教学课件·国际金融(英文版)

1、Chapter 1 Balance of payments1.1 International transactions: the balance of paymentsThe balance of payments is the record of the economics and financial flows that take place over a specified time period between residents and non-residents of a given country. Table 1.1 Standard components of the bal

2、ance of paymentsCurrent accountExports fob- Imports fob= Trade balance+ Exports of non-financial services- Imports of non-financial services+ Investment income (credit)- Investment income (debit)+(-) Private unrequited transfers+(-) Official unrequited transfers= Current account balanceCapital accou

3、nt+(-) Direct investment+(-) Portfolio investment+(-) Other long-term capital+(-) Other short-term capital+(-) Net errors and omissions+(-) Counterpart items+(-) Total change in reserves= Capital account balanceThe current accountThe trade balanceThe trade balance comprises merchandise exports and i

4、mports fob. Non-financial servicesNon-financial services include such things as freight, insurance, passenger services and travel. Investment incomeInvestment income comprises income derived from the ownership of foreign financial assets. Unrequited transfersThe final components of the current accou

5、nt are private unrequited transfers and official unrequited transfers. The current account as an income statementThis completes the components of the current account.The current accountDirect investment and portfolio investmentThe difference between direct investment and portfolio investment revolve

6、s around whether or not the investor intends to take an active role in the management of the enterprise the assets of which are being acquiredOther capitalThe capital accountReserves include monetary gold, special drawing rights (SDRs), the reserve position in the Fund and foreign exchange. Change i

7、n reservesCounterpart itemsThey arise because of the double entry system in balance of payments accounting and refer to adjustments in reserves owing to monetization or demonetization of gold, allocation or cancellation of SDRs and revaluation of the various components of total reserves.Net errors a

8、nd omissionsThe errors and omissions in balance of payments accounting arise in large part from the statistical difficulties involved in gathering balance of payments data. Distinguish: Autonomous items & Accommodating items Autonomous receipts autonomous payments = surplusAutonomous receipts autono

9、mous payments = deficit1.2 Balance of payments surplus and deficitThese two accounts derive much of their importance because estimates are published on a monthly basis by most developed countries. The trade account and current accountThis is the current account balance plus the net balance of long-t

10、erm capital flows.The basic balanceThe official settlement balance The official settlements balance focuses on the operations that the monetary authorities have to undertake to finance any imbalance in the current and capital accounts. Governments may restrict domestic economic activity to achieve a

11、 better overall balance on external accounts. We refer to this restriction as the unemployment effect.Governments may place quotas or tariffs on merchandise imports to improve the overall balance of payments performance. We refer to this action as the controls effect. 1.3 Economic forces and the bal

12、ance of paymentsConditions for equilibriumEconomic forcesFour key economic forces influence a countrys balance of payments flows. These are the inflation rate, real GNP growth rate, interest rates, and the spot rate of exchange. Process of adjustmentThis adjustment is in response to the various econ

13、omic forces that impact a countrys balance of payments. Chapter 2 Theories of balance of paymentsThis approach provides an analysis of what happens to the current accountbalance when the country devalues its currency. The central message of the elasticity approach is that there are two directeffects

14、 of a devaluation on the current balance.2.1 The elasticity approach to the balance of paymentsThere are three possible scenarios following a devaluation, and two effects in play once a currency is devalued:1. The price effect exports become cheaper measured in foreign currency. Imports become more

15、expensive measured in the home currency.2. The volume effect the fact that exports become cheaper should encourage an increased volume of exports, and the fact that imports become more expensive should lead to a decreased volume of imports. The net effect depends upon whether the price or volume eff

16、ect dominates. Figure 2.1 The J-curve effectThree of the most important are: - A time lag in consumer response - A time lag in producer response - Imperfect competition 2.2 The absorption approach to the balance of paymentsTaking the equation for national income:Y=C+I+G+X-M (2.1)And defining domesti

17、c absorption as A=C+I+G, then we can get:CA=X-M=Y-A (2.2)Transforming equation (2.2) into difference form yields: dCA=dY-dA (2.3)Thus the change in total absorption, dA, is given by:dA=adY+dAd (2.4)Substituting (2.4) into (2.3) yields:dCA=(1-a)dY-dAd (2.5)Its fundamental basis is that the balance of

18、 payments is essentially a monetary phenomenon.Three assumptions: a stable money demand function a vertical aggregate schedule purchasing power parity (PPP) 2.3 The monetary approach to the balance of paymentsThe domestic monetary supply in the economy is made up of two components: Ms=D+R （2.6）We ca

19、n now rewrite equation (2.6) in different form as: dMs=dD+Dr (2.7)Figure 2.2 The money supply and reservesMonetarists observe that the overall balance of payments canbe thought of as consisting of the current account balance, the capital account balance, and change in the authorities reserves.That i

20、s: BP=CA+K=dR=0 So that: CA+K=-dR (2.8)Where CA is the current account balance, K is the capital account balance, and dR is the change in the authorities reserves. The monetary approach provides a distinctive and clear analysis of the effects of a devaluation and monetary expansion on the balance of

