国际财务管理课件国际金融graduate

1、国际金融与开放宏观经济学IntroductionThe Property of international finance-from the different perspective of international finance: Monetary Economics; Macro Economics; The management of international financeThe key character: The equilibrium of balance of payments_ internal and external; between the countries e

2、conomy areas; The stable of international monetary systemOld and new Approaches to international finance_ Old: traditional analyze:flow and stock _ analyze the factors of determinations_modern:construct the micro foundations of international monetary economics- Intertemporal analyze_Problem: Policy

3、make and theory; The rational choice of individual and collective; Individual expect ional Hypothesis; the optimizing model in the real world_How deal with old and new: old first introduction of new oneInternational monetary economics is a science of historyTrace the development of international fin

4、ance_ the mechanism of price -spiece flow_ the parity of interests_ PPP_ Elasticity approach_ Multiplier approach_ Intergrated Approach_ Mundell Fleming model_ Monetary approach_ Portfolio approach and overshooting_ The theory on the exchange rate system_ Triffin dilemma and Optimum Currency Areas _

5、 Currency Crises theory_ The intertemporal ApproachOn the background of international financeOn the method of studiesOn the References参考文献克鲁格曼和奥伯斯法尔德，国际经济学，人大出版社，2001Salvatore，国际经济学，清华，1997Appleyard and Field， 国际经济学，机械工业出版社，1998Obstfeld and Rogoff，Foundations of International Macroeconomics，The MIT

6、Press，1999 高级国际金融学教程，中国金融出版社，2002龚关，国际金融理论，武汉大学出版社，2000潘国陵，国际金融理论与数量分析方法，上海三联，2000里维里恩等国际货币经济学前沿问题，中国税务出版社，2000姜波克，开放经济下的宏观金融管理，复旦，1999(1、自由兑换，2、货币替代，3、货币市场，4、政策搭配）姜波克，陆前进，国际金融学，上海人民出版社，2003年5月徐滇庆等，泡沫经济与金融危机，人大，2000杨帆，人民币汇率研究，首都经贸大学出版社，2000让.梯若尔，金融危机、流动性与国际货币体系，中国人民大学出版社，2003年9月张礼卿，汇率制度变革- 国际经验与中国选择

7、，中国金融出版社麦金农，美元本位下的汇率-东亚高储蓄两难中国金融出版社，2005本人近期主要相关论文不对称国际经济体系下的人民币汇率问题一个劳动力平价的视角，商业经济与管理，2005，12论人民币汇率双重均衡，管理世界，2005，5经济全球化与“新特里芬悖论：经济理论与经济管理，2005，1，人大复印，理论经济学4，世界经济导刊4基于金融脆弱性的发展中国家新重商主义，浙江学刊，2005，1，人大复印，金融与保险5，人民币购买力平价和实际汇率分析，浙江社会科学，20041，东亚国家汇率制度选择的困境，亚太经济，2003，3，人大复印，世界经济导刊，7主要国际杂志：Journal of Inter

8、national Economics, Journal of finance,Journal of international money and finance主要国际网址： , , , 论文Part 1 The BasicsOn the spot rates_ volume quotation system_Cross rates and Triangular arbitrage_The mechanism of Equilibrium of Exchange rates between different areas Case study: Calculation of Spot rat

9、esCondition: GBP/USD 1.5800/10; USD/EUR 0.9120/30;USD/JPY 121.45/75Problem :A firm would have EUR against 100 million GDP, how much can the firm get1.5800 * 0.9120 * 100M = 1.4410 *100M EUR. Problem : how much can the firm get JPY against 100M EUR121.45/0.9130 *100m = 133.13 * 100M EUOCase study :De

10、- and appreciation Condition: In 1985 the exchange rate of USD/RMB was 3.7420, and in 1994 the rate was 8.7250.Problem:How much did the USD appreciated, and RMB depreciated USD (8.7250 3.7420)/3.7420 = 133%RMB ( 3.7420 8.7250)/8.7420 = 57% On the real exchange rates_Concept: a broad summary measure

11、of the prices of one countrys goods and services relative to others_Different measures(2.8, 2.9; 2.10, 2.11; 2.13,2.14; 2.14)_ A revise one: RE = et（I*T / IT ）(1-n*)+n*(I*N/ IT * ) / (1-n)+n(IN/ IT )国际金融研究方论文修改.doc 国际金融研究三大经济体实际汇率图.xlsPay attention to the CalculationAbout Price index_Basis time poin

12、t ; The structure of Index; The method of measurement About The meaning of RE level: Appreciation and Depreciation : Relative to the Nominal Exchange rates on the Basis time; Showing the change of international comparative power Excises: Calculation the RE of REB against U.S dollar between 1994 2004

13、 with Equation 2.8 On the effective exchange rate_Nominal effective exchange rates, Formula 2.15, Pay attention: using the volume (indirect) quotation system, is given as an index number with a base of 100_Real effective exchange ratesOn the forward exchange marketConceptHedging : open_ long_ short_

