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【正文】 run real depreciation of the home currency against the foreign currency (., rise in qH/F ) 55 Nominal and Real exchange rates in longrun equilibrium ?qH/F = (EH/F ? PF) / PH ?EH/F = qH/F ? (PH / PF) ?Note that under Absolute PPP, qH/F = 1. Thus the fact that qH/F may not equal 1 allows the possible deviations from Absolute PPP. This deviation qH/F is an additional determinant of the nominal exchange rate. 56 Effect of an increase in home money supply level MHs PH EH/F because PH = MHs / L ( RH, YH ) because EH/F = qH/F ?(PH / PF) RH, YH, qH/F Why? 57 Effect of an increase in home money supply growth rate Growth of MHs YH, qH/F EH/F because a nominal change has no real effect because EH/F = qH/F ? (PH / PF) RH PH = MHs / L ( RH, YH ) ?H Because Fisher : RH,t RF,t = ?H,t+1e ?F,t+1e 58 Effect of an increase in world relative demand for home pdts Relative demand for home pdts EH/F because EH/F = qH/F ?(PH / PF) qH/F 59 Effect of an increase in relative home supply Relative home supply EH/F ? because EH/F = qH/F ? (PH / PF) qH/F LH PH = MHs / L ( RH, YH ) PH EH/F EH/F L ( RH, YH ) 60 An insight in the failure of relative PPP ?When all disturbances are moary in nature, exchange rates obey relative PPP in the long run. ?When disturbances occur in output markets, the exchange rate is unlikely to obey relative PPP, even in the long run (because qH/F may change over time). 61 Fisher effect with real exchange rate movement ?qH/F = (EH/F ? PF) / PH ?(qH/F,t+1 qH/F,t )/ qH/F,t = (EH/F,t+1 EH/F,t )/ EH/F,t + ?F,t+1 ?H,t+1 ?(qH/F,t+1e qH/F,t )/ qH/F,t = (EH/F,t+1e EH/F,t )/ EH/F,t + ?F,t+1e ?H,t+1e ?RH,t RF,t = (qH/F,t+1e qH/F,t )/ qH/F,t + ?H,t+1e ?F,t+1e because RH,t = [EH/F,t+1e EH/F,t ] / EH/F,t + RF,t 62 Real interest parity ?Define re = R ?e ?rH,te rF,te = (RH,t ?H,t+1e) ( RF,t ?F,t+1e) ?rH,te rF,te = (qH/F,t+1e qH/F,t )/ qH/F,t ?If relative PPP holds ?rH,te rF,te = 0 ?. rH,te = rF,te 63 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 64 Evidence ?Cumby and Obstfeld (1984) and Mishkin(1984) both rejected the hypothesis. ?Reason? ?PPP and UIP do not hold ?and real interest parity is derived from them. 65 Want to know more ... ?Chapter 15 of Krugman and Obstfeld ?especially for various case studies ?Gibson, Heather D. (1996): INTERNATIONAL FINANCE, Longman Publishing, New York. Chapter 2 for discussion of empirical evidence. 66 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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