andExchangeRateintheLongRun(国际金融(香港(PPT)

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PricelevelsandExchangeRateintheLongRunWONGKaFu7thFebruary2001第一页，共六十六页。

1BasicmathreviewX=A/BlnX=lnA-lnBY=Y(x)dlnY/dx=dlnY/dYdY/dx=(1/Y)(dY/dx)第二页，共六十六页。

2BasicmathreviewP=P(t)dlnP/dt=dlnP/dPdP/dt=(1/P)(dP/dt)Takethechangeoft(dt)fromstos+1.dlnP/dt=[1/P(s)][P(s+1)-P(s)/1]=[P(s+1)-P(s)]/P(s)=percentagechangeinPattimes.第三页，共六十六页。

3LawofonepriceInacompetitivemarketsfreeof1.transportationcostsand2.officialbarrierstotrade(suchastariffs),identicalgoodssoldindifferentcountriesmustsellforthesamepricewhentheirpricesareexpressedintermsofthesamecurrency.第四页，共六十六页。

4LawofonepriceimpliesexchangerateForanygoodisoldinbothhomeandforeigncountriesPHi=(EH/F)(PFi)Hence,theimpliedexchangerateisEH/F=PHi/PFi第五页，共六十六页。

5AbsolutePurchasingPowerParity(AbsolutePPP)ForagivenreferencecommoditybasketsoldinboththehomeandtheforeigncountriesPH=(EH/F)(PF)Hence,theimpliedexchangerateisEH/F=PH/PFTheimpliedexchangeratefromtheEconomist’sBigMacindex第六页，共六十六页。

6RelativePPPPricesandexchangerateschangesuchthattheratioofeachcurrency’sdomesticandforeignpurchasingpowersarepreserved.Hence,(EH/F,t-EH/F,t-1)/EH/F,t-1=H,t-F,twheret=(Pt-Pt-1)/Pt-1第七页，共六十六页。

7RelativePPPIfabsolutePPPdoesnotholdbecauseoffrictionsandotherfactorsandwehaveEH/F=PH/PFwhereisaconstantthatmeasuresthedifferencefromabsolutePPP.EH/F(t)=PH(t)/PF(t)lnEH/F(t)=ln+lnPH(t)-lnPF(t)Takingderivativewithrespecttot:dlnEH/F(t)/dt=dln/dt+dlnPH(t)/dt-dlnPF(t)/dt第八页，共六十六页。

8RelativePPPHence,(EH/F,t-EH/F,t-1)/EH/F,t-1=H,t-F,twheret=(Pt-Pt-1)/Pt-1percentagechangeinEH/F,t=percentagechangeinPH,t-percentagechangeinPF,t第九页，共六十六页。

9Long-runexchangeratebasedonabsolutePPPEH/F=PH/PFPH=MHs/L(RH,YH)PF=MFs/L(RF,YF)Monetarypolicy=moneysupply第十页，共六十六页。

10EffectofanincreaseinhomemoneysupplyonLREH/FMHsPHEH/FbecausePH=MHs/L(RH,YH)becauseEH/F=PH/PF第十一页，共六十六页。

11EffectofanincreaseinforeignmoneysupplyonLREH/FMFsPFEH/FbecausePF=MFs/L(RF,YF)becauseEH/F=PH/PF第十二页，共六十六页。

12EffectofanincreaseinhomeinterestrateonLREH/FRHPHEH/FbecausePH=MHs/L(RH,YH)becauseEH/F=PH/PFLHbecauseL(RH,YH)第十三页，共六十六页。

13InterestratecanchangeduetoreasonsotherthanmonetarypolicyForexample:technologyadvancementmayimprovetheprofitabilityofinvestmentandhencetheinterestratewillingtopaytoborrowmoneytoinvest.FactorsthatarenotalreadyexplicitbutimplicitintheL(R,Y)function第十四页，共六十六页。

