第13讲MoneyandExchangeRate(国际金融(香港大学,WON

1MoneyandExchangeRateWONGKaFu2February20002Moneyasamediumofexchangeeliminatesenormoussearchcostsconnectedwithabartersystemasaunitofaccounttranslatesdifferentcountries’moneypricesintocomparabletermsasastoreofvaluetransferpurchasingpowerfromthepresentintothefuture3MoneysupplymanydefinitionsofmoneysupplyM1,M2,M3,etc.thesedefinitionsincludeassetsthatperformthefunctionsofmoneyatdifferentdegreesM1:thetotalamountofcurrencyandcheckingdepositsheldbyhouseholdsandfirms4Moneydemandedbyindividualsdependsontheexpectedreturnmoneyrelativetothereturnsofferedbyotherassetstheriskinessofmoney’sexpectedreturninflationmoney’sliquidityariseintheaveragevalueoftransactionscarriedoutbyahouseholdorfirmcausesitsdemandforliquidityandhencemoney5AggregatemoneydemandNominaldemand:Md=PL(R,Y)P=pricelevelR=interestrate(ofassets)Y=RealnationalincomeRealdemand:Md/P=L(R,Y)6L(R,Y)riseswhenRfallsRL(R,Y)RealmoneyholdingsAggregaterealmoneydemand7L(R,Y)riseswhenYincreasesRL(R,Y1)RealmoneyholdingsAggregaterealmoneydemandY2Y1L(R,Y2)8DeterminationoftheequilibriuminterestrateRL(R,Y)RealmoneyholdingsrealmoneysupplyMs/PR*9EffectofanincreaseinmoneysupplyontheinterestrateRL(R,Y)RealmoneyholdingsM1/PR1M2/PR210EffectofanincreaseinrealincomeontheinterestrateRL(R,Y1)RealmoneyholdingsMs/PR1L(R,Y2)R211Determinationofexchangeratehomemoneymarketequilibriumdetermineshomeinterestratehomeinterestrate=rateofreturnonhomedepositinterestparitydeterminesexchangerateconditionalonforeignmonetarypolicyandexpectedreturnonforeigndeposit12Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0(MsH/PH)1L(RH,YH)11’EH/F1RealmoneyholdingsRelationshipbetweenExchangerateandmoneysupply13Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0(MsH/PH)1L(RH,YH)11’EH/F1Realmoneyholdings22’EH/F2(MsH/PH)2EffectofanincreaseinRealMoneysupply14Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0(MsH/PH)1L(RH,YH)11’EH/F1RealmoneyholdingsEH/F22’Effectofadecreaseinforeigninterestrate15MoneyandmoneypricesMoneymarketequilibrium:Ms/P=L(R,Y)I.e.P=Ms/L(R,Y)and2P=2Ms/L(R,Y),orgenerallykP=kMs/L(R,Y)16MonetaryGrowthandPrice-LevelChangeofG7countries(1973-1998)0500100015002000250005001000150020002500%increaseinmoneysupply%increaseinpricelevelU.S.BritianCanadaFranceGermanyItalyJapan17EmpiricalevidenceLong-runmoneysuppliesandpricelevels(AlsoseeKrugmanandObstfeld:Figure14-10)Roughly,moneygrowthratesarepositivelycorrelatedwithinflationrate(I.e.,pricelevelchanges)z%changeinmoneysupplyisrelatedtoslightlylessthanz%changeinpricelevel.Here,weassumez%changeinmoneysupplyisrelatedtoz%changeinpricelevel,inthelongrun.18VariabilityoftheDollar/DMExchangeRateandtheU.S./GermanPrice-LevelRatio-15-10-505101519741975197719791981198319851987198919911993199519971998ChangesinexchangeratesandpricelevelratiosUS/Germany(percentpermonth)19EmpiricalevidenceVariabilityoftheDollar/DMExchangeRateandoftheU.S./GermanPrice-levelRatio(AlsoseeKrugmanandObstfeld:figure14-11)PricesarerigidinthetheshortrunbutflexibleinthelongrunExchangerateismuchmoreflexiblethanprices20Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0MH1/PH1L(RH,YH)11’EH/F1Realmoneyholdings22’EH/F2MH2/PH1GivenexpectedforeigndepositreturnAninitialincreaseinhomemoneysupply21Timet0MH1MH2Homemoneysupply,MH22Timet0PH1PH2Homepricelevel,PH23Timet0RH2RH1Homeinterestrate,RH24Timet0EH/F2Home/foreignexchangerate,EH/FEH/F125Conclusion:Apermanentmoneysupplyincreasehasnoeffectonexchangeratelevelinthelongrun.Wrong!26Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0MH1/PH1L(RH,YH)11’EH/F1Realmoneyholdings22’EH/F2MH2/PH1GivenexpectedforeigndepositreturnAninitialincreaseinhomemoneysupply27Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0MH1/PH1L(RH,YH)11’EH/F1Realmoneyholdings22’EH/F2MH2/PH1ExpectedFDreturnincreasesbecauseexpectedincreaseinalldollarpricesAninitialincreaseinhomemoneysupply28Rateofreturn(inhomecurrency)ExpectedreturnonforeigndepositReturnonhomedepositHD/FDexchangerate0MH2/PH2=MH1/PH1L(RH,YH)11’EH/F1Realmoneyholdings22’EH/F2MH2/PH1Inthelongrun,homepricesadjustfromPH1toPH2Aninitialincreaseinhomemoneysupply4’EH/F429Timet0MH1MH2Homemoneysupply,MH30Timet0PH1PH2Homepricelevel,PH31Timet0RH2RH1Homeinterestrate,RH32Timet0EH/F3Home/foreignexchangerate,EH/FEH/F1EH/F233OvershootingWhentheimmediateresponseofexchangeratetoadisturbance(e.g.,apermanentchangeinmoneysupply)isgreaterthanitslong-runresponse.Short-runpricerigidityisonlyoneofthereasonforovershooting.“Ittakestimetolearnwhathadhappened”maybeanotherreason.34ThaiBaht353637SouthKoreanWon383940BrazilianReals41424344Wanttoknowmore...Chapter14ofKrugman&ObstfeldSearchtheEconLitfor“overshooting”:201itemsreturn