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ID:58942765
大小:1.70 MB
页数:59页
时间:2020-09-28
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1、CH15.PriceLevels&theExchangeRateintheLongRun(此部分在英文书P387--)IntroductionThemodeloflong-runexchangeratebehaviorprovidestheframeworkthatactorsinassetmarketsusetoforecastfutureexchangerates.Predictionsaboutlong-runmovementsinexchangeratesareimportantevenintheshort
2、run.Inthelongrun,nationalpricelevelsplayakeyroleindeterminingbothinterestratesandtherelativepricesatwhichcountries’productsaretraded.Thetheoryofpurchasingpowerparity(PPP)explainsmovementsintheexchangeratebetweentwocountries’currenciesbychangesinthecountries’pr
3、icelevels.TheLawofOnePriceLawofonepriceIdenticalgoodssoldindifferentcountriesmustsellforthesamepricewhentheirpricesareexpressedintermsofthesamecurrency.Thislawappliesonlyincompetitivemarketsfreeoftransportcostsandofficialbarrierstotrade.Example:Ifthedollar/pou
4、ndexchangerateis$1.50perpound,asweaterthatsellsfor$45inNewYorkmustsellfor£30inLondon.Itimpliesthatthedollarpriceofgoodiisthesamewhereveritissold:PiUS=(E$/€)x(PiE)where:PiUSisthedollarpriceofgoodiwhensoldintheU.S.PiEisthecorrespondingeuropriceinEuropeE$/€isthed
5、ollar/euroexchangerateTheLawofOnePriceSupposeTheEconomistmagazinesellsfor£2.50intheUKand$3.95intheUS.Arbitrage,therefore,shouldguaranteethattheexchangeratebetweenthedollarandthepoundbes=3.95/2.50=1.580($/£).Inwords,thedollarpriceofTheEconomistintheUKshouldequa
6、lthedollarpriceoftheEconomistintheUS(ignoringtransportationcosts).TheLawofOnePricePurchasingPowerParityTheoryofPurchasingPowerParity(PPP)Theexchangeratebetweentwocounties’currenciesequalstheratioofthecounties’pricelevels.Itcomparesaveragepricesacrosscountries.
7、Itpredictsadollar/euroexchangerateof:E$/€=PUS/PE(3-8)where:PUSisthedollarpriceofareferencecommoditybasketsoldintheUnitedStatesPEistheeuropriceofthesamebasketinEuropePurchasingPowerParityByrearrangingEquation(3-1),onecanobtain:PUS=(E$/€)x(PE)PPPassertsthatallco
8、untries’pricelevelsareequalwhenmeasuredintermsofthesamecurrency.TheRelationshipBetweenPPPandtheLawofOnePriceThelawofonepriceappliestoindividualcommodities,whilePPPappliestothegener
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