ch15价格水平与长期汇率水平(改

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1、CH15.PriceLevels&theExchangeRateintheLongRun(此部分在英文书P387--)IntroductionThemodeloflong-runexchangeratebehaviorprovidestheframeworkthatactorsinassetmarketsusetoforecastfutureexchangerates.Predictionsaboutlong-runmovementsinexchangeratesareimportantevenintheshortrun

2、.Inthelongrun,nationalpricelevelsplayakeyroleindeterminingbothinterestratesandtherelativepricesatwhichcountries’productsaretraded.Thetheoryofpurchasingpowerparity(PPP)explainsmovementsintheexchangeratebetweentwocountries’currenciesbychangesinthecountries’pricelev

3、els.TheLawofOnePriceLawofonepriceIdenticalgoodssoldindifferentcountriesmustsellforthesamepricewhentheirpricesareexpressedintermsofthesamecurrency.Thislawappliesonlyincompetitivemarketsfreeoftransportcostsandofficialbarrierstotrade.Example:Ifthedollar/poundexchang

4、erateis$1.50perpound,asweaterthatsellsfor$45inNewYorkmustsellfor£30inLondon.Itimpliesthatthedollarpriceofgoodiisthesamewhereveritissold:PiUS=(E$/€)x(PiE)where:PiUSisthedollarpriceofgoodiwhensoldintheU.S.PiEisthecorrespondingeuropriceinEuropeE$/€isthedollar/euroex

5、changerateTheLawofOnePriceSupposeTheEconomistmagazinesellsfor£2.50intheUKand$3.95intheUS.Arbitrage,therefore,shouldguaranteethattheexchangeratebetweenthedollarandthepoundbes=3.95/2.50=1.580($/£).Inwords,thedollarpriceofTheEconomistintheUKshouldequalthedollarprice

6、oftheEconomistintheUS(ignoringtransportationcosts).TheLawofOnePricePurchasingPowerParityTheoryofPurchasingPowerParity(PPP)Theexchangeratebetweentwocounties’currenciesequalstheratioofthecounties’pricelevels.Itcomparesaveragepricesacrosscountries.Itpredictsadollar/

7、euroexchangerateof:E$/€=PUS/PE(3-8)where:PUSisthedollarpriceofareferencecommoditybasketsoldintheUnitedStatesPEistheeuropriceofthesamebasketinEuropePurchasingPowerParityByrearrangingEquation(3-1),onecanobtain:PUS=(E$/€)x(PE)PPPassertsthatallcountries’pricelevelsar

8、eequalwhenmeasuredintermsofthesamecurrency.TheRelationshipBetweenPPPandtheLawofOnePriceThelawofonepriceappliestoindividualcommodities,whilePPPappliestothegener