CFA二级复习冲刺-经济学

1

BriefIntroduction

Content:

Studysession4:EconomicsforValuation

•Reading11::CurrencyExchangeRates:Understanding

EquilibriumValue

•Reading12:EconomicGrowthandtheInvestment

Decision

•Reading13:EconomicsofRegulation

2

r

CurrencyExchangeRate111

CalculationsofFX

3

cyExchangeRate111：Calcu■lationsofFX

CalculationsofFX

Internationalparityrelationships

BalanceofpaymentandFX

Monetary/fiscalpolicyandFX

4

CalculationsofFX

Cross-rate

Triangulararbitrage

Mark-to-marketvalueofforwardcontracts

Carrytrade

ncvExchangeRate111：CalculationsofFX

Cross-rates

目bid

cN

\o/ooffffee.rIC)offe\B)offer

bid

6

ncvExchangeRate111：CalculationsofFX

Cross-rates:Example

SFR/USD=1.5960-70,ASD/USD=1.8225-35,Calculate

ASD/SFR

Answer:

ASD/SFR;(ASD/USD)X(USD/SFR)

=(1.8225X1/1.5970)-(1.8235XI/1.5960)

ASD/SFR=1.1412-1.1425

ncvExchangeRate111：CalculationsofFX

Triangulararbitrage

ConvertingfromcurrencyAtocurrencyB,thenfrom

currencyBtocurrencyC,thenfromcurrencyCbacktoA.If

weendupwithmoreofcurrencyAattheendthanwe

startedwith,we'veearnedanarbitrageprofit.

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CurrencvExchangeRate[11：CalculationsofFX

Triangulararbitrage:Example

USD/AUD=0.6000-0.6015

MXN/USD=10.7000-10.7200

MXN/AUD=6.3000-6.3025

Howtoarbitragefromthesemarkets?

Answer:

1USD玲1/0.6015AUD玲(l/0.6015)*6.3000MXN-

((l/0.6015)*6.3000)/10.720USD-0.97704USD,noprofit

1USD玲l*10.700MXN玲(l*10.700)/6.3025AUD玲

((l*10.700)/6.3025)*0.6000USD玲1.01864USD,arbitrage

ncvExchangeRate111：Calc■ulationsofFX

Mark-to-marketvalueofforwardcontracts

IVIark-to-Marketvalue:theprofit(orloss)thatwouldbe

realizedfromclosingoutthepositionatcurrentmarket

prices.

Iflongthebasecurrencyoriginally,themark-to-marketvalue

priortoexpirationis:

F；BContractSize

FP/B'

irdays

pricecurrency

k360

10

ncvExchangeRate[11：CalculationsofFX

Mark-to-marketvalueofforwardcontracts:Example

Yuanoriginallybought1millionUSDforwardat1.05358AUD.

Thematurityis90days.Now30dayshavepassed,the

followinginformationisavailable:

MaturityRate

Spot1.0612/1.0614

60-day+8.6/+9.0

AUDinterestrates(att=30):

60-dayrate:1.16%

Whatisthemark-to-marketvalueinAUDofYuan'sforward

contract?11

CurrencyExchangeRate[11：CalculationsofFX

Mark-to-marketvalueofforwardcontracts:Answer

TheforwardbidpriceforanewcontractexpiringinT-1=60

daysis1.0612+8.6/10,000=1.06206.

Theinterestratetousefordiscountingthevalueisalsothe

60-dayAUDinterestrateof1.16%.

Themark-to-marketvalueatt=30is:

VFtF()ContractSize1.062061.053581,000,000

[1处110.0116|，叫)

I360J1360J

8463.64

12

CurrencvExchangeRate[11：CalculationsofFX

Carrytrade

Whenuncoveredinterestrateparitydoesnothold,inaFX

carrytrade,aninvestorinvestsinahigheryieldingcurrency

usingfundsborrowedinaloweryieldingcurrency.

ifrf>rd.return*rfrd%AS

Duringperiodsoflowvolatility,carrytradestendtogenerate

positivereturns,buttheyarepronetosignificantcrashriskin

turbulenttimes.