14、 position Forward premium and discountCIP (2.19)(4.1), forward margin and Interest differentUIP (2.21)(4.2) with Speculators_(4.3) Risk Premium; (4.4) Real interest Parity (Fisher effect); (4.5) Efficiency Condition: perfect capital mobility, perfect Asset Substitutability, rational expectations and

15、 interest conditionsOn the Eurodollar and Xeno-currencyConcept and historyOnshore and offshoreChapter 3Fixed_ and floating exchange ratesWorld Gold standard and Price_Specie flow mechanicsThe Bretton woods system: The adjustable peg; Reserve and The monetary Authorities Intervention; adjust mechanic

16、sThe adjust mechanics in gold standard Deficit increase of exchange rates Gold outflow decrease of money supply in home and increase in foreign change the relative prices balanceWhich conditions can full the mechanics? The Adjust mechanics of Bretton woods systemDeficit Impact on E intervention Decr

17、ease of reserve Decrease of basic money Increase of Interest capital inflow and Decrease of aggregate demand downward of Price balanceWhich condition can full the mechanism? The current nonsystemWhy was given the name of nonsystem?_ international currency standard_exchange rates regime_discipline of

18、 international economy_adjust mechanics of balance of paymentsInter regime between fixed and free floating Chapter 5 the balance of paymentsThe economic meaningsThe concept (page 54)About the term of economic transaction; residentsAccounting principlesCurrent account ; capital and financial account;

19、 reservebalance charter.docThe meaning of surplus, deficit, and equilibrium Chapter 6 real and financial flowsEquilibrium between internal and external , flow and stock in an open economyExplain the columns: Sector and marketsThe row identities(6.1-6.8)The column identities(6.9-6.18) 2004S1.htmOther

20、 identitiesChapter 7 the elasticity approachThe background of theoryThe assumption: ceteris paribus excluding R; foreign exchange market is derived from export_ and import markets; free Movement of exchange ratesElasticities of exchange ratesMarshall-Lerner conditionElasticity Optimism vs. Pessimism

21、Foreign exchange market EquilibriumReal EquilibriumMultiple equilibrium because of uncertainty of the change of export value when R changedThe stable conditions: an exchange rates depreciation should reduce excess demand for foreign exchangeThe meaning for developing countries Interrelation between

22、the spot and forwardThe relationship between excess demand und forward rates(7.17) Arbitrage with limited funds (figure 7.2)Commercial hedging (Figure 7.3)Speculation (about the increase function of gap; decrease function of risk to the position)(7.5)The monetary authorities InterventionChapter 8 Th

23、e multiplier approachThe background : Harrod and Keynesian; economy crises ; Transfer problemWhat means twofold relevanceAssumption: Small country with no foreign repercussions; underemployed resources; rigidity of all prices; no capital movementsAbout the repercussionForeign repercussion nation 1 n

24、ation 2X increaseM increaseY increaseY decreaseM increaseX increaseThe basic model(8.1 8.5) about export function(8.6 8.10) injections and leakages; internal and external equilibrium; mechanics: about induced importMultiplier: 1/I-b-h+u (8.11 8.13). If no induced investment, k = 1/(s + u)The necessa

25、ry and sufficient for dynamic stability (8.14 8.19), emphasis the expenditure propensity to domestic goods shall be smaller than 1( 8. 15) plus the marginal propensity to importThe effect of a increase in exportIf b + h 0, dB 1, dB 0- s/(s*sf+s * mf + m * sf) 0di(sf + mf ) /(s* sf+ s* mf + m* sf ) 0

26、M / (s* sf+ s* mf + m* sf ) 0(-m* sf ) / (s*sf+s * mf + m * sf) 0, x + m 1 + m hold(9.1-9.4) BB and RR schedules. Internal and external balanceStable and unstable conditions (figure 9.3) Comparative statics and the transfer problemJ curve:currency-contract, pass-through,quantity- adjustmentS curve i

27、nvestment explainAbout Swang model:expenditure- switching and changeDepreciation effect: allocation effect and monetary illusion About assets effectWhy U.S.A cant recover the disequilibria of current account Chapter 10 M-F modelIntroduce_ from IS LM model to IS LM BP model _ background: the relax of

28、 capital control in west European; The crises of golden _ dollar _ contribution: combination of real and monetary analyze ; explaining the different effect of monetary and fiscal policies in the fixed and floating exchange rate regime; implicating the principal of policies combination in the short r

29、un Fixed exchange rates_ equilibriums in goods, money and foreign exchange markets (10.1 - 10.3 )_IS and LM curve_ BP curve , the slope depends on the responsiveness of capital flow to the interest rate_ current balance, capital balance and overall balance Stability and equilibrium_ figure 10.5. Wha

30、t means the money is given and variable.140_ Behavioral hypotheses: the money supply varies in relation to the surplus or deficit in the balance of payments(Reserve and money supply); e varies in relation to the excess demand for goods; the rate of interest varies in relation to the excess demand fo

31、r money_sufficient stable conditions: e 1 and m 1 F10 471 Dynamic analysis of the adjustment processAt point A internal equilibrium and external disequilibria decrease of reserve decrease of money supply upward of interest rats downward of consume and investment decrease of YA property in fixed exch

