andpolicyproblems國際金融香港大學(xué)wongkafu(參考版)
2025-01-03 06:59本頁面
【正文】 1 The Global Capital Market: Performance and Policy Problems WONG Ka Fu 10th April 2023 2 The growing international capital market 1960s: Since 1980s: cross country lending and borrowing became routine banks did business on domestic currency, with domestic customers 3 Foreign exchange market Currencies International capital market Currencies + stocks, bonds, bank deposits in different countries International capital market The market which residents of different country trades assets. 4 Goods and services Assets Goods and services Assets Home Foreign 5 Goods and services Goods and services Home Foreign Use home output (export) to exchange for foreign output (import) 6 Goods and services Assets Home Foreign Use today’s home good to exchange for claims for foreign future goods. ., intertemporal trade 7 Assets Assets Home Foreign Use home’s claim for future goods to exchange of foreign claims of future goods Portfolio diversification Increase number of items on menu 8 Why diversify our portfolio? ?Most people are risk averse. ?Gamble ?half the time you win $1000 ?half the time you lose $1000 ?average payoff = 1/2*(1000) + 1/2*(1000) = 0 ?A risk averse agent weighs the possibility of losing 1000 more than the possibility of winning 1000 and hence will not gamble. 9 Portfolio diversification W: wealth of a typical investor, to be divided between home and foreign assets. ?: proportion of wealth allocated to home assets. Two states: state 1 with probability q, state 2 with probability (1q) 10 State 1 (with probability q) a unit of wealth invested in the home asset pays out H1 units of output, and a unit of wealth invested in the foreign assets pays out F1 units of output. C1 = [? H1 + (1?)F1 ] ? W 11 State 2 (with probability 1q) a unit of wealth invested in the home asset pays out H2 units of output, and a unit of wealth invested in the foreign assets pays out F2 units of output. C2 = [? H2 + (1?)F2 ] ? W 12 Expected utility maximization Choose ? to maximize q U(C1) + (1q) U(C2) For risk averse agent, U is concave Diminishing marginal U: the increase of U due to a 1000 units of consumption gain is less than the decrease of U due to a 1000 units of consumption loss. 13 wealth U(C) U W W+K WK Concave U (.,Diminishing marginal U) the increase of U due to a 1000 units of consumption gain is less than the decrease of U due to a 1000 units of consumption loss. 14 Optimal portfolio Optimal portfolio, ?, is often between zero and one. That is , a riskaverse agent would like to diversify its asset holding into home as well as foreign assets. Investors from two different countries may crosshold others assets. 15 Indifference curve of the expected utility q U(C1) + (1q) U(C2) State 2 consumption, C2 State 1 consumption, C1 Budget line 16 Main actors ?Same as foreign exchange market ?mercial banks, ?large corporations (particularly those with multinational operations), ?nonbank financial institutions (insurance panies, pension funds, and mutual funds) ?central banks (foreign exchange intervention), and ?other government agencies 17 Offshore banking ? Offshore banking: the business that foreign bank or domestic banks’ foreign offices conduct outside of our country. ? Offshore bank: ?Any bank outside the country in which the depositor lives. ?A bank “l(fā)icensed” to do business only outside the jurisdiction in which it
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