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ncvExchangeRate111：CalculationsofFX

Carrytrade:Example

ExchangerateforUSD/GBPis1.50todayand1.49oneyear

later.Interestrateis3%forU.Kand1%forU.S.Calculation

theprofittoborrowingintheU.S.andinvestingintheU.K.

Answer:

return=3%-1%-(1.5-1.49)/1.5=1.33%

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mary

■

Importance:☆☆☆

Content:

•Cross-rate

•Triangulararbitrage

•Mark-to-marketvalueofforwardcontracts

•Carrytrade

Examtips:

•本任务总结了外汇计算的最常考知识点，非常重要，学员

务必掌握。

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CurrencvExchangeRate121

InternationalParityRelationships

16

cyExchangeRate121：Inter■nationalParityRelationships

CalculationsofFX

Internationalparityrelationships

BalanceofpaymentandFX

Monetary/fiscalpolicyandFX

17

ncvExchangeRate121：InternationalParityRelationships

Internationalparityrelationships

Coveredinterestrateparity

Uncoveredinterestrateparity

Forwardrateparity

Purchasingpowerparity

TheinternationalFishereffect

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ncvExchangeRate121：InternationalParityRelationships

Coveredinterestrateparity

Aninvestmentinaforeignmoneymarketinstrument

thatiscompletelyhedgedagainstexchangeraterisk

yieldsexactlythesamereturnasanotherwiseidentical

domesticmoneymarketinvestment.

Thecurrencywithhighernominalyieldwilldepreciate.

1.days

f360-

Fs,days

f/df/d一峥1

360d

days..360

之一：—i

360f

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ncvExchangeRate121：InternationalParityRelationships

Uncoveredinterestrateparity

Thechangeinspotrateovertheinvestmenthorizon

shouldequalthedifferentialininterestratesbetween

thetwocountries.

Theinvestorisassumedtoberisk-neutral.

Theexpectedappreciation/depreciationoftheexchange

ratejustoffsetstheyielddifferential.

e

1ifl%ASfld

=>%24-i1id

fd

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ncvExchangeRate121：InternationalParityRelationships

Forwardrateparity

Theforwardexchangeratewillbeanunbiasedpredictor

ofthefuturespotexchangerateifbothcoveredand

uncoveredinterestrateparityhold.

1fid°f/d

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ncvExchangeRate121：InternationalParityRelationships

■

PurchasingPowerparity

AbsolutePPP:theequilibriumexchangeratebetweentwo

countriesisdeterminedentirelybytheratiooftheir

nationalpricelevels.Sf/dPf/Pd

RelativePPP:thepercentagechangeinthespotexchange

ratewillbecompletelydeterminedbythedifference

betweentheforeignanddomesticinflationrate.

Ex-anteversionofPPP:expectedinflationdifferentials

determinesforecastfutureexchangerates.%/\S；,=兀

ncvExchangeRate121：InternationalParityRelationships

TheInternationalFisherEffect

Theinterestratedifferentialbetweentwocountriesshould

beequaltotheexpectedinflationdifferentialifboth

uncoveredinterestrateparityandex-antePPPhold.

兀一

RealInterestRateParity:realinterestratewillconvergeto

thesamelevelacrossdifferentmarkets

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ncvExchangeRate121：InternationalParityRelationships

Summary

Parityconditionsrarelyholdintheshortterm,theydohelp

formalongtermviewofexchangerates.Theexceptionis

coveredinterestrateparity,whichisenforcedbyarbitrage.

Ifbothcoveredanduncoveredinterestrateparityhold,then

forwardrateparityholds.

IfFishereffectandrealinterestrateparityhold,thenthe

internationalFishereffectholds.

