第一章匯率的決定與國(guó)際平價(jià)條件S培訓(xùn)教材

第一章

匯率決定與國(guó)際平價(jià)條件

基本內(nèi)容有關(guān)外匯與匯率的基本知識(shí)（referencetochapterfour)匯率變化幅度的測(cè)定匯率變化的影響因素購(gòu)買力平價(jià)利率平價(jià)國(guó)際費(fèi)雪效應(yīng)匯率預(yù)測(cè)Foreignexchange(fx)marketsAnexchangeratemeasuresthevalueofonecurrencyinunitsofanothercurrency.MarketsSpotmarketTradeincashwithdeliveryintwobusinessdaysForwardmarketTradeatapre-specifiedpriceandonapre-specifiedfuturedateVolume$1.2trillionaveragedailyvolumeduring200175%oftradeisintheinterbankmarket（75%的交易是銀行之間的外匯交易，其日均交易額達(dá)1.2trillion美元）ParticipantsinthefxmarketWholesalemarketDealers(ormarketmakers) BuyandsellatquotedbidandofferpricesBrokers Serveasmatchmakers,withoutputtingtheirownmoneyatriskRetailmarketGovernmentsCorporationsSmallerfinancialinstitutionsIndividualsTworulesformultinationalfinanceRule#1

Keeptrackofyourunits

（注意貨幣單位）Rule#2

Alwaysbuyorsellthecurrencyinthedenominatorofaforeignexchangequote（買賣的貨幣是指外匯標(biāo)價(jià)中處于分母的貨幣）Rule#1

KeeptrackofyourunitsAbottleofGeorgesdeBouefmerlot Buy1bottleofwine P€ =€40/btl Spotexchangerate S$/€ =$0.80/€

? S€/$ =1/S$/€ =€1.25/$Howmuchisthisindollars?P$

=P€S$/€ =(€40/btl)($0.80/€) =$32/btl

=P€/S€/$ =(€40/btl)/(€1.25/$) =$32/btlRule#1

KeeptrackofyourunitsAbottleofGeorgesdeBouefmerlot Buy1bottleofwine P€ =€40/btl Spotexchangerate S$/€ =$0.80/€

? S€/$ =1/S$/€ =€1.25/$Howmuchisthisindollars?P$

=P€S€/$ =(€40/btl)(€1.25/$) =€250/(btl×$)這是什么???因此，Keeptrackofyourcurrencyunits!Rule#2

Thinkofbuyingorselling

theassetinthedenominator先從商品買賣說(shuō)起，Buyingandsellingabottleofwine Buyabottleat€40/btlandsellat€50/btl

T€10/btlprofit。在這里買賣的對(duì)象是分母中的wine。Buyingorsellingaforeigncurrencyislikebuyingorsellinganyotherasset.Buyingandselling

euros Buy€sat$0.80/€andsellat$1.00/€ Buy€sat$0.80/€

o Sell$sat€1.25/$

Sell€sat$1.00/€

o

Buy$sat€1.00/$

T$0.20/€profit T€0.25/$profitAnexampleofwhatcangowrong如果買賣價(jià)格弄錯(cuò)了，即如果Buy$sat$0.80/€andsell$sat$1.00/€，結(jié)果會(huì)如何呢？ Buy$sat$0.80/€

o Sell€sat€1.25/$

Sell$sat$1.00/€

o

Buy€sat€1.00/$

T$0.20/€

loss

T€0.25/$

loss So,Alwaysthinkofbuyingorselling thecurrencyinthedenominator!FXquotationconventions

