【正文】 包括：圖表技術分析法和計量經(jīng)濟分析法等 。100/$)][] 1 = , or a 21 percent increase in real purchasing power Exchange Rate Forecasting ? B. Modelbased exchange rate forecasts基于模型的匯率預測 ? Technical Forecasting技術預測法， 是用歷史的匯率數(shù)據(jù)來預測未來的匯率（ Technical forecasting involves the use of historical exchange rate data to predict future values） . time series models. 例如，某種貨幣連續(xù)四天價值上升的事實可能表明它在第五天將如何表現(xiàn)。/$ = [(165。110/$ E[p165。100/$ ? S1165。 Change in the real exchange rate Example S0165。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預測的匯率變動率可以視為實際匯率的變動率。100//$ 165。130//$ 165。/$] = 165。/$ = 165。$?（因此，預期的匯率 義匯率 110出現(xiàn)了不一樣！） Actual versus expected change St165。)/(1+ p$) = 165。/$] = S0165。/$)/S0165。/$ = (S1165。110/$ E[p165。100/$ S1165。 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。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。因此，它可用于一年以上的匯率預測。s spot rate declines over time. International Fisher relation (Fisher Open hypothesis) Recall the Fisher relation: (1+i) = (1+?)(1+p) If real rates of interest are equal across currencies, from the IRP, then [(1+id)/(1+if)]t = [(1+?d)(1+pd)]t / [(1+?f)(1+pf)]t = [(1+pd)/(1+pf)]t This relation is called the international Fisher relation. International Fisher relation (Fisher Open hypothesis) [(1+id)/(1+if)]t = [(1+pd)/(1+pf)]t Speculators will force this relation to hold on average ? If real rates of interest are equal across countries (?d = ?f ), then interest rate differentials merely reflect inflation differentials ? This relation is unlikely to hold at any point in time, but should hold in the long run IFE的圖示： Which way do you go? Interest Rate Differential (%) home 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 亞洲金融危機期間 IFE的運用 ? 根據(jù) IFE,在亞洲危機前夕 ,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， 它在短期預測上效果差。 the actual spot rate turns out to be S2. The vertical distance between the prediction and the actual spot rate is the forecast error. When the forward rate is termed an “unbiased predictor of the future spot rate,” it means that the forward rate over or underestimates the future spot rate with relatively equal frequency and amount. It therefore “misses the mark” in a regular and orderly manner. The sum of the errors equals zero. Forward Rate as an Unbiased Predictor for Future Spot Rate IRP的圖示： Whi