汇率与外汇市场：资产方法

1、YOU ARE WELCOME !1International Economics国际经济学主讲：余道先ydxdhy2Chapter 13Exchange Rates and the Foreign Exchange Market:An Asset Approach汇率与外汇市场：资产方法3IntroductionExchange Rates and International TransactionsThe Foreign Exchange MarketThe Demand for Foreign Currency AssetsEquilibrium in the Foreign Excha

2、nge MarketInterest Rates, Expectations, and EquilibriumSummaryPreview4IntroductionExchange rates are important because they enable us to translate different counties prices into comparable terms.Exchange rates are determined in the same way as other asset prices（汇率有着与其他资产价格同样的定价方式）.The general goal

3、of this chapter is to show: How exchange rates are determinedThe role of exchange rates in international trade5Exchange Rates and International TransactionsAn exchange rate can be quoted in two ways:DirectThe price of the foreign currency in terms of dollarsIndirectThe price of dollars in terms of t

4、he foreign currency6Domestic and Foreign PricesIf we know the exchange rate between two countries currencies, we can compute the price of one countrys exports in terms of the other countrys money（一国出口商品以另一国货币计算的价格）.Example: The dollar price of a 50 sweater with a dollar exchange rate of $1.50 per po

5、und is (1.50 $/) x (50) = $75.Exchange Rates and International Transactions7Two types of changes in exchange rates:Depreciation of home countrys currencyA rise in the home currency prices of a foreign currency（以本币表示的外币价格上涨） It makes home goods cheaper for foreigners and foreign goods more expensive

6、for domestic residents.Appreciation of home countrys currencyA fall in the home price of a foreign currency（以本币表示的外币价格下跌） It makes home goods more expensive for foreigners and foreign goods cheaper for domestic residents.Exchange Rates and International Transactions8Exchange Rates and Relative Price

7、sImport and export demands are influenced by relative prices.Appreciation of a countrys currency:Raises the relative price of its exportsLowers the relative price of its importsDepreciation of a countrys currency:Lowers the relative price of its exportsRaises the relative price of its importsExchang

8、e Rates and International Transactions9Exchange Rates and International Transactions Table 13-2: $/ Exchange Rates and the Relative Price of American Designer Jeans and British Sweaters10The Foreign Exchange MarketExchange rates are determined in the foreign exchange market.The market in which inter

9、national currency trades take placeThe Actors（参与者）The major participants in the foreign exchange market are:Commercial banksInternational corporationsNonbank financial institutionsCentral banks11Interbank trading（银行间交易）Foreign currency trading among banksIt accounts for most of the activity in the f

10、oreign exchange market.Exchange Rates and International Transactions12Characteristics of the MarketThe worldwide volume of foreign exchange trading is enormous, and it has ballooned in recent years.New technologies, such as Internet links, are used among the major foreign exchange trading centers (L

11、ondon, New York, Tokyo, Frankfurt, and Singapore).The integration of financial centers implies that there can be no significant arbitrage.The process of buying a currency cheap and selling it dear（套汇就是低价买进一种货币再高价将其卖出）.Exchange Rates and International Transactions13Vehicle currency（载体货币）A currency th

12、at is widely used to denominate international contracts made by parties who do not reside in the country that issues the vehicle currency（载体货币是一种在发行该种货币以外国家的国际交易中被广泛使用作为度量标准的货币）.Example: In 2001, around 90% of transactions between banks involved exchanges of foreign currencies for U.S. dollars.Excha

13、nge Rates and International Transactions14Spot Rates and Forward RatesSpot exchange ratesApply to exchange currencies “on the spot”Forward exchange ratesApply to exchange currencies on some future date at a prenegotiated（预先商定的） exchange rateForward and spot exchange rates, while not necessarily equa

14、l, do move closely together.Exchange Rates and International Transactions15 Figure 13-1: Dollar/Pound Spot and Forward Exchange Rates, 1981-2001Exchange Rates and International Transactions16Foreign Exchange Swaps（外汇掉期交易）Spot sales of a currency combined with a forward repurchase of the currency（即期卖

15、出一种货币同时远期再买回该种货币）.They make up a significant proportion of all foreign exchange trading.Exchange Rates and International Transactions17Futures and Options（外汇期货与期权）Futures contractThe buyer buys a promise that a specified amount of foreign currency will be delivered on a specified date in the future（

