Ch外匯資產(chǎn)需求與利率平價(jià)學(xué)生

1、 ch14.2 the demand for foreign currency assets and interest parity(此部分在英文書的此部分在英文書的p334p347) the demand for a foreign currency bank deposit is influenced by the same considerations that influence the demand for any other asset. what will the deposit be worth in the future? the interest rate expected

2、 change in the currencys exchange rate against other currencyasset return the percentage increase in value it offers over some time period. your decision must be based on an rate of return. the expected real rate of return. defining asset returns the percentage increase in value an asset offers over

3、 some time period. the real rate of return the rate of return computed by measuring asset values in terms of some broad representative basket of products that savers regularly purchase.risk and liquidity the variability it contributes to savers wealth; savers dislike uncertainty the ease with which

4、the asset can be sold or exchanged for goods; the cost and speed at which savers can dispose of them.interest rates market participants need two pieces of information in order to compare returns on different deposits: how the money values of the deposits will change how exchange rates will change a

5、currencys interest rate is the amount of that currency an individual can earn by lending a unit of the currency for a year. example: at a dollar interest rate of 10% per year, the lender of $1 receives $1.10 at the end of the year. the depositor is acquiring an asset denominated in the currency it d

6、eposits. figure 13-2: interest rates on dollar and deutschemark deposits, 1975-1998 the returns on deposits traded in the foreign exchange market depend on interest rates and expected exchange rate changes. in order to decide whether to buy a euro or a dollar deposit, one must calculate the dollar r

7、eturn on a euro deposit.exchange rates and asset returns the dollar rate of return on euro deposits is approximately the euro interest rate plus the rate of depreciation of the dollar against the euro. the rate of depreciation of the dollar against the euro is the percentage increase in the dollar/e

8、uro exchange rate over a year.a simple rule the expected rate of return difference between dollar and euro deposits is: r$ - r + (ee$/ - e$/ )/e$/ = r$ - r - (ee$/ -e$/ )/e$/ (13-1)where: r$ = interest rate on one-year dollar depositsr= todays interest rate on one-year euro deposits e$/ = todays dol

9、lar/euro exchange rate (number of dollars per euro) ee$/ = dollar/euro exchange rate (number of dollars per euro) expected to prevail a year from today when the difference above is positive, dollar deposits yield the higher expected rate of return; when it is negative, euro deposits yield the higher

10、 expected rate of return.table 13-3. a simple rulereturn, risk, and liquidity in the foreign exchange market the demand for foreign currency assets depends not only on returns but on risk and liquidity. there is no consensus among economists about the importance of risk in the foreign exchange marke

11、t. most of the market participants that are influenced by liquidity factors are involved in international trade. because payments connected with international trade make up a very small fraction of total foreign exchange transactions, we for holding foreign currencies. 微觀管理： 利率，資產(chǎn)收益在除去通貨膨脹以后隨時(shí)兌現(xiàn)，調(diào)撥沒

12、有倒閉，管制的嫌疑 in the foreign exchange market when market participants willingly hold the existing supplies of deposits of all currencies, this implies that the foreign exchange market is in equilibrium. 外匯市場(chǎng)均衡外匯市場(chǎng)均衡1. 外匯市場(chǎng)均衡外匯市場(chǎng)均衡:當(dāng)市場(chǎng)參與者愿意持有當(dāng)市場(chǎng)參與者愿意持有現(xiàn)有的所有各種貨幣存款時(shí)現(xiàn)有的所有各種貨幣存款時(shí),我們稱外我們稱外匯市場(chǎng)處于均衡狀態(tài)。匯市場(chǎng)處于均衡狀態(tài)。

13、2. 均衡匯率：使市場(chǎng)參與者愿意持有現(xiàn)有均衡匯率：使市場(chǎng)參與者愿意持有現(xiàn)有的所有各種貨幣存款的匯率的所有各種貨幣存款的匯率 the of a sum of money expressed in terms of a different currency at a fixed, official rate of exchange. of goods or securities in two different markets.equilibrium in the foreign exchange market interest parity:the basic equilibrium condi

