国际金融 Chapter 5

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1、ChapterfiveWhatdeterminesexchangerates?Threetypesofvariabilityafterearly1970s.•Long-termtrends•Medium-termtrends(overperiodsofseveralyears)•Short-termtrends(daytoday,mintomin)一、Aroadmap1.Exchangeratesintheshortrun:MustfocusontheperceptionsandactionsofinternationalfinancialinvestorsüCauses:intern

2、ationaltrade;positioningorrepositioningofthecurrencycompositionoftheportfoliosofinternationalfinancialinvestorsüAssetmarketapproachtoexchangerates汇率的资产市场理论---emphasizetheroleofpositioningorrepositioningbyinternationalfinancialinvestorsüDemandandsupplyshiftüConceptofuncoveredinterestparity:EUD=(e

3、ex–e)/e+(if–i)üthevalueofaforeigncurrencywillgoupwhenthereis：a)Ariseintheforeigninterestrate(if)relativetodomesticinterestrate;b)Ariseintheexpectedfuturespotexchangerate(eex);2.long-termtrends:differenceinnationalratesofinflationofthepricesofgoodsandservices.üPurchasingpowerparity(PPP)购买力平价3.the

4、roleofmoneyasadeterminantofnationalproductpricelevelsandinflationrates.üMonetaryapproachtoexchangerates:emphasizestheimportanceofmoneysuppliesanddemandsaskeyüMajorconclusion---thespotexchangerateeisraisedinthelongrunby:riseinourmoneysupply;riseinforeignrealdomesticproduct1.onewayinwhichtheshortt

5、ermflowsintothemediumtermandthenintothelongtermüovershooting汇率超调---tochangemorethanseemsnecessaryinreactiontochangesingovernmentpoliciesortootherimportanteconomicorpoliticalnews(intheshortrun)ütowarditslong-runfundamentalvalue二、Exchangeratesintheshortrun1.assetmarketapproachtoexchangerates汇率的资产市

6、场理论2.Returnonanuncoveredinvestmentinabonddenominatedinaforeigncurrencyby:1)thebasicreturnonthebonditself;2)theexpectedgainorlossoncurrencyexchanges3.Returnonhome-currencybonds&theexpectedoverallreturnonforeign-currencybondswilltendtobeequal.(differencesintworeturnswillcauseinternationalfinancial

7、investorstorepositionportfoliosandcreatespressuresthatmovetworeturnstowardequality)4.DeterminantsoftheexchangerateintheshortrunuTheroleofinterestratesa)i升>>domesticbondsreturn升>>demandfordomesticcurrency升>>currentspotexchang