16、购买者买入的是一份在未来特定日期交割一定数量外国货币的保证）.Foreign exchange option The owner has the right to buy or sell a specified amount of foreign currency at a specified price at any time up to a specified expiration date（所有者有权在到期日以前任何时间内买卖特定数量的外国货币）.Exchange Rates and International Transactions18The demand for a foreign

17、 currency bank deposit is influenced by the same considerations that influence the demand for any other asset （影响银行外汇存款需求的因素与影响其他资产的因素是一样的）.The Demand for Foreign Currency Assets（外汇资产需求）19Assets and Asset Returns（资产和资产收益）Defining Asset ReturnsThe percentage increase in value an asset offers over som

18、e time period（经过一定时期价值增值的百分比）.The Real Rate of Return（实际收益率）The rate of return computed by measuring asset values in terms of some broad representative basket of products that savers regularly purchase（用一些具有广泛代表性的、储蓄者经常购买的商品来计算的资产价值进而计算出的收益率）.The Demand for Foreign Currency Assets（外汇资产需求）20Risk and

19、Liquidity（风险和流动性）Savers care about two main characteristics of an asset other than its return（除了收益之外，储蓄者主要关心资产在两方面的特征）:RiskThe variability it contributes to savers wealth（给储蓄者财富造成的不确定性）LiquidityThe ease with which it can be sold or exchanged for goods（便于流动和交换其他商品）The Demand for Foreign Currency Asse

20、ts21Interest Rates（利率）Market participants need two pieces of information in order to compare returns on different deposits（为了比较不同存款收益，市场参与者需要两方面的信息）:How the money values of the deposits will change（存款的货币价值的变动）How exchange rates will change（汇率的变动）The Demand for Foreign Currency Assets22Interest Rates

21、（利率）A currencys interest rate is the amount of that currency an individual can earn by lending a unit of the currency for a year（一种货币的利率，就是借出一单位的该种货币一年可以获得的该种货币数量）.Example: At a dollar interest rate of 10% per year, the lender of $1 receives $1.10 at the end of the year.The Demand for Foreign Curren

22、cy Assets23 Figure 13-2: Interest Rates on Dollar and Deutschemark Deposits, 1975-1998（美元存款与德国马克存款的利息率）The Demand for Foreign Currency Assets24Exchange Rates and Asset Returns（汇率和资产收益）The returns on deposits traded in the foreign exchange market depend on interest rates and expected exchange rate ch

23、anges（在外汇市场上交易的各种货币存款的收益，取决于利率和预期汇率的变动）.In order to decide whether to buy a euro or a dollar deposit, one must calculate the dollar return on a euro deposit（为了决定是用欧元存款还是用美元存款，就必须计算出以欧元存款的美元收益）.The Demand for Foreign Currency Assets25A Simple Rule（一个简单法则）The dollar rate of return on euro deposits is

24、approximately the euro interest rate plus the rate of depreciation of the dollar against the euro（欧元存款的美元收益率约等于欧元的利率加上美元相对欧元的贬值率）.The rate of depreciation of the dollar against the euro is the percentage increase in the dollar/euro exchange rate over a year（美元相对欧元的贬值率就是欧元的美元价格的年上涨率）.The Demand for F

25、oreign Currency Assets26The expected rate of return difference between dollar and euro deposits is（美元存款和欧元存款的预期收益率之差）: R$ - R + (Ee$/ - E$/ )/E$/ = R$ - R - (Ee$/ -E$/ )/E$/ (13-1)where: R$ = interest rate on one-year dollar deposits R= todays interest rate on one-year euro deposits E$/ = todays dol

26、lar/euro exchange rate (number of dollars per euro) Ee$/ = dollar/euro exchange rate (number of dollars per euro) expected to prevail a year from today（预期一年后的美元/欧元汇率）The Demand for Foreign Currency Assets27When the difference in Equation (13-1) is positive, dollar deposits yield the higher expected

27、rate of return. When it is negative, euro deposits yield the higher expected rate of return（当公式13-1中的这个差为正时，美元存款具有更高的收益率；当其为负时，欧元存款具有更高的收益率）.The Demand for Foreign Currency Assets28Table 13-3: Comparing Dollar Rates of Return on Dollar and Euro Deposits（美元存款和欧元存款美元收益率的比较）The Demand for Foreign Curre