(匯率報(bào)價(jià)慣例）European/Americanquotesforthe$EuropeanquotesareconvenientforaEuropeanbecausetheyplacetheforeigncurrency(the$)inthedenominator（銀行間報(bào)價(jià)多為歐式報(bào)價(jià)，即單位美元的外國(guó)貨幣匯率，因?yàn)槊涝亲罱?jīng)常交易的貨幣。）歐式標(biāo)價(jià)法對(duì)當(dāng)?shù)厝撕芊奖恪? e.g.€1.25/$AmericanquotesareconvenientforanAmericanbecausetheyplacetheforeigncurrency(the€)inthedenominator美式標(biāo)價(jià)法對(duì)美國(guó)人很方便。 e.g.$0.80/€FXquotationconventions(匯率報(bào)價(jià)慣例）Direct/indirectquotesforforeigncurrencyfDirectquotesareconvenientforadomesticresidentbecausetheyplacetheforeigncurrencyinthedenominator(d/f); e.g.￥110.95/€foraresidentofJapanIndirectquotesareinconvenientforadomesticresidentbecausetheyplacetheforeigncurrencyinthenumerator(f/d); e.g.￥110.95/€foraresidentofEurope

匯率變動(dòng)幅度的測(cè)定Whenacurrencydeclinesinvalue,itissaidtodepreciate.Whenitincreasesinvalue,itissaidtoappreciate.外國(guó)貨幣相對(duì)于本國(guó)貨幣的變動(dòng)百分比Thepercentagechange(%D)inthevalueofaforeigncurrencyiscomputedas:Apositive%Drepresentsappreciationoftheforeigncurrency,whileanegative%Drepresentsdepreciation.本國(guó)貨幣相對(duì)于外國(guó)貨幣匯率的變動(dòng)百分比人民幣兌美元匯率變動(dòng)例如：人民幣兌美元匯率:2005年7月21日:$1=8.1100RMB2010年3月4日:$1=6.8265RMB請(qǐng)計(jì)算美元相對(duì)于人民幣的變化率和人民幣相對(duì)于美元的變化率？美元相對(duì)于人民幣的匯率變動(dòng)率=（6.8265-8.1100）/8.1100=-15.8%人民幣相對(duì)于美元的匯率變動(dòng)率=（8.1100-6.8265)/6.8265=18.8%人民幣兌歐元匯率變動(dòng)例如：人民幣兌歐元匯率:2005年7月21日:€

1=10.0641RMB2010年3月4日:€1=9.3482RMB歐元相對(duì)于人民幣的匯率變動(dòng)率=（9.3482-10.0641）/10.0641=-7.1%人民幣相對(duì)于歐元的匯率變動(dòng)率=（10.0641-9.3482)/9.3482=7.7%RMB/$Quantityof$S0D0r0

RMB.inflation

中國(guó)對(duì)美國(guó)商品的需求增加,因而外匯需求也增加美國(guó)對(duì)中國(guó)商品的需求減少,因而美元外匯供應(yīng)減少D1r1S1影響匯率變化的因素1.RelativeInflationRatesRMB/$Quantityof$r0S0D0S1D1r1

RMB.interestrates

人民幣對(duì)美元存款的需求減少,因而外匯需求下降美元對(duì)人民幣存款的需求增加,因而外匯供給增加影響匯率變化的因素2.RelativeInterestRatesRMB/$Quantityof$S0D0r0

RMB.incomelevel

人民幣對(duì)美國(guó)商品需求增加,因而外匯需求上升對(duì)外匯供給的影響不無(wú)法預(yù)測(cè)D1r1影響匯率變化的因素3.RelativeIncomeLevels,S14.GovernmentControlsimposingforeignexchangebarriers（設(shè)置外匯交易障礙）,imposingforeigntradebarriers（設(shè)置貿(mào)易障礙）,interveningintheforeignexchangemarket（干預(yù)外匯市場(chǎng)）,affectingmacrovariablessuchasinflation,interestrates,andincomelevels.（影響宏觀變量）影響匯率變化的因素5.ExpectationsForeignexchangemarketsreacttoanynewsthatmayhaveafutureeffect.當(dāng)市場(chǎng)預(yù)計(jì)某種貨幣趨跌時(shí)，交易者會(huì)大量拋售該貨幣，造成該貨幣匯率下浮的事實(shí)；反之，當(dāng)人們預(yù)計(jì)某種貨幣趨于堅(jiān)挺時(shí)，又會(huì)大量買進(jìn)該種貨幣，使其匯率上揚(yáng)。由于公眾預(yù)期具有投機(jī)性和分散性的特點(diǎn)，加劇了匯率短期波動(dòng)的振蕩。

