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【正文】 (et+1 ) = ft ?Et ln et+1 ? ln ft ?ln et+1 ? ln ft + ?t ?t = ln et+1 Et (ln et+1 ) ?ln et+1 ln et = ln ft ln et + ?t ?ln et+1 ln et = ? + ?(ln ft ln et ) + ?t ?Test ?=0 and ?=1. ?Reject hypothesis. 48 Why did the regression test fail so badly? ?Poor approximation? ?Risk premium? ?Expectation not rational? ?Moary policy working on the shortterm interest rate? ?Omitted variables? ?Buy and sell exchange and interest rates are different? Any arbitrage opportunities? 49 Dealing with assets returns directly is plicated: ?Expected return on a home asset: Et (Pt+1 + Dt+1) Pt ?Expected return on a foreign asset: Et [ et+1 (Pt+1* + Dt+1* ) ] etPt* = Covt [ et+1 (Pt+1* + Dt+1* ) ] + Et [ et+1 ] Et [Pt+1* + Dt+1* ] etPt* using the formula Cov(x,y)=E(xy) E(x)E(y). Thus, to forecast et+1 (Et [ et+1 ]), we would need to know Et [Pt+1* + Dt+1* ] , Et [Pt+1* + Dt+1* ] and the Covt [ et+1 (Pt+1* + Dt+1* ) ] 50 Dealing with assets returns directly is plicated: ? Et (Pt+1 + Dt+1) Pt may depends on the economic growth, fiscal and moary policy (interest rate) of home country. ? Et [Pt+1* + Dt+1* ] may depends on the economic growth, fiscal and moary policy (interest rate) of foreign country. ? Covt [ et+1 (Pt+1* + Dt+1* ) ] is the covariance between et+1 and (Pt+1* + Dt+1* ). ?If they move in the same direction, Covt [ et+1 (Pt+1* + Dt+1* ) ] is positive. ?If they move in opposite directions, Covt [ et+1 (Pt+1* + Dt+1* ) ] is negative. 51 Dealing with assets returns directly is plicated: ?There are too many unknowns. ?Solving these quantities would probably require us to build another economic model(s). ?It is difficult for us to get a clear intuition and forecast of future exchange rate. 52 Want to know more about it? ?Krugman and Obstfled ?Chapter 13 for the theory ?pp. 675679 for empirical evidence ?Chapter 11 of Levi ?Search “interest parity” in EconLit … 165 items returned For examples... 53 Want to know more about it? ?Moosa, Imad A.。 Bhatti, Razzaque H. (1997): International Parity Conditions: Theory, Econometric Testing and Empirical Evidence, Macmillan Press. ?Marston, Richard C. (1997): “Tests of Three Parity Conditions: Distinguishing Risk Premia and Systemic Forecast Errors,” Journal of International Money and Finance, 16(2), pp. 285303. 54 謝謝觀看 /歡迎下載 BY FAITH I MEAN A VISION OF GOOD ONE CHERISHES AND THE ENTHUSIASM THAT PUSHES ONE TO SEEK ITS FULFILLMENT REGARDLESS OF OBSTACLES. BY FAITH I BY FAITH
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