国际金融英文版课件刘园 ISBN9787811341027 PPTChapter 5 Models of exchange rate determination.ppt

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1、Chapter5Modelsoftheforeignexchangedetermination5.1PPP5.2Coveredinterestparity5.3Marketefficiency,uncoveredinterestparityandrealinterestparity5.4Foreignexchangeriskmanagement5.1PurchasingpowerparityThetheorylinkinginflationandexchangeratemovementsisknownaspurchasingpowerparit

2、y(PPP).ThelawofonepriceThetheoryofPPPisbasedonthelawofoneprice(LOP).Thelawofonepricestatesthatidenticalcommoditiesorgoodsmusthavethesamepriceinallmarkets.AbsoluteandrelativePPPThisrelationrepresentstheabsoluteformofPPPandisveryrestrictive.TherelativeformofPPP,morecommonlyuse

3、dtoday,islessrestrictivethantheabsoluteform.Itstatesthatincomparisontoaperiodwhenexchangerateswereinequilibrium,changesintheratioofdomestictoforeignpricesindicatetheappropriateadjustmentintheexchangerate.TheempiricalevidenceWhetherornotPPPholdsisanongoingcontroversy.Thereaso

4、nswhyitmightnotholdarenumerous.ThestrictestformofPPPrequiresthat:--financialmarketsareperfectwithnocontrols,taxes,transactioncosts,etc;--goodsmarketsareperfectwithinternationalshipmentofgoodsabletotakeplacefreely,instantaneouslyandwithoutcost;--thereisasingleconsumptiongoodc

5、ommontoeveryone;--thesamecommoditiesappearinthesameproportionsineachcountry’sconsumptionbasket.Reasonsfordivergencefromshort-termPPPTheassetmarketapproachBuildingontheefficienthypothesis,theassetmarketapproachtoexchangeratedeterminationarguesthatcurrenciesareassetsandthatthe

6、presentvalueofanassetdependsonwhatitisexpectedtobeworthinthefuture.TheassetmarketapproachisnotinconsistentwithPPP.Onthecontrary,itrecognizestheimportanceofinflationdifferentialsontheevolutionoftheexchangerate.Furthermore,byconsideringtherandomelementassociatedwithexpectation

7、saboutthefutureitoffersatheoreticalexplanationofhowspotratescandivergefromtheirPPPequilibriumintheshortrun.OvershootingAnotherpopularexplanationforsignificantshort-termdeviationsfromPPPistheDornbuschtheoryofovershooting.ThistheorymarriestheconceptsofPPP,“stickyprices”andthea

8、ssetmarketapproach.SupposethatPPPholdsinthelongrunbutthepricesofnon-tradedg