影響匯率變化的因素ExpectationsFedchairmansuggestsFedis StrengthenedunlikelytocutU.S.interestratesApossibledeclineinGerman StrengthenedinterestratesCentralbanksexpectedto Weakenedintervenetoboosttheeuro

Signal Impacton$PoorU.S.economicindicators Weakened影響匯率變化的因素6.Speculating自1973年實(shí)行浮動(dòng)匯率制以來(lái)，外匯市場(chǎng)的投機(jī)活動(dòng)越演越烈，投機(jī)者往往擁有雄厚的實(shí)力，可以在外匯市場(chǎng)上推波助瀾，使匯率的變動(dòng)遠(yuǎn)遠(yuǎn)偏離其均衡水平。投機(jī)的關(guān)鍵內(nèi)容是低價(jià)買入、高價(jià)賣出，或者是高價(jià)賣出、低價(jià)買入。PurchasingPowerParity,

orPPP1.絕對(duì)購(gòu)買力平價(jià)的基本內(nèi)容TheabsoluteformofPPP,orthe“l(fā)awofoneprice”（Equivalentassetssellforthesameprice.）suggeststhatsimilarproductsindifferentcountriesshouldbeequallypricedwhenmeasuredinthesamecurrency.這就是絕對(duì)購(gòu)買力的基本公式即，匯率取決于以不同貨幣衡量的可貿(mào)易商品的價(jià)格水平之比，也就是不同貨幣對(duì)可貿(mào)易商品的購(gòu)買力之比。TheLawofOnePriceEquivalentassetssellforthesameprice(alsocalledpurchasingpowerparity,orPPP)SeldomholdsfornontradedassetsCan’tcompareassetsthatvaryinqualityMaynotholdpreciselywhentherearemarketfrictionsAnexample:TheworldpriceofgoldSuppose P￡=￡250/ozinLondon P€=€400/ozinBerlinThelawofonepricerequires:

Pt￡

=Pt€St￡/€ T￡250/oz=(€400/oz)St￡/€即St￡/€＝￡0.6250/€

or1/(￡0.6250/€)=€1.6000/￡P(guān)urchasingPowerParity,

orPPP2.相對(duì)購(gòu)買力平價(jià)的基本內(nèi)容TherelativeformofPPP

認(rèn)為，即期匯率應(yīng)根據(jù)兩國(guó)預(yù)期的通貨膨脹率進(jìn)行調(diào)整。即E[Std/f]=S0d/f[(1+E[pd]/(1+E(pf)]t即RPPP將匯率的漲落歸因于物價(jià)或貨幣購(gòu)買力的變動(dòng)。RPPPstatesthattheexpectedappreciationordepreciationofthespotrateisdeterminedbytheexpectedinflationdifferential.Ifinflationisaknownconstantineachcurrency,thenRPPPcanbestatedasE[Std/f]=S0d/f[(1+pd/(1+pf]tArbitrageIfPPPdoesnothold,thenthereisanopportunitytolockinarisklessarbitrageprofit.有些書上將arbitrage指為speculativepositions，但是，arbitrageismorestrictlydefinedasaprofitablepositionobtainedwith:Nonetinvestmentand

Norisk因此，套利利潤(rùn)是指無(wú)凈投資和無(wú)風(fēng)險(xiǎn)情況下的利潤(rùn)?？紤]交易成本，在不存在市場(chǎng)摩擦的情況下，如果一價(jià)定律不成立，則存在無(wú)風(fēng)險(xiǎn)套利機(jī)會(huì)。Eg,X銀行：Bid

