财务管理基础financialmanagement清华大学24.pptVIP

Macro Factors Governing Exchange-Rate Behavior The idea that a basket of goods should sell for the same price in two countries, after exchange rates are taken into account. For example, the price of wheat in Canadian and US markets should trade at the same price after adjusting for the exchange rate . If the price of wheat is lower in Canada, then purchasers will buy wheat in Canada as long as the price is cheaper after accounting for transportation costs . Purchasing-Power Parity PPP Macro Factors Governing Exchange-Rate Behavior Thus, demand will fall in the US and increase in Canada to bring prices back into equilibrium. The price elasticity of exports and imports influences the relationship between a country’s exchange rate and its purchasing-power parity. Commodity items and products in mature industries are more likely to conform to PPP. Frictions such as government intervention and trade barriers cause PPP not to hold. Purchasing-Power Parity PPP continued Macro Factors Governing Exchange-Rate Behavior It suggests that if interest rates are higher in one country than they are in another, the former’s currency will sell at a discount in the forward market. Remember that the Fisher effect implies that the nominal rate of interest equals the real rate of interest plus the expected rate of inflation. The international Fisher effect suggests that differences in interest rates between two countries serve as a proxy for differences in expected inflation. Interest-Rate Parity Macro Factors Governing Exchange-Rate Behavior F current forward exchange-rate in foreign currency per dollar. S current spot exchange-rate in foreign currency per dollar. rforeign foreign interbank Euromarket interest rate rdollar US interbank Euromarket interest rate Interest-Rate Parity continued The international Fisher effect suggests: F S 1 + rforeign 1 + rdollar Interest-Rate Parity Example The current German 90-day interest rate is 4%. The current US 90-day inter