Ifex-antePPPandtheinternationalFishereffecthold,then

uncoveredinterestrateparityholds.

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Importance:☆☆☆

Content:

•Coveredinterestrateparity

•Uncoveredinterestrateparity

•Forwardrateparity

•Purchasingpowerparity

•InternationalFisherrelation

Examtips:

•重点掌握每个平价条件的结论，以及平价条件之间的关系。

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CurrencyExchangeRate131

BalanceofPaymentandFX

26

cyExchangeRate131：Balan■ceofPaymentandFX

CalculationsofFX

Internationalparityrelationships

BalanceofpaymentandFX

Monetary/fiscalpolicyandFX

27

ncyExchangeRate131：BalanceofPaymentandFX

InfluenceofCurrentAccountonExchangeRates

Currentaccountinfluencesthepathofexchangerates

throughthefollowingmechanisms:

Theflowsupply/demandchannel

Theportfoliobalancechannel

Thedebtsustainabilitychannel

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ncyExchangeRate131：BalanceofPaymentandFX

TheFlowSupply/DemandChannel

Countrywithpersistentcurrentaccountsurpluses(deficits)

wouldseetheircurrenciesappreciate(depreciate).

Theinitialgapbetweenimportsandexports.

Theresponseofimportandexportpricestochanges

intheexchangerate.

Theresponseofimportandexportdemandtothe

changeinimportandexportprices.

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ncyExchangeRate131：BalanceofPaymentandFX

ThePortfolioBalanceChannel

Nationsrunninglargecurrentaccountsurplusesfindthat

theirholdingsofthedeficitcountry'scurrency-denominated

assetsexceedthedesiredamount,actionstoreducetheir

holdingstodesiredlevelscouldhaveanegativeimpacton

thecurrencyofthecountryrunningdeficit.

TheDebtSustainabilityChannel

WhenforeigndebtgetstoohighrelativetoGDP,foreign

investorsmayquestionthesustainabilityofdebt,leadingto

arapiddepreciationofthedeficitcountry'scurrency.

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mary

Importance:☆☆

Content:

•Theflowsupply/demandchannel

•Theportfoliobalancechannel

•Thedebtsustainabilitychannel

Examtips:

•不是外汇的重要考点

•了解国际收支平衡对外汇的三个影响渠道

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CurrencyExchangeRate141

Monetary/fiscalpolicyandFX

32

cyExchangeRate141：Monetary/FiscalPolicyandFX

--■

CalculationsofFX

Internationalparityrelationships

BalanceofpaymentandFX

Monetary/fiscalpolicyandFX

33

CurrencyExchangeRate141：Monetary/FiscalPolicyandFX

InfluencesofMonetary/FiscalPolicyonExchangeRate

Mundell-Flemingmodel(蒙代尔・弗莱明模型)

Themonetaryapproach

Theassetmarket(portfoliobalance)approach

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cyExchangeRate141：Monetary/FiscalPolicyandFX

--■

Mundell-Flemingmodel

Assumeinflationplaysnorole.

Mundell-Flemingapproachfocusesontheshort-term

implicationsofmonetaryandfiscalpolicy.

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cyExchangeRate141：Monetary/FiscalPolicyandFX

--■

Mundell-Flemingmodel

UnderConditionsofHighCapitalMobilityandFlexible

ExchangeRate

ExpansionaryRestrictiveMonetary

MonetaryPolicyPolicy

ExpansionaryFiscalDomesticcurrency

Indeterminate

Policyappreciate

Domesticcurrency

RestrictiveFiscalPolicyIndeterminate

depreciate

36

cyExchangeRate141：Monetary/FiscalPolicyandFX

Mundell-Flemingmodel

UnderConditionsofLowCapitalMobilityandFlexible

ExchangeRate

ExpansionaryRestrictiveMonetary

MonetaryPolicyPolicy

ExpansionaryFiscalDomesticcurrency

Indeterminate

Policydepreciate

Domesticcurrency

RestrictiveFiscalPolicyIndeterminate

appreciate

37

CurrencyExchangeRate141：Monetary/FiscalPolicyandFX

TheMonetaryApproach

Assumethatoutputisfixed,sothatmonetarypolicy

primarilyaffectsinflation,whichinturnaffectsexchange

rates.