32、ange regime : the international reserve can not be sustained infinitively to support imbalance About the burden of debt and confidenceShort term and long term effect of capital inflowBend backwards of BB curve Figure 10.7The experience of world debt crises in eightys Financial globalization and conf

33、idence for the stability of macro economy Comparative staticsThe transfer problem( this can also seen as deficit of BPExchange-rate devaluation(note: BB in figure 10.9 is inelastic to I. If BB is elastic to I, the adjustment is unaffected) Flexible exchange-ratesThe model 10.6. M is givenAbout the d

34、ynamic behavior assumptions c and dadjustmentsChapter 11The dilemma of internal and external balanceTinbergens principleThe problem of stagflation Fiscal policy with freely capital movement under fixed exchange ratesFiscal policy with capital control under fixed exchange ratesFiscal policy with free

35、ly capital movement under floating exchange rates a comparative monetary policy with freely capital movement under fixed exchange ratesmonetary policy with capital control under fixed exchange ratesmonetary policy with freely capital movement under floating exchange rates monetary policy with inelas

36、tic capital movement under floating exchange rates a comparative Assignment problem Figure 11.1;11.2Figure 11.3 11.4Perfect capital mobility figure 11.5Some properties of M-F model 11.2.2 The effect of capital movement induced by the change of interest rate has a short-term propertyThe effect of int

37、erest on capital flow is limitedIf The effect of interest on the e is sensitive, the assignment will be not trueThe intervenes policy should be determined before the expectation has been changedThe payments of foreign debt will not offset the effect of interest difference on the capital movements Th

38、e policy determination would match the conflicts of interest groups Chapter 12 monetary approachBackground Price-specie-flow mechanismAssume :optimum distribution of specie; constant of e(full employment), productivity; price- elasticity sufficient (real exchange rates); I has no influence on the LT

39、he difference between classical and modern monetarism Basic proposition and implicationProposition I: the relationship between stock and flowProposition II : PPP and the law of one priceProposition III: full employmentimplicationA simple modelModel 12.3The meaning : A is the result of stock adjustme

40、nt, and determined by supply and demand for moneyModel 12.4The meaning : the demand for money is a stable function of e, interest rate is a datum 12.9 and 12.6: money stock decides the change of reserveThe different effects of devaluation from the perspective of MABP and traditional approachThe diff

41、erent assumption: employment; price change; The law of one price; flow and stockA theory should combine the flow and stock The approach of new Cambridge schoolThe main differences between new and old The model meaning: the desired value of stock decides the level of expenditure, so that the new scho

42、ol is much nearer to the MABP than the old onePrivate A = Y, (G T) determines CAThe effect of devaluation on the CA is offset by the indirect effect of devaluation on the ePolicy implicationChapter 13Background2 ways of portfolio analyze: micro and macro F-M model Assumption: small country; only 3 k

43、inds of assets; the supply and demand for foreign bond is always equal Model 13.1 13.6Figure 13.1 and 13.2: LL, FF and NN curves Portfolio and macroeconomic equilibrium und fixed ESome remarks: The way the budget deficit is financed: issuing bonds and printing money; The influence on private e induc

44、ed from interest payment; The influence on government expenditure induced from interest payment.The ground idea of model: combination of real and monetary, flow and stockAssumptionGR as exogenously and endogenously variable13.7- 13.913.10 public sectors budget deficit13.11- 13.14 flow and stock anal

45、yze13.15 Y determination under the consideration of wealth13.16 wealth effect on L13.7 The effects of payments imbalance and government deficit on the M Monetary and long-run equilibriumShort-run and long-run equilibriumLong-run assumptionPortfolio and macro Equilibrium under flexible EExchange rate

46、 changes influence the price level, which influence real M supply 13.25- 13.27Price and exchange rate changes and expectation13.28-13.30The basic model: 13.31-13.42Static expectationsIn short run the effect of fiscal policy on Y is better than the effect of monetary policy because of wealth and M su

47、pply Rational expectations and overshootingThe effect of adjustment policy under rational expectation is smaller than under static expectation, while the depreciation under rational expectation is smaller than und static expectation. Effects of an Increase in the U.S.Money SupplyDollar returnDollar

48、returnM1US P1USM2US P1USU.S. real money supplyM2US P2USM2US P1USDollar/euro exchangeRate, E$/Rates of return(in dollar terms)U.S. real money holdings0(a) Short-run effects0(b) Adjustment to long- run equilibriumDollar/euro exchangeRate, E$/U.S. real money holdingsE2$/2E3$/4R1$4R2$2R1$132E2$/Expected

49、euro returnExpectedeuro returnL(R$, YUS)R2$2L(R$, YUS)E1$/1Chapter 15 Exchange rate determinationPPP theory中国的名义和实际.pptThe law of one price and other problem with PPPThe H-B-S model: the basic idea is that the non-tradable price in a country with higher productivity increases by economic growth so that the real exchange rate appreciates, but it did not affect the compet