貨幣金融學（第十三版）課件 英文第17章 外匯市場

TheEconomicsofMoney,Banking,andFinancialMarketsThirteenthEditionChapter17TheForeignExchangeMarketCopyright?2022,2019,2016PearsonEducation,Inc.AllRightsReservedPreviewThischapteroutlineshowtheforeignexchangemarketfunctionsandhowthevalueofdifferentcurrenciesisdetermined.LearningObjectives17.1Explainhowtheforeignexchangemarketworksandwhyexchangeratesareimportance.17.2Identifythemainfactorsthataffectexchangeratesinthelongrun.17.3Drawthedemandandsupplycurvesforforeignexchangemarketandinterprettheequilibriuminthemarketforforeignexchange.17.4Listandillustratethefactorsthataffecttheexchangeratesintheshortrun.ForeignExchangeMarket(1of2)Exchangerate:priceofonecurrencyintermsofanotherForeignexchangemarket:thefinancialmarketwhereexchangeratesaredeterminedSpottransaction:immediate(two-day)exchangeofbankdepositsSpotexchangerateForwardtransaction:theexchangeofbankdepositsatsomespecifiedfuturedateForwardexchangerateForeignExchangeMarket(2of2)Appreciation:acurrencyrisesinvaluerelativetoanothercurrencyDepreciation:acurrencyfallsinvaluerelativetoanothercurrencyWhenacountry’scurrencyappreciates,thecountry’sgoodsbecomemoreexpensivetoforeignersandforeigngoodsinthatcountrybecomelessexpensivetodomesticeconomicagentsTheforeignexchangemarketisanover-the-countermarketwhereinmosttradesinvolvethebuyingandsellingofbankdepositsdenominatedindifferentcurrenciesExchangeRatesintheLongRunTheoryofPurchasingPowerParityassumptions:AllgoodsareidenticalinbothcountriesTradebarriersandtransportationcostsarelowManygoodsandservicesarenottradedacrossbordersFigure1PurchasingPowerParity,UnitedStates/UnitedKingdom,1973–2020(Index:March1973=100.)Source:FederalReserveBankofSt.LouisF

R

E

Ddatabase:/series/GBRCPIALLMINMEIT;/series/CPIAUCNS;/series/EXUSUK.ApplicationBurgernomics:BigMacsandP

P

PSince1986,TheEconomistmagazinehaspublishedtheBigMacindexasa“l(fā)ight-heartedguidetowhethercurrenciesareattheir‘correct’levelbasedonthetheoryofpurchasingpowerparity.”BigMacsaresoldbyMcDonald’sallaroundtheworldandaresupposedtotastethesamewherevertheyaresold.TheEconomistcollectsprices(inthelocalcurrency)ofBigMacssoldin56differentregionsandcountries,thenusesthesepricestocomparetheexchangerateimpliedbyP

P

PandtheBigMacindex.FactorsThatAffectExchangeRatesintheLongRunRelativepricelevelsTradebarriers,e.g.tariffsPreferencesfordomesticversusforeigngoodsProductivitySummaryTable1FactorsThatAffectExchangeRatesintheLongRunFactorChangeinFactorResponseoftheExchangeRate,E*DomesticpriceleveldaggersymbolUparrowDownarrowTradebarriersdaggersymbolUparrowUparrowImportdemandUparrowDownarrowExportdemandUparrowUparrowProductivityUparrowUparrow*Unitsofforeigncurrencyperdollar:indicatesdomesticcurrencyappreciation;depreciation.Relativetoothercountries.Note:

Onlyincreasesinthefactorsareshown;theeffectsofdecreasesinthevariablesontheexchangeratearetheoppositeofthoseindicatedinthe“Response”column.ExchangeRatesintheShortRun:ASupplyandDemandAnalysisAnexchangerateisthepriceofdomesticassetsintermsofforeignassetsSupplycurvefordomesticassetsAssumeamountofdomesticassetsisfixed(supplycurveisvertical)DemandcurvefordomesticassetsMostimportantdeterminantistherelativeexpectedreturnofdomesticassetsAtlowercurrentvaluesofthedollar(everythingelseequal),thequantitydemandedofdollarassetsishigherFigure2EquilibriumintheForeignExchangeMarketExplainingChangesinExchangeRatesShiftsinthedemandfordomesticassetsDomesticinterestrateForeigninterestrateExpectedfutureexchangerateFigure3ResponsetoanIncreaseintheDomesticInterestRate,iSuperDFigure4ResponsetoanIncreaseintheForeignInterestRate,iSuperFFigure5ResponsetoanIncreaseintheExpectedFutureExchangeRate,ESubStartExpressiont+1EndFractionSuperLowereSummaryTable2FactorsThatShifttheDemandCurveforDomesticAssetsandAffecttheExchangeRateApplication:EffectsofChangesinInterestRatesontheEquilibriumExchangeRateChangesinInterestRatesWhendomesticrealinterestratesraise,thedomesticcurrencyappreciates.Whendomesticinterestratesriseduetoanexpectedincreaseininflation,thedomesticcurrencydepreciates.ChangesintheMoneySupplyAhigherdomesticmoneysupplycausesthedomesticcurrencytodepreciate.Figure6EffectofaRiseintheDomesticInterestRateasaResultofanIncreaseinExpectedInflationApplication:TheGlobalFinancialCrisisandtheDollarWiththestartoftheglobalfinancialcrisisinAugust2007,thedollarbegananaccelerateddeclineinvalue,fallingby9%againsttheeurountilmid-Julyof2008.Afterhittinganall-timelowagainsttheeuroonJuly11,thevalueofthedollarsuddenlyshotupward,byover20%againsttheeurobytheendofOctober.Whatistherelationshipbetweentheglobalfinancialcrisisandtheselargeswingsinthevalueofthedollar?Application:BrexitandtheBritishPoundAsnotedintheintroduction,theBrexitvoteintheUnitedKingdomonJune23,2016,ledtonearlya10%depreciationintheBritishpound,from$1.48tothepoundonJune23,justbeforethevote,to$1.36perpoundonJune24.Whatexplainsthelargeone-daydeclineintheexchangerateforthepound?Appendix:TheInterestParityCondition(1of3)ComparingExpectedReturnsonDomesticandForeignAssetsSincethevastmajorityofreal-worldtransactionsincurrencymarketsinvolveeconomicagentsbuyingandsellingcurrenciesbasedontheirvalueasassets,onemustdevelopanunderstandingofhowtheseassetsarevalued.FromtheperspectiveofanAmericaneconomicagent,theexpectedreturnondollar-denominatedassetsisequaltothedomesticrateofinterest.Appendix:TheInterestParityCondition(2of3)Foraforeigneconomicagent,FrancoistheForeigner,theexpectedreturnondollar-denominatedassetsisequaltotherateofinterestassociatedwiththosesameassets,adjustedforanexpectedappreciationordepreciationinthevalueoftheU.S.dollarrelativetotheEuro.IfforeignandAmericanbankdepositscanbeconsideredperfectsubstitutesforoneanotherandcapitalmobilityexists,thenparityshouldexistbetweentheinterestrateondollar-denominatedbankdepositsandtheinterestrateonEuro-denominatedbankdeposits.Appendix:TheInterestParityCondit