A$0.5838/€;OfferA$0.5841/€Y銀行：Bid

A$0.5842/€;OfferA$0.5845/€套利者可以從X銀行買進(jìn)歐元，與此同時(shí)，再賣給Y銀行，即可賺取無(wú)風(fēng)險(xiǎn)利潤(rùn)。因?yàn)閰R率比為：(Y銀行)0.5842/(X銀行)0.5841=1.0001712>1，套利收益率為0.01712%TheNo-ArbitrageConditionPPP意味著：即期匯率由本國(guó)貨幣資產(chǎn)價(jià)格與相同資產(chǎn)的外國(guó)貨幣價(jià)格之比決定。如果PPP不成立，則價(jià)格差異會(huì)使套利有利可圖。Pd/Pf=Sd/fPd=Pf×Sd/fTheNo-ArbitrageCondition非套利條件，即PPP成立。雙邊套匯的匯率均衡條件SXd/f/SYd/f=1即SXd/f=SYd/f交叉三角套匯情況下的均衡匯率：Sd/eSe/fSf/d=1

Anexamplewithtransactionscosts

GolddealerA

GolddealerB€401.40/ozOffer€401.00/ozBid￡250.25/ozOffer￡250.00/ozBidBuylowfromASellhightoBFXdealer€1.599/￡bid€1.601/￡askArbitrageprofitCrossexchangeratesandtriangulararbitrageWhichwaydoyougo?IfSd/eSe/fSf/d<1,theneither

Sd/e,Se/forSf/dmustrise（說(shuō)明分母貨幣相對(duì)于分子貨幣價(jià)格較低，有上升的可能）T Foreachspotrate,buythecurrencyinthedenominator（分母）

withthecurrencyinthenumerator（即出售分子貨幣，購(gòu)買分母貨幣）

IfSd/eSe/fSf/d>1,theneither

Sd/e,Se/forSf/dmustfall（說(shuō)明分母貨幣相對(duì)于分子貨幣價(jià)格較高，有下降的可能）Foreachspotrate,sellthecurrencyinthedenominator（分母）forthecurrencyinthenumerator：即出售分母貨幣，購(gòu)買分子貨幣CrossexchangeratesandtriangulararbitrageSupposeSRbl/$ = Rbl5.000/$ ? S$/Rbl=$0.2000/RblS$/￥ = $0.01000/￥ ? S￥/$=￥100.0/$S￥/Rbl = ￥20.20/Rbl ? SRbl/￥

?Rbl0.04950/￥SRbl/$S$/￥S￥/Rbl

=(Rbl5/$)($.01/￥)(￥20.20/Rbl) =1.01>1CrossexchangeratesandtriangulararbitrageSRbl/$S$/￥S￥/Rbl=1.01>1Currenciesinthedenominators(分母)aretoohighrelativetothenumerators（分子）,（出售分母貨幣以購(gòu)買分子貨幣）：selldollarsandbuyrubles：Sell$1millionandbuyRbl5millionsellrublesandbuyyen：SellRbl5millionandbuy￥101million（5×20.20）sellyenandbuydollars：Sell￥101millionyenandbuy$1.01million（101×0.01）Profitof$1million

=($1.01-$1)million

=0.01million

=10000$ or1%oftheinitialamount(利潤(rùn)率為1%）

Anexampleoftriangulararbitrage反之也成立。檢驗(yàn)過程：根據(jù)匯率折算方式，有下式成立：（SRbl/$S$/￥S￥/Rbl）-1＝S$/RblS￥/$SRbl/￥

由于S$/RblS￥/$SRbl/￥＝0.2×100×0.04950＝0.99<1Currenciesinthedenominators(分母)aretoolowrelativetothenumerators（分子）,（出售分子貨幣以購(gòu)買分母貨幣）：仍以$1million出發(fā)

selldollarsandbuyrubles：1million/0.2=5million

rubles sellrublesandbuyyen:5million/0.0495=101million

yen sellyenandbuydollars:101million/100=1.01million

dollars

Profitof$1million

=($1.01-$1)million

=0.01million

or1%oftheinitialamount(利潤(rùn)率為1%）Anexampleoftriangulararbitragewhatcangowrong？如果將方向反了，就會(huì)帶來(lái)虧損。例如，當(dāng)SRbl/$S$/￥S￥/Rbl

