【正文】 interest rate – foreign interest rate 2 4 2 4 1 3 1 3 IFE line % D in the foreign currency’s spot rate B A 投資外國取得高的回報率 投資外國取得較低的回報率 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 ,高利率將不會吸引外國投資 ,因為高利率意味著匯率的下降 . ? 但是 ,由于一些國家中央銀行實行的是固定匯率度 ,仍然吸引了大量的外國投資 . ? 不幸的是 ,中央銀行的這種努力被市場力量所淹沒了 . ? 結(jié)果 ,東南亞國家貶值 徹底消滅了高利率的收益 . Summary: Int’ l parity conditions Interest rates [(1+id)/(1+if)]t Inflation rates [(1+pd)/(1+pf)]t E[Std/f] / S0d/f Expected change in the spot rate Ftd/f / S0d/f Forwardspot differential Interest rate parity Relative PPP International Fisher relation Forward rates as predictors of future spot rates Exchange Rate Forecasting ? Numerous foreign exchange forecasting services exist, many of which are provided by banks and independent consultants. ? Some multinational firms have their own inhouse forecasting capabilities. ? Predictions can be based on elaborate econometric models, technical analysis of charts and trends, intuition, and a certain measure of gall. Exchange Rate Forecasting A. MarketBased Forecasting Exchange rate forecasts are provide by several of the international parity conditions. ? E[Std/f]=Ftd/f forward parity ? E[Std/f]=S0d/f[(1+id)/(1+if)]t a bination of forward and interest rate parity ? E[Std/f]=S0d/f[(1+pd)/(1+pf)]t relative PPP MarketBased Forecasting ? The beauty of marketbased forecasts is that anyone with access to a financial newspaper can make ！ ? Unfortunately,一方面， 它在短期預(yù)測上效果差。 these forecasts do not work well in the short term. ? The international parity conditions provide a signal as to which direction a currency should change in equilibrium. 相對于每天匯率的波動而言， this signal is weak。因此，它可用于一年以上的匯率預(yù)測。 MarketBased Forecasting ? 另一方面，國際平價條件對于長期名義匯率的預(yù)測也許有是用的，但對于實際匯率的預(yù)測卻是少有幫助的。Although the international parity conditions are useful for forecasting longterm trends in nominal exchange rate, they are less helpful in forecasting real exchange rates because real exchange rates are assumed to be constant in the international parity 中假定實際匯率是不變的。 ? 而 實際匯率預(yù)測在管理經(jīng)營外匯風(fēng)險中至關(guān)重要 。 The real exchange rate ? The real exchange rate is the nominal exchange rate adjusted for relative changes in domestic and foreign price levels. Change in the nominal exchange rate Example S0165。/$ = 165。100/$ S1165。/$ = 165。110/$ E[p165。] = 0% E[p$] = 10% 名義匯率波動率為 Δ s165。/$ = (S1165。/$– S0165。/$)/S0165。/$ = , or a 10 percent nominal change The expected nominal exchange rate But，假定名義匯率僅僅反映通貨膨脹率的變化，則根據(jù) RPPP預(yù)測的名義匯率卻為 E[S1165。/$] = S0165。/$ (1+ p165。)/(1+ p$) = 165。$ What is the change in the nominal exchange rate relative to the expectation of 165。$?（因此，預(yù)期的匯率 義匯率 110出現(xiàn)了不一樣?。? Actual versus expected change St165。/$ Actual S1165。/$ = 165。110/$ E[S1165。/$] = 165。$ 165。130//$ 165。120//$ 165。100//$ 165。110//$ 165。90//$ time Change in the real exchange rate 由于 RPPP考慮了通貨膨脹率對匯率的影響，因此，由 RPPP預(yù)測的匯率變動率可以視為實際匯率的變動率。 Real (inflationadjusted) appreciation of the dollar: 因此， 21 percent more than expected 即名義匯率升值了 10%，而實際匯率卻升值了 21%！ %21 ????E x pe c t e dE x pe c t e dA c t ualChange in the real exchange rate 實際匯率等于名義匯率乘上兩國通貨膨脹率之比，因此，實際匯率的變動率公式為： (1+xtd/f) = (Xtd/f / Xt1d/f) ＝ (Std/f / St1d/f) [(1+ptf)/(1+ptd)] xtd/f = percentage change in the real exchange rate Std/f = the nominal spot rate at time t ptc = inflation in currency c during period t 因此，實際匯率的變化反映了相對購買力的變化。 Change in the real exchange rate Example S0165。/$ = 165。100/$ ? S1165。/$ = 165。110/$ E[p165。] = 0% and E[p$] = 10% xt165。/$ = [(165。110/$)/(165。100/$)][] 1 = , or a 21 percent increase in real purchasing power Exchange Rate Forecasting ? B. Modelbased exchange rate forecasts基于模型的匯率預(yù)測 ? Technical Forecasting技術(shù)預(yù)測法， 是用歷史的匯率數(shù)據(jù)來預(yù)測未來的匯率（ Technical forecasting involves the use of historical exchange rate data to predict future values） . time series models. 例如，某種貨幣連續(xù)四天價值上升的事實可能表明它在第五天將如何表現(xiàn)。 技術(shù)預(yù)測法的步驟： 第一步，收集研究對象的歷史數(shù)據(jù)； 第二步，分析這些歷史數(shù)據(jù)，找出規(guī)律； 第三步，判斷這些形態(tài)是否會穩(wěn)定地重復(fù)發(fā)生。 包括：圖表技術(shù)分析法和計量經(jīng)濟(jì)分析法等