14EffectofanincreaseinforeigninterestrateonLREH/FRFPFEH/FbecausePF=MFs/L(RF,YF)becauseEH/F=PH/PFLFbecauseL(RF,YF)第十五页，共六十六页。

15EffectofanincreaseinhomeoutputonLREH/FYHPHEH/FbecausePH=MHs/L(RH,YH)becauseEH/F=PH/PFLHbecauseL(RH,YH)第十六页，共六十六页。

16EffectofanincreaseinforeignoutputonLREH/FYFPFEH/FbecausePF=MFs/L(RF,YF)becauseEH/F=PH/PFLFbecauseL(RF,YF)第十七页，共六十六页。

17Long-runexchangeratebasedonabsolutePPPEH/F=PH/PFPH=MHs/L(RH,YH)PF=MFs/L(RF,YF)EH/F=(MHs/MFs)[L(RF,YF)/L(RH,YH)]第十八页，共六十六页。

18Howislong-runexchangeratedetermined?Anythingthatraises(lowers)LHlowers(raises)EH/FAnythingthatlowers(raises)LFlowers(raises)EH/FAnincrease(Adecrease)inMHsraises(lowers)EH/FAnincrease(Adecrease)inMFslowers(raises)EH/F第十九页，共六十六页。

19Growthrateofmoneysupply:amathematicalderivationMoneysupplylevel:MHs(t)Growthrate:(MHs(t+1)-MHs(t))/MHs(t)Definey(t)=ln(MHs(t))dy(t)/d(t)=dln(MHs(t))/dt=dy(t)/dMHs(t)dMHs(t)/dt=1/MHs(t)dMHs(t)/dtdt=t+1-t=1第二十页，共六十六页。

20FishereffectUncoveredinterestparity:RH,t=[EH/F,t+1e-EH/F,t]/EH/F,t+RF,tlett+1e=(Pt+1e-Pt)/Ptandt+1=(Pt+1-Pt)/PtRelativePPP:(EH/F,t+1-EH/F,t)/EH/F,t=H,t+1-F,t+1(EH/F,t+1e-EH/F,t)/EH/F,t=H,t+1e-F,t+1eRH,t-RF,t=H,t+1e-F,t+1e第二十一页，共六十六页。

21IfMHSisgrowingatarateofPHgrowsatarateofbecausePH=MHs/L(RH,YH)I.e.,expectH,t+1=or,H,t+1e=Hence,RH,t-RF,t=H,t+1e-F,t+1e=ifF,t+1e=0第二十二页，共六十六页。

22IfMHSisgrowingatarateofSlope=t0Log(MHS)第二十三页，共六十六页。

23IfMHSisgrowingatarateoft0RHRH1第二十四页，共六十六页。

24IfMHSisgrowingatarateoft0Log(PH)Slope=第二十五页，共六十六页。

25IfMHSisgrowingatarateoft0Log(EH/F)Slope=第二十六页，共六十六页。

26IfMHSisgrowingatarateof(+)PHgrowsatarateof(+)becausePH=MHs/L(RH,YH)I.e.,expectH,t+1=(+);or,H,t+1e=(+)Hence,RH,t-RF,t=H,t+1e-F,t+1e=(+)ifF,t+1e=0第二十七页，共六十六页。

27IftherateofMHSgrowthincreasesfromto(+)SupposeRF,tfixedandF,t+1e=0becauseastablemonetarypolicy,forexample.RH,tincreasesbybecauseH,t+1eisexpectedtoincreaseby.Notethat,however,MHSdoesnotchangeattimet0--onlythefuturegrowthrateHence,PHhastojumpfromPH1=MHs/L(RH1,YH)toPH2=MHs/L(RH2,YH)第二十八页，共六十六页。