=(Rbl5/$)($.01/￥)(￥20.20/Rbl)=1.01>1卻從買進(jìn)分母貨幣入手，這樣的套利結(jié)果是：仍以100萬(wàn)美元出發(fā)，就是賣出美元買進(jìn)日元、然后賣出日元買進(jìn)盧布，最后賣出盧布買進(jìn)美元，則有：$100萬(wàn)×1/0.01×1/20.20×1/5=99.01虧損：99.01－100＝0.99萬(wàn)美元。PPP的圖示:Whichwaydoyougo?InflationRateDifferential(%)homeinflationrate–foreigninflationrate%

Dintheforeigncurrency’sspotrate-

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3PPPline外國(guó)商品的購(gòu)買力上升外國(guó)商品的購(gòu)買力下降CDPPP的圖示:Whichwaydoyougo?例如,D點(diǎn),表示國(guó)內(nèi)通貨膨脹比國(guó)外低3%,但是,外幣只貶值了2%,因此,出現(xiàn)了購(gòu)買力差別,外國(guó)商品的購(gòu)買力低于本國(guó)商品的購(gòu)買力.PPP理論表明在這個(gè)例子中外幣應(yīng)該貶值3%,以便完全抵銷3%的通貨膨脹差額.由于外幣沒有疲軟到這種程度,本國(guó)消費(fèi)者不再繼續(xù)購(gòu)買外國(guó)的商品,外幣需求下降,使外幣疲軟到PPP理論所預(yù)計(jì)的水平,因此,D點(diǎn)應(yīng)移向PPP線PPP線右邊或下面的所有點(diǎn)表示對(duì)本國(guó)商品的購(gòu)買力大于對(duì)外國(guó)商品的購(gòu)買力PPP的圖示：Whichwaydoyougo?例如,C點(diǎn),表示國(guó)內(nèi)通貨膨脹比國(guó)外高4%,但是,外幣只升值了1%,因此,出現(xiàn)了購(gòu)買力差別,外國(guó)商品的購(gòu)買力高于本國(guó)商品的購(gòu)買力.PPP理論表明在這個(gè)例子中外幣應(yīng)該升值4%,以便完全抵銷4%的通貨膨脹差額.由于外幣沒有堅(jiān)挺到這種程度,本國(guó)消費(fèi)者不再繼續(xù)購(gòu)買本國(guó)的商品,而是轉(zhuǎn)而購(gòu)買外國(guó)商品,外幣需求上升,使外幣堅(jiān)挺到PPP理論所預(yù)計(jì)的水平,因此,C點(diǎn)應(yīng)移向PPP線PPP線左邊或上面的所有點(diǎn)表示對(duì)外國(guó)商品的購(gòu)買力大于對(duì)本國(guó)商品的購(gòu)買力.四、InterestRateParity,orIRPCoveredInterestArbitrage

UnconeredInterestArbitrageFtd/f/S0d/f=[(1+id)/(1+if)]t=E[Std/f]/S0d/f

=[(1+pd)/(1+pf)]twhere S0d/f=today’sspotexchangerate E[Std/f]=expectedfuturespotrate Ftd/f=forwardratefortimetexchange i=acountry’snominalinterestrate p=acountry’sinflationrateForwardpremiumsanddiscountsareentirelydeterminedbyinterestratedifferentials.(遠(yuǎn)期升貼水幾乎完全由利率差異所決定)Interestrateparity:

Whichwaydoyougo?

Whichcurrencydoweborrowandwhichcurrencydowelendinordertotakeadvantageofamarketdisequilibrium?