14、tion the basic equilibrium condition the foreign exchange market is in when of all currencies offer the .equilibrium in the foreign exchange market interest parity condition the expected returns on deposits of any two currencies are equal when measured in the same currency. it implies that potential

15、 holders of foreign currency deposits view them all as equally desirable assets. the expected rates of return are equal when:eeeeeeeerr/$/$/$equilibrium in the foreign exchange market匯率決定理論之一匯率決定理論之一-利率平價(jià)理論利率平價(jià)理論 利率平價(jià)是外匯市場(chǎng)的基本均衡條件利率平價(jià)是外匯市場(chǎng)的基本均衡條件 1. 當(dāng)所有的貨幣存款都提供相同的預(yù)期收當(dāng)所有的貨幣存款都提供相同的預(yù)期收益率時(shí)益率時(shí),外匯市場(chǎng)處于均衡狀態(tài)

16、。外匯市場(chǎng)處于均衡狀態(tài)。 2. 用相同貨幣衡量的任意兩種貨幣存款的用相同貨幣衡量的任意兩種貨幣存款的預(yù)期收益率相等的條件，稱作利率平價(jià)條件。預(yù)期收益率相等的條件，稱作利率平價(jià)條件。 利率平價(jià)又稱未抵補(bǔ)利率平價(jià)（利率平價(jià)又稱未抵補(bǔ)利率平價(jià)（interest parity or uncovered interest parity ） how changes in the current affect expected returns depreciation of a countrys currency today lowers the expected domestic currency ret

17、urn on foreign currency deposits. appreciation of the domestic currency today raises the domestic currency return expected of foreign currency deposits.equilibrium in the foreign exchange market table 13-4: todays dollar/euro exchange rate and the expected dollar return on euro deposits when europer

18、eee05. 1$/$figure 3-2: the relation between the current dollar/euro exchange rate and the expected dollar return on euro depositsexpected dollar return on euro deposits, r + (ee$/ - e$/)/(e$/) todays dollar/euro exchange rate, e$/1.021.031.051.070.0310.0500.0690.079 0.1001.00equilibrium in the forei

19、gn exchange market the equilibrium exchange rate exchange rates always adjust to maintain interest parity. assume that the dollar interest rate r$, the euro interest rate r, and the expected future dollar/euro exchange rate ee$/, are all given. equilibrium in the foreign exchange marketfigure 3-3: d

20、etermination of the equilibrium dollar/euro exchange rater$return on dollar depositsrates of return(in dollar terms)exchange rate, e$/e2$/21e1$/e3$/3expected return on euro depositsequilibrium in the foreign exchange marketuncovered interest parity（此部分英文書上沒有）uncovered interest parity uip is a condit

21、ion relating interest differentials to an expected change in the spot exchange rate of the domestic currency. if foreign exchange risk is not hedged when purchasing a foreign financial instrument, the transaction is said to be uncovered.uncovered interest parity if a savings decision is uncovered, t

22、he individual is basing their decision on their expectation of the future spot exchange rate. the expected future spot exchange rate is expressed as se+1.uncovered interest parity using this expression for the expected future spot rate, uip can be written as:r r* = (se+1 s)/s. in words, the right-ha

23、nd-side of the uip condition is the expected change in the spot rate over the relevant time period. we can express the expected change in the spot rates as se.uncovered interest parity hence, uip is expressed as:r r* = se. according to uip, if the domestic interest rate is greater than the foreign i

24、nterest rate, the domestic currency is expected to depreciate over the relevant time period.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 un

25、derstanding 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 ca

26、se, 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 fin

27、ancial 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

28、 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.co

29、vered 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.拋補(bǔ)利率平價(jià)與無拋補(bǔ)利率平價(jià)

