（66页PPT）wktmp国际金融任康钰第04章.pptVIP

EffectofaRiseintheDollarInterestRateAdepreciationoftheeuroisanappreciationofthedollar.13-*EffectofaRiseintheEuroInterestRateTheEffectofanExpectedAppreciationoftheEuroIndividualsandinstitutionsnowexpecttheeurotoappreciateUIPinPracticeUncoveredinterestparityishardtomeasure:requiresexpectedfutureexchangeratesSurveydatadoesnotmatchuppreciselywithUIPStatisticalforecastsdifferfromUIPaswell2.2CoveredInterestRateParity(CIRP)放松UIRP中关于投资者风险中性的假设。以例子进行推导：见教材公式：i:interestrateindomesticmarket;e*:forwardrate;i*:interestrateinforeignmarket;e:spotrate.f=e*/e–1:远期升（贴）水率Theforwardpremium(discount):theproportionbywhichacountry’sforwardexchangerateexceeds(fallbelow)itsspotrate.(directquotation)(1+i)=(1+i*)(f+1)i≈i*+f:本国利率=外国利率+远期汇率变化率CIRP：Thedomesticinterestratemustbehigher(lower)thantheforeigninterestratebyanamountequaltotheforwarddiscount(premium)onthedomesticcurrency.本国利率高于（低于）外国利率的差额等于本国货币的远期贴（升）水率。规定了短期汇率波动的界限，较好地反映某省市场尤其是开放程度较高某省市场上汇率波动的特点。比如在欧某省市场上远期汇率就是利用两种货币的利率差异来计算的。Coveredinterestrateparity–thefactsThree(tosomeextentoverlapping)conditionsarerequiredforcoveredinterestrateparitytohold:(1)?Theremustbesufficientspeculationfundsavailable（资金量要大，没有管制）(2)?Weneedtheforeignexchangemarkets,spotorforward,tobeorganized,withwell-definedandwell-publicizedratesfreelyavailabletoagroupofinformedtraderswhoaremittedtoexploitinganyprofitopportunitiesthatcropup.(3)?Transactioncostsarelowenoughtobenegligible.Levich(1979)concludedthat:“Overall,theevidencesupportstheviewthat…therearefewunexploitedopportunitiesforrisk-freeprofitincoveredinterestarbitrage.”缺陷—对应上面的条件要求没有考虑投机交易；没有考虑交，但它很重要，会影响套利收益；假定不存在资本流动障碍，资金能顺利、不受限制地在国际间流动，但实际上存在外汇管制某省市场不发达等因素的障碍。假定套利资金规模是无限的，套利者能不断进行抛补套利，直到利率平价成立。但事实上