【正文】 影響外匯市場的匯率水平 。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 ? 結(jié)論： 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(jié)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 匯率的預測 ? 匯率預測的必要性； ? 匯率預測技術(shù)的種類 。858,333 Rules ? If Ftd/f/S0d/f [(1+id)/(1+if)]t ,then borrow at id, buy S0d/f ,lend at id, and sell Fd/f ? If Ftd/f/S0d/f [(1+id)/(1+if)]t ,then borrow at if, sell Sd/f, lend at id,and buy F0d/f . IRP的圖示： Which way do you go? Interest Rate Differential (%) home interest rate – foreign interest rate Forward Premium (%) Forward Discount (%) 2 4 2 4 1 3 1 3 IRP line A B X Y 4 Z W iHiF=2% P=4% 本國投資者到外國投資有利 iHiF=3% P=1% 本國投資者到外國投資有利 iHiF=3% P=2% 外國投資者到本國投資有利 iHiF=1% P=3% 外國投資者到本國投資有利 Managing for Value: How IRP Affects IBM39。833,333 $1,070,000 +163。 5. Take your profit: ? $1,072,920?$1,070,000 = $2,920 +$1,000,000 +163。s to $s at F1$/163。s at i163。 = $163。) The fx and Eurocurrency markets are not in equilibrium. 怎么辦？ Covered interest arbitrage 1. Borrow $1,000,000 at i$ = 7% 2. Convert $s to 163。 / S0$/163。 = $163。 i163。 PPP的圖示 : Which way do you go? Inflation Rate Differential (%) home inflation rate – foreign inflation rate % D in the foreign currency‘s spot rate 2 4 2 4 1 3 1 3 PPP line 外國商品的購買力上升 外國商品的購買力下降 C D ? 例如 ,D點 ,表示國內(nèi)通貨膨脹比國外低 3%,但是 ,外幣只貶值了 2%,因此 ,出現(xiàn)了購買力差別 ,外國商品的購買力低于本國商品的購買力 . ? PPP理論表明在這個例子中外幣應該貶值 3%,以便完全抵銷 3%的通貨膨脹差額 . ? 由于外幣沒有疲軟到這種程度 ,本國消費者不再繼續(xù)購買外國的商品 ,外幣需求下降 ,使外幣疲軟到 PPP理論所預計的水平 ,因此 ,D點應移向 PPP線 ? PPP線右邊或下面的所有點表示對本國商品的購買力大于對外國商品的購買力 ? 例如 ,C點 ,表示國內(nèi)通貨膨脹比國外高 4%,但是 ,外幣只升值了1%,因此 ,出現(xiàn)了購買力差別 ,外國商品的購買力高于本國商品的購買力 . ? PPP理論表明在這個例子中外幣應該升值 4%,以便完全抵銷4%的通貨膨脹差額 . ? 由于外幣沒有堅挺到這種程度 ,本國消費者不再繼續(xù)購買本國的商品 ,而是轉(zhuǎn)而購買外國商品 ,外幣需求上升 ,使外幣堅挺到PPP理論所預計的水平 ,因此 ,C點應移向 PPP線 ? PPP線左邊或上面的所有點表示對外國商品的購買力大于對本國商品的購買力 . 四、 Interest Rate Parity, or IRP Covered Interest Arbitrage Unconered Interest Arbitrage Forward premiums and discounts are entirely determined by interest rate differentials.(遠期升貼水幾乎完全由利率差異所決定 ) tfdfdfdt iiSF )]1/()1[(//0/ ???tfdfdfdt iiSSE )]1/()1[(/][/0/ ???Exchange rate Time t 2 t 3 t 4 t 1 S1 S2 S3 S4 F1 F2 F3 Error Error Error t 2 t 3 t 4 t 1 Forward Rate as an Unbiased Predictor for Future Spot Rate tfdfdfdtfdfdt iiSSESF )]1/()1[(/][//0//0/ ????Forward rates as predictors of future spot rates ? Ftd/f = E[Std/f] that is :Forward rates are unbiased estimates of future spot rates. ? Ftd/f / S0d/f = E[Std/f] / S0d/f that is: forward premiums reflect the expected change in the spot exchange rate. ? Forward rates are not good predictors of future spot rates over short forecasting horizons. ? At the very least, the long time holds. Interest rate parity: Which way do you go? Which currency do we borrow and which currency do we lend in order to take advantage of a market disequilibrium? If Ftd/f/S0d/f [(1+id)/(1+if)]t then so... Ftd/f must fall Sell f at Ftd/f S0d/f must rise Buy f at S0d/f id must rise Borrow at id if must fall Lend at if If Ftd/f/S0d/f [(1+id)/(1+if)]t then so... Ftd/f must rise Buy f at Ftd/f S0d/f must fall Sell f at S0d/f id must fall Lend at id if must rise Borrow at if Interest rate parity: Which way do you go? Interes