利息率與匯率的關(guān)系

RelationshipBetweenInflation,InterestRatesandExchangeRates

整理pptLearningOutcomesLearningoutcomesforLecture7:A.Discussthepurchasingpowerparity(PPP) theoryanditsimplicationsforexchangeratechangesB.DiscusstheInternationalFishereffect(IFE)theoryanditsimplicationsfor exchangeratechangesC.ComparethePPPtheory,theIFEtheory,andthetheoryofinterestrateparity(IRP),whichwasintroducedinthe previouschapterLearningOutcomes整理pptPurchasingPowerParity

(PPP)1.InterpretationsofPurchasingPowerParity a.AbsoluteFormofPPP:Itsuggeststhatpricesofthesamebasketofproductsin2differentcountriesshouldbeequalwhenmeasureinacommoncurrency.Realistically,theexistenceoftransportationcosts,tariffsandquotaspreventabsolutePPP b.RelativeFormofPPP:Statethattherateofchangeinthepricesofthebasketsshouldbesomewhatsimilarwhenmeasuredinacommoncurrency,aslongastransportationcostsandtradebarriersareunchangedPPP整理pptRelativePPP2.RationalebehindPurchasingPowerParityTheory:ExchangerateadjustmentisnecessaryfortherelativepurchasingpowertobethesamewhetherbuyingproductslocallyorfromanothercountryAppreciation/Depreciationoffutureexchangerate=InflationdifferentialRefertoe.g.inp.234RelativePPP整理pptDerivationofPPPef=[(1+Ih)/(1+If)]–1ef=%changeinforeigncurrencyIh=InflationofhomecountryIf=InflationofforeigncountryTheformulareflectstherelationshipbetweenrelativeinflationratesandexchangeratesaccordingtoPPPIfIh>If,efispositive,foreigncurrencywillappreciateIfIh<If,efisnegative,foreigncurrencywilldepreciate

Derivation整理pptDerivationofPPP4.UsingPPPtoEstimateExchangeRateEffects:Refertop.235-236fore.g. a.UsingaSimplifiedPPP Relationship,whereby,ef=Ih–Ifb.Exhibit8.1p.237summarizesPPPCommodities整理pptGraphicAnalysisofPPP5.GraphicAnalysis:a.PPPLineb.PurchasingPowerDisparityGraphic整理pptPPPLineTriangularArbitrage整理pptPurchasingPowerDisparityMovement整理pptConfoundingEffectsConfoundingEffects整理pptInternationalFisherEffect

(IFE)UsesinterestratesratherthaninflationdifferentialstoexplainexchangerateButitiscloselyrelatedtoPPPbecauseinterestratesareoftenhighlycorrelatedwithinflationratesFisher’seffectstate:Realinterestrate=NominalinterestrateminusexpectedinflationrateIFEsuggeststhatcurrencieswithhighinterestrateswillhavehighinflationratesandthereforewillbeexpectedtodepreciateRefertop.244fore.g.andExhibit8.5IFE整理pptDerivationofIFEef=[(1+iH)/(1+iF)]–1efis%inthevalueofforeigncurrencydenominatingthesecurityiHishomeinterestrateiFisforeigninterestrateiH>iF,efwillbepositivebecausetherelativelylowforeigninterestratereflectslowinflationaryexpectationsintheforeigncountry,foreigncurrencywillappreciate(forwardpremium)iH<iF,efwillbenegativebecausetherelativelyhighforeigninterestratereflectshighinflationaryexpectationsintheforeigncountry,foreigncurrencywilldepreciate(forwarddiscount)ProductLifeCycle整理pptIFERefertoExhibit8.6p.247forsummaryofIFERefertop.246-247fore.g.Simplifiedrelationship:ef=iH–iF,thatisthepercentagechangeinexchangerateovertheinvestmenthorizonwillequalinterestratesdifferentialsbetween2countries,approximationIFE整理pptIFEGraphicAnalysisoftheInternationalFisherEffect(IFE) a.PointsontheIFELine b.PointsbelowtheIFELine c.PointsabovetheIFELineIFE整理pptIllustrationofIFELine(WhenExchangeRateChangesPerfectlyOffsetInterest

RatesDifferentials)

IFELine整理pptIFEWhytheinternationalFisherEffectDoesNotOccur:InrealitycurrencywithhighinterestratesmightstrengthenduetoinflowoffundInvestorsmightnotbelievethathighinterestrateisduetohigherexpectedinflationrateCentralbankincreaseinterestratetocooldowneconomyorattractinflowoffundsDependsonthecountry’sforeignreserves:ChinaIFE整理pptComparisonIRP整理pptSummaryTheoryKeyVariablesSummaryIRPForwardratepremium/discountandinterestratedifferentialsTheforwardrateofonecurrencywithrespecttoanotherwillcontainpremiumordiscountthatisdeterminedbyinterestratedifferential.PPP%inspotrateandinflationdifferentialThespotrateofonecurrencywith