國際投資第二章Foreign Exchange Parity Relations

1、Copyright 2009 Pearson Prentice Hall. All rights reserved.Chapter 2Foreign Exchange Parity RelationsCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 2OutlineForeign exchange fundamentalsInternational parity relationsExchange rate determination theoriesCopyright 2009 Pearson Prentice Hal

2、l. All rights reserved.2 - 3IntroductionIn this chapter we look at (in details):Foreign exchange fundamentals; in particular the balance of payments and exchange rate regimes.Describe the factors that cause a nations currency to appreciate or depreciate. International parity relations.Define and dis

3、cuss the International Fisher relation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 4IntroductionDiscuss the implications of the parity relationships combined.Exchange rate determination theories and their potential implications.Discuss the asset markets approach to pricing exchange

4、 rate expectations.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 51.1Supply and Demand for Foreign ExchangeIn general, there are many types of transactions that affect the demand and supply of one national currency.Eg：EURO:USD=1.25 EURO:USD=1.5Copyright 2009 Pearson Prentice Hall. Al

5、l rights reserved.2 - 6Exhibit 2.1: Foreign Exchange Market EquilibriumCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 7 ？What are the OTHER types of factors affect the demand and supply of one national currency in the transactions？ From an accounting viewpoint, each country keeps trac

6、k of the payments on all international transactions in its balance of payments.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 81.2 Balance of PaymentsThe balance of payments tracks all financial flows crossing a countrys borders during a given period (a quarter or a year).A balance of

7、 payments is not an income statement nor a balance sheet.The convention is to treat all financial inflows as a credit to the balance of payments.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 9Balance of PaymentsAn export, for example, creates a financial inflow for the home country,

8、whereas an import creates an outflow.There are two main categories:Current accountFinancial accountCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 10概念的產(chǎn)生和含義國際間的經(jīng)濟(jì)交易必然會(huì)產(chǎn)生貨幣性和非貨幣性的支付問題。由此引起了國際收支統(tǒng)計(jì)和對(duì)國際收支進(jìn)行分析的問題。 根據(jù)IMF的解釋，一國的國際收支（Balance of Payments）是指一國（或地區(qū)）的居民居民在一定時(shí)期內(nèi)（一年、一季度、一月）與非居民非居民之

9、間的經(jīng)濟(jì)交易經(jīng)濟(jì)交易的系統(tǒng)記錄。Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 11有關(guān)國際收支概念的幾點(diǎn)說明經(jīng)濟(jì)交易居民和非居民國際收支和國際借貸Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 12經(jīng)濟(jì)交易IMF所給出的國際收支概念包含全部國際經(jīng)濟(jì)交易，是以交易為基礎(chǔ)(on Transaction Basis)。目前各國普遍采用的正是這一廣義的國際收支概念Copyright 2009 Pearson Prentice Hall. All ri

10、ghts reserved.2 - 13不同時(shí)期的國際收支記錄不同的經(jīng)濟(jì)交易之前國際收支被用來描述一個(gè)國家的外匯收支。外匯收支，即一經(jīng)濟(jì)體在一定時(shí)期內(nèi)必須同其他國家立即以貨幣結(jié)清的各種到期收付的差額。它所包含的經(jīng)濟(jì)交易都是以現(xiàn)金支付為基礎(chǔ)（on cash payment basis）。那些不引起現(xiàn)金支付的交易，如補(bǔ)償貿(mào)易、易貨貿(mào)易、實(shí)物形式的無償援助以及清算支付協(xié)定下的記帳貿(mào)易等，都沒有被包括在外匯收支里。目前IMF所給出的國際收支概念包含全部國際經(jīng)濟(jì)交易，是以交易為基礎(chǔ)(on Transaction Basis)。 Copyright 2009 Pearson Prentice Hall.

