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13汇率与外汇市场:资产方法


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International Economics

国际经济学
主讲: 主讲:余道先
ydxdhy@hotmail.com

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Chapter 13

Exchange Rates and the Foreign Exchange Market: An Asset Approach 汇率与外汇市场: 汇率与外汇市场:资产方法
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Preview
Introduction Exchange Rates and International Transactions The Foreign Exchange Market The Demand for Foreign Currency Assets Equilibrium in the Foreign Exchange Market Interest Rates, Expectations, and Equilibrium Summary
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Introduction
Exchange 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) 产价格同样的定价方式).

The general goal of this chapter is to show:
How exchange rates are determined The role of exchange rates in international trade
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Exchange Rates and International Transactions
An exchange rate can be quoted in two ways:
Direct
The price of the foreign currency in terms of dollars

Indirect
The price of dollars in terms of the foreign currency

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Exchange Rates and International Transactions
Domestic and Foreign Prices
If we know the exchange rate between two countries’ currencies, we can compute the price of one country’s exports in terms of the other country’s money(一国出口商品以另一国货币计算 ( 的价格) 的价格).
Example: The dollar price of a ?50 sweater with a dollar exchange rate of $1.50 per pound is (1.50 $/?) x (?50) = $75.

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Exchange Rates and International Transactions
Two types of changes in exchange rates:
Depreciation of home country’s currency
A rise in the home currency prices of a foreign currency(以本币表示的外币价格上涨) (以本币表示的外币价格上涨) It makes home goods cheaper for foreigners and foreign goods more expensive for domestic residents.

Appreciation of home country’s currency
A fall in the home price of a foreign currency(以本币 ( 表示的外币价格下跌) 表示的外币价格下跌) It makes home goods more expensive for foreigners and foreign goods cheaper for domestic residents.
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Exchange Rates and International Transactions
Exchange Rates and Relative Prices
Import and export demands are influenced by relative prices. Appreciation of a country’s currency:
Raises the relative price of its exports Lowers the relative price of its imports

Depreciation of a country’s currency:
Lowers the relative price of its exports Raises the relative price of its imports
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Exchange Rates and International Transactions
Table 13-2: $/? Exchange Rates and the Relative Price of American Designer Jeans and British Sweaters

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The Foreign Exchange Market
Exchange rates are determined in the foreign exchange market.
The market in which international currency trades take place

The Actors(参与者)
The major participants in the foreign exchange market are:
Commercial banks International corporations Nonbank financial institutions Central banks
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Exchange Rates and International Transactions
Interbank trading(银行间交易) (银行间交易)
Foreign currency trading among banks It accounts for most of the activity in the foreign exchange market.

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Exchange Rates and International Transactions
Characteristics of the Market
The 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 (London, 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). (套汇就是低价买进一种货币再高价将其卖出)
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Exchange Rates and International Transactions
Vehicle currency(载体货币) (载体货币)
A currency that 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) 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.

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Exchange Rates and International Transactions
Spot Rates and Forward Rates
Spot exchange rates
Apply to exchange currencies “on the spot”

Forward exchange rates
Apply to exchange currencies on some future date at a prenegotiated(预先商定的) exchange rate (预先商定的)

Forward and spot exchange rates, while not necessarily equal, do move closely together.
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Exchange Rates and International Transactions
Figure 13-1: Dollar/Pound Spot and Forward Exchange Rates, 1981-2001

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Exchange Rates and International Transactions
Foreign Exchange Swaps(外汇掉期交易) (外汇掉期交易)
Spot sales of a currency combined with a forward repurchase of the currency(即期卖出一种货币同 ( 时远期再买回该种货币) 时远期再买回该种货币). They make up a significant proportion of all foreign exchange trading.

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Exchange Rates and International Transactions
Futures and Options(外汇期货与期权) (外汇期货与期权)
Futures contract
The buyer buys a promise that a specified amount of foreign currency will be delivered on a specified date in the future(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) 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) 到期日以前任何时间内买卖特定数量的外国货币).
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The Demand for Foreign Currency Assets(外汇资产需求) 外汇资产需求)
The demand for a foreign 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). 因素是一样的)

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The Demand for Foreign Currency Assets(外汇资产需求) 外汇资产需求)
Assets and Asset Returns(资产和资产收益) (资产和资产收益)
Defining Asset Returns
The percentage increase in value an asset offers over some time period(经过一定时期价值增值的百分比). 经过一定时期价值增值的百分比)

The Real Rate of Return(实际收益率) (实际收益率)
The rate of return computed by measuring asset values in terms of some broad representative basket of products that 用一些具有广泛代表性的、 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) 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).

