国际平价关系与汇率预测.ppt

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1、INTERNATIONALFINANCIALMANAGEMENTINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEditionChapterObjective:Thischapterexamines（剖析）severalkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.6ChapterSixInternationalParityRelationships&ForecastingForeignExchangeRa

2、tes套利是为了获得一定的收益，同时买进和卖出相同或具有等价值的资产或商品的行为。当市场均衡时，市场不存在套利机会。像利率平价和购买力平价是产生套利均衡的条件。ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerPari

3、tyTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasi

4、ngPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecastersInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityInterestRateParityDefinedCoveredInterestArbitrageInteres

5、tRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParityInterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastute（[əˈstjut，精明的]）tradertomakeunlimitedamountsofmoneyexploiting（[ɪksp'lɔɪtɪŋ]，利用）thearbitrageopportunity.Sincewedon’t

6、typically（通常）observepersistentarbitrageopportunities,wecansafelyconsiderthatIRPholds.InterestRateParityCarefullyDefined假设你用1美元投资1年，有两种方式可供选择：i以美国利率在美国国内进行投资；ii以国外利率在国外进行投资。如果你将1美元以美国利率（i$）投资于美国国内，到期值为1*(1+i$）美元。汇率S和F分别代表即期汇率和远期汇率，指一单位外币能兑换的美元数。若投资于英国并进行以下交易：i按即期汇率S将1美元兑换成英镑，即£(1/S);ii将英镑以英国利

7、率i£进行投资，到期值为£(1/S)(1+i£)；iii将英国投资的到期值以远期汇率售出，获得预定的美元，即：$[(1/S)(1+i£)F]。要实现套利均衡，两种投资所产生的未来美元收益必须相等，即：1*(1+i$)=(1/S)(1+i£)F，整理得到利率平价的正式表达式：IRPandCoveredInterestArbitrage（抵补套利）IfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanex