Chap006尤恩,国际财务管理,英文第五版.pptVIP

Chapter Outline Interest Rate Parity Covered Interest Arbitrage IRP and Exchange Rate Determination Currency Carry Trade Reasons for Deviations from IRP Purchasing Power Parity PPP Deviations and the Real Exchange Rate Evidence on Purchasing Power Parity The Fisher Effects Forecasting Exchange Rates Efficient Market Approach Fundamental Approach Technical Approach Performance of the Forecasters Evidence on PPP PPP probably doesn’t hold precisely in the real world for a variety of reasons. Haircuts cost 10 times as much in the developed world as in the developing world. Film, on the other hand, is a highly standardized commodity that is actively traded across borders. Shipping costs, as well as tariffs and quotas, can lead to deviations from PPP. PPP-determined exchange rates still provide a valuable benchmark. Approximate Equilibrium Exchange Rate Relationships E(?$ – ?￡) ≈ IRP ≈ PPP ≈ FE ≈ FRPPP ≈ IFE ≈ FEP S F – S E(e) (i$ – i￥) The Exact Fisher Effects An increase (decrease) in the expected rate of inflation will cause a proportionate increase (decrease) in the interest rate in the country. For the U.S., the Fisher effect is written as: 1 + i$ = (1 + ?$ ) × E(1 + ?$) Where: ?$ is the equilibrium expected “real” U.S. interest rate. E(?$) is the expected rate of U.S. inflation. i$ is the equilibrium expected nominal U.S. interest rate. International Fisher Effect If the Fisher effect holds in the U.S., 1 + i$ = (1 + ?$ ) × E(1 + ?$) and the Fisher effect holds in Japan, 1 + i￥ = (1 + ?￥ ) × E(1 + ?￥) and if the real rates are the same in each country, ?$ = ?￥ then we get the International Fisher Effect: E(1 + ?￥) E(1 + ?$) 1 + i$ 1 + i￥ = International Fisher Effect If the International Fisher Effect holds, then forward rate PPP holds: E(1 + ?￥) E(1 + ?$) 1 + i$ 1 + i￥ = and if IRP also holds, 1 + i$ 1 + i￥ S￥/$ F￥/$ = E(1 + ?￥) E(1 + ?$) = S￥/$ F￥/$ PPP FRPPP FE FEP IFE Exact Equilibrium Exchange Rate Relationships IRP E(1 + ?￥) E(1