品職教育2017年cfa二級(jí)economics知識(shí)框架圖何旋版

講師：何Reading影響因素quotedbytheinterbankspreadsizeofthetransaction relationshipbetweenthedealer:givefavorableratesto interbankTimeofday:NewYork→8:00a.m.~11:00a.m.;MarketvolatilitySpreadsinforwardexchangerate:increasewith 計(jì)1.計(jì)算crossrateincurrentinterbank注意：相乘同邊，相ForwardForwarddiscountorpremium=F–Mark-to-marketvalue:思路→簽反向?qū)_合約，計(jì)算凈收益，就是0tTVFPtFPcontracttDiscountusingRX,T-1R360days 計(jì)

Uncovered 性t 1rX

360

1rX X

S01

ESt

YX 考法

360

性質(zhì)1、計(jì)算F，或forwardpremium(=F–2、 1

UncoveredinthiscontextmeansnotbyThebasecurrencyisexpectedto X 1

(1rY)1r

(depreciate)by y

-

whenborrowXcurrency,theprofitwillbeF(1r)(1r

differenceispositive(negative),rx-rY IfF1rX,S(1r)1

Uncoveredinterestrateparityassumesinvestorsarerisk- 1 borrowYcurrency,theprofitwillbeS(1r)(1r 區(qū)區(qū)別聯(lián)系Ifuncoveredinterestrateparityholds,theforwardrateisanunbiasedpredictorofexpectedfuturespotUncovereddoesnotholdintheshortrun,anditdoesholdinthelongInternationalFisher1rNom1e Nom Nome X 1Y假Realinterestratesarestableovertimeandequalacrossinternationalboundaries.(realinterestrate結(jié)論InterestratedifferentialbetweentwocountriesshouldbeequaltotheexpectedinflationAbsoluteAbsolutePPPmightnotholdbecausetheweights(consumptionpatterns)ofthevariousgoodsthetwoeconomiesmaynotbetheRelative 1 S：t X ,ift=1, 0 1 X 結(jié)論RelativePPPfocusesonactualchangesinexchangeratesbeingdrivenbyactualdifferencesnationalinflationBecausethereisnotruearbitrageavailablethePPPrelationtohold,violationsofrelativePPPrelationintheshortrunareEx-Ante1IeS01IXeESt Y RelationshipsAmongInternationalParity ExAnte

ExpectedchangeinForwardRateasForwardRateasanUnbiasedPredictorXrateparityForwardFrateparityForwardFX/YSXSXYXeYXInternationalInternationalshererestraterXCoveredInterestte區(qū)別聯(lián)系：UncoveredIRP、internationalFisherrelation、Ex-AntePPP，三者當(dāng)中其中兩個(gè)成立，另外一個(gè)也成評估long-runfairvalueofanexchangeRealexchangerateisconstant→equilibriumrealexchangeCurrentaccountbalance時(shí)的匯率才是均衡匯ExternalsustainabilityexternaldebtassetrelativetoGDPtowardsitssustainablelevel才是均衡匯Reduced-formeconometricEstimatestheequilibriumpathofexchangeratemovementsbasedonInitialdeficit→本幣貶值CurrentFinancial

→domesticimportprice上升，exportprice下降→出口數(shù)量不會(huì)立刻上升，因?yàn)橛衪ime；→Priceelasticity比較大時(shí)，才增加出口revenue，降低進(jìn)口capitalflowsintoacountry→currencyExcessivecapitalinflowsintoemergingmarketscreateX/Y：rY上升→Y升值；riskpremiumofY上升→Y貶Countriesthatrunrelativelytightmonetarypolicies,introducestructuraleconomicandloweroutsizedbudgetdeficitswilloftenseetheircurrenciesstrengthenoverEquitymarkettrendsandexchangeInstabilityinCorrelationtendstoconvergetowardzerointhelongCapitalflowstendtobethedominantfactorinfluencingexchangeratesintheshort目標(biāo)名義利率→Rrnπα(ππ*)+β(y結(jié)rate(市場上觀察到的政策利率)>R→擴(kuò)張的政策，使得利率下降，達(dá)到目rate(市場上觀察到的政策利率)<R→緊縮的政策，使得利率上升，達(dá)到目FXCarry計(jì)算IfrX>rY,borrowYandinvestinallinreturnS01r1rrr 前UncoveredIRP不成立IfuncoveredIRPheldatalltimes,investorscouldn’tFundingcurrencymayappreciatesignificantlyagainstthecurrencyoftheCrashrisk:returndistributionofthecarrytradeisnotnormal;itischaracterizedbyskewnessandexcess風(fēng)險(xiǎn)管Volatility管理：Carrytradetypicallyperformswellduringlow-volatilityperiodsValuation管理：如果X本來價(jià)值就被高估，盡量不要做X的carrytrade宏觀經(jīng)濟(jì)政策對匯宏觀經(jīng)濟(jì)政策對匯率的影響：三個(gè)Mundell-Fleming(以擴(kuò)張政為代表

