国际金融英文CHAPTER 5.ppt

IF Chapter 5 CHAPTER 5 What Determines Exchange Rates? Overview Short-run movements in exchange rates Asset market approach to exhange rates Long-term trends Purchasing power parity Monetary approach Tendency for exhange rates to ‘overshoot’ How useful these concepts and relationships really are Uncovered Interest Parity / International Fisher Effect国际费雪效应 Uncovered interest parity (International Fisher Effect, IFE) EUD = (1 + if)*eex/e – (1+ id) = 0 That is, e = eex/(id – if ) For any two countries, the spot exchange rate should change in an equal amount but in the opposite direction to the difference in nominal interest rates between the two countries. 任何两国的即期汇率应随两国间名义利率的不同，按相反的方向作等量的变化。 In asset models, the interrelationship between the demand and supply of the specified assets determines the price of foreign exchange. This approach emphasizes the role of portfolio repositioning by international financial investors. 5.1 Asset Market Approach 资产市场分析理论 Figure 5.2 Exchange Rates: Short Run 5.1 Asset Market Approach 资产市场分析理论 What determines the expectations? Bandwagon effect 跟风效应 Investors may expect the recent trend in the exchange rate will continue. Based on the belief that exchange rates eventually return to values consistent with basic economic conditions. 5.2 Purchasing Power Parity  购买力平价理论 5.2.1 The law of one price 单一价格法则 A product that is easily and freely traded in a perfectly competitive global market should have the same price everywhere, once the prices at different places are expressed in the same currency. 在没有运输费用和贸易壁垒的竞争性市场中，同样的商品当其价格以同样的货币表示时，在不同的国家必须以同样的价格出售。 P = Pf?e 5.2.1 The law of one price 单一价格法则 5.2.1 The law of one price 单一价格法则 The law of one price does not hold closely for most products because Transport costs Trade barriers (not free trade) Imperfectly competitive markets 5.2.2 Absolute Purchasing Power Parity (Absolute PPP) At a point in