Ch14-2外汇资产需求与利率平价学生

Ch14.2ThedemandforForeignCurrencyAssetsandInterestParity(此部分在英文书的P334P347),DemandforForeignCurrencyAssets,Thedemandforaforeigncurrencybankdepositisinfluencedbythesameconsiderationsthatinfluencethedemandforanyotherasset.Whatwillthedepositbeworthinthefuture?theinterestrateexpectedchangeinthecurrencysexchangerateagainstothercurrency,Assetreturn,thepercentageincreaseinvalueitoffersoversometimeperiod.Yourdecisionmustbebasedonanexpectedrateofreturn.theexpectedrealrateofreturn.,DefiningAssetReturnsThepercentageincreaseinvalueanassetoffersoversometimeperiod.TheRealRateofReturnTherateofreturncomputedbymeasuringassetvaluesintermsofsomebroadrepresentativebasketofproductsthatsaversregularlypurchase.,RiskandLiquidity,Risk:thevariabilityitcontributestosaverswealth;SaversdislikeuncertaintyLiquidity:theeasewithwhichtheassetcanbesoldorexchangedforgoods;thecostandspeedatwhichsaverscandisposeofthem.,InterestRates,Marketparticipantsneedtwopiecesofinformationinordertocomparereturnsondifferentdeposits:HowthemoneyvaluesofthedepositswillchangeHowexchangerateswillchangeAcurrencysinterestrateistheamountofthatcurrencyanindividualcanearnbylendingaunitofthecurrencyforayear.Example:Atadollarinterestrateof10%peryear,thelenderof$1receives$1.10attheendoftheyear.Thedepositorisacquiringanassetdenominatedinthecurrencyitdeposits.,Figure13-2:InterestRatesonDollarandDeutschemarkDeposits,1975-1998,Thereturnsondepositstradedintheforeignexchangemarketdependoninterestratesandexpectedexchangeratechanges.Inordertodecidewhethertobuyaeurooradollardeposit,onemustcalculatethedollarreturnonaeurodeposit.,ExchangeRatesandAssetReturns,Thedollarrateofreturnoneurodepositsisapproximatelytheeurointerestrateplustherateofdepreciationofthedollaragainsttheeuro.Therateofdepreciationofthedollaragainsttheeuroisthepercentageincreaseinthedollar/euroexchangerateoverayear.,ASimpleRule,Theexpectedrateofreturndifferencebetweendollarandeurodepositsis:R$-R+(Ee$/-E$/)/E$/=R$-R-(Ee$/-E$/)/E$/(13-1)where:R$=interestrateonone-yeardollardepositsR=todaysinterestrateonone-yeareurodepositsE$/=todaysdollar/euroexchangerate(numberofdollarspereuro)Ee$/=dollar/euroexchangerate(numberofdollarspereuro)expectedtoprevailayearfromtoday,Whenthedifferenceaboveispositive,dollardepositsyieldthehigherexpectedrateofreturn;whenitisnegative,eurodepositsyieldthehigherexpectedrateofreturn.,Table13-3.ASimpleRule,Return,Risk,andLiquidityintheForeignExchangeMarket,Thedemandforforeigncurrencyassetsdependsnotonlyonreturnsbutonriskandliquidity.Thereisnoconsensusamongeconomistsabouttheimportanceofriskintheforeignexchangemarket.Mostofthemarketparticipantsthatareinfluencedbyliquidityfactorsareinvolvedininternationaltrade.,Becausepaymentsconnectedwithinternationaltrademakeupaverysmallfractionoftotalforeignexchangetransactions,weignoretheliquiditymotiveforholdingforeigncurrencies.,ManagementofInternationalReserve,微观管理：,盈利性：,流动性：,安全性：,储备资产,美元,日元,欧元,马克,黄金,SDRs,利率，资产收益在除去通货膨胀以后,随时兑现，调拨,没有倒闭，管制的嫌疑,EquilibriumintheForeignExchangeMarket,Whenmarketparticipantswillinglyholdtheexistingsuppliesofdepositsofallcurrencies,thisimpliesthattheforeignexchangemarketisinequilibrium.,外汇市场均衡1.