21、 payments. Another significant contribution of the monetary approach is that it provides a rich set of policy recommendations. Chapter 3 Macroeconomic policy in an open economy3.1 The problem of internal and external balanceMuch of the 1950s and 1960s literature was concerned with how the authoritie

22、s might simultaneously achieve both internal and external balance. Figure 3.1 The Swan diagramThe Swan diagram is divided into four zones depicting different possible states for an economy: Zone 1 a deficit and inflationary pressures. Zone 2 a deficit and deflationary pressures. Zone 3 a surplus and

23、 deflationary pressures. Zone 4 a surplus and inflationary pressure.This model owes its origins to papers published by James Fleming (1962) and Robert Mundell (1962, 1963). Their major contribution was to incorporate international capital movements into formal macroeconomic models based on the Keyne

24、sian IS-LM framework. 3.2 The Mundell-Fleming modelFigure 3.2 Equilibrium of the model Figure 3.3 Surplus (a) and deficit (b) in the balance of paymentsInternal and external balance under fixed exchange ratesA situation of fixed exchange rates and unemployment is depicted in figure 3.4. Figure 3.4 I

25、nternal and external balance under a fixed exchange rateInternal and external balance under floating exchange ratesFigure 3.5 illustrates the case of monetary expansion under floating exchange rates. Figure 3.5 A monetary expansion under floating exchange ratesFiscal expansion under floating exchang

26、e ratesThe effects of a fiscal expansion on the exchange rate under floating rates depend crucially upon the slope of the BP schedule relative to the LM schedule. Figure 3.6 Case 1: fiscal expansion under floating exchange ratesFigure 3.7 Case 2: fiscal expansion under floating exchange rates A smal

27、l open economy with perfect capital mobilityThe model assumes a small country facing perfect capital mobility. Any attempt to raise the domestic interest rate leads to a massive capital inflow to purchase domestic bonds pushing up the price of bonds until the interest rate returns to the world inter

28、est rate. Figure 3.8 Fixed exchange rates and perfect capital mobilityFigure 3.9 Floating exchange rates and perfect capital mobility The principle of effective market classification Mundell (1968) suggested that what he called the principle of effective market classification should be used by econo

29、mic policy-makers in conjunction with Tinbergens instruments-targets rule. Mundells principle stated that Policies should be paired with the objectives on which they have the most influence. Figure 3.10 The assignment problem Limitations of the Mundell-Fleming model-The Marshall-Lerner condition-Int

30、eraction of stocks and flow -Neglect of long-run constraints-Wealth effects-Neglect of supply-side factors-Treatment of capital flows-Exchange-rate expectations-Flexibility of policy instruments 3.3 ConclusionsIn this chapter we have illustrated some important aspects concerning the conduct of econo

31、mic policy in an open economy. Among the most important lessons for economic policy-makers is that they generally need as many independent policy instruments as they have targets. In the real world the achievement of internal and external balance will be far more difficult that our theoretical analy

32、sis has suggested. We have seen that the relative effectiveness of fiscal and monetary policy is very much dependent upon the choice of exchange-rate regime. Although the Mundell-Fleming model has many limitations it none the less focuses attention on the difficulties and dilemmas facing policy-make

33、rs in an open economy. Chapter 4 Fixed, Floating and Managed Exchange RatesThe exchange rate is simply the price of one currency in terms of another, and there are two methods of expressing it: 1. Domestic currency units per unit of foreign currency 2. Foreign currency units per unit of the domestic

34、 currency4.1 Definations and types of the exchange rateThe spot and forward exchange ratesThe spot exchange rate is the quotation between two currencies for immediate delivery.The forward exchange rate The rate of exchange at which such a purchase or sale can be made is known as the forward rate.Nom

35、inal, real and effective exchange rateNominal exchange rate The exchange rate that prevails at a given date is known as the nominal exchange; it is the amount of US dollars that will be obtained for one pound in the foreign exchange market.Real exchange rate The real exchange rate is the nominal exc

36、hange rate adjusted for relative prices between the countries under consideration.Effective exchange rate The effective rate is a measure of whether or not the currency is appreciating or depreciating against a weighed basket of foreign currencies.Fixed, floating and managed exchange ratesFixed exch

37、ange rate A fixed exchange rate is a type of exchange rate regime where a currencys value is matched to the value of another single currency, to a basket of other currencies, or to another measure of value, such as gold.Floating exchange rate A floating exchange rate is a type of exchange rate regim

38、e wherein a currencys value is allowed to fluctuate according to the foreign exchange market.Managed floating exchange rate Exchange rates fluctuate from day to day. But central banks attempt to influence their countries exchange rates by buying and selling currencies. 4.2 The case for fixed exchang

39、e ratesFixed exchange rates promotes international trade and investment-The proponents of fixed exchange rates argue that fixed parities provide the best environment for the conduct of international trade and investments.-It is argued that just as a single currency is the best means of promoting eco

