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1、INTERNATIONALFISHEREFFECTInternationalFinancialManagement2021/7/281EconomicsSchool,DUTDivisionofTheGroupMembersContentsNamesDefinitionLiuYongjun,JinWenbo,DengyuwenTheoryapplicationYangBowen,CaoYi,LiChenCaseWangYin,JiBao,KaiQiSignificanceYuLijie,TangNing2021/7/282Econ
2、omicsSchool,DUTDefinitionFromFisherEffecttoInternationalFisherEffectPresentCurrencyFutureCurrencyNominalinterestrateButwhat?Actualinterestrate2021/7/283EconomicsSchool,DUTDefinitionFisherEffect:Nominalinterestrate=Actualinterestrate+InflationrateCombinePPPwithFisherE
3、ffect:ThenwecangettheInternationalFisherEffect:Or1+r=（1+ρ）（1+E(i)）St/So＝(1＋Pd)/(1＋Pf)＝(1＋id)/(1＋if)St/So＝(1＋id)/(1＋if)Δ＝（St－So）/So＝(id－if)/(1＋if)2021/7/284EconomicsSchool,DUTApplication1.InterestrategohighexpectinginflationrategohighCurrencydevaluation2021/7/285Econo
4、micsSchool,DUTApplication2.In2007Japan,primeinterestrate:0.5%,loanrate:around1.5%Australia,depositrate:6.25%HugeCarrytradeCurrencyrevaluationMoreHotMoneyflowinCPIgohighBankadddepositrateCauseaviciouscircle2021/7/286EconomicsSchool,DUTDifferencebetweenIFE&RPInratepari
5、ty,evenintherealitytrade,thearbitratorcanhavetheobservedvalueofallthefourvariables（Ft，St，id，if）,howeverinIFE,theinvestorcanonlygetthreeofthem（E（St+1））,andtheforthvariableistheexpectingvaluecanonlybeknownaftertheinvestment.Intherealitytrade,IFEinvolveforeignerinvestme
6、ntincludeexchangerisk.However,theforeignerinvestmentRPinvolvedhasnoexchangerisk.2021/7/287EconomicsSchool,DUTShortages1.Inshort-termtheactualdataisverydifferentfromthetheory.2.Manycurrencyhasforeignexchangeriskpremium,kindsofuncoveredarbitrageactivitiesdistortthemone
7、ymarket.Soinmanysituationthechangeoftheexchangeratewillhigherthanthedifferenceoftwocountries’interestrate3.Assumetheactualinterestrateamongtheallcountriesisequalisnotsuitthereality.Actually,themoreIFEmakesense,themoreunifyingcommoditymarketandfinancialmarketis.2021/7
8、/288EconomicsSchool,DUTThankyouforyourattention2021/7/289EconomicsSchool,DUT