IfFtd/f/S0d/f>[(1+id)/(1+if)]t

then so...Ftd/fmustfall SellfatFtd/fS0d/fmustrise BuyfatS0d/fidmustrise Borrowatid

ifmustfall LendatifIfFtd/f/S0d/f<[(1+id)/(1+if)]t then so...Ftd/fmustrise BuyfatFtd/fS0d/fmustfall SellfatS0d/fidmustfall Lendatidifmustrise BorrowatifInterestrateparity:

Whichwaydoyougo?Interestrateparityisenforcedthrough“coveredinterestarbitrage”AnExample:Given: i$=7% S0$/￡=$1.20/￡ i￡=3% F1$/￡=$1.25/￡ F1$/￡/S0$/￡

>(1+i$)/(1+i￡) 1.041667

>1.038835ThefxandEurocurrencymarketsarenotinequilibrium.Coveredinterestarbitrage1. Borrow$1,000,000

ati$=7%2. Convert$sto￡s

atS0$/￡=$1.20/￡ 3. Invest￡s

ati￡=3% 4. Convert￡sto$s

atF1$/￡=$1.25/￡ 5. Takeyourprofit:

T$1,072,920-$1,070,000=$2,920+$1,000,000+￡833,333-$1,000,000-￡833,333-$1,070,000+￡858,333+$1,072,920-￡858,333RulesIfIfFtd/f/S0d/f>[(1+id)/(1+if)]t,thenborrowatid,buyS0d/f,lendatid,andsellFd/fIfIfFtd/f/S0d/f<[(1+id)/(1+if)]t,thenborrowatif,sellSd/f,lendatid,andbuyF0d/f.ForwardratesaspredictorsoffuturespotratesFtd/f=E[Std/f]thatis:Forwardratesareunbiasedestimatesoffuturespotrates.Ftd/f/S0d/f=E[Std/f]/S0d/fthatis:forwardpremiumsreflecttheexpectedchangeinthespotexchangerate.Forwardratesarenotgoodpredictorsoffuturespotratesovershortforecastinghorizons.Attheveryleast,thelongtimeholds.ExchangerateTimet2t3t4t1S1S2S3S4F1F2F3ErrorErrorErrort2t3t4t1

Theforwardrateavailabletoday(Ft,t+1),timet,fordeliveryatfuturetimet+1,isusedasa“predictor”ofthespotratethatwillexistatthatdayinthefuture.Therefore,theforecastspotratefortimeSt2isF1;theactualspotrateturnsouttobeS2.Theverticaldistancebetweenthepredictionandtheactualspotrateistheforecasterror.Whentheforwardrateistermedan“unbiasedpredictorofthefuturespotrate,”itmeansthattheforwardrateoverorunderestimatesthefuturespotratewithrelativelyequalfrequencyandamount.Ittherefore“missesthemark”inaregularandorderlymanner.Thesumoftheerrorsequalszero.ForwardRateasanUnbiasedPredictorforFutureSpotRateIRP的圖示：Whichwaydoyougo?InterestRateDifferential(%)homeinterestrate–foreigninterestrateForwardPremium(%)ForwardDiscount(%)-

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3IRPlineABXY4ZWiH-iF=2%P=4%本國(guó)投資者到外國(guó)投資有利iH-iF=-3%P=-1%本國(guó)投資者到外國(guó)投資有利iH-iF=3%P=-2%外國(guó)投資者到本國(guó)投資有利iH-iF=-1%P=-3%外國(guó)投資者到本國(guó)投資有利ManagingforValue:HowIRPAffectsIBM'sHedgeIBMhassomeforeignsubsidiariesbasedinBrazil.IBMconsidershedginganyfundsthatitsBraziliansubsidiariesplantoremittotheparent.ForwardcontractsconbeusedtohedgethefuturetransactionsinwhichtheBrazilianrealwillbeconvertedintodollars.DuetoIRP,however,theforwardrateoftheBrazilianrealisunfavorablerelativetoitsspotrate.SincetheBrazilianinterestrateishigherthantheU.S.interestrate,IRPforcestheforwardrateofBrazilianrealtoexhibitadiscount.Thisexchangeratemaynotbeasfavorableastheprevailingspotrateatthatfuturetime,eveniftoday'sspotratedeclinesovertime.InternationalFisherrelation

