rateinthelongrun(國(guó)際金融-香港大學(xué),wongkaf-文庫(kù)吧資料
2025-02-18 05:21本頁(yè)面
【正文】 /F because PF = MFs / L ( RF, YF ) because EH/F = PH / PF LF because L ( RF, YF ) 16 Effect of an increase in home output on LR EH/F YH PH EH/F because PH = MHs / L ( RH, YH ) because EH/F = PH / PF LH because L ( RH, YH ) 17 Effect of an increase in foreign output on LR EH/F YF PF EH/F because PF = MFs / L ( RF, YF ) because EH/F = PH / PF LF because L ( RF, YF ) 18 Longrun exchange rate based on absolute PPP ? EH/F = PH / PF ? PH = MHs / L ( RH, YH ) ? PF = MFs / L ( RF, YF ) ?EH/F = (MHs / MFs ) ? [L ( RF, YF ) /L ( RH, YH )] 19 How is longrun exchange rate determined? ?Anything that raises (lowers) LH lowers (raises) EH/F ?Anything that lowers (raises) LF lowers (raises) EH/F ?An increase (A decrease) in MHs raises (lowers) EH/F ?An increase (A decrease) in MFs lowers (raises) EH/F 20 Growth rate of money supply: a mathematical derivation ?Money supply level : MHs (t) ?Growth rate : (MHs (t+1) MHs (t) ) / MHs (t) ?Define y(t) = ln( MHs (t) ) ?dy(t)/d(t) = d ln( MHs (t) )/dt = dy(t)/d MHs (t) ? d MHs (t) /dt = 1/ MHs (t) ? d MHs (t) /dt ? dt = t+1 t = 1 21 Fisher effect ?Uncovered interest parity: RH,t = [EH/F,t+1e EH/F,t ] / EH/F,t + RF,t ?let ?t+1 e = (Pt+1e Pt ) / Pt and ??t+1 = (Pt+1 Pt ) / Pt ?Relative PPP : (EH/F,t+1 EH/F,t )/ EH/F,t = ?H,t+1 ?F,t+1 ?(EH/F,t+1e EH/F,t )/ EH/F,t = ?H,t+1e ?F,t+1e ?RH,t RF,t = ?H,t+1e ?F,t+1e 22 If MHS is growing at a rate of ? ?PH grows at a rate of ? because PH = MHs / L ( RH, YH ) ?., expect ?H,t+1 = ? ?or , ?H,t+1 e = ? ?Hence, RH,t RF,t = ?H,t+1e ?F,t+1e = ? if ?F,t+1e = 0 23 If MHS is growing at a rate of ? Slope = ? t0 Log(MHS) 24 If MHS is growing at a rate of ? t0 RH RH1 25 If MHS is growing at a rate of ? t0 Log (PH) Slope = ? 26 If MHS is growing at a rate of ? t0 Log(EH/F) Slope = ? 27 If MHS is growing at a rate of (? + ??) ?PH grows at a rate of ( ? + ??) because PH = MHs / L ( RH, YH ) ?., expect ?H,t+1 = ( ? + ??)。 ?or , ?H,t+1 e = ( ? + ??) ?Hence, RH,t RF,t = ?H,t+1e ?F,t+1e = ( ? + ??) if ?F,t+1e = 0 28 If the rate of MHS growth increases from ? to (? + ??) ?Suppose RF,t fixed and ?F,t+1e = 0 because a stable moary policy, for example. ?RH,t increases by ?? because ?H,t+1e is expected to increase by ??. ?Note that, however, MHS does not change at time t0 only the future growth rate ?Hence, PH has to jump from PH1= MHs / L ( RH1, YH ) to PH2= MHs / L ( RH2, YH ) 29 Effect of an increase in the growth rate of MHS Slope = ? Slope = ? + ?? t0 Log(MHS) 30 Effect of an increase in the growth rate of MHS t0 RH RH1 RH2 = RH1 + ?? 31 Effect of an increase in the growth rate of MHS t0 Log (PH) Slope = ? Slope = ? + ?? 32 Effect of an increase in the growth rate of MHS t0 Log(EH/F) Slope = ? Slope = ? + ?? 33 The lesson learnt
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