汇率决定理论 4.pptVIP

问题： 如果美国和荷兰的利息分别为8%， 4%， 即期汇率1美圆=1.65荷兰盾， 请计算3个月的远期汇率。 年利差为 8%-4%=4% 3个月的利差 1%=（1.65-F）/1.65 F=1.65-0.0165=1.6335 美国利息高, 美圆远期贴水， 3个月远期贬值1%。 远期汇率= 即期汇率-汇水 Suppose that the annual interest rate is 5% in the US and 8% in the UK, and S=$1.50and F=$1.48. Assume that the arbitrager can borrow up to $1,000,000 or GBP666,667. Question: In the example, does IRP hold? 在这个例子中， IRP 成立吗？ Let us first check if IRP is holding under current market conditions. 美国的利率收益 1+Ir_US=1.05 英国的利率收益 (F/S)*(1+Ir_UK)=(1.48/1.50)*1.08=1.0656 英镑的投资收益高 The current market condition is characterized by (1+Ir_US) (F/S)*(1+Ir_UK) IRP is not holding, implying a profitable arbitrage opportunity exists. 因为在美国的利率比英国低， 套利交易可以在美国借资金， 在英国贷出，获取利润。过程如下： 1。 在美国借款100万美圆。 一年后还款105万元。 2。 用100万美圆，买入即期的英镑. 3。 在英国进行投资， 一年以后可以获得?万英镑 4。 在远期外汇市场卖出英镑换成?美圆 一年后， 套利者利润收入为???美圆 Answer: S=$1.50and F=$1.48 $1 million=BP666,667 After a year, we get: BP666,667x1.08=BP720,000 Then we sell the pound to buy US dollar, we get: 1.48xBP720,000=$1.066million The profit from the arbitrage is: $65,600. 即期汇率: S=$0.40/DM F=$0.42/DM. 美圆利率为10%, 马克利率为6%. 问: 是否存在套利机会. Ir –Ir*= (F-S)/S 远期汇率计算: 0.10-0.06=F/0.40 -1 F=$0.40X1.04=$0.4160.42. 远期汇率马克价格高于合理价格, 存在套利机会. 可以卖出远期马克. 汇率决定的货币理论 Money supply determines the price level in the long run. 在长期时, 货币的供给与汇率密切联系. Money supplies in different countries are closely linked to exchange rates in the long run. According to the quantity theory of money: M=KPxY 在国内 Mf=kPf xYf 在国外 货币的供给等于价格水平乘以总收入. M , Mf are the home and foreign money supplies. P , Pf are the price levels and Y and Yf are the real GDP . Taking the ratio of the two equations: P/Pf=(M/Mf) x (Yf/Y) x (kf/k) 将购买力平价和数量等式结合起来 Combining the absolute PPP with the equations, we get: e= P/Pf=(M/Mf) x (Yf/Y) x (kf/k) e= P/Pf=(M/Mf) x (Yf/Y) x (kf/k) The equation shows that a foreign nation will have an appreciating currency (外汇升值, e up) if it has slower money supply growth (M/Mf up) , faster growth in real