11、All rights reserved.2 - 14IMF國際收支概念中的經(jīng)濟(jì)交易分為五類金融資產(chǎn)與商品和勞務(wù)之間的交換，即以貨幣貨幣為媒介商品和勞務(wù)的買賣；商品和勞務(wù)與商品和勞務(wù)之間的交換，即物物物物交換；金融資產(chǎn)和金融資產(chǎn)之間交換；無償?shù)摹蜗虻纳唐泛蛣趧?wù)轉(zhuǎn)移；無償?shù)摹蜗虻慕鹑谫Y產(chǎn)轉(zhuǎn)移。Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 15居民和非居民只有居民(resident)和非居民(non-resident)之間的經(jīng)濟(jì)交易才是國際經(jīng)濟(jì)交易。居民和公民是兩個(gè)不同的概念。公民是一個(gè)法律概念，而居民則是一個(gè)經(jīng)濟(jì)概念

12、。IMF作了如下規(guī)定：自然人居民，指那些在本國居住時(shí)間長達(dá)一年以上的個(gè)人，但官方外交使節(jié)、駐外軍事人員等一律是所在國的非居民；法人居民，指在本國從事經(jīng)濟(jì)活動(dòng)的各級(jí)政府機(jī)構(gòu)、非盈利團(tuán)體和企業(yè)?？鐕镜哪腹竞妥庸痉謩e是所在國居民。國際性機(jī)構(gòu)如聯(lián)合國、國際貨幣基金組織等是任何國家的非居民。 Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 161.3Current AccountCovers all current transactions that take place in the normal business o

13、f residents of a country.Dominated by the trade balance, the balance of all exports and imports. Made up of:Exports and imports (trade balance)ServicesIncomeCurrent transfersCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 17Current Account It also covers:Services (such as services in t

14、ransportation, communication, insurance and finance).Income (interest, dividends and various investment income from cross-border investments).Current transfers (flows without quid pro quo 抵押物、抵償物compensation).A current account deficit is not necessarily a bad economic signal as long as nonresidents

15、are willing to offset it by investment flows.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 18國際收支平衡表按復(fù)式簿記的記帳方法法編制：有借必有貸，借貸必相等 貸方(Credit/Plus Items) 對(duì)外實(shí)際資產(chǎn)的減少; 對(duì)外金融資產(chǎn)的減少; 對(duì)外負(fù)債的增加; 借方(Debit/Minus Items) 對(duì)外實(shí)際資產(chǎn)的增加; 對(duì)外金融資產(chǎn)的增加; 對(duì)外負(fù)債的減少; 貸方(Credit/Plus Items) 出口(貨物和勞務(wù)); 資本流入,包括： 對(duì)外金融資產(chǎn)的減少，

16、本國對(duì)外負(fù)債的增加。 借方(Debit/Minus Items) 進(jìn)口(貨物和勞務(wù)); 資本流出,包括： 對(duì)外金融資產(chǎn)的增加， 本國對(duì)外負(fù)債的減少。Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 19Financial AccountThe sum of the current and financial accounts should be zero.Question: What if the overall balance is negative?Answer: The central bank can use u

17、p part of its reserves to restore填補(bǔ) a zero balance. Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 20Financial AccountCovers investments by residents abroad and investments by nonresidents in the home country.It includes:Direct investment made by companies.Portfolio investments in equ

18、ity, bonds and other securities of any maturity.Other investments and liabilities (such as deposits or borrowing with foreign banks and vice versa).Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 21Capital and Financial AccountThe Capital Account includes unrequited 無報(bào)酬的(unilateral單方面的

19、) transfers corresponding to capital flows資本流動(dòng) without compensation such as foreign aid, debt forgiveness and expropriation losses. This is typically a very small account with a misleading title. It is often aggregated with the financial account (“capital and financial account”).Copyright 2009 Pears