28EffectofanincreaseinthegrowthrateofMHSSlope=Slope=+t0Log(MHS)第二十九页，共六十六页。

29EffectofanincreaseinthegrowthrateofMHSt0RHRH1RH2=RH1+第三十页，共六十六页。

30EffectofanincreaseinthegrowthrateofMHSt0Log(PH)Slope=Slope=+第三十一页，共六十六页。

31EffectofanincreaseinthegrowthrateofMHSt0Log(EH/F)Slope=Slope=+第三十二页，共六十六页。

32ThelessonlearntismuchmoregeneralThestorywas:Achangeinmoneysupplygrowthleadstochangeinexpectedinflation.Achangeinexpectedinflationleadstoajumpininterestrate.(ThroughFisher)Ajumpininterestrateleadstoajumpinexchangerate.Moregenerally,Anythingthatcauseachangeinexpectedinflationwillleadtoajumpininterestrate.Ajumpininterestrateleadstoajumpinexchangerate.第三十三页，共六十六页。

33ThelessonlearntismuchmoregeneralWhatwillcauseachangeinexpectedinflation?Thereleaseofeconomicindicators(say,unemployment,GDP,interestrate,confidenceindex,etc.)maychangeourexpectationofinflation.Anyreleaseofindicatorsthatcauseachangeinexpectedinflationwillleadtoajumpinexchangerate.第三十四页，共六十六页。

34EmpiricaltestPH=(EH/F)(PF)lnPH=lnEH/F+lnPFRegression:lnPH,t=0+1lnEH/F,t+2lnPF,t+torlnPH,t=0+1lnEH/F,t+2lnPF,t+3Xt+twhereXtservesasacontrolvariable.第三十五页，共六十六页。

35Hypotheses:AbsolutePPPimplies0=0,1=1,2=1RelativePPPimplies0=?,1=1,2=1第三十六页，共六十六页。

36EmpiricalevidenceonAbsolutePPPWayoffthemark:Thepricesofidenticalcommoditybaskets,whenconvertedtoasinglecurrency,differsubstantiallyacrosscountries.第三十七页，共六十六页。

37EmpiricalevidenceonRelativePPPUsuallyperformspoorlyalthoughitsometimesisareasonableapproximationtothedata.Morereliableinthe1960sasaguidetotherelationshipamonginflationandnationalpricelevelsbutlesssosince1970s.第三十八页，共六十六页。

38WhyPPPfails?TransportcostsandrestrictionontradeMonopolisticoroligopolisticpracticesingoodsmarketsMeasuresofinflationdifferacrosscountries.第三十九页，共六十六页。

39Exchangeratepass-through(ERPT)Thepercentagechangeinlocalcurrencyimportpricesresultingfromaonepercentchangeintheexchangeratebetweentheexportingandimportingcountries.FullorcompleteERPTifthefollowingtwoconditionsaremet:constantmarkupsofpriceovercost(e.g.,whenindustriesareperfectlycompetitive,andmarkupsareconstantatzero)andconstantmarginalcost.第四十页，共六十六页。

40Exchangeratepass-through(ERPT)Empirical:ln(pt)=a+bXt+cln(Et)+dZt+etpt:localcurrencyimportpriceXt:ameasureofexporter’scostZt:importdemandshiftersEt:theexchangerate(importer’scurrencyperunitofexporter’scurrency)第四十一页，共六十六页。

41TheinterpretationofcC=d[lnP]/d[lnE]={d[lnP]/dt}/{d[lnE]/dt}=%changeinP/%changeinEERPTis“full〞or“complete〞ifc=1andis“incomplete〞ifc<1.第四十二页，共六十六页。

42Exchangeratepass-through(ERPT)Empirical:ln(pt)=a+bXt+cln(Et)+dZt+etEstimateofcisaround60%.Thisimpliesthat40%oftheexchangeratechangewasoffsetbychangesinthemarkup.第四十三页，共六十六页。

43PricingtoMarketConsideramonopolisticfirmthatsellsitsproductinncountries(I.e.,nsegmentedmarkets)Itsobjectiveistomaximizeprofit(p1,…,pn)=piqi(Eipi,vi)-C(qi(Eipi,vi),w)第四十四页，共六十六页。

