汇率决定理论：两个平价

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1、第四讲汇率决定理论:两个基本平价1一价定律ThelawofonepriceIftwogoodsareidentical,theymustsellforthesameprice.如果两种商品相同，应当按同一价格出售2考虑下列商品在中国和美国的销售价格：周杰伦在伦敦的演唱会门票西红柿苹果公司的Ipad2房地产和理发一价定律Thelawofoneprice3非贸易品Non-tradedgoods(ornon-tradeables)areitems(usuallyservices)forwhichinterregionalpricedifferentialsca

2、nnotbeeliminatedbyarbitrage.一价定律Thelawofoneprice4A(consumer)priceindexisaweightedaverageofindividualproductprices,withweightsdeterminedbyexpenditureshares.物价指数priceindices5物价指数priceindicesYouopenthenewspaperonedaytoreadthesesensationalheadlines:Priceofsalttodouble!Petrolalsoupby3

3、%!(100%+3%)/2=51.5%？(100%+3%+0%)/3=34.33%？6Supposeweightsof0.1%forsaltand5.0%forpetrolarefound.Thenthecalculationissimply:(0.001×100%)+(0.050×3%)=0.1%+0.15%=0.25%物价指数priceindices7绝对购买力平价AbsolutePurchasingpowerparityPi=SPi*，i=1...Nassumetheweightsusedincompilingtherespectivepricei

4、ndicesareidenticalP=SP*8Proposition：Thegenerallevelofprices,whenconvertedtoacommoncurrency,willbethesameineverycountry.（microeconomicview）Insteadofthepricesofindividualgoodsandservicesbeingequatedinternationally,itisthegeneralpricelevelsthemselvesthatarebroughtdirectlyintotherela

5、tionshippredictedbyPPP（macroeconomicapproach)(alsocalledmonetarymodeloftheexchangerate).绝对购买力平价AbsolutePurchasingpowerparity9实际汇率realexchangerateTherealexchangerateisthepriceofforeignrelativetodomesticgoodsandservices.Q=SP*/P10Onecountry’sinflationratecanonlybehigher(lower)thanan

6、other’stotheextentthatitsexchangeratedepreciates(appreciates).p=s+p*dp=ds+dp*dp−dp*=ds相对购买力平价RelativePurchasingpowerparity11考虑交易成本的相对购买力平价P=K(SP*)p=k+s+p*1213http://stats.bis.org/bis-stats-tool/org.bis.stats.ui.StatsApplication/StatsApplication.html14Purchasingpowerparityextensio

7、nsTradedversusnon-tradedgoods:Balassa–SamuelsonTradecostsandadjustmenttoPPPqt−Et−1=f[(Et−1−qt−1),zt−1]φ(Et−1−qt−1)0