20、on Prentice Hall. All rights reserved.2 - 22Capital and Financial AccountSimilarly, Net Errors and Omissions凈誤差與遺漏 (or “statistical discrepancy”統(tǒng)計(jì)誤差) are usually aggregated with the capital and financial account.這一項(xiàng)包括一些不影響交易，但需要其用來平衡資金差額為零的項(xiàng)目。To be sustained長時(shí)間保持, a current account deficit must be f

21、inanced by a financial account surplus. Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 23IMF的國際收支平衡表的標(biāo)準(zhǔn)格式的簡表 Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 24Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 25Balance of Payments EquilibriumThe sum of the cu

22、rrent account and of the capital and financial account is called the overall balance (OB) and should be zero in the absence of government intervention.The official reserve account tracks all reserve transactions by the monetary authorities.By accounting definition, the overall balance must mirror th

23、e official reserve account.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 261.4Differences in Real Interest rate and Economic PerformanceHigh real interest rate-appreciation of one national currencyFinancial flows are attracted by high expected return, but also by low risk.Desired Att

24、ributes:A stable political systemA rigorous 縝密but fair legal systemA fair tax systemFree movements of capitalCASE STUDY Example 2.1Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 27Factors That Cause a Nations Currency to Appreciate or DepreciateIn a flexible exchange rate system, the

25、value of a currency is driven by changes in fundamental economic factors.Amongst the factors are:Differences in national inflation rates.Changes in real interest rates.Differences in economic performance.Changes in investment climate.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 281.

26、5Government Policies: Monetary and FiscalAn expansionary monetary policy will lead to a depreciation of the home currency. 真實(shí)利率的暫時(shí)性下降，物價(jià)水平上升 非預(yù)期性的貨幣擴(kuò)展會(huì)帶來短期經(jīng)濟(jì)增長，但很難促使外資流入。 A restrictive monetary policy will lead to an appreciation of the home currency.A more restrictive fiscal policy should also slow

27、 down economic activity and inflation. These two factors should lead to an appreciation of the home currency. A more expansionary fiscal policy has the reverse effect.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 291.6Exchange Rate RegimesHistorically, there have been three different

28、 regimes:Flexible (or Floating) Exchange RatesFixed Exchange RatesPegged Exchange RatesCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 30Flexible (Floating) Exchange Rate RegimeOne in which the exchange rate between two currencies fluctuates freely in the foreign exchange market.Advant

29、ageThe exchange rate is a market-determined price that reflects economic fundamentals at each point in time.Governments are free to adopt independent domestic monetary and fiscal policies.DisadvantageQuite volatile exchange rates.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 31Fixed

30、Exchange Rate RegimeOne in which the exchange rate between two currencies remains fixed at a preset level在預(yù)先設(shè)定的水平上, known as official parity.Advantages:Eliminates exchange rate risk, at least in the short run.Brings discipline to government policies.Disadvantages:Deprives 剝奪the country of any moneta

31、ry independence.Also constrains countrys fiscal policy.Its long-term credibility可靠性Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 32Currency BoardToday some countries try to maintain a fixed exchange rate regime against the dollar or euro.This is done through a “currency board”The sup

32、ply of home currency is fully backed by an equivalent amount of that major currency. Currency board arrangement 貨幣局制度是一種匯率機(jī)制，它有兩項(xiàng)基本原則，一是本國貨幣釘住一種強(qiáng)勢(shì)貨幣，與之建立貨幣聯(lián)系，此貨幣成為錨貨幣，二是本國通貨發(fā)行以外匯儲(chǔ)備特別是錨貨幣的外匯儲(chǔ)備為發(fā)行保證，保證本國貨幣與外幣隨時(shí)可按固定匯率兌匯Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 33Pegged Exchange Rate

33、 Regime Characterized as a compromise between a flexible and a fixed exchange rate.The exchange rate is allowed to fluctuate within a (small) band around a target exchange rate (“peg”) and the target exchange rate is periodically revised to reflect changes in economic fundamentals.AdvantagesReduces