Puremonetarymodel:PPPholdsatanypointintime

andoutputisheldconstant.Anexpansionary(restrictive)

monetarypolicyleadstoanincrease(decrease)inprice

levelandadecrease(increase)inthevalueofthe

domesticcurrency.

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cyExchangeRate141：Monetary/FiscalPolicyandFX

TheMonetaryApproach

Dornbuschovershootingmodel

Assumesthatpricesaresticky(inflexible)intheshort

term.

Underanexpansionarymonetarypolicy,intheshortterm,

exchangeratesovershootthelong-runPPPimpliedvalues.

Thedepreciationofcurrencyisgreaterthanthe

depreciationimpliedbyPPP.Inthelongterm,exchange

ratesgraduallyincreasetowardtheirPPPimpliedvalues.

39

CurrencyExchangeRate141：Monetary/FiscalPolicyandFX

ThePortfolioBalanceApproach

Portfoliobalancemodelfocusesonthelong-term

implicationsoffiscalpolicyoncurrencyvalues.

Continuedincreasesinfiscaldeficitsareunsustainable

andinvestorsmayrefusetofundthedeficits.The

governmentwillhavetomonetizeitsdebt(i.e.zprint

money)—leadingtocurrencydepreciation.

Inthelongterm,thegovernmenthastoreversecourse

(tighterbudgetarypolicy)leadingtodepreciationofthe

domesticcurrency.

40

mary

Importance:☆☆☆

Content:

•Mundell-Flemingmodel

•Themonetaryapproach

•Theassetmarket(portfoliobalance)approach

Examtips:

■外汇的重要考点。

■务必理解货币政策和财政政策对汇率影响的三个分析理论。

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EconomicGrowth111

Theimportanceofeconomicgrowthto

investors

42

Theimportanceofeconomicgrowthtoinvestors

Productionfunction

Theoriesofgrowth

43

micGrowthlll：theImportanceofEconomicGrowthtoInvestors

TherelationBetweenEconomicGrowthandStockPrices

P

PTheaggregatevalueofstockmarket

ETheaggregateearnings

%AP%AGDP%AE0DP%AP

Overthelong-term,growthinearningsrelativetoGDPiszero,

andgrowthintheP/Eratiowillalsobezero.

Henceoverasufficientlylongtimehorizon,thepotentialGDP

growthrateequalsthegrowthrateofaggregateequity

valuation.

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EconomicGrowthl11：theImportanceofEconomicGrowthtoInvestors

TherelationBetweenEconomicGrowthandFixedIncome

HigherpotentialGDPgrowthimplieshigherrealinterestrates

andhigherrealassetreturnsingeneral.

HigherpotentialGDPgrowthimprovesthegeneralcredit

quality.

Theoutputgapcanbeusedasaforecastofinflationary

pressuresandchangesofmonetarypolicy.

Theoutputgapcanbeusedtoforecastbudgetarybalanceand

interestrates.

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■

Importance:☆

Content:

•Theimportanceofeconomicgrowthtostock

Examtips:

•不是重要考点，了解经济增长对股票和债券投资者的重要

性。

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EconomicGrowth[21

ProductionFunction

47

micGrowthl21：ProductionFunction

Theimportanceofeconomicgrowthtoinvestors

Productionfunction

Theoriesofgrowth

48

EconomicGrowthl21：ProductionFunction

TheCobb-DouglasProductionFunction

YAMU。

ATotalfactorproductivity

a：Shareofoutputallocatedtocapital(K)andlabor(L)

Twoimportantproperties:

Constantreturnstoscale:increasingallinputsbyafixed

percentageleadstothesamepercentageincreasein

output.

