13-Ch14-2外汇资产需求与利率平价学生.pptVIP

* * Uncovered Interest Parity Likewise, if the domestic interest rate is less than the foreign interest rate, the domestic currency is expected to appreciate over the relevant time period. UIP can be useful in understanding why funds may flow from one economy to another. UIP as an Equilibrium Condition Consider the following situation: R – R* ?Se, with both sides positive. The interest differential in favor of the domestic financial instrument exceeds the expected depreciation of the domestic currency. In this case, and ignoring transaction costs, the saver would be induced to reallocate their funds and we would expect funds to flow to the domestic economy. UIP as an Equilibrium Condition Consider the following situation: R – R* ?Se, with both sides positive. The interest differential in favor of the domestic financial instrument is less than the expected depreciation of the domestic currency. In this case, and ignoring transaction costs, the saver would be induced to reallocate their funds and we would expect funds to flow to the foreign economy economy. UIP as an Equilibrium Condition The various scenarios that are possible can be summarized in a single diagram, the UIP parity grid. The UIP grid graphs the interest differential on the horizontal axis and the expected change in the spot exchange rate on the vertical axis. Points on a 45 degree line bisecting the grid indicate points where UIP holds. Covered Interest Parity Covered interest parity is a condition that relates interest differentials to the forward premium or discount. It begins with the interest parity condition: (1+R) = (1+R*)(F/S) The condition can be rewritten, and with a slight approximation, yields: R- R* = (F-S)/S. 抛补利率平价与无抛补利率平价相比的特点 抛补利率平价与无抛补利率平价相比，抛补的利率平价并未对投资者的风险偏好做出假定，即套利者在套利的时候，可以在期汇市场上签订与套利方向相反的远期外汇合同（掉期交易），确定在到期日交割时所使用的汇率水平 Covered Interest Parity CIP is helpful in understanding short-term market movements. As an equilibrium condition, it aids in our understanding of potential