P为消费者物价指数

Slide15-1Copyright©2003PearsonEducation,Inc.IntroductionTheLawofOnePricePurchasingPowerParityALong-RunExchangeRateModelBasedonPPPEmpiricalEvidenceonPPPandtheLawofOnePriceExplainingtheProblemswithPPPChapter15PriceLevelsandtheExchangeRateintheLongRunSlide15-2Copyright©2003PearsonEducation,Inc.BeyondPurchasingPowerParity:AGeneralModelofLong-RunExchangeRatesInternationalInterestRateDifferencesandtheRealExchangeRateRealInterestParitySummaryAppendix:TheFisherEffect,theInterestRate,andtheExchangeRateUndertheFlexible-PriceMonetaryApproachChapterOrganizationSlide15-3Copyright©2003PearsonEducation,Inc.IntroductionThemodeloflong-runexchangeratebehaviorprovidestheframeworkthatactorsinassetmarketsusetoforecastfutureexchangerates.Predictionsaboutlong-runmovementsinexchangeratesareimportantevenintheshortrun.Inthelongrun,nationalpricelevelsplayakeyroleindeterminingbothinterestratesandtherelativepricesatwhichcountries’productsaretraded.•Thetheoryofpurchasingpowerparity(PPP)explainsmovementsintheexchangeratebetweentwocountries’currenciesbychangesinthecountries’pricelevels.Slide15-4Copyright©2003PearsonEducation,Inc.TheLawofOnePriceLawofoneprice•Identicalgoodssoldindifferentcountriesmustsellforthesamepricewhentheirpricesareexpressedintermsofthesamecurrency.–Thislawappliesonlyincompetitivemarketsfreeoftransportcostsandofficialbarrierstotrade.–Example:Ifthedollar/poundexchangerateis$1.50perpound,asweaterthatsellsfor$45inNewYorkmustsellfor£30inLondon.Slide15-5Copyright©2003PearsonEducation,Inc.–Itimpliesthatthedollarpriceofgoodiisthesamewhereveritissold:PiUS=(E$/€)x(PiE)where:PiUSisthedollarpriceofgoodiwhensoldintheU.S.PiEisthecorrespondingeuropriceinEuropeE$/€isthedollar/euroexchangerateTheLawofOnePriceSlide15-6Copyright©2003PearsonEducation,Inc.PurchasingPowerParityTheoryofPurchasingPowerParity(PPP)•Theexchangeratebetweentwocounties’currenciesequalstheratioofthecounties’pricelevels.•Itcomparesaveragepricesacrosscountries.•Itpredictsadollar/euroexchangerateof:E$/€=PUS/PE(15-1)where:PUSisthedollarpriceofareferencecommoditybasketsoldintheUnitedStatesPEistheeuropriceofthesamebasketinEuropeSlide15-7Copyright©2003PearsonEducation,Inc.PurchasingPowerParityByrearrangingEquation(15-1),onecanobtain:PUS=(E$/€)x(PE)PPPassertsthatallcountries’pricelevelsareequalwhenmeasuredintermsofthesamecurrency.Slide15-8Copyright©2003PearsonEducation,Inc.TheRelationshipBetweenPPPandtheLawofOnePrice•Thelawofonepriceappliestoindividualcommodities,whilePPPappliestothegeneralpricelevel.•Ifthelawofonepriceholdstrueforeverycommodity,PPPmustholdautomaticallyforthesamereferencebasketsacrosscountries.•ProponentsofthePPPtheoryarguethatitsvaliditydoesnotrequirethelawofonepricetoholdexactly.PurchasingPowerParitySlide15-9Copyright©2003PearsonEducation,Inc.AbsolutePPPandRelativePPP•AbsolutePPP–Itstatesthatexchangeratesequalrelativepricelevels.•RelativePPP–Itstatesthatthepercentagechangeintheexchangeratebetweentwocurrenciesoveranyperiodequalsthedifferencebetweenthepercentagechangesinnationalpricelevels,namely:–E$/€/E$/€,t–1=US/E,where:t=inflationindex–SothatEr=Et–1*US/E–Ifless1inboth2sidesPurchasingPowerParitySlide15-10Copyright©2003PearsonEducation,Inc.–(E$/€,t-E$/€,t–1)/E$/€,t–1=(US,t-E,t)/E,t–IfE,tissmaller，RelativePPPbetweentheUnitedStatesandEuropewouldbe:(E$/€,t-E$/€,t–1)/E$/€,t–1=US,t-E,t(15-2)..\..\中国的名义和实际.pptSlide15-11Copyright©2003PearsonEducation,Inc.Monetaryapproachtotheexchangerate•Atheoryofhowexchangeratesandmonetaryfactorsinteractinthelongrun.TheFundamentalEquationoftheMonetaryApproach•Pricelevelscanbeexpressedintermsofdomesticmoneydemandandsupplies:–IntheUnitedStates:PUS=MsUS/L(R$,YUS)(15-3)–InEurope:PE=MsE/L(R€,YE)(15-4)–Sothat:E=PUS/PE=MsUS*L(R€,YE)/MsE*L(R$,YUS)ALong-RunExchangeRateModelBasedonPPPSlide15-12Copyright©2003PearsonEducation,Inc.•Themonetaryapproachmakesanumberofspecificpredictionsaboutthelong-runeffectsontheexchangerateofchangesin:–Moneysupplies–AnincreaseintheU.S.(European)moneysupplycausesaproportionallong-rundepreciation(appreciation)ofthedollaragainsttheeuro，ifYisgiven.–Interestrates–Ariseintheinterestrateondollar(euro)denominatedassetscausesadepreciation(appreciation)ofthedollaragainsttheeuro.–Outputlevels–AriseinU.S.(European)outputcausesanappreciation(depreciation)ofthedollaragainsttheeuro,ifMisgiven.ALong-RunExchangeRateModelBasedonPPPSlide15-13Copyright©2003PearsonEducation,Inc.OngoingInflation,InterestParity,andPPP•Moneysupplygrowthataconstantrateeventuallyresultsinongoinginflation(i.e.,continuingriseinthepricelevel)atthesamerate.–Changesinthislong-runinflationratedonotaffectthefull-employmentoutputlevelorthelong-runrelativepricesofgoodsandservices.•Theinterestrateisnotindependentofthemoneysupplygrowthrateinthelongrun.ALong-RunExchangeRateModelBasedonPPPSlide15-14Copyright©2003PearsonEducation,Inc.•Theinternationalinterestratedifferenceisthedifferencebetweenexpectednationalinflationrates:R$-R€=eUS-e(15-5)ALong-RunExchangeRateModelBasedonPPPSlide15-15Copyright©2003PearsonEducation,Inc.TheFis