Diminishingmarginalproductivity:theextraoutput

producedfromaone-unitincreaseinaninputdecrease,

keepingtheotherinputsunchanged.49

micGrowthl21：ProductionF■unction

ProductivityCurve

OutputperWorker

micGrowthl21：ProductionF■unction

ProductivityCurve

Growthincapitalperworker(capitaldeepening)causes

movementalongaproductivitycurve.

Thecurvatureoftherelationshipderivesfromthe

diminishingmarginalproductivityofcapital.

EconomieswillincreaseinvestmentincapitalaslongasMPK

>r.AtthelevelofMPK=r,capitaldeepeningstopsandlabor

productivitybecomesstagnant.

Technologicalgrowthcausestheproductivitycurvetoshift

upwards.

51

micGrowthl21：ProductionFunction

Solow'sGrowthAccountingEquation

AY/YAAaAKK(l-a)ALL

GrowthrateinpotentialGDP=long-termgrowthrateof

technology+c/(long-termgrowthrateofcapital)+(l-a)(long-

termgrowthrateoflabor)

aistheelasticityofoutputwithrespecttocapital

1-aistheelasticityofoutputwithrespecttolabor

ChangeinTFPmustbeestimatedasaresidual:ex-post

(realized)changeinoutputminusoutputimpliedbyex-post

changesinlaborandcapital.

52

EconomicGrowthl21：ProductionFunction

LaborProductivityGrowthAccountingEquation

YyL

AY/YAy》AL1

GrowthrateinpotentialGDP=long-termgrowthrateinlabor

productivity+long-termgrowthrateoflaborforce.

Itavoidstheneedtoestimatethecapitalinputandthe

difficultyassociatedwithcomputingtotalfactorproductivity.

ItincorporatesbothcapitaldeepeningandTFPprogressinthe

laborproductivityterm.

53

mary

Importance:☆☆☆

Content:

•Cobb-Douglasproductionfunction

•Productivitycurve

•Solow'sgrowthaccountingequation

•Laborproductivitygrowthaccountingequation

Examtips:

•掌握柯布道格拉斯生产函数和生产率曲线的特征

•记住索罗增长等式和劳动生产率增长等式，可能会考计算。

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EconomicGrowth131

TheoriesofGrowth

55

micGrowthl31：TheoriesofGrowth

Theimportanceofeconomicgrowthtoinvestors

Productionfunction

Theoriesofgrowth

56

EconomicGrowthl31：TheoriesofGrowth

Classicalgrowththeory(byThomasMalthus)

Thegrowthinpercapitaincomeisnotpermanent.

Technologicaladvancesfinvestmentinnewcapital个好

laborproductivity个好demandforlabor个好realwages

andemployment个玲populationexplosion->percapita

incomeJ

Nomatterhowmuchtechnologyadvances,realwages

willeventuallybedrivenbacktothesubsistencelevel,

andnopermanentproductivitygrowthorimprovementin

thestandardoflivingwilloccur.

57

EconomicGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

Theeconomyisatequilibriumwhenoutput-to-capitalratiois

constant,andhencecapitalperworkerandoutputperworker

growatthesamerate(theequilibriumgrowthrate,g*).

y攵°=>Ay/yAAAaAZ/

Ay/y曲jknMjkAApa△女幼

AA/Ae

g*Ay/y\k/

1a1a

。(西塔):thegrowthrateofTFP

58

EconomicGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

Sustainablegrowthrateofoutput(G*)isequaltothe

sustainablegrowthrateofoutputpercapita,plusthegrowth

oflabor.

YyL=>AY"JAL丫

AY/Y—ALLn

1a1a

n:thegrowthrateoflabor

59

EconomicGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

Inclosedeconomy,investmentmustbefundedbydomestic

saving:l=sY,sisthefractionofincome(Y)thatissaved.