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The Demand for Foreign Currency Assets
Risk and Liquidity(风险和流动性) (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 (除了收益之外, 者主要关心资产在两方面的特征) 者主要关心资产在两方面的特征):
Risk The variability it contributes to savers’ wealth(给储蓄
者财富造成的不确定性) 者财富造成的不确定性)

Liquidity
The ease with which it can be sold or exchanged for goods 便于流动和交换其他商品) (便于流动和交换其他商品)
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The Demand for Foreign Currency Assets
Interest Rates(利率) (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, (为了比较不同存款收益,市场参与者需要两方面 的信息) 的信息):
How the money values of the deposits will change(存 ( 款的货币价值的变动) 款的货币价值的变动) How exchange rates will change(汇率的变动) (汇率的变动)

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The Demand for Foreign Currency Assets
Interest Rates(利率) (利率)
A currency’s 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 一种货币的利率,
一单位的该种货币一年可以获得的该种货币数量) 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.

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The Demand for Foreign Currency Assets
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) (

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The Demand for Foreign Currency Assets
Exchange Rates and Asset Returns(汇率和 ( 资产收益) 资产收益)
The returns on deposits traded in the foreign exchange market depend on interest rates and expected exchange rate changes(在外汇市场上 ( 交易的各种货币存款的收益, 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) 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) 美元存款,就必须计算出以欧元存款的美元收益).
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The Demand for Foreign Currency Assets
A Simple Rule(一个简单法则) (一个简单法则)
The dollar rate of return on euro deposits is 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 贬值率) 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) 元价格的年上涨率).
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The Demand for Foreign Currency Assets
The 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) 率之差):
R$ - [R + (Ee$/ - E$/ )/E$/ ]= R$ - R - (Ee$/ -E$/ )/E$/ where: R$ = interest rate on one-year dollar deposits R = today’s interest rate on one-year euro deposits E$/ = today’s dollar/euro exchange rate (number of dollars per euro) Ee$/ = 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 ( 期一年后的美元/欧 元汇率)
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(13-1)

The Demand for Foreign Currency Assets
When the difference in Equation (13-1) is positive, dollar deposits yield the higher expected rate of return. When it is negative, euro deposits yield the higher expected rate of return(当公式 (当公式13-1中的这 中的这 个差为正时,美元存款具有更高的收益率; 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) 负时,欧元存款具有更高的收益率).

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The Demand for Foreign Currency Assets
Table 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) (

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The Demand for Foreign Currency Assets
Return, Risk, and Liquidity in the Foreign Exchange Market(外汇市场的收益、风险和流动性) 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 participants 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.
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Equilibrium in the Foreign Exchange Market
Interest Parity: The Basic Equilibrium Condition(利率平价:基本均衡条件) (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, 供相同的预期收益率时,外汇市场处于均衡状 态).

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Equilibrium in the Foreign Exchange Market
Interest parity condition(利率平价条件) 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) 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,外汇存款的潜在持有者, 一条件意味着,外汇存款的潜在持有者,把所有的外汇 存款都视为有同等意愿持有的资产) 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$/ 2)

(1332

Equilibrium in the Foreign Exchange Market
How Changes in the Current Exchange Rate Affect Expected Returns(当前汇率变动如何 ( 影响预期收益?) 影响预期收益?)
Depreciation of a country’s currency today lowers the expected domestic currency return on foreign currency deposits(本国货币的贬值会降低外汇存 ( 款的预期本币收益率) 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) 款的预期本币收益率上升).
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Equilibrium in the Foreign Exchange Market
Table 13-4: Today’s Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro Deposits When Ee$/ = $1.05 per Euro 每欧元1.05 美元时,即期美元 欧元汇率和欧元存款的预期美元收益) 美元时,即期美元/欧元汇率和欧元存款的预期美元收益 (当Ee$/ = 每欧元

