Ch外匯資產(chǎn)需求與利率平價學(xué)生

1、 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 change in the currencys exchange rate against other currencyAsset return the percentage inc

2、rease 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 some time period.The Real Rate of Return The rate of return computed by measuring asset valu

3、es 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 the asset can be sold or exchanged for goods; the cost and speed at which savers can dispose o

4、f 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 currencys interest rate is the amount of that currency an individual can earn by lending a uni

5、t 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 deposits. Figure 13-2: Interest Rates on Dollar and Deutschemark Deposits, 1975-1998 The return

6、s 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 return on a euro deposit.Exchange Rates and Asset Returns The dollar rate of return on euro dep

7、osits 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/euro exchange rate over a year.A Simple Rule The expected rate of return difference between dol

8、lar 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$/ = todays dollar/euro exchange rate (number of dollars per euro) Ee$/ = dollar/euro exchange rate (number o

9、f 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 expected rate of return.Table 13-3. A Simple RuleReturn, Risk, and Liquidity in the Foreign E

10、xchange 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 market. Most of the market participants that are influenced by liquidity factors are involved in in

11、ternational 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兌現(xiàn)，調(diào)撥沒有倒閉，管制的嫌疑 in the Foreign Exchange Market When market participants willingly hold the existing

12、supplies of deposits of all currencies, this implies that the foreign exchange market is in equilibrium. 外匯市場均衡1. 外匯市場均衡:當(dāng)市場參與者愿意持有現(xiàn)有的所有各種貨幣存款時,我們稱外匯市場處于均衡狀態(tài)。2. 均衡匯率：使市場參與者愿意持有現(xiàn)有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 go

13、ods or securities in two different markets.Equilibrium in the Foreign Exchange Market Interest Parity:The Basic Equilibrium Condition The basic equilibrium condition The foreign exchange market is in when of all currencies offer the .Equilibrium in the Foreign Exchange Market Interest parity conditi

14、on The expected returns on deposits of any two currencies are equal when measured in the same currency. It implies that potential 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 Exc

15、hange Market匯率決定理論之一-利率平價理論 利率平價是外匯市場的基本均衡條件 1. 當(dāng)所有的貨幣存款都提供相同的預(yù)期收益率時,外匯市場處于均衡狀態(tài)。 2. 用相同貨幣衡量的任意兩種貨幣存款的預(yù)期收益率相等的條件，稱作利率平價條件。 利率平價又稱未抵補利率平價（interest Parity or Uncovered Interest Parity ） How Changes in the Current affect Expected Returns Depreciation of a countrys currency today lowers the expected dome

16、stic currency return 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 Depo

17、sits When EuroperEeE05. 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 0.1001.00Equilib

18、rium in the Foreign 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 Ma

19、rketFigure 3-3: Determination 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 Parit

20、y UIP is a condition 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 decisio

21、n is uncovered, the 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 wo

22、rds, the right-hand-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 t

23、han the foreign interest 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 ca

24、n 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 cur

25、rency. 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

26、 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

27、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 w

28、here 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)

29、/S.拋補利率平價與無拋補利率平價相比的特點 拋補利率平價與無拋補利率平價相比，拋補的利率平價并未對投資者的風(fēng)險偏好做出假定，即套利者在套利的時候，可以在期匯市場上簽訂與套利方向相反的遠期外匯合同（掉期交易），確定在到期日交割時所使用的匯率水平 Covered Interest Parity CIP is helpful in understanding short-term market movements. As an equilibrium condition, it aids in our understanding of potential adjustments in variou

30、s 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 is 5.0% (both expressed as annual rates). The current spot rate is 1.4546 ($/) and the three-month f

31、orward 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 substitute the values into the CIP condition:0.01375 - 0.0125 = (1.4900-1.4546)/1.4546,0.00125 0.0243. Though

32、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.Conclusion Our finding for the previous example indicates that funds would flow from the United States to the

33、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 is the relative price of two assets) responds to factors that alter the rates of return on those two a

34、ssets. 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 related to expected future spot rates. A rise in the expected future exchange rate causes a rise in the

35、 current exchange rate. Similarly, a fall in the expected future exchange rate causes a fall in the current exchange rate. 無拋補利率平價的含義 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。 當(dāng)一種貨幣存款比另一種貨幣存款提供的收益更高時，投資者都試圖把資金轉(zhuǎn)化為收益高的貨幣，該貨幣會相對于另一貨幣升值；反之，貶值。 但是由于遠期還要反向賣出貨幣回收，所以遠期的升貶值正好與即期的方向相反。UIP模型評論1. UIP利率平價理論是一種忽略了許多其它可