外汇市场均衡:当市场参与者愿意持有现有的所有各种货币存款时,我们称外汇市场处于均衡状态。2.均衡汇率：使市场参与者愿意持有现有的所有各种货币存款的汇率,ParityTheequivalentinvalueofasumofmoneyexpressedintermsofadifferentcurrencyatafixed,officialrateofexchange.Equalityofpricesofgoodsorsecuritiesintwodifferentmarkets.,EquilibriumintheForeignExchangeMarket,InterestParity:TheBasicEquilibriumConditionThebasicequilibriumconditionTheforeignexchangemarketisinequilibriumwhendepositsofallcurrenciesofferthesameexpectedrateofreturn.,EquilibriumintheForeignExchangeMarket,InterestparityconditionTheexpectedreturnsondepositsofanytwocurrenciesareequalwhenmeasuredinthesamecurrency.Itimpliesthatpotentialholdersofforeigncurrencydepositsviewthemallasequallydesirableassets.Theexpectedratesofreturnareequalwhen:,BasicConcept,EquilibriumintheForeignExchangeMarket,汇率决定理论之一-利率平价理论利率平价是外汇市场的基本均衡条件1.当所有的货币存款都提供相同的预期收益率时,外汇市场处于均衡状态。2.用相同货币衡量的任意两种货币存款的预期收益率相等的条件，称作利率平价条件。利率平价又称未抵补利率平价（interestParityorUncoveredInterestParity）,HowChangesintheCurrentaffectExpectedReturnsDepreciationofacountryscurrencytodaylowerstheexpecteddomesticcurrencyreturnonforeigncurrencydeposits.Appreciationofthedomesticcurrencytodayraisesthedomesticcurrencyreturnexpectedofforeigncurrencydeposits.,EquilibriumintheForeignExchangeMarket,Table13-4:TodaysDollar/EuroExchangeRateandtheExpectedDollarReturnonEuroDepositsWhen,Figure3-2:TheRelationBetweentheCurrentDollar/EuroExchangeRateandtheExpectedDollarReturnonEuroDeposits,EquilibriumintheForeignExchangeMarket,TheEquilibriumExchangeRateExchangeratesalwaysadjusttomaintaininterestparity.AssumethatthedollarinterestrateR$,theeurointerestrateR,andtheexpectedfuturedollar/euroexchangerateEe$/,areallgiven.,EquilibriumintheForeignExchangeMarket,Figure3-3:DeterminationoftheEquilibriumDollar/EuroExchangeRate,EquilibriumintheForeignExchangeMarket,UncoveredInterestParity（此部分英文书上没有）,UncoveredInterestParity,UIPisaconditionrelatinginterestdifferentialstoanexpectedchangeinthespotexchangerateofthedomesticcurrency.Ifforeignexchangeriskisnothedgedwhenpurchasingaforeignfinancialinstrument,thetransactionissaidtobeuncovered.,UncoveredInterestParity,Ifasavingsdecisionisuncovered,theindividualisbasingtheirdecisionontheirexpectationofthefuturespotexchangerate.TheexpectedfuturespotexchangerateisexpressedasSe+1.,UncoveredInterestParity,Usingthisexpressionfortheexpectedfuturespotrate,UIPcanbewrittenas:RR*=(Se+1S)/S.Inwords,theright-hand-sideoftheUIPconditionistheexpectedchangeinthespotrateovertherelevanttimeperiod.WecanexpresstheexpectedchangeinthespotratesasSe.,UncoveredInterestParity,Hence,UIPisexpressedas:RR*=Se.AccordingtoUIP,ifthedomesticinterestrateisgreaterthantheforeigninterestrate,thedomesticcurrencyisexpectedtodepreciateovertherelevanttimeperiod.,UncoveredInterestParity,Likewise,ifthedomesticinterestrateislessthantheforeigninterestrate,thedomesticcurrencyisexpectedtoappreciateovertherelevanttimeperiod.UIPcanbeusefulinunderstandingwhyfundsmayflowfromoneeconomytoanother.,UIPasanEquilibriumCondition,Considerthefollowingsituation:RR*Se,withbothsidespositive.Theinterestdifferentialinfavorofthedomesticfinancialinstrumentexceedstheexpecteddepreciationofthedomesticcurrency.Inthiscase,andignoringtransactioncosts,thesaverwouldbeinducedtoreallocatetheirfundsandwewouldexpectfundstoflowtothedomesticeconomy.,UIPasanEquilibriumCondition,Considerthefollowingsituation:RR*Se,withbothsidespositive.Theinterestdifferentialinfavorofthedomesticfinancialinstrumentislessthantheexpecteddepreciationofthedomesticcurrency.Inthiscase,andignoringtransactioncosts,thesaverwouldbeinducedtoreallocatetheirfundsandwewouldexpectfundstoflowtotheforeigneconomyeconomy.,UIPasanEquilibriumCondition,Thevariousscenariosthatarepossiblecanbesummarizedinasinglediagram,theUIPparitygrid.TheUIPgridgraphstheinterestdifferentialonthehorizontalaxisandtheexpectedchangeinthespotexchangerateontheverticalaxis.Pointsona45degreelinebisectingthegridindicatepointswhereUIPholds.,CoveredInterestParity,Coveredinterestparityisaconditionthatrelatesinterestdifferentialstotheforwardpremiumordiscount.Itbeginswiththeinterestparitycondition:(1+R)=(1+R*)(F/S)Theconditioncanberewritten,andwithaslightapproximation,yields:R-R*=(F-S)/S.,抛补利率平价与无抛补利率平价相比的特点,抛补利率平价与无抛补利率平价相比，抛补的利率平价并未对投资者的风险偏好做出假定，即套利者在套利的时候，可以在期汇市场上签订与套利方向相反的远期外汇合同（掉期交易），确定在到期日交割时所使用的汇率水平,CoveredInterestParity,CIPishelpfulinunderstandingshort-termmarketmovements.Asanequilibriumcondition,itaidsinourunderstandingofpotentialadjustmentsinvariousfinancialmarkets.Theseadjustmentsoccurifthereisaflowofsavingsfromonenationtoanother.,Example,Supposethe90-dayU.S.interestrateis5.5%whiletheU.K.rateonasimilarinstrumentis5.0%(bothexpressedasannualrates).Thecurrentspotrateis1.4546($/)andthethree-monthforwardrateis1.4900.Tousetheuncoveredinterestparitycondition,wemustconverttheinterestratestoquarterlyvalues:(0.055)/(12/3)=0.01375and(0.05)/(12/3)=0.0125.,Example,NowsubstitutethevaluesintotheCIPcondition:0.01375-0.0125=(1.4900-1.4546)/1.4546,0.001250.0243.ThoughtheinterestrateontheU.S.instrumentishigherthanthatontheU.K.instrument,thedifferenceisoutweighedbythedepreciation(forwarddiscount)ofthedollaroverthetimeinterval.,Conclusion,OurfindingforthepreviousexampleindicatesthatfundswouldflowfromtheUnitedStatestotheUnitedKingdom.Thisflowoffundscouldimpactinterestratesinbothcountries,theforwardexchangerate,andthespotrate.,InterestRates,Expectations,andEquilibrium,Theexchangerate(whichistherelativepriceoftwoassets)respondstofactorsthataltertheexpectedratesofreturnonthosetwoassets.,TheEffectofChangingInterestRatesontheCurrentExchangeRate,Anincreaseintheinterestpaidondepositsofacurrencycausesthatcurrencytoappreciateagainstforeigncurrencies.,ThePerilsofForecastingExchangeRates,Forwardratescontainlittleinformationusefulinpredictingfuturespotrates.Forwardratesmightberelatedtoexpectedfuturespotrates.Contradictions?,Contradictions?,Ariseintheexpectedfutureexchangeratecausesariseinthecurrentexchangerate.Similarly,afallintheexpectedfutureexchangeratecausesafallinthecurrentexchangerate.,无抛补利率平价的含义本国利率高于（低于）外国利率的差额等于本国货币的预期贬值（升值）幅度。当一种货币存款比另一种货币存款提供的收益更高时，投资者都试图把资金转化为收益高的货币，该货币会相对于另一货币升值；反之，贬值。但是由于远期还要反向卖出货币回收，所以远期的升贬值正好与即期的方向相反。,UIP模型评论,1.UIP利率平价理论是一种忽略了许多其它可能影响外汇市场均衡的因素的理想的均衡条件。正如所有的理论（如购买力平价理论）都有其局限性一样，利率平价在现实中也未必一定成立。例如：如果风险因素不可忽略，投资者会要求风险较高的货币资产具有一定的风险溢价，UIP在现实中经常不成立。2.UIP利率平价模型是一个简单的、不完整的汇率决定理论。3.UIP利率平价其本身即是一个简单的汇率决定模型，又作为假设条件之一出现在其它汇率决定模型中。,抛补利率平价含义,本国利率高于（低于）外国利率的差额等于本国货币的远期贴水（升水）。高利率国的货币在远期外汇市场上必定贴水，低利率国的货币在该市场上必定升水。如果国内利率高于国际利率水平，资金将流入国内牟取利润。抛补利率平价中，套利者不仅要考虑利率的收益，还要考虑由于汇率变动所产生的收益变动。,对于在一个金融中心里发行的不同货币存款，CIP通常成立；远期汇率报价，常通过CIP计算而得。对远期汇率的决定作用，主要表现为国际金融市场的套利活动使资金跨国移动，并推动不同国家相似金融工具的收益率趋向一致。,CIP模型评论,CIP模型评论,自20世纪20年代利率平价被首次提出后，利率平价受到西方经济学家的重视。它与购买力平价所不同的是考察资本流动（而不是商品流动）与汇率决定之间的关系，它从一个侧面阐述了汇率变动的原因。资本在国际间的流动，利率平价同样并非是一个完善的汇率决定理论，对其的批评主要有：利率平价的实现依据是国际金融市场上的“一价定律”，但现实中，不仅完善的外汇市场没有普遍存在，而且许多国家实际对外汇实行管制并对资本流动进行限制。,“一价定律”的先决条件,（1）有效的且处于完全自由竞争状态的外汇市场。即需要一个有组织的即期和远期外汇市场，市场的信息能够非常有效地流通，从而消除可能出现的机会利润；（2）无市场壁垒，资本在国际间的流动不受任何限制；（3）交易成本很低或可以基本忽略不计。,结论,在资本具有充分国际流动性的前提下，抛补与无抛补的利率平价均告诉我们：如果本国利率上升，超过利率平价所要求的水平，本币将会预期贬值；反之，则升值。,AssetApproach,Becausetheexchangerateistherelativepriceoftwoassets,itismostappropriatelythoughtofasbeinganassetpriceitself.Thebasicprincipleofassetpricingisthatanassetscurrentvaluedependsonitsexpectedfuturepurchasingpower.Saverscareaboutanassetsexpectedrealrateofreturn.,Theinterestparityrelationshipcanalsobeusedtoillustratetheconceptofeffectivereturnonaforeigninvestment.Iftheforwardexchangerateisequaltotheexpectedfuturespotrate,thentheforwardpremiumisalsoequaltotheexpectedchangeintheexchangerateanduncoveredinterestrateparitywillhold.(i.e.,Theexpectedchangeintheexchangerateisequaltotheinterestdifferential.),SummaryofCoveredInterestParity,CIPUIP,Coveredtransactionsdonotinvolveexchangeraterisk,non-coveredtransactionsdo.,EmpiricalEvidence:DoesUIPfitthefacts?,InthiscaseitisnotimmediatelypossibletocomputeaUIP-consistentspotrateasmightbesuggestedbytheapproachtothisquestioninthecaseofPPPandCIP.ThisisbecausewedontobserveSe,All