44PricingtoMarket(p1,…,pn)=piqi(Eipi,vi)-C(qi(Eipi,vi),w)piisthepricechargedini-thmarket,inthefirm’sdomesticcurrencyqi(Eipi,vi)isthedemandini-thmarket,afunctionofEipi,priceini-thforeigncurrencyandvi,somedemandshifters(say,income).Thus,piqi(Eipi,vi)isthetotalrevenueindomesticcurrency.C(qi(Eipi,vi),w)isthetotalcostofproducingqi(Eipi,vi)andwisthefactorsthatmayshiftproductioncost.第四十五页，共六十六页。

45PricingtoMarket(p1,…,pn)=piqi(Eipi,vi)-C(qi(Eipi,vi),w)Notethatwithoutexchangerate,Ei,theproblemisthesameasthestandardproblemofamonopolymaximizingprofitsinnsegmentedmarkets.Weshouldallknowitssolutionfrombasicmicroeconomics.第四十六页，共六十六页。

46PricingtoMarketTheoptimalexportpriceistheproductofthecommonmarginalcostandadestination-specificmarkup:pi=Cq[-i/(-i+1)]whereCqisthemarginalcost,iistheabsolutevalueoftheelasticityofdemandintheforeignmarketwithrespecttochangesinprice,pi.第四十七页，共六十六页。

47PricingtoMarketThus,pricesaredifferentacrossmarketsandarerelatedtoadestination-specificmarkupwhichisafunctionofdemandelasticity.Ifpricingtomarketbehaviordominates,PPPisunlikelytohold.Furtherreadings:Goldberg,PinelopiKoujianouandMichaelM.Knetter(1997):“GoodsPricesandExchangeRates:WhatHaveweLearned?〞JournalofEconomicLiterature,Vol.XXXV(September,1997),pp.1243-1272.第四十八页，共六十六页。

48EmpiricaltestofFisher’sEquationRH,t-RF,t=H,t+1e-F,t+1eH,t+1e-F,t+1e=RH,t-RF,t(H,t+1-F,t+1)e=RH,t-RF,t(H,t+1-F,t+1)=RH,t-RF,t+twhere(H,t+1-F,t+1)=(H,t+1-F,t+1)e+tRuntheregression(H,t+1-F,t+1)=+(RH,t-RF,t)+tshouldget0and1第四十九页，共六十六页。

49EvidenceCumbyandObstfeld(1984)andMishkin(1984)bothrejectedthehypothesis.第五十页，共六十六页。

50RealexchangerateTherealexchangeratebetweentwocountries’currenciesisabroadsummarymeasureofthepricesofonecountry’sgoodsandservicesrelativetotheother’s.qH/F=(EH/FPF)/PHPF:priceofabasketofforeigngoodsinforeigncurrencyPH:priceofadifferentbasketofhomegoodsinhomecurrency第五十一页，共六十六页。

51RealExchangeRatehomegoodshomecurrencyforeigngoodsforeigncurrencyPHPFEH/F第五十二页，共六十六页。

52RealexchangerateqH/F=(EH/FPF)/PHTheunitsofhomegoodbasketperforeigngoodbasket.Therelativepriceofforeigngoodbasketintermsofhomegoodbaskets.Realdepreciation:ariseinqH/F第五十三页，共六十六页。

53Factorsaffectingthelong-runrealexchangerateAchangeinrelativeoutputdemandAnincreaseinworldrelativedemandforhomeoutputcausesalong-runrealappreciationofthehomecurrencyagainsttheforeigncurrency(I.e.,afallinqH/F)AchangeinrelativeoutputsupplyArelativeexpansionofhomeoutputcausesalong-runrealdepreciationofthehomecurrencyagainsttheforeigncurrency(I.e.,riseinqH/F)第五十四页，共六十六页。