Physicalcapitalstockdepreciatesataconstantrate6(德尔塔),

thechangeinthephysicalcapitalstockis:

△KsY-5K

kK及nzUkAKK-ALpAK

\k/ksYK-Bn

60

micGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

Theequilibriumoutput-capitalratiodenotedbytheconstants

(普赛).\k/ksNK-8n

Transformthesteadystateequilibriumequationintoa

savings/investmentpercapitaequation:

61

EconomicGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

SteadystateintheNeoclassicalmodel:

micGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

Inthesteadystate:

Theoutput-to-capitalratioisconstant

Capitalperworker(k)andoutputperworker(y)growatthe

samerate0/(l-a).

Themarginalproductofcapitalisequaltotherealinterest

rate(rentalpriceofcapital).

ThemarginalproductofcapitalisalsoconstantaY/K.

Capitaldeepeninghasnoeffectonthesteadystategrowth

rateoftheeconomyoronthemarginalproductofcapital.

63

micGrowthl31：TheoriesofGrowth

Neoclassicalgrowththeory(byRobertSolow)

Inthesteadystate(Cont.):

Thegrowthrateofoutputequalstherateoflaborgrowth

plusthesteadystaterateofgrowthinoutputperworker:

0/(l-a)+n.

Highersaving(investment)rateleadstoahigheroutputper

workerandhighercapitalperworker

Highersaving(investment)ratecannotpermanentlyraise

thegrowthrateofoutputperworkerandthegrowthrateof

output.

64

micGrowthl31：TheoriesofGrowth

Endogenousgrowththeory

Endogenousgrowththeorycontendsthattechnological

growthemergesasaresultofinvestmentinbothphysical

andhumancapital.Technologicalprogressenhances

productivityofbothlaborandcapital.

Unliketheneoclassicalmodel,therearenodiminishing

marginalreturntocapitalfortheeconomyasawhole

becauseR&Dinvestmentshavepotentiallylargepositive

externalitiesorspillovereffects.

65

EconomicGrowthl31：TheoriesofGrowth

Endogenousgrowththeory

Unliketheneoclassicalmodel,thereisnosteadystate

growthrate,highersaving(investment)rate(s)impliesa

permanentlyhighergrowthrate.

66

EconomicGrowthl31：TheoriesofGrowth

ConvergenceHypotheses

Absoluteconvergencehypothesis:developingcountries,

regardlessoftheirparticularcharacteristics,willeventually

catchupwiththedevelopedcountriesandmatchthemin

percapitaoutput.

Theneoclassicalmodelassumesthatallcountrieshave

accesstothesametechnology,thisimpliesconvergence

ofpercapitagrowthratesamongallcountries.

Theneoclassicalmodeldoesnotimplyabsolute

convergence.

67

EconomicGrowthl31：TheoriesofGrowth

ConvergenceHypotheses

Conditionalconvergencehypothesis:convergenceis

conditionalonthecountrieshavingthesamesavingrate,

populationgrowthrate,andproductionfunction.

Iftheseconditionshold,theneoclassicalmodelimplies

convergencetothesamelevelofpercapitaoutputand

thesamesteadystategrowthrate.

68

micGrowthl31：TheoriesofGrowth

ConvergenceHypotheses

Clubconvergencehypothesis:onlypoorcountriesthatare

membersoftheclubareconvergingtotherichcountries.

Poorcountriescan'join'theclub(i.e.zcountrieswith

similarinstitutionalfeaturessuchassavingsrates,financial

markets,propertyrights,healthandeducationalservices,

etc.)bymakingappropriateinstitutionalchanges.

Thosecountriesthatarenotpartoftheclubmaynever

achievethehigherstandardofliving(non-convergence

trap).

69

EconomicGrowthl31：TheoriesofGrowth

ConvergenceHypotheses

Convergencebetweendevelopedanddeveloping

countriescanoc