30、拋補(bǔ)利率平價(jià)與無拋補(bǔ)利率平價(jià)相比的特點(diǎn)相比的特點(diǎn) 拋補(bǔ)利率平價(jià)與拋補(bǔ)利率平價(jià)與無拋補(bǔ)利率平價(jià)無拋補(bǔ)利率平價(jià)相比，相比，拋補(bǔ)的利率平價(jià)并未對(duì)投資者的拋補(bǔ)的利率平價(jià)并未對(duì)投資者的風(fēng)險(xiǎn)偏風(fēng)險(xiǎn)偏好好做出假定，即做出假定，即套利者套利者在在套利套利的時(shí)候，的時(shí)候，可以在可以在期匯期匯市場(chǎng)市場(chǎng)上簽訂與上簽訂與套利套利方向相反方向相反的的遠(yuǎn)期外匯遠(yuǎn)期外匯合同（合同（掉期交易掉期交易），確定在），確定在到期日到期日交割交割時(shí)所使用的時(shí)所使用的匯率匯率水平水平 covered interest parity cip is helpful in understanding short-term market mo

31、vements. as an equilibrium condition, it aids in our understanding of potential adjustments in various financial markets. these adjustments occur if there is a flow of savings from one nation to another.example suppose the 90-day u.s. interest rate is 5.5% while the u.k. rate on a similar instrument

32、 is 5.0% (both expressed as annual rates). the current spot rate is 1.4546 ($/) and the three-month forward rate is 1.4900. to use the uncovered interest parity condition, we must convert the interest rates to quarterly values:(0.055)/(12/3) = 0.01375 and (0.05)/(12/3) = 0.0125.example now substitut

33、e the values into the cip condition:0.01375 - 0.0125 = (1.4900-1.4546)/1.4546,0.00125 0.0243. though the interest rate on the u.s. instrument is higher than that on the u.k. instrument, the difference is outweighed by the depreciation (forward discount) of the dollar over the time interval.conclusio

34、n our finding for the previous example indicates that funds would flow from the united states to the united kingdom. this flow of funds could impact interest rates in both countries, the forward exchange rate, and the spot rate.interest rates, expectations, and equilibrium the exchange rate (which i

35、s the relative price of two assets) responds to factors that alter the rates of return on those two assets. an paid on deposits of a currency causes that currency to against foreign currencies. forward rates contain little information useful in predicting future spot rates. forward rates might be re

36、lated to expected future spot rates. a rise in the expected future exchange rate causes a rise in the current exchange rate. similarly, a fall in the expected future exchange rate causes a fall in the current exchange rate. 無拋補(bǔ)利率平價(jià)的含義無拋補(bǔ)利率平價(jià)的含義 本國利率高于（低于）外國利率的差額等于本本國利率高于（低于）外國利率的差額等于本國貨幣的預(yù)期貶值（升值）幅度。

37、國貨幣的預(yù)期貶值（升值）幅度。 當(dāng)一種貨幣存款比另一種貨幣存款提供的收益當(dāng)一種貨幣存款比另一種貨幣存款提供的收益更高時(shí)，投資者都試圖把資金轉(zhuǎn)化為收益高的更高時(shí)，投資者都試圖把資金轉(zhuǎn)化為收益高的貨幣，該貨幣會(huì)相對(duì)于另一貨幣升值；反之，貨幣，該貨幣會(huì)相對(duì)于另一貨幣升值；反之，貶值。貶值。 但是由于遠(yuǎn)期還要反向賣出貨幣回收，所以遠(yuǎn)但是由于遠(yuǎn)期還要反向賣出貨幣回收，所以遠(yuǎn)期的升貶值正好與即期的方向相反。期的升貶值正好與即期的方向相反。uip模型評(píng)論模型評(píng)論1. uip利率平價(jià)理論是一種忽略了許多其它可能影響外利率平價(jià)理論是一種忽略了許多其它可能影響外匯市場(chǎng)均衡的因素的理想的均衡條件。正如所有的匯市場(chǎng)均