(FisherOpenhypothesis)RecalltheFisherrelation:(1+i)=(1+

)(1+p)Ifrealratesofinterestareequalacrosscurrencies,fromtheIRP,then[(1+id)/(1+if)]t =[(1+

d)(1+pd)]t/[(1+

f)(1+pf)]t

=[(1+pd)/(1+pf)]tThisrelationiscalledtheinternationalFisherrelation.InternationalFisherrelation

(FisherOpenhypothesis)[(1+id)/(1+if)]t=[(1+pd)/(1+pf)]t

SpeculatorswillforcethisrelationtoholdonaverageIfrealratesofinterestareequalacrosscountries(

d=

f),theninterestratedifferentialsmerelyreflectinflationdifferentialsThisrelationisunlikelytoholdatanypointintime,butshouldholdinthelongrunIFE的圖示：Whichwaydoyougo?InterestRateDifferential(%)homeinterestrate–foreigninterestrate-

2-

42413-

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3IFEline%

Dintheforeigncurrency’sspotrateBA投資外國(guó)取得高的回報(bào)率投資外國(guó)取得較低的回報(bào)率亞洲金融危機(jī)期間IFE的運(yùn)用根據(jù)IFE,在亞洲危機(jī)前夕,高利率將不會(huì)吸引外國(guó)投資,因?yàn)楦呃室馕吨鴧R率的下降.但是,由于一些國(guó)家中央銀行實(shí)行的是固定匯率度,仍然吸引了大量的外國(guó)投資.不幸的是,中央銀行的這種努力被市場(chǎng)力量所淹沒了.

結(jié)果,東南亞國(guó)家貶值

徹底消滅了高利率的收益.

Summary:Int’lparityconditionsInterestrates[(1+id)/(1+if)]tInflationrates[(1+pd)/(1+pf)]tE[Std/f]/S0d/fExpectedchangeinthespotrateFtd/f/S0d/fForward-spotdifferentialInterestrateparityRelativePPPInternationalFisherrelationForwardratesaspredictorsoffuturespotratesExchangeRateForecastingNumerousforeignexchangeforecastingservicesexist,manyofwhichareprovidedbybanksandindependentconsultants.Somemultinationalfirmshavetheirownin-houseforecastingcapabilities.Predictionscanbebasedonelaborateeconometricmodels,technicalanalysisofchartsandtrends,intuition,andacertainmeasureofgall.ExchangeRateForecastingA.Market-BasedForecastingExchangerateforecastsareprovidebyseveraloftheinternationalparityconditions.E[Std/f]=Ftd/f

forwardparityE[Std/f]=S0d/f[(1+id)/(1+if)]t

acombinationofforwardandinterestrateparityE[Std/f]=S0d/f[(1+pd)/(1+pf)]trelativePPPMarket-BasedForecastingThebeautyofmarket-basedforecastsisthatanyonewithaccesstoafinancialnewspapercanmakethem.基于市場(chǎng)的預(yù)測(cè)法看起來(lái)很美！Unfortunately,一方面，它在短期預(yù)測(cè)上效果差。

theseforecastsdonotworkwellintheshortterm.Theinternationalparityconditionsprovideasignalastowhichdirectionacurrencyshouldchangeinequilibrium.相對(duì)于每天匯率的波動(dòng)而言，thissignalisweak。因此，它可用于一年以上的匯率預(yù)測(cè)。Market-BasedForecasting另一方面，國(guó)際平價(jià)條件對(duì)于長(zhǎng)期名義匯率的預(yù)測(cè)也許有是用的，但對(duì)于實(shí)際匯率的預(yù)測(cè)卻是少有幫助的。Althoughtheinternationalparityconditionsareusefulforforecastinglong-termtrendsinnominalexchangerate,theyarelesshelpfulinforecastingrealexchangeratesbecauserealexchangeratesa