公司理財(cái)chap020(編輯修改稿)
2025-01-04 22:00 本頁面
【文章內(nèi)容簡介】 e zero No barriers to trade (no taxes, tariffs, etc.) No difference in the commodity between locations For most goods, Absolute PPP rarely holds in practice.,Absolute Purchasing Power Parity,Provides information about what causes changes in exchange rates. The basic result is that exchange rates depend on relative inflation between countries: E(St ) ≈ S0[1 + (hFC – hUS)]T Because absolute PPP doesn’t hold for many goods, we will focus on relative PPP from here on out.,Relative Purchasing Power Parity,Suppose the Canadian spot exchange rate is 1.18 Canadian dollars per U.S. dollar. U.S. inflation is expected to be 3% per year, and Canadian inflation is expected to be 2%. Do you expect the U.S. dollar to appreciate or depreciate relative to the Canadian dollar? Since inflation is higher in the U.S., we would expect the U.S. dollar to depreciate relative to the Canadian dollar. What is the expected exchange rate in one year? E(S1) = 1.18[1 + (.02 .03)]1 = 1.1682,Example,IRP is an arbitrage condition. If IRP did not hold, then it would be possible for an astute trader to make unlimited amounts of money exploiting the arbitrage opportunity. Since we don’t typically observe persistent arbitrage conditions, we can safely assume that IRP holds.,20.4 Interest Rate Parity,Suppose you have $100,000 to invest for one year. You can either Invest in the U.S. at i$. Future value = $100,000(1 + i$) Trade your dollars for yen at the spot rate, invest in Japan at i165。 and hedge your exchange rate risk by selling the future value of the Japanese investment forward.,Interest Rate Parity,Since both of these investments have the same risk, they must have the same future value:,Formally,Interest Rate Parity,IRP is sometimes approximated as,If IRP failed to hold, an arbitrage opportunity would exist. It’s easiest to see this in the form of an example. Consider the following set of foreign and domestic interest rates and spot and forward exchange rates.,IRP and Covered Interest Arbitrage,A trader with $1,000 to invest could invest in the U.S.。 in one year his investment will be worth $1,071 = $1,000?(1+ i$) = $1,000?(1.071). Alternatively, this trader could: exchange $1,000 for 163。800 at the prevailing spot rate, (note that 163。800 = $1,000247。$1.25/163。) invest 163。800 at i163。 = 11.56% for one year to achieve 163。892.48. Translate 163。892.48 back into dollars at F163。(360) = $1.20/163。 the 163。892.48 will be exactly $1,071.,IRP and Covered Interes
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