FlexibleExchangeRate (financialaccount的影響擴(kuò)張→r下降→資本流出→本幣貶值緊縮→r上升→資本流入→本幣升值 (financialaccount¤t都有影響擴(kuò)張Currentaccount：經(jīng)濟(jì)增長，國民收入增加，inflation上升→出口下降，進(jìn)口增加，currentaccount赤字→本幣貶值Financialaccount：r上升→資本流入→本幣緊縮Currentaccount：國民收入下降→進(jìn)口下降，currentaccount盈余→本幣升Financialaccount：r下降→資本流出→本幣貶 擴(kuò)張→r下降→資本流出，但資本無法大幅自由流動(dòng)→本幣很小幅貶 (資本賬 ，currentaccount起主要影響作用)：擴(kuò)張Currentaccount：經(jīng)濟(jì)增長，國民收入增加，inflation上升→出口下降，進(jìn)口增加，currentFinancialaccount：r上升→資本流入，但是資本無法大幅流入→本幣小幅升FixedExchangeRateHighcapital擴(kuò)張→r下降→資本流出→本幣有貶值傾向→央行為了穩(wěn)定幣值，要大量買入本幣，相當(dāng)于回收流動(dòng)性→緊縮的貨幣政策→貨幣政策無Fiscal(financialaccount起主要影響擴(kuò)張→上升→→→結(jié)不可兼得，只能取其中兩Monetary 了解結(jié) ynorole、shorttermmonetary →影響inflation(假設(shè)outputisfixed)→exchangePure擴(kuò)張→inflation→本幣貶值(名義貶值；因?yàn)镻PP成立，所以實(shí)際匯率不變,擴(kuò)張貨幣政策→短期會(huì)影響實(shí)體經(jīng)濟(jì)，r下降→資本流出→本幣貶值(實(shí)際匯率的貶值擴(kuò)張→inflation→本幣貶值(名義貶值；因?yàn)镻PP成立，所以實(shí)際匯率不變結(jié)論：Intheshorttermexchangeratesovershootthelong-runPPPimpliedvaluesIntheterm,exchangeratesgraduallyincreasetowardtheirPPPimpliedPortfolioBalanceAssetMarket 了解對比Mundell-TheMundell-Flemingapproachfocusesontheshort-termimplicationsoffiscalTheportfoliobalancemodelfocusesonthelong-termimplicationsofsustained(deficitorsurplus)oncurrencyvalues.主要觀擴(kuò)張財(cái)政政策→fiscaldeficit→長期赤→investorsmayrefusetofunddeficits→投資者撤資，本幣貶Mundell-Flemingmodel：擴(kuò)張財(cái)政政策→本幣最終升CentralBankFordevelopedmarkets,centralbanksarerelatively

了解結(jié)Centralbanksofemergingmarketcountriesmayhaveaccumulatedsufficientforeignexchangereserves(relativetotradingvolume).Ifinflationisaconcern,thenthisinterventionwouldneedtobeInasterilizedinterventionoperation,EM wouldselldomesticsecuritiestotheprivatesectortomopupanyexcessliquiditycreatedbyitsFXinterventionactivities.CapitalThemorepersistentthoseflowsare,andthelargertheirmagnitude,thelesslikelyitisthatcapitalcontrolswillOfficialforeignexchangereservesdramaticallydecline.RealexchangeOfficialforeignexchangereservesdramaticallydecline.Realexchangerateishigherthanthemean-revertinglevel.Inflationincreases.Equitymarketsexperienceaboom-bustcycle.Moneysupplyrelativetobankreservesincreases.Nominalprivatecreditgrows.ReadingECONOMICGROWTHANDINVESTMENT對對經(jīng)濟(jì)增長有利的方SavingsSavingsandinvestment：highTaxTaxandregulatorysystems 是好%△P%△P=%△GDP+%△(E/GDP)+%△(P/E)，OverthelonggrowthinearningsrelativetoGDPisGrowthintheP/EratiowillalsobethepotentialGDPgrowthrateequalsthegrowthrateofaggregateequityGrowthGrowthinpotential consumersexpect esto consumption增加，saving下 為了鼓儲(chǔ)蓄，會(huì)提供給投資者更高 higherrealinterestrates&higherrealassetTherelationshipbetweenactualGDPandpotentialGDP:thegapbetweenthetwocanbeusedasaforecastinflationarypressures,whichisthemostimportantfactorfor eYTKαand(1-α)=theshareofoutputallocatedtocapital(K)andlaborItexhibitsconstantreturnsto結(jié)論increasesinoutputcanbegainedbyincreasingcapitalperworker(capitaldeepening)orbyimprovingtechnology(increasingTFP).TheCobb-Douglasfunctionexhibitsdiminishingmarginalproductivityofcapital(butconstantmarginalproductof→technologicalprogress其主要作用 nations：lowcapitalperworkerratios,socapitaldeepeningcanleadtoatleastashort-termincrease第二個(gè)變形：YAK(1) 計(jì) 第三個(gè)變形：Yy GrowthrateinpotentialGDP=long-termgrowthrateinlabor＋long-termgrowthrateoflaborNatural‘Dutchdisease’:自然資源豐富的國家出口自然資源本幣升值domestic petitiveintheglobalLaborSupply HumanPhysicalDevelopedcountriestendtospendthemostonLessdevelopedcountriesoften理 主要觀Classicalgrowth

ThegrowthinrealGDPisnotRealwageswilleventuallybedrivenbacktothesubsistence g*

G* 1

計(jì)

CapitalAccumulation:affectsthelevelofoutputbutnotthegrowthrateinthelongrun;Regardlessofitsinitiallevel,agrowingeconomywillmovetoapointofsteadystateCapitalDeepeningvs.Technology:Long-termsustainablegrowthca