/fForward-spotdifferential,Interestrate parity,RelativePPP,International Fisher relation,Forward rates as predictorsof future spot rates,Exchange Rate F
47、orecasting,Numerous foreign exchange forecasting services exist,many of which are provided by banks and independent consultants.Some multinational firms have their own in-house forecasting capabilities.Predictions can be based on elaborate econometric models,technical analysis of charts and trends,i
48、ntuition,and a certain measure of gall.,Exchange Rate Forecasting,A.Market-Based ForecastingExchange rate forecasts are provide by several of the international parity conditions.EStd/f=Ftd/f forward parityEStd/f=S0d/f(1+id)/(1+if)t a combination of forward and interest rate parityEStd/f=S0d/f(1+pd)/
49、(1+pf)t relative PPP,Market-Based Forecasting,The beauty of market-based forecasts is that anyone with access to a financial newspaper can make them.基于市场的预测法看起来很美！Unfortunately,一方面，它在短期预测上效果差。these forecasts do not work well in the short term.The international parity conditions provide a signal as t
50、o which direction a currency should change in equilibrium.相对于每天汇率的波动而言，this signal is weak。因此，它可用于一年以上的汇率预测。,Market-Based Forecasting,另一方面，国际平价条件对于长期名义汇率的预测也许有是用的，但对于实际汇率的预测却是少有帮助的。Although the international parity conditions are useful for forecasting long-term trends in nominal exchange rate,they