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Equilibrium in the Foreign Exchange Market
Figure 13-3: The Relation Between the Current Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro Deposits
Today’s dollar/euro exchange rate, E$/ 1.07 1.05 1.03 1.02 1.00 0.031 0.050 0.069 0.079 0.100 Expected dollar return on euro deposits, R + (Ee$/ E$/)/(E$/)

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Equilibrium in the Foreign Exchange Market
The 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). (汇率总是在不断调整以维持利率平价) Assume that the dollar interest rate R$, the euro interest rate R, and the expected future dollar/euro exchange rate Ee$/, are all given(我 ( 和预期美元/欧元 们假定美元利率 R$, 欧元利率 R, 和预期美元 欧元 都是给定的) 汇率 Ee$/, 都是给定的).
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Equilibrium in the Foreign Exchange Market
Figure 13-4: Determination of the Equilibrium Dollar/Euro Exchange Rate 美元/欧元均衡汇率的决定 (美元 欧元均衡汇率的决定)
Exchange rate, E$/ Return on dollar deposits 2 1 3 Expected return on euro deposits R$ Rates of return (in dollar terms)
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E2$/ E1$/ E3$/

Interest Rates, Expectations, and Equilibrium(利率、预期与均衡) 利率、预期与均衡)
The Effect of Changing Interest Rates on the Current Exchange Rate(利率变动对当前汇率的影响) 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 against foreign currencies(一种货币存款利率上升,使该种 (一种货币存款利率上升, 货币相对外国货币升值) 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) 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). (欧元利率上升使美元相对欧元贬值)
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Interest Rates, Expectations, and Equilibrium
Figure 13-5: Effect of a Rise in the Dollar Interest Rate (美元利率上升的影响)
Exchange rate, E$/ Dollar return

E1$/ E2$/

1

1' 2 Expected euro return

R1$

R2$

Rates of return (in dollar terms)
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Interest Rates, Expectations, and Equilibrium
Figure 13-6: Effect of a Rise in the Euro Interest Rate (欧元利率上升的影响)
Exchange rate, E$/ Dollar return

Rise in euro interest rate E2$/ E1$/ 2 1 Expected euro return R$ Rates of return (in dollar terms)
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Interest Rates, Expectations, and Equilibrium
The Effect of Changing Expectations on the Current Exchange Rate(预期变动对目前汇 ( 率的影响) 率的影响)
A rise in the expected future exchange rate causes a rise in the current exchange rate(预期 ( 的汇率上升使当前的汇率上升) 的汇率上升使当前的汇率上升). A fall in the expected future exchange rate causes a fall in the current exchange rate(预期的汇率下 ( 降使当前的汇率下降) 降使当前的汇率下降).
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Summary
Exchange rates play a role in spending decisions because they enable us to translate different countries’ prices into comparable terms(汇率在支出决
策中具有一定的作用, 策中具有一定的作用,因为汇率使我们能够把不同国家的价格转化 为可比形式) 为可比形式).

A depreciation (appreciation) of a country’s currency against foreign currencies makes its exports cheaper (more expensive) and its imports more expensive (cheaper)(一国货币相对于外国货币的贬
值(升值),使本国出口的商品更加便宜(昂贵),进口的商品更 升值),使本国出口的商品更加便宜(昂贵),进口的商品更 ),使本国出口的商品更加便宜 ), 加昂贵(便宜) 加昂贵(便宜) ).
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Summary
Exchange rates are determined in the foreign exchange market.

The returns on deposits traded in the foreign exchange market depend on interest rates and expected exchange rate changes(在外 ( 汇市场上交易的各种货币存款的收益, 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) 利率和预期汇率的变动).

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Summary
Equilibrium in the foreign exchange market requires interest parity(外汇市场的均衡需要 ( 满足利率平价条件) 满足利率平价条件).
For given interest rates and a given expectation of the future exchange rate, the interest parity condition tells us the current equilibrium exchange rate.(当利率和预期汇率一定时,由利率平价条件 (当利率和预期汇率一定时, 可以确定当前的均衡汇率) 可以确定当前的均衡汇率)

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Summary
A rise in dollar (euro) interest rates causes the dollar to appreciate (depreciate) against the euro.(美元(欧元)利率的上升使美元相对 美元(欧元)
于欧元升值(贬值) ) 于欧元升值(贬值)

Today’s exchange rate is altered by changes in its expected future level(当前汇率也受预期
汇率水平的影响) 汇率水平的影响).

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