28、ncy Assets29Return, Risk, and Liquidity in the Foreign Exchange Market（外汇市场的收益、风险和流动性）The demand for foreign currency assets depends not only on returns but on risk and liquidity.There is no consensus among economists about the importance of risk in the foreign exchange market.Most of the market par

29、ticipants that are influenced by liquidity factors are involved in international trade.Payments connected with international trade make up a very small fraction of total foreign exchange transactions.Therefore, we ignore the risk and liquidity motives for holding foreign currencies.The Demand for Fo

30、reign Currency Assets30Equilibrium in the Foreign Exchange MarketInterest Parity: The Basic Equilibrium Condition（利率平价：基本均衡条件）The foreign exchange market is in equilibrium when deposits of all currencies offer the same expected rate of return（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）.31Equilibrium in the For

31、eign Exchange MarketInterest parity condition（利率平价条件）The expected returns on deposits of any two currencies are equal when measured in the same currency（用相同货币衡量的任意两种货币存款的预期收益率相等）.It implies that potential holders of foreign currency deposits view them all as equally desirable assets（这一条件意味着，外汇存款的潜在持

32、有者，把所有的外汇存款都视为有同等意愿持有的资产）.The expected rates of return are equal when: R$ = R + (Ee$/ - E$/)/E$/ (13-2)32How Changes in the Current Exchange Rate Affect Expected Returns（当前汇率变动如何影响预期收益？）Depreciation of a countrys currency today lowers the expected domestic currency return on foreign currency deposit

33、s（本国货币的贬值会降低外汇存款的预期本币收益率）.Appreciation of the domestic currency today raises the domestic currency return expected of foreign currency deposits（本币的升值会使外汇存款的预期本币收益率上升）.Equilibrium in the Foreign Exchange Market33 Table 13-4: Todays Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro Depo

34、sits When Ee$/ = $1.05 per Euro（当Ee$/ = 每欧元1.05 美元时，即期美元/欧元汇率和欧元存款的预期美元收益）Equilibrium in the Foreign Exchange Market34Figure 13-3: The Relation Between the Current Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro DepositsExpected dollar return on euro deposits, R + (Ee$/ - E$/)/(E$/)

35、 Todays dollar/euro exchange rate, E$/1.021.031.051.070.0310.0500.0690.0790.1001.00Equilibrium in the Foreign Exchange Market35The Equilibrium Exchange Rate（均衡汇率 ）Exchange rates always adjust to maintain interest parity（汇率总是在不断调整以维持利率平价）.Assume that the dollar interest rate R$, the euro interest rat

36、e R, and the expected future dollar/euro exchange rate Ee$/, are all given（我们假定美元利率 R$, 欧元利率 R, 和预期美元/欧元汇率 Ee$/, 都是给定的）. Equilibrium in the Foreign Exchange Market36R$Return on dollar depositsFigure 13-4: Determination of the Equilibrium Dollar/Euro Exchange Rate（美元/欧元均衡汇率的决定）Rates of return(in doll

37、ar terms)Exchange rate, E$/E2$/21E1$/E3$/3Expected return on euro depositsEquilibrium in the Foreign Exchange Market37The Effect of Changing Interest Rates on the Current Exchange Rate（利率变动对当前汇率的影响）An increase in the interest rate paid on deposits of a currency causes that currency to appreciate aga

38、inst foreign currencies（一种货币存款利率上升，使该种货币相对外国货币升值）.A rise in dollar interest rates causes the dollar to appreciate against the euro（美元利率上升使美元相对欧元升值）.A rise in euro interest rates causes the dollar to depreciate against the euro（欧元利率上升使美元相对欧元贬值）.Interest Rates, Expectations, and Equilibrium（利率、预期与均衡）3

39、8Dollar returnR2$R1$Figure 13-5: Effect of a Rise in the Dollar Interest Rate（美元利率上升的影响）Rates of return(in dollar terms)Exchange rate, E$/2E2$/11E1$/ Expected euro return Interest Rates, Expectations, and Equilibrium39Dollar returnR$Figure 13-6: Effect of a Rise in the Euro Interest Rate（欧元利率上升的影响）Rates of return(in dollar terms)Exchange rate, E$/1E1$/2E2$/Rise in euro interest rate Expected euro return Interest Rates, Expectations, and Equilibrium40The Effect of Changing Expectations on the Current Exchange Rate（预期变动对目前汇率的影响）A rise in the expected future exchange rate causes a rise in