38、衡的因素的理想的均衡條件。正如所有的理論（如購買力平價(jià)理論）都有其局限性一樣，利理論（如購買力平價(jià)理論）都有其局限性一樣，利率平價(jià)在現(xiàn)實(shí)中也未必一定成立。率平價(jià)在現(xiàn)實(shí)中也未必一定成立。例如：如果風(fēng)險(xiǎn)因素不可忽略，投資者會(huì)要求風(fēng)險(xiǎn)較例如：如果風(fēng)險(xiǎn)因素不可忽略，投資者會(huì)要求風(fēng)險(xiǎn)較高的貨幣資產(chǎn)具有一定的風(fēng)險(xiǎn)溢價(jià)，高的貨幣資產(chǎn)具有一定的風(fēng)險(xiǎn)溢價(jià)，uip 在現(xiàn)實(shí)中在現(xiàn)實(shí)中經(jīng)常不成立。經(jīng)常不成立。2. uip利率平價(jià)模型是一個(gè)簡單的、不完整的匯率決定利率平價(jià)模型是一個(gè)簡單的、不完整的匯率決定理論。理論。3. uip利率平價(jià)其本身即是一個(gè)簡單的匯率決定模型，利率平價(jià)其本身即是一個(gè)簡單的匯率決定模型，又作為假

39、設(shè)條件之一出現(xiàn)在其它匯率決定模型中。又作為假設(shè)條件之一出現(xiàn)在其它匯率決定模型中。拋補(bǔ)利率平價(jià)含義拋補(bǔ)利率平價(jià)含義 本國利率高于（低于）外國利率的差額等于本本國利率高于（低于）外國利率的差額等于本國貨幣的遠(yuǎn)期貼水（升水）。國貨幣的遠(yuǎn)期貼水（升水）。 高利率高利率國的貨幣在遠(yuǎn)期外匯市場(chǎng)上必定國的貨幣在遠(yuǎn)期外匯市場(chǎng)上必定貼水貼水，低利率低利率國的貨幣在該市場(chǎng)上必定國的貨幣在該市場(chǎng)上必定升水升水。如果國。如果國內(nèi)利率高于國際利率水平，資金將流入國內(nèi)牟內(nèi)利率高于國際利率水平，資金將流入國內(nèi)牟取利潤。取利潤。 拋補(bǔ)利率平價(jià)中，套利者不僅要考慮利率的收拋補(bǔ)利率平價(jià)中，套利者不僅要考慮利率的收益，還要考慮由于

40、匯率變動(dòng)所產(chǎn)生的收益變動(dòng)。益，還要考慮由于匯率變動(dòng)所產(chǎn)生的收益變動(dòng)。 對(duì)于在一個(gè)金融中心里發(fā)行的不同貨幣對(duì)于在一個(gè)金融中心里發(fā)行的不同貨幣存款，存款，cip通常成立；通常成立； 遠(yuǎn)期匯率報(bào)價(jià)，常通過遠(yuǎn)期匯率報(bào)價(jià)，常通過cip計(jì)算而得。計(jì)算而得。 對(duì)遠(yuǎn)期匯率的決定作用，主要表對(duì)遠(yuǎn)期匯率的決定作用，主要表現(xiàn)為國際金融市場(chǎng)的套利活動(dòng)使資金現(xiàn)為國際金融市場(chǎng)的套利活動(dòng)使資金跨國移動(dòng)，并推動(dòng)不同國家相似金融跨國移動(dòng)，并推動(dòng)不同國家相似金融工具的收益率趨向一致。工具的收益率趨向一致。cip模型評(píng)論模型評(píng)論cip模型評(píng)論模型評(píng)論 自自20世紀(jì)世紀(jì)20年代利率平價(jià)被首次提出后，利率年代利率平價(jià)被首次提出后，利率

