rateinthelongrun(國際金融-香港大學(xué),wongkaf(完整版)
【正文】 ximize profit ?(p1,…,pn) =? pi qi(Eipi,vi) C(?qi(Eipi,vi),w) 45 Pricing to Market ?(p1,…,pn) =? pi qi(Eipi,vi) C(?qi(Eipi,vi),w) pi is the price charged in ith market, in the firm’s domestic currency qi(Eipi,vi) is the demand in ith market, a function of Eipi, price in ith foreign currency and vi, some demand shifters (say, ine). Thus, ? pi qi(Eipi,vi) is the total revenue in domestic currency. C(?qi(Eipi,vi),w) is the total cost of producing ?qi(Eipi,vi) and w is the factors that may shift production cost. 46 Pricing to Market ?(p1,…,pn) =? pi qi(Eipi,vi) C(?qi(Eipi,vi),w) Note that without exchange rate, Ei, the problem is the same as the standard problem of a monopoly maximizing profits in n segmented markets. We should all know its solution from basic microeconomics. 47 Pricing to Market ?The optimal export price is the product of the mon marginal cost and a destinationspecific markup: ?pi= Cq [?i /(?i +1)] ?where Cq is the marginal cost, ??i is the absolute value of the elasticity of demand in the foreign market with respect to changes in price, pi. 48 Pricing to Market ?Thus, prices are different across markets and are related to a destinationspecific markup which is a function of demand elasticity. ?If pricing to market behavior dominates, PPP is unlikely to hold. Further readings: ? Goldberg, Pinelopi Koujianou and Michael M. Kter (1997): “Goods Prices and Exchange Rates: What Have we Learned?” Journal of Economic Literature, Vol. XXXV (September, 1997), pp. 12431272. 49 Empirical test of Fisher’s Equation ?RH,t RF,t = ?H,t+1e ?F,t+1e ??H,t+1e ?F,t+1e = RH,t RF,t ?(?H,t+1 ?F,t+1) e = RH,t RF,t ?(?H,t+1 ?F,t+1) = RH,t RF,t + ?t where (?H,t+1 ?F,t+1) = (?H,t+1 ?F,t+1) e + ?t ?Run the regression ?(?H,t+1 ?F,t+1) =? + ? (RH,t RF,t ) + ?t ?should get ? ? 0 and ? ? 1 50 Evidence ?Cumby and Obstfeld (1984) and Mishkin (1984) both rejected the hypothesis. 51 Real exchange rate ?The real exchange rate between two countries’ currencies is a broad summary measure of the prices of one country’s goods and services relative to the other’s. ?qH/F = (EH/F ? PF) / PH ?PF : price of a basket of foreign goods in foreign currency ?PH : price of a different basket of home goods in home currency 52 Real Exchange Rate home goods home currency foreign goods foreign currency PH PF EH/F 53 Real exchange rate ?qH/F = (EH/F ? PF) / PH ?The units of home good basket per foreign good basket. ?The relative price of foreign good basket in terms of home good baskets. ?Real depreciation: a rise in qH/F 54 Factors affecting the longrun real exchange rate ?A change in relative output demand ?An increase in world relative demand for home output causes a longrun real appreciation of the home currency against the foreign currency (., a fall in qH/F ) ?A change in relative output supply ?A relative expansion of home output causes a long
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