anduncoveredinterestrateparity國際金融香港-文庫吧資料
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【正文】 mation available at time t) = ?y?? f(y) y dy 13 Replacing assets with deposits greatly simplifies the algebra: ?Some unknown quantities bee known: ?Pt+1 = 1 ?Pt = 1 ?Dt+1 = Rt= home interest rate ?Pt+1*= 1 ?Pt* = 1 ?Dt+1*= Rt*= foreign interest rate ?The only unknown at time t is et+1 14 Expected return and expected rate of return ?Expected return on a home asset: ?Et (Pt+1 + Dt+1 Pt ) = Et (Pt+1 + Dt+1) Pt ?Expected rate of return on a home asset: ?Et [(Pt+1 + Dt+1) / Pt 1 ] = Et (Pt+1 + Dt+1) / Pt 1 15 Rate of return of home deposit ?Et (Pt+1 + Dt+1) / Pt 1 ?Pt+1 = 1 ?Pt = 1 ?Dt+1 = Rt= home interest rate ?Et (1 + Rt) / 1 1 = Rt 16 Expected return and expected rate of return ?Expected return on a foreign asset: ?Et [ et+1 (Pt+1* + Dt+1* ) etPt* ] = Et [ et+1 (Pt+1* + Dt+1* ) ] etPt* ?Expected rate of return on a foreign asset ?Et { [(et+1 / et ) (Pt+1* + Dt+1* ) / Pt* ] 1 } = Et [(et+1 / et ) (Pt+1* + Dt+1* ) ] / Pt* 1 17 Rate of return on foreign deposit ?Et [(et+1 / et ) (Pt+1* + Dt+1* ) ] / Pt* 1 ?Pt+1*= 1 ?Pt* = 1 ?Dt+1*= Rt*= foreign interest rate ?Et [(et+1 / et ) (1 + Rt* ) ] / 1 1 = [Et (et+1 ) / et ] (1 + Rt* ) 1 18 Rate of return on foreign deposit ?[Et (et+1 ) / et ] (1 + Rt* ) 1 = (1 + Rt* ) { [Et (et+1 ) et ] + et ] } / et 1 = [Et (et+1 ) et ] / et + 1 + Rt* [Et (et+1 ) et ] / et + Rt* 1 ? [Et (et+1 ) et ] / et + Rt* 19 RHS = [Et (et+1 ) et ] / et + Rt* ?Suppose Et (et+1 ) and Rt* fixed, ?larger et implies ?smaller RHS ?Suppose et and Rt* fixed, ?larger Et (et+1 ) implies ?larger RHS 20 RHS = [Et (et+1 ) et ] / et + Rt* ?Suppose Et (et+1 ) and et fixed, ?larger Rt* implies ?larger RHS 21 Uncovered Interest Parity ?Suppose we care only about expected return (say, we are risk neutral) ?Deposit in home currency if and only if the rate of return on the deposit in home currency is not less than the deposit in foreign currency ?Rt ? [Et (et+1 ) et ] / et + Rt* ?Equilibrium if Rt = [Et (et+1 ) et ] / et + Rt* 22 Uncovered Interest Parity ? floating exchange rate regime ?If Rt [Et (et+1 ) et ] / et + Rt* ?both home and foreign investors will deposit in home currency implies ?supply foreign currency and demand home currency ?initially, e = y HD = 1 FD ?now, e = z HD = 1 FD , z y ?hence larger RHS, ., towards equality 23 Unco
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