国际金融Chapter2章节(1182KB).pptVIP

Absolute PPP Relative PPP 过渡等式 相对购买力平价说 Inflation rate πt denotes price changes between t and t-1. The U.S. price was nearly 89 percent higher than the China’s Price Countries and regions Prices in local currency Implied PPP of the dollar Actual exchange rate 10/4/92 % over (+) of under(-) valuation of dollar China Yuan 6.30 2.88 6.32 +89 Hong Kong HS$ 8.90 4.06 7.73 +91 Italy Lire 4100 1872 1233 -34 Japan Yen 380 174 133 -24 Singapore S$ 4.75 2.17 1.65 -24 U.S.A. $ 2.19 The hamburger standard, Big Mac Prices A Long-Run Exchange Rate Model Based on PPP, PPP does badly. The actual mark-dollar exchange rate and the PPP-implied exchange rate Empirical Study on PPP PPP 的技术问题： 物价指数的选择：GDP deflator; Wholesale Price Index; Consumer Price Index 商品分类上的可比性：tradable goods; non-tradable goods; commodity basket; 基期和连续数据：It requires data of 100 year or more. 统计数据的检验：Unit-root test; Cointegration test and so on. PPP: an monetary approach? 购买力平价说的理论基础是货币数量说。它假定货币数量是影响货币购买力和物价水平的唯一因素。 The exchange rate is fully determined in the long run by the relative supplies of those monies and the relative real demands for them. It is monetary approach to the exchange rate. (Money supplies, interest rates and output levels) Interest Rate Parity Theory-1 四 利率平价说： 凯恩斯(J.M. Keynes) 1923 Points: 资本从利率低的国家转移至利率高的国家。但同时为防范汇率风险，要将未来收回的投资资本本息远期售出。表现为：利率较高的国家的即期汇率因购买增多而上升，其远期汇率因抛售增多而下跌。一直到两国投资收益相等为止。 The foreign exchange market is in equilibrium when deposits of all currencies offer the same expected rate of return. For Details, Please Click Interest Rate Parity Theory-2 i=本国利率；i*=外国利率； es=直接标价法下的即期汇率； ef=直接标价法下的远期汇率； (1+i)=一单位本币在国内投资到期所获收益； =一单位本币投资国外到期收益； 由于i*比1小得多，故 Today’s dollar/DM exchange rate Interest rate on DM deposits Expected dollar depreciation rate against DM Dollar return on DM deposits 0.395 0.05 -0.03 0.02 0.383 0.05 0.00 0.05 0.375 0.05 0.02 0.07 0.370 0.05 0.035 0.085 0.365 0.05 0.05 0.10 Today’s dollar/DM exchange rate and the expected dollar Return on DM dep