【PPT精品课件】货币金融学7版英文课件--19-大学课件2

Chapter19TheForeignExchangeMarket©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.19-2ForeignExchangeRates©2005PearsonEducationCanadaInc.19-3TheForeignExchangeMarketDefinitions:1.Spotexchangerate2.Forwardexchangerate3.Appreciation4.DepreciationCurrencyappreciates,country’sgoodspricesabroadandforeigngoodspricesinthatcountry1.Makesdomesticbusinesseslesscompetitive2.BenefitsdomesticconsumersFXtradedinover-the-countermarket1.Tradeisinbankdepositsdenominatedindifferentcurrencies19-4LawofOnePriceExample:Canadiansteel$100perton,Japanesesteel10,000yenpertonIfE=50yen/$thenpricesare:CanadianSteelJapaneseSteelInCanada$100$200InJapan5000yen10,000yenIfE=100yen/$thenpricesare:CanadianSteelJapaneseSteelInCanada$100$100InJapan10,000yen10,000yenLawofonepriceE=100yen/$©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.19-5PurchasingPowerParity(PPP)PPPDomesticpricelevel10%,domesticcurrency10%1.Applicationoflawofonepricetopricelevels2.Worksinlongrun,notshortrunProblemswithPPP1.Allgoodsnotidenticalinbothcountries:ToyotavsChevy2.Manygoodsandservicesarenottraded:e.g.haircuts©2005PearsonEducationCanadaInc.19-6PPP:CanadaandU.S.19-7FactorsAffectingEinLongRunBasicPrinciple:Iffactorincreasesdemandfordomesticgoodsrelativetoforeigngoods,E©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.19-8ExpectedReturnsandInterestParityReforFrancoisAl$DepositsiD+(Eet+1–Et)/EtiDEuroDepositsiFiF–(Eet+1–Et)/EtRelativeReiD–iF+(Eet+1–Et)/EtiD–iF+(Eet+1–Et)/EtInterestParityCondition:$andEurodepositsperfectsubstitutesiD=iF–(Eet+1–Et)/EtExample:ifiD=10%andexpectedappreciationof$,(Eet+1–Et)/Et,=5%iF=15%©2005PearsonEducationCanadaInc.19-9DerivingRFCurveAssumeiF=10%,Eet+1=1euro/$PointA:Et=0.95,RF=.10–(1–0.95)/0.95=.048=4.8%B:Et=1.00,RF=.10–(1–1.0)/1.0=.100=10.0%C:Et=1.05,RF=.10–(1–1.05)/1.05=.148=14.8%RFcurveconnectsthesepointsandisupwardslopingbecausewhenEtishigher,expectedappreciationofFhigher,RFDerivingRDCurvePointsB,D,E,RD=10%:socurveisverticalEquilibriumRD=RFatE*IfEtE*,RFRD,sell$,EtIfEtE*,RFRD,buy$,Et©2005PearsonEducationCanadaInc.19-10DerivingRETFCurveAssumeiF=10%,Eet+1=1euro/$PointA:Et=0.95RETF=.10–(1–0.95)/0.95=.048=4.8%B:Et=1.00RETF=.10–(1–1.0)/1.0=.100=10.0%C:Et=1.05RETF=.10–(1–1.05)/1.05=.148=14.8%RETFcurveconnectsthesepointsandisupwardslopingbecausewhenEtishigher,expectedappreciationofFhigher,RETFDerivingRETDCurvePointsB,D,E,RETD=10%:socurveisverticalEquilibriumRETD=RETFatE*IfEtE*,RETFRETD,sell$,EtIfEtE*,RETFRETD,buy$,Et©2005PearsonEducationCanadaInc.19-11EquilibriumintheForeignExchangeMarket19-12ShiftsinRFRFcurveshiftsrightwhen1.iF:becauseRFateachEt2.Eet+1:becauseexpectedappreciationofFateachEtandRFOccursEet+1iF:1)DomesticP,2)TradeBarriers3)Imports,4)Exports,5)Productivity©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.19-13ShiftsinRDRDshiftsrightwhen1.iD;becauseRDateachEtAssumesthatdomesticeunchanged,sodomesticrealrate©2005PearsonEducationCanadaInc.19-14FactorsthatShiftRFandRD19-15ResponsetoiBecausee1.e,Eet+1,expectedappreciationofF,RFshiftsouttoright2.iD,RDshiftstorightHoweverbecauseeiD,realrate,Eet+1morethaniDRFoutRDoutandEt©2005PearsonEducationCanadaInc.19-16ResponsetoMs1.Ms,P,Eet+1expectedappreciationofF,RFshiftsright2.Ms,iD,RDshiftsleftGotopoint2andEt3.Inthelongrun,iDreturnstooldlevel,RDshiftsback,gotopoint3andgetExchangeRateOvershooting©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.19-17WhyExchangeRateVolatility?1.ExpectationsofEet+1fluctuate2.Exchangerateovershooting