图表43购买力平价说.PPT

Parity Conditions in International Finance and Currency Forecasting Chapter 4 國際金融平價條件與外匯預測 4.1 套利與單一價格法則 4.2 購買力平價說 4.3 費雪效果 4.4 國際費雪效果 4.5 利率平價理論 4.6 遠期匯率與未來即期匯率的關係 ARBITRAGE(套利)AND THE LAW OF ONE PRICE(單一價格法則) Five Parity Conditions Result From Arbitrage Activities 1. Purchasing Power Parity (PPP) 2. The Fisher Effect (FE) 3. The International Fisher Effect (IFE) 4. Interest Rate Parity (IRP) 5. Unbiased Forward Rate (UFR) PART I. ARBITRAGE(套利)AND THE LAW OF ONE PRICE(單一價格法則) I. THE LAW OF ONE PRICE A. Law states: Identical goods sell for the same price worldwide. B. Theoretical basis: If the price after exchange-rate adjustment were not equal, arbitrage in the goods worldwide ensures eventually it will. 套利與單一價格法則 套利(arbitrage) 在不同的市場，同時買、賣相同的資產或商品以賺取其價差。 單一價格法則： 單一價格法則是說全球可交易的相同的商品及資產，經匯率調整後的價格，必須是相等的，頂多只差交易成本。 ARBITRAGE(套利)AND THE LAW OF ONE PRICE(單一價格法則) C. Five Parity Conditions Linked by The adjustment of rates and prices to inflation ARBITRAGE AND THE LAW OF ONE PRICE D. Inflation and home currency depreciation are: 1. Jointly determined by the growth of domestic money supply (Ms) and 2. Relative to the growth of domestic money demand. 五大平價條件 共同起源： 各種比率及價格對通貨膨脹的調整。根據現代貨幣理論，通貨膨脹乃是貨幣供給擴張超過實質產出成長的必然結果。 貨幣中立性： 貨幣供給成長、通貨膨脹率、利率和匯率，這些都可透過套利而連結在一起。 通貨膨脹 通貨膨脹與貨幣貶值會一同受到國內貨幣供給成長相對於需求成長的影響。 PART II.PURCHASING POWER PARITY I. THE THEORY OF PURCHASING POWER PARITY(購買力平價說) states that spot exchange rates between currencies will change to the differential in inflation rates between countries. PURCHASING POWER PARITY II. RELATIVE PURCHASING POWER PARITY(相對版的購買力平價說) A. states that the exchange rate of one currency against another will adjust to reflect changes in the price levels of the two countries. 絕對版的購買力平價說 主張： 一單位本國貨幣(HC)在全世界應有相同的購買力。 範例：大麥克指數(Big Mac Index) 假設： 自由貿易將使任一商品在所有國家的價格均相等，否則將存在套利機會）。 缺點： 忽視運輸成本、關稅、配額與其他限制對自由貿易的影響，也忽略了產品的差異化。 相對版的購買力平價說 主張： 本國貨幣