41、平價(jià)受到西方經(jīng)濟(jì)學(xué)家的重視。它與購買力平平價(jià)受到西方經(jīng)濟(jì)學(xué)家的重視。它與購買力平價(jià)所不同的是考察資本流動(dòng)（而不是商品流動(dòng)）價(jià)所不同的是考察資本流動(dòng)（而不是商品流動(dòng)）與匯率決定之間的關(guān)系，它從一個(gè)側(cè)面闡述了與匯率決定之間的關(guān)系，它從一個(gè)側(cè)面闡述了匯率變動(dòng)的原因。匯率變動(dòng)的原因。 資本在國際間的流動(dòng)，利率平價(jià)同樣并非是一資本在國際間的流動(dòng)，利率平價(jià)同樣并非是一個(gè)完善的匯率決定理論，對(duì)其的批評(píng)主要有：個(gè)完善的匯率決定理論，對(duì)其的批評(píng)主要有： 利率平價(jià)的實(shí)現(xiàn)依據(jù)是國際金融市場(chǎng)上的利率平價(jià)的實(shí)現(xiàn)依據(jù)是國際金融市場(chǎng)上的“一價(jià)定律一價(jià)定律”， 但現(xiàn)實(shí)中，不僅完善的外匯市但現(xiàn)實(shí)中，不僅完善的外匯市場(chǎng)沒有普遍存

42、在，而且許多國家實(shí)際對(duì)外匯實(shí)場(chǎng)沒有普遍存在，而且許多國家實(shí)際對(duì)外匯實(shí)行管制并對(duì)資本流動(dòng)進(jìn)行限制。行管制并對(duì)資本流動(dòng)進(jìn)行限制?！耙粌r(jià)定律一價(jià)定律”的先決條件的先決條件 （1）有效的且處于完全自由競(jìng)爭(zhēng)狀態(tài)的）有效的且處于完全自由競(jìng)爭(zhēng)狀態(tài)的外匯市場(chǎng)。即需要一個(gè)有組織的即期和遠(yuǎn)期外匯市場(chǎng)。即需要一個(gè)有組織的即期和遠(yuǎn)期外匯市場(chǎng)，市場(chǎng)的信息能夠非常有效地流通，外匯市場(chǎng)，市場(chǎng)的信息能夠非常有效地流通，從而消除可能出現(xiàn)的機(jī)會(huì)利潤；從而消除可能出現(xiàn)的機(jī)會(huì)利潤； （2）無）無市場(chǎng)壁壘市場(chǎng)壁壘，資本在國際間的流動(dòng)，資本在國際間的流動(dòng)不受任何限制；不受任何限制； （3）交易成本交易成本很低或可以基本忽略不計(jì)。很低或可

43、以基本忽略不計(jì)。 結(jié)論結(jié)論 在資本具有充分國際流動(dòng)性的前提在資本具有充分國際流動(dòng)性的前提下，拋補(bǔ)與無拋補(bǔ)的利率平價(jià)均告訴我下，拋補(bǔ)與無拋補(bǔ)的利率平價(jià)均告訴我們：如果本國利率上升，超過利率平價(jià)們：如果本國利率上升，超過利率平價(jià)所要求的水平，本幣將會(huì)預(yù)期貶值；反所要求的水平，本幣將會(huì)預(yù)期貶值；反之，則升值。之，則升值。 because the , it is most appropriately thought of as being an asset price itself. the basic principle of asset pricing is that an assets curr

44、ent value depends on its expected future purchasing power. savers care about an . the interest parity relationship can also be used to illustrate the concept of on a foreign investment. if the forward exchange rate is equal to the expected future spot rate, then the forward premium is also equal to

45、the expected change in the exchange rate and will hold. (i.e., the expected change in the exchange rate is equal to the interest differential.)eeeeeeeeeeeeefeeerreefrr/$/$/$/$/$/$/$/$covered transactions do not involve exchange rate risk, non-covered transactions do.empirical evidence: does uip fit the facts? in this case it is not immediately possibl