34、exchange rate volatility in the short run.Also encourages monetary discipline for the home country.對(duì)本國貨幣有約束性DisadvantageCan induce destabilizing speculation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 342 International Parity RelationsThe parity relations of international finance a

35、re as follows:Interest rate parity relationPurchasing power parity relation.International Fisher relation.Uncovered interest rate parity relation.Foreign exchange expectation relation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 352.1International Parity Relations: DefinitionsThe te

36、rm spot rate (S) refers to the exchange rate for immediate delivery.The forward rate (F) is set on one date for delivery at a future specified date. For example, the $: forward exchange rate for delivery in six months might be F = 106.815 yen per dollar.rFC and rDC are the foreign and domestic inter

37、est rates (annualized). IFC and IDC are the foreign and domestic inflation rates (annualized).Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 362.2Interest Rate Parity RelationInterest rate parity is the relation that the forward discount (premium) equals the interest rate differential

38、 between two currencies.Indicates that what we gain on the interest rate differential, we lose on the discount on the forward contract.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 37Interest Rate Parity RelationExact relationF/S = (1 + rFC)/(1 + rDC)Linear approximation = F/S -1 rFC

39、 - rDC Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 382022-7-2Multinational Finance38利率平價(jià)理論圖示外幣相對(duì)于本幣的遠(yuǎn)期升水（+）/貼水（-）率（%）123 1國內(nèi)外利差（%）23平價(jià)線CABCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 39Parity RelationsThe purchasing power parity relation, linking spot exchange rate

40、s and inflation.The International Fisher relation, linking interest rates and expected inflation.The uncovered interest rate parity relation, linking spot exchange rates, expected exchange rates and interest rates.The foreign exchange expectation relation, linking forward exchange rates and expected

41、 spot exchange rates.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 402.3Purchasing Power Parity (PPP) RelationPPP states that the spot exchange rate adjusts perfectly to inflation differentials between two countries. There are two versions of PPP:Absolute PPPThis claims that the exch

42、ange rate should be equal to the ratio of the average price levels in the two economies.Relative PPPFocuses on the general across the board inflation rates.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 41基于一價(jià)定律基于一價(jià)定律2022-7-2Multinational Finance41涵義：如果市場(chǎng)處于完全競(jìng)爭(zhēng) 狀態(tài)，在不考慮運(yùn)輸成本和可能的貿(mào)易摩擦的前提下

43、，不同市場(chǎng)上同樣商品以同一種貨幣表示的價(jià)格應(yīng)相等公式表示：其中： ：本國貨幣計(jì)價(jià)的商品i的價(jià)格 ：外國貨幣計(jì)價(jià)的商品i的價(jià)格 ：本外幣間的匯率dfiiPPSdiPfiPSCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 422.2Purchasing Power Parity (PPP) RelationRelative PPPThis claims that the percentage movement of the exchange rate should be equal to the inflation dif

44、ferential between the two economiesThe PPP relation is presented as:ExactS1/S0 = (1 + IFC)/(1 + IDC)Linear approximations = S1/S0 1 IFC - IDCCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 432022-7-2Multinational Finance43購買力平價(jià)理論購買力平價(jià)理論外國與本國通貨膨脹率的差額購買力平價(jià)線123-1-2-3外幣相對(duì)于本幣匯率的變動(dòng)（%）Copyrig

45、ht 2009 Pearson Prentice Hall. All rights reserved.2 - 44Purchasing Power Parity (PPP) RelationPPP says that what you gain with lower domestic inflation, you can expect to lose on foreign currency depreciation when you invest in foreign currency assets.Copyright 2009 Pearson Prentice Hall. All right

46、s reserved.2 - 45購買力平價(jià)理論的實(shí)證測(cè)試購買力平價(jià)理論的實(shí)證測(cè)試2022-7-2Multinational Finance45兩個(gè)基本結(jié)論：1、能很好預(yù)測(cè)長期條件下的匯率變動(dòng)2、對(duì)通貨膨脹率較高、資本市場(chǎng)不發(fā)達(dá)的國家比較合適Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 462.4International Fisher RelationClaims that the interest rate differential between two countries should be equal to

