13汇率与外汇市场：资产方法

1YOUAREWELCOME!2InternationalEconomics国际经济学主讲：余道先[e-mail]3Chapter13ExchangeRatesandtheForeignExchangeMarket:AnAssetApproach汇率与外汇市场：资产方法4IntroductionExchangeRatesandInternationalTransactionsTheForeignExchangeMarketTheDemandforForeignCurrencyAssetsEquilibriumintheForeignExchangeMarketInterestRates,Expectations,andEquilibriumSummaryPreview5IntroductionExchangeratesareimportantbecausetheyenableustotranslatedifferentcounties’pricesintocomparableterms.Exchangeratesaredeterminedinthesamewayasotherassetprices（汇率有着与其他资产价格同样的定价方式）.Thegeneralgoalofthischapteristoshow:HowexchangeratesaredeterminedTheroleofexchangeratesininternationaltrade6ExchangeRatesandInternationalTransactionsAnexchangeratecanbequotedintwoways:DirectThepriceoftheforeigncurrencyintermsofdollarsIndirectThepriceofdollarsintermsoftheforeigncurrency7DomesticandForeignPricesIfweknowtheexchangeratebetweentwocountries’currencies,wecancomputethepriceofonecountry’sexportsintermsoftheothercountry’smoney（一国出口商品以另一国货币计算的价格）.Example:Thedollarpriceofa£50sweaterwithadollarexchangerateof$1.50perpoundis(1.50$/£)x(£50)=$75.ExchangeRatesandInternationalTransactions8Twotypesofchangesinexchangerates:Depreciationofhomecountry’scurrencyAriseinthehomecurrencypricesofaforeigncurrency（以本币表示的外币价格上涨）Itmakeshomegoodscheaperforforeignersandforeigngoodsmoreexpensivefordomesticresidents.Appreciationofhomecountry’scurrencyAfallinthehomepriceofaforeigncurrency（以本币表示的外币价格下跌）Itmakeshomegoodsmoreexpensiveforforeignersandforeigngoodscheaperfordomesticresidents.ExchangeRatesandInternationalTransactions9ExchangeRatesandRelativePricesImportandexportdemandsareinfluencedbyrelativeprices.Appreciationofacountry’scurrency:RaisestherelativepriceofitsexportsLowerstherelativepriceofitsimportsDepreciationofacountry’scurrency:LowerstherelativepriceofitsexportsRaisestherelativepriceofitsimportsExchangeRatesandInternationalTransactions10ExchangeRatesandInternationalTransactionsTable13-2:$/£ExchangeRatesandtheRelativePriceofAmericanDesignerJeansandBritishSweaters11TheForeignExchangeMarketExchangeratesaredeterminedintheforeignexchangemarket.ThemarketinwhichinternationalcurrencytradestakeplaceTheActors（参与者）Themajorparticipantsintheforeignexchangemarketare:CommercialbanksInternationalcorporationsNonbankfinancialinstitutionsCentralbanks12Interbanktrading（银行间交易）ForeigncurrencytradingamongbanksItaccountsformostoftheactivityintheforeignexchangemarket.ExchangeRatesandInternationalTransactions13CharacteristicsoftheMarketTheworldwidevolumeofforeignexchangetradingisenormous,andithasballoonedinrecentyears.Newtechnologies,suchasInternetlinks,areusedamongthemajorforeignexchangetradingcenters(London,NewYork,Tokyo,Frankfurt,andSingapore).Theintegrationoffinancialcentersimpliesthattherecanbenosignificantarbitrage.Theprocessofbuyingacurrencycheapandsellingitdear（套汇就是低价买进一种货币再高价将其卖出）.ExchangeRatesandInternationalTransactions14Vehiclecurrency（载体货币）Acurrencythatiswidelyusedtodenominateinternationalcontractsmadebypartieswhodonotresideinthecountrythatissuesthevehiclecurrency（载体货币是一种在发行该种货币以外国家的国际交易中被广泛使用作为度量标准的货币）.Example:In2001,around90%oftransactionsbetweenbanksinvolvedexchangesofforeigncurrenciesforU.S.dollars.ExchangeRatesandInternationalTransactions15SpotRatesandForwardRatesSpotexchangeratesApplytoexchangecurrencies“onthespot”ForwardexchangeratesApplytoexchangecurrenciesonsomefuturedateataprenegotiated（预先商定的）exchangerateForwardandspotexchangerates,whilenotnecessarilyequal,domovecloselytogether.ExchangeRatesandInternationalTransactions16Figure13-1:Dollar/PoundSpotandForwardExchangeRates,1981-2001ExchangeRatesandInternationalTransactions17ForeignExchangeSwaps（外汇掉期交易）Spotsalesofacurrencycombinedwithaforwardrepurchaseofthecurrency（即期卖出一种货币同时远期再买回该种货币）.Theymakeupasignificantproportionofallforeignexchangetrading.ExchangeRatesandInternationalTransactions18FuturesandOptions（外汇期货与期权）FuturescontractThebuyerbuysapromisethataspecifiedamountofforeigncurrencywillbedeliveredonaspecifieddateinthefuture（购买者买入的是一份在未来特定日期交割一定数量外国货币的保证）.ForeignexchangeoptionTheownerhastherighttobuyorsellaspecifiedamountofforeigncurrencyataspecifiedpriceatanytimeuptoaspecifiedexpirationdate（所有者有权在到期日以前任何时间内买卖特定数量的外国货币）.ExchangeRatesandInternationalTransactions19Thedemandforaforeigncurrencybankdepositisinfluencedbythesameconsiderationsthatinfluencethedemandforanyotherasset（影响银行外汇存款需求的因素与影响其他资产的因素是一样的）.TheDemandforForeignCurrencyAssets（外汇资产需求）20AssetsandAssetReturns（资产和资产收益）DefiningAssetReturnsThepercentageincreaseinvalueanassetoffersoversometimeperiod（经过一定时期价值增值的百分比）.TheRealRateofReturn（实际收益率）Therateofreturncomputedbymeasuringassetvaluesintermsofsomebroadrepresentativebasketofproductsthatsaversregularlypurchase（用一些具有广泛代表性的、储蓄者经常购买的商品来计算的资产价值进而计算出的收益率）.TheDemandforForeignCurrencyAssets（外汇资产需求）21RiskandLiquidity（风险和流动性）Saverscareabouttwomaincharacteristicsofanassetotherthanitsreturn（除了收益之外，储蓄者主要关心资产在两方面的特征）:RiskThevariabilityitcontributestosavers’wealth（给储蓄者财富造成的不确定性）Liquid