36、能影響外匯市場均衡的因素的理想的均衡條件。正如所有的理論（如購買力平價理論）都有其局限性一樣，利率平價在現(xiàn)實中也未必一定成立。例如：如果風(fēng)險因素不可忽略，投資者會要求風(fēng)險較高的貨幣資產(chǎn)具有一定的風(fēng)險溢價，UIP 在現(xiàn)實中經(jīng)常不成立。2. UIP利率平價模型是一個簡單的、不完整的匯率決定理論。3. UIP利率平價其本身即是一個簡單的匯率決定模型，又作為假設(shè)條件之一出現(xiàn)在其它匯率決定模型中。拋補利率平價含義 本國利率高于（低于）外國利率的差額等于本國貨幣的遠期貼水（升水）。 高利率國的貨幣在遠期外匯市場上必定貼水，低利率國的貨幣在該市場上必定升水。如果國內(nèi)利率高于國際利率水平，資金將流入國內(nèi)牟取利

37、潤。 拋補利率平價中，套利者不僅要考慮利率的收益，還要考慮由于匯率變動所產(chǎn)生的收益變動。 對于在一個金融中心里發(fā)行的不同貨幣存款，CIP通常成立； 遠期匯率報價，常通過CIP計算而得。 對遠期匯率的決定作用，主要表現(xiàn)為國際金融市場的套利活動使資金跨國移動，并推動不同國家相似金融工具的收益率趨向一致。CIP模型評論CIP模型評論 自20世紀(jì)20年代利率平價被首次提出后，利率平價受到西方經(jīng)濟學(xué)家的重視。它與購買力平價所不同的是考察資本流動（而不是商品流動）與匯率決定之間的關(guān)系，它從一個側(cè)面闡述了匯率變動的原因。 資本在國際間的流動，利率平價同樣并非是一個完善的匯率決定理論，對其的批評主要有： 利率

38、平價的實現(xiàn)依據(jù)是國際金融市場上的“一價定律”， 但現(xiàn)實中，不僅完善的外匯市場沒有普遍存在，而且許多國家實際對外匯實行管制并對資本流動進行限制。“一價定律”的先決條件 （1）有效的且處于完全自由競爭狀態(tài)的外匯市場。即需要一個有組織的即期和遠期外匯市場，市場的信息能夠非常有效地流通，從而消除可能出現(xiàn)的機會利潤； （2）無市場壁壘，資本在國際間的流動不受任何限制； （3）交易成本很低或可以基本忽略不計。 結(jié)論 在資本具有充分國際流動性的前提下，拋補與無拋補的利率平價均告訴我們：如果本國利率上升，超過利率平價所要求的水平，本幣將會預(yù)期貶值；反之，則升值。 Because the , it is mos

39、t appropriately thought of as being an asset price itself. The basic principle of asset pricing is that an assets current 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 investme

40、nt. If the forward exchange rate is equal to the expected future spot rate, then the forward premium is also equal to 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/$/$/$/$/$/$/$/

41、$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 possible to compute a UIP-consistent spot rate as might be suggested by the approach to this question in the case of PPP and CIP. This i

42、s because we dont observe SeAll tests of UIP face this problem and there are various possible ways of overcoming this, none of them perfect:(i) Use market survey-based forecasts of S.(ii) Use a forecasting model to generate Se.(iii) Assume rational expectations and use the actual future S on the ass

43、umption that the market gets the forecasts right on average to S if just Se with a random error. In this case the expected rate of depreciation is just the actual rate of depreciation. The upshot of this discussion is that . This is rather surprising in the light of the close fit for the CIP model.

44、A comparison of the two models throws some light on this:CIP, UIP and Forward Market EfficiencyRecall CIP and UIP:CIP: (1+i) = F.(1+i*)/SUIP:(1+i) = Se.(1+i*)/SIt is clear that they are equivalent if F = Se. This is the condition of forward market efficiency; i.e. that the forward rate equals the ma

45、rkets forecast of the future spot rate. CIP fits the facts and UIP doesnt. It results from the fact that the condition for forward market efficiency doesnt hold. There has been a great deal of empirical work on this question and while there is still disagreement as to why the condition does not hold

46、, most explanations give an important role to risk premium the fact that taking out fwd cover means that the CIP condition does not involve FX risk but this is not the case for Risk and Liquidity the variability it contributes to savers wealth; Savers dislike uncertainty the ease with which the asset can be sold or exchanged for goods; the cost and speed at which savers can dispose of them.Uncovered Interest Parity Hence, UIP is expressed as:R R* = Se. According to UIP, if the domestic interest rate is greater than the foreign interest rate, the domestic currency