47、 the expected inflation rate differential over the term of the interest rate.The International Fisher Relation can be represented as:Exact(1 + rFC)/(1 + rDC) = (1 + E(IFC)/(1 + E(IDC)Linear approximationrFC rDC E(IFC) - E(IDC)Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 47ExampleQue

48、stion: How are the nominal and real interest rates calculated?Answer: Nominal interest rate is observed in the marketplace. The real interest rate is calculated from the observed interest rate and forecasted inflation.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 482022-7-2Multinatio

49、nal Finance48國際費(fèi)雪效應(yīng)圖示本外幣利差（%）123 1外幣相對(duì)于本幣的預(yù)期變化率（%）23平價(jià)線GFCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 492.6Uncovered Interest Rate Parity RelationThis is a theory combining purchasing power parity and the international Fisher relation.It refers to the exchange rate exposure not cove

50、red by a forward contract.It claims the expected change in the indirect exchange rate approximately equals the foreign minus the domestic interest rate.It can be represented as:ExactE(S1)/S0 = (1 + rFC)/(1 + rDC)Linear ApproximationE(s) = E(S1)/S0 1 rFC - rDCCopyright 2009 Pearson Prentice Hall. All

51、 rights reserved.2 - 502.7Foreign Exchange Expectation RelationThis relation states that the forward exchange rate, quoted at time 0 for delivery at time 1, is equal to the expected value of the spot exchange rate at time 1. 0時(shí)刻報(bào)出的遠(yuǎn)期匯率等于即期匯率在時(shí)刻1的期望值This can be written as:F = E(S1)Copyright 2009 Pear

52、son Prentice Hall. All rights reserved.2 - 51Combining Relations - SummaryInterest rate differential: forward discount (premium) equals the interest rate differential.Inflation differential: exchange rate movement should exactly offset any inflation differential.Expected inflation rate differential:

53、 expected inflation rate differential should be matched by the interest rate differential, assuming (Fisher) real interest rates are equal.The interest rate differential: expected to be offset by the currency depreciation.The expected exchange rate movement: forward discount (or premium) is equal to

54、 the expected exchange rate movement.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 52 Summary of Parity RelationsCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 53Exhibit 2.3: International Parity Relations Linear ApproximationCopyright 2009 Pearson Prentice Hall. All r

55、ights reserved.2 - 54Exchange Rate DeterminationThe following approaches are proposed:Fundamental value based on relative PPPBalance of Payments ApproachAsset Market ApproachCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 55Fundamental Value Based on Relative PPPSuch estimation is not

56、an easy task and exchange rates can become grossly misaligned 不重合的and remain so for several years without a correction.This correction will usually take place, but it may take several years and its timing is unclear.Additional models are needed to provide a better understanding of exchange rate move

57、ments.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 56Exhibit 2.4: Fundamental Value for the Japanese YenCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 57Balance of Payments ApproachAn analysis of balance of payments provided the first approach to the economic modeling

58、 of the exchange rate.The four component groups include the current account, financial account, capital account and official reserves account.An imbalance in some account could lead to a depreciation or appreciation of the home currency.Copyright 2009 Pearson Prentice Hall. All rights reserved.2 - 5

59、8Sources of Data for BOPCustoms dataCentral bank statsBank reports of transactionsCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 59BOP ComponentsCurrent AccountCapital accountFinancial accountOfficial reserve accountCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 60Exhib

60、it 2.5: Balance of Payments and the Dollar Exchange RateCopyright 2009 Pearson Prentice Hall. All rights reserved.2 - 61Asset Market ApproachThis approach claims that the exchange rate is the relative price of two currencies, determined by investors expectations about the future, not by current trad