40、nomic activity at the national level, fixed exchange rates are the best means of promoting international trade and investment at the international level. Fixed exchange rates provide discipline for macroeconomic policiesAn argument frequently put forward in favor of fixed exchange rates is that the

41、commitment so such a regime provides a degree of discipline to domestic macroeconomic policy that is absent if exchange rates are allowed to float. Fixed exchange rates promote international cooperationAnother argument in favor of fixed exchange rates is that they necessitate a degree of internation

42、al cooperation and coordination between countries that is generally absent under floating exchange rates. Speculation under floating rates is likely to be destabilizingThe major argument advanced against floating exchange rates is that they are likely to be characterized by destabilizing private spe

43、culation producing the wrong exchange rate; by which is meant a sub-optimal rate from the viewpoint of resource allocation. The excessive risk-aversion and bandwagon-effect arguments presuppose that foreign exchange speculators do not use all the information and news available to them efficiently, a

44、nd consequently speculation produces the wrong exchange rate until eventually fundamentals reassert themselves. 4.3 The case for floating exchange ratesFloating exchange rates ensure balance-of-payments equilibriumFloating exchange rates ensure monetary autonomyFloating exchange rates insulate econo

45、miesFloating exchange rates promote economic stability Private speculation is stabilizing Authorities might be able to produce a more appropriate exchange rateIntervention needed to mitigate costs of exchange-rate overshootingIntervention to smooth the economic adjustment process4.4 Managed floating

46、4.5 ConclusionsThe clear result that emerges from this chapter is that neither the traditional advantages/disadvantages approach or modern literature provide a clear-cut reason to prefer fixed to floating exchange rates, or vice versa. The modern approach to evaluating the two regimes shows that onl

47、y under very specific conditions can we say that one is better than the other. The lack of decisive arguments in favor of either fixed or floating exchange rates has frequently been taken as a rationale for some degree of exchange-rate management between the two regimes. Finally, it should not be fo

48、rgotten that we have examined the choice between alternative regimes within the context of a specific model specification of a small open economy. Chapter 5 Models of the foreign exchange determination5.1 Purchasing power parity The theory linking inflation and exchange rate movements is known as pu

49、rchasing power parity (PPP). The law of one priceThe theory of PPP is based on the law of one price (LOP). The law of one price states that identical commodities or goods must have the same price in all markets. Absolute and relative PPPThis relation represents the absolute form of PPP and is very r

50、estrictive. The relative form of PPP, more commonly used today, is less restrictive than the absolute form. It states that in comparison to a period when exchange rates were in equilibrium, changes in the ratio of domestic to foreign prices indicate the appropriate adjustment in the exchange rate. T

51、he empirical evidenceWhether or not PPP holds is an ongoing controversy. The reasons why it might not hold are numerous. The strictest form of PPP requires that:- financial markets are perfect with no controls, taxes, transaction costs, etc;- goods markets are perfect with international shipment of

52、goods able to take place freely, instantaneously and without cost;- there is a single consumption good common to everyone; - the same commodities appear in the same proportions in each countrys consumption basket.Reasons for divergence from short-term PPPThe asset market approachOvershootingThe port

53、folio balance approach5.2 Covered interest parityBackgroundThe CIP conditionConsider an investor who has initial capital, K, and faces two alternatives: (i) domestic investment, whereby the investor buys domestic assets, earning the domestic interest rate, i; (ii) foreign investment, whereby the inv

54、estor converts the domestic currency into foreign currency to buy foreign assets, earning the foreign interest rate, i*.The mechanics of covered arbitrageArbitrage from the domestic currency to a foreign currencyor approximatelyThe no-arbitrage conditionArbitrage from a foreign currency to the domes

55、tic currencyor approximately Covered arbitrage with bid-offer spreadsArbitrage from the domestic currency to a foreign currencyArbitrage from a foreign currency to the domestic currency5.3 Market efficiency, uncovered interest parity and real interest parity The concept of market efficiencyIn an eff

56、icient market, prices reflect all available information. Hence, this is a definition of informational efficiency rather than allocative efficiency.In this sense market efficiency precludes the possibility of earning profit via arbitrage and speculation based on the violation of these conditions.Weak

57、 efficiencyWeak efficiency means that prices reflect all the information contained in the past behavior of prices (or rather exchange rates). This is obviously a limited set of information as it excludes the effect of other relevant variables that, in the case of the foreign exchange market, affect

58、the exchange rate. Semi-strong efficiencySemi-strong efficiency implies that the information set contains not only the past behavior of exchange rates, but also all publicly available information. Strong efficiencyStrong efficiency implies that prices reflect all available information, including pri

59、vate information and insider information. It is normally argued that this level of efficiency does not apply to the foreign exchange market because, unlike the stock market, insider information is not important. Spot and forward market efficiencyThe efficiency of the spot foreign exchange market imp

60、lies that spot exchange rates move in a random and unpredictable manner, reflecting the random arrival of new information. The random walk behavior may be represented by the equation:The concept of forward market efficiency encompasses both the spot and forward markets.The uncovered interest parity