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【正文】 the dollar than the peso, and thus, dollar deposits can offer a lower interest rate, for any expected rate of depreciation against a third currency, than peso deposits for the same rate of depreciation against that third currency. As the world capital market bees increasingly integrated, the liquidity advantages of holding dollar deposits as opposed to yen deposits will probably diminish. The euro represents an economy as large as the United States, so it is possible that it will assume some of that vehicle role of the dollar, reducing the liquidity advantages to as far as zero. Since the euro has no history as a currency, though, some investors may be leary of holding it until it has established a track record. Thus, the advantage may fade slowly. 11. Greater fluctuations in the dollar interest rate lead directly to greater fluctuations in the exchange rate using the model described here. The movements in the interest rate can be investigated by shifting the vertical interest rate curve. As shown in figure , 98 these movements lead directly to movements in the exchange rate. For example, an increase in the interest rate from i to i39。 leads to a dollar appreciation from E to E39。. A decrease in the interest rate from i to i leads to a dollar depreciation from E to E. This diagram demonstrates the direct link between interest rate volatility and exchange rate volatility, given that the expected future exchange rate does not change. EE( $/ f o r e i gn c ur r e n c y )r a t e s o f r e t ur n ( i n do l l a r s )iIIE’i i39。E” Figure 137 12. A tax on interest earnings and capital gains leaves the interest parity condition the same, since all its ponents are multiplied by one less the tax rate to obtain aftertax returns. If capital gains are untaxed, the expected depreciation term in the interest parity condition must be divided by 1 less the tax rate. The ponent of the foreign return due to capital gains is now valued more highly than interest payments because it is untaxed. 13. The forward premium can be calculated as described in the appendix. In this case, we find the forward premium on euro to be ( – )/ = . The interestrate difference between oneyear dollar deposits and oneyear euro deposits will be 5 percent because the interest difference must equal the forward premium on euro against dollars when covered interest parity holds. 99 FURTHER READINGS J. Orlin Grabbe. International Financial Markets, 3rd Edition. Englewood Cliffs: PrenticeHall, 1996. Philipp Hartmann. Currency Competition and Foreign Exchange Rate Markets: The Dollar, the Yen, and the Euro. Cambridge: Cambridge University Press, 1999. John Maynard Keynes. A Tract on Moary Reform. Chapter 3. London: Macmillan, 1923. Paul R. Krugman. The International Role of the Dollar: Theory and Prospect. in John . Bilson and Richard C. Marston, eds. Exchange Rate Theory and Practice. Chicago: University of Chicago Press, 1984, pp. 261278. Richard Levich. International Financial Markets: Prices and Policies. Boston: Irwin McGrawHill, 1998. Richard K. Lyons. The Microstructure Approach to Exchange Rates. Cambridge: MIT Press, 2022. Ronald I. McKinnon. Money in International Exchange: The Convertible Currency System. New York: Oxford University Press, 1979. Michael Mussa. Empirical Regularities in the Behavior of Exchangerates and Theories of the ForeignExchange Market. in Karl Brunner and Allan H. Meltzer eds., Policies for Employment Prices and ExchangeRates. CarnegieRochester Conference Series on Public Policy 11. Amsterdam: NorthHolland Press, 1979. Julian Walmsley. The Foreign Exchange and Money Markets Guide. New York: John Wiley amp。 Sons, 1992.
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