54NominalandRealexchangeratesinlong-runequilibriumqH/F=(EH/FPF)/PHEH/F=qH/F(PH/PF)NotethatunderAbsolutePPP,qH/F=1.ThusthefactthatqH/Fmaynotequal1allowsthepossibledeviationsfromAbsolutePPP.ThisdeviationqH/Fisanadditionaldeterminantofthenominalexchangerate.第五十五页，共六十六页。

55EffectofanincreaseinhomemoneysupplylevelMHsPHEH/FbecausePH=MHs/L(RH,YH)becauseEH/F=qH/F(PH/PF)RH,YH,qH/FWhy?第五十六页，共六十六页。

56EffectofanincreaseinhomemoneysupplygrowthrateGrowthofMHsYH,qH/FEH/FbecauseanominalchangehasnorealeffectbecauseEH/F=qH/F(PH/PF)RHPH=MHs/L(RH,YH)HBecauseFisher:RH,t-RF,t=H,t+1e-F,t+1e第五十七页，共六十六页。

57EffectofanincreaseinworldrelativedemandforhomepdtsRelativedemandforhomepdtsEH/FbecauseEH/F=qH/F(PH/PF)qH/F第五十八页，共六十六页。

58EffectofanincreaseinrelativehomesupplyRelativehomesupplyEH/F?becauseEH/F=qH/F(PH/PF)qH/FLHPH=MHs/L(RH,YH)PHEH/FEH/FL(RH,YH)第五十九页，共六十六页。

59AninsightinthefailureofrelativePPPWhenalldisturbancesaremonetaryinnature,exchangeratesobeyrelativePPPinthelongrun.Whendisturbancesoccurinoutputmarkets,theexchangerateisunlikelytoobeyrelativePPP,eveninthelongrun(becauseqH/Fmaychangeovertime).第六十页，共六十六页。

60FishereffectwithrealexchangeratemovementqH/F=(EH/FPF)/PH(qH/F,t+1-qH/F,t)/qH/F,t=(EH/F,t+1-EH/F,t)/EH/F,t+F,t+1-H,t+1(qH/F,t+1e-qH/F,t)/qH/F,t=(EH/F,t+1e-EH/F,t)/EH/F,t+F,t+1e-H,t+1eRH,t-RF,t=(qH/F,t+1e-qH/F,t)/qH/F,t+H,t+1e-F,t+1ebecauseRH,t=[EH/F,t+1e-EH/F,t]/EH/F,t+RF,t第六十一页，共六十六页。

61RealinterestparityDefinere=R-erH,te-rF,te=(RH,t-H,t+1e)-(RF,t-F,t+1e)rH,te-rF,te=(qH/F,t+1e-qH/F,t)/qH/F,tIfrelativePPPholdsrH,te-rF,te=0I.e.rH,te=rF,te第六十二页，共六十六页。

62EmpiricaltestofFisher’sEquationRH,t-RF,t=H,t+1e-F,t+1eH,t+1e-F,t+1e=RH,t-RF,t(H,t+1-F,t+1)e=RH,t-RF,t(H,t+1-F,t+1)=RH,t-RF,t+twhere(H,t+1-F,t+1)=(H,t+1-F,t+1)e+tRuntheregression(H,t+1-F,t+1)=+(RH,t-RF,t)+tshouldget0and1第六十三页，共六十六页。

63EvidenceCumbyandObstfeld(1984)andMishkin(1984)bothrejectedthehypothesis.Reason?PPPandUIPdonotholdandrealinterestparityisderivedfromthem.第六十四页，共六十六页。

64Wanttoknowmore...Chapter15ofKrugmanandObstfeldespeciallyforvariouscasestudiesGibson,HeatherD.(1996):INTERNATIONALFINANCE,LongmanPublishing,NewYork.Chapter2fordiscussionofempiricalevidence.第六十五页，共六十六页。

65内容(nèiróng)总结PricelevelsandExchangeRateintheLongRun。Y=Y(x)。P=P(t)。=(1/P)(dP/dt)。dy(t)/d(t)。Reason第六十六页，共六十六页。