Ch9 ch10 外匯市場(chǎng)和匯率決定2012-112009318

Ch9&10.外匯市場(chǎng)&匯率決定學(xué)習(xí)目的：了解外匯市場(chǎng)的概要了解匯率決定的基本理論購(gòu)買(mǎi)力平價(jià)理論P(yáng)PParitytheory利率平價(jià)理論InterestRateParity(IRP)theory資產(chǎn)市場(chǎng)學(xué)說(shuō)匯率超調(diào)Overshootingmodel

外匯市場(chǎng):個(gè)人、企業(yè)和金融機(jī)構(gòu)買(mǎi)賣(mài)外匯的市場(chǎng)。包括外匯現(xiàn)貨交易和衍生產(chǎn)品交易市場(chǎng)有形的市場(chǎng)

指在特定交易場(chǎng)所和特定交易時(shí)間按照特定交易規(guī)則進(jìn)行交易的場(chǎng)所。這些市場(chǎng)通過(guò)電子通訊聯(lián)系起來(lái)構(gòu)成了單一的市場(chǎng)。

無(wú)形市場(chǎng)intangiblemarket

沒(méi)有特定的交易場(chǎng)所，這個(gè)市場(chǎng)通過(guò)通訊工具聯(lián)系起來(lái)，這個(gè)市場(chǎng)也和有組織的市場(chǎng)通過(guò)通訊聯(lián)系起來(lái)，構(gòu)成了整體的國(guó)際外匯交易市場(chǎng)。

9.1外匯市場(chǎng):定義&分類現(xiàn)貨外匯市場(chǎng)

Spot

market指兩種貨幣的清算通常在2個(gè)工作日完成的交易市場(chǎng)。外匯衍生交易市場(chǎng)(DerivativesMarket)指外匯衍生產(chǎn)品可以進(jìn)行交易的市場(chǎng)。外匯衍生產(chǎn)品通常包括：遠(yuǎn)期外匯、外匯期貨、外匯互換、期權(quán)等f(wàn)orward,futures,swap,optionofforeigncurrencies.Exchangeofpurchasingpowertotransferfunds&purchasingpowerfromonecountry¤cytoanother.InternationalcreditflowofFundscreditusuallybeprovidedinprocessoftrade(ex.90daysforpartofimportpay,short-termcreditformexporters).Domestic&foreignbankprovideloanofforeigncurrencyfordomesticresident.Domesticfirmsissuebonds&equitiesininternationalmarket.Hedging&speculation

foreignEXmarketprovidesmanyfinancialinstrumentsforhedging&speculation.PortfoliomanagementF-EXmarketprovideassetsofdifferentcurrenciestodiversifyrisk.9.2Functionofthemarket全球衍生和金融衍生產(chǎn)品9.3外匯市場(chǎng)參與者底層參與者:

進(jìn)出口商、旅游者、一般套期保值和投機(jī)者，主要是非金融機(jī)構(gòu)參與者。第二層參與者:

商業(yè)銀行和其他金融機(jī)構(gòu)。

第三層參與者：外匯交易商和外匯經(jīng)紀(jì)人

dealersandbrokers.市場(chǎng)中最活躍的參與者通常是大銀行。

頂端:中央銀行。所有國(guó)家的中央銀行都不同程度地參與外匯交易市場(chǎng)。大國(guó)中央銀行會(huì)對(duì)市場(chǎng)有較大的影響。

參與者：四個(gè)層次a)不間斷的全球市場(chǎng):b)USD主導(dǎo)的市場(chǎng)9.4外匯市場(chǎng)的特點(diǎn):d)大幅波動(dòng)的市場(chǎng)c)最大的市場(chǎng)：thebiggest&highliquiditymarkete)高度集中的市場(chǎng)

10.1.外匯標(biāo)價(jià):definitionandquotations匯率：一種貨幣和另一種貨幣交換的價(jià)格，通常用一個(gè)單位的貨幣兌換另一貨幣的比率表示。直接標(biāo)價(jià)法

(Thedirectquotationrate):用一個(gè)單位的外匯兌換本國(guó)貨幣的數(shù)量表示。間接標(biāo)價(jià)法(Indirectquotationrate):用一個(gè)單位的本幣兌換外國(guó)貨幣的數(shù)量表示。Ch10.匯率決定理論10.2.PPP購(gòu)買(mǎi)力平價(jià)(PurchasingPowerParity)10.2.1Cassel,（卡塞爾1922）PPP（lawofoneprice）10.2.2相對(duì)購(gòu)買(mǎi)力平價(jià)(RelativePurchasingPowerParity)RationalebehindPPPTheory10.2.3.真實(shí)匯率、名義匯率Real,nominalrate&testingofPPP真實(shí)匯率：本國(guó)商品在外國(guó)市場(chǎng)上的實(shí)際價(jià)格和本國(guó)商品在本國(guó)市場(chǎng)上的價(jià)格比率。它可以表明商品的比價(jià)，也可以表示購(gòu)買(mǎi)力平價(jià)匯率偏離的程度。TestsofPPPbasedonannualdatafrom1982to2004PPPline為何PPP短期不成立組合效應(yīng)：商品價(jià)格統(tǒng)計(jì)、通脹統(tǒng)計(jì)、利率、收入水平、關(guān)稅、政府和企業(yè)控制、遠(yuǎn)期匯率預(yù)期等因素等。貿(mào)易品和非貿(mào)易品：

tradedgoodsandnon-tradedgoods10.2.4.modifyingofPPP:(transactioncost,tariff)10.2.4.modifyingofPPP:

Samuelson－Balassa(1964)Balassa-Samuelsoneffects發(fā)展中國(guó)家實(shí)際匯率變化趨勢(shì)：經(jīng)濟(jì)高速增長(zhǎng)實(shí)際匯率升值（變?。?？10.3利率平價(jià)理論(Theinterestrateparitytheory)b)模型：c)case:EMS,1992,unitedofGerman：a)IRP假設(shè)資本自由移動(dòng)交易成本為零利潤(rùn)最大化和風(fēng)險(xiǎn)中性l有效外匯市場(chǎng)本國(guó)資產(chǎn)和外國(guó)資產(chǎn)完全可替代

9.3.2.modifyofIRP:transactioncost(FrenkelandLevich,1995,1997)

thetransactioncostisthemainreasonthatCoveredIRPcannothold.Theexistentoftransactioncost,formsa“neutralband”(d)nearthelineofIRP.Withintheneutralbandthereisnochancetoarbitrage.Thebandmaybeabout0.5%,0.6%,Einzig1967;0.15-1.1%FandLevich,1997,）c)拋補(bǔ)和未拋補(bǔ)IRPCoveredIRP&UncoveredIRP10.4Monetaryapproach：narrowsense&broadsensemodelsThiskindofmodelcombinesthequantitymodelofmoneydemandwiththePPPtheorytoexplainthedeterminationofexchangerate.Thisapproachintroducemoneydemandandoutputintoanalysesofexchangemodel.Monetaryapproach：narrowsensemodel(Cagan,1956)ThiskindofmodelcombinestheKenyes’smoneydemandwiththePPProducemoneydemand,interestrateandoutputintoanalysesofexchangemodel.當(dāng)把利率和收入因素同時(shí)引入時(shí)要分析利率對(duì)匯率的影響較為困難，其原因是利率、貨幣數(shù)量和收入之間自相關(guān)造成的。Monetaryapproach：broadsensemodel,10.5Assetmarketapproach（匯率決定的資產(chǎn)組合理論）Theportfoliobalanceorassetmarketapproachtotheexchangerateextendsthemonetaryapproachtoincludeotherfinancialassetsbesidesmoney.Integratedofthemarketandactionofassetshold:investorholdavarietyoffinancialasset,bothdomesticandforeign.Maximizingthereturnontheassetportfolioasawhole.Imperfectsubstitutes:Inparticular,additionalriskistobeassociatedwiththeholdingofforeignfinancialassets.Hence,thereisapositiveriskpremiumattachedtotheholdingofforeignfinancialassets.Rationalexpectations:thetheoriesrecognizestheimportanceofinvestorexpectationsregardingfutureassetprices.Demandofassets：10.5.1Generalmodel：10.5.2Yang’spreliminarymodel：10.5.3EvaluationforAssetmarketapproachIntroducetheportfoliotheoryintothetheoryofdeterminationofexchangerate.Provideanewresearchframework;theresearchviewincludingthemoneymarketandcapitalmarket.IntroducethestockoftheassetsintoanalysesShortcoming:difficulttoimplementtheempiricaltesting.10.6Stickyprice&exchangerateovershooting(Dornbusch,1976)Therearedifferenceofsizeandquicknessofexogenousshockadjustmentincapitalmarketandingoodsmarket.Perfectmobilityofcapital,homecountry,asasmallcountry,cannotinfluencetheinterestrateininternationalmarket.Theadjustmentincapitalmarketisveryfast.Iftheoriginalequilibriumofcapitalmarketisinfluencebyexogenousshock,themarketwillgettoanewequilibriumintheshortorveryshortrun.Adjustmentintradeflowofgoodsmarketoccuronlygraduallyovertime.Thepriceisstickyovertime.Inshortrun,therelationbetweenprice(P)&exchangerate(E)isnottightness.Inlongrun,thepricewillrespondtotheshockandwillgetanewequilibriumgradually.InlongrunthePPPrelationshouldbefinallyhold.）Theequilibrium:capitalmarket/goodsmarketRealdemandfunction（4）s