国际金融平价条件与外汇预测

1ParityConditionsinInternationalFinanceandCurrencyForecastingChapter42國際金融平價條件與外匯預測4.1套利與單一價格法則4.2購買力平價說4.3費雪效果4.4國際費雪效果4.5利率平價理論4.6遠期匯率與未來即期匯率的關係3ARBITRAGE(套利)ANDTHELAWOFONEPRICE(單一價格法則)FiveParityConditionsResultFromArbitrageActivities1.PurchasingPowerParity(PPP)2.TheFisherEffect(FE)3.TheInternationalFisherEffect(IFE)4.InterestRateParity(IRP)5.UnbiasedForwardRate(UFR)4PARTI.ARBITRAGE(套利)ANDTHELAWOFONEPRICE(單一價格法則)I.THELAWOFONEPRICEA.Lawstates:Identicalgoodssellforthesamepriceworldwide.B.Theoreticalbasis:Ifthepriceafterexchange-rateadjustmentwerenotequal,arbitrageinthegoodsworldwideensureseventuallyitwill.5套利與單一價格法則套利(arbitrage)在不同的市場，同時買、賣相同的資產或商品以賺取其價差。單一價格法則：單一價格法則是說全球可交易的相同的商品及資產，經匯率調整後的價格，必須是相等的，頂多只差交易成本。6ARBITRAGE(套利)ANDTHELAWOFONEPRICE(單一價格法則)C.FiveParityConditionsLinkedbyTheadjustmentofratesandpricestoinflation7圖表4.1即期匯率、遠期匯率、通貨膨脹率及利率間的五種理論上的重要關係8ARBITRAGEANDTHELAWOFONEPRICED.Inflationandhomecurrencydepreciationare:1.Jointlydeterminedbythegrowthofdomesticmoneysupply(Ms)and2.Relativetothegrowthofdomesticmoneydemand.9五大平價條件共同起源：各種比率及價格對通貨膨脹的調整。根據現代貨幣理論，通貨膨脹乃是貨幣供給擴張超過實質產出成長的必然結果。貨幣中立性：貨幣供給成長、通貨膨脹率、利率和匯率，這些都可透過套利而連結在一起。通貨膨脹通貨膨脹與貨幣貶值會一同受到國內貨幣供給成長相對於需求成長的影響。10PARTII.PURCHASINGPOWERPARITYI.THETHEORYOFPURCHASINGPOWERPARITY(購買力平價說)statesthatspotexchangeratesbetweencurrencieswillchangetothedifferentialininflationratesbetweencountries.11PURCHASINGPOWERPARITYII.RELATIVEPURCHASINGPOWERPARITY(相對版的購買力平價說)A.statesthattheexchangerateofonecurrencyagainstanotherwilladjusttoreflectchangesinthepricelevelsofthetwocountries.12絕對版的購買力平價說主張：一單位本國貨幣(HC)在全世界應有相同的購買力。範例：大麥克指數(BigMacIndex)假設：自由貿易將使任一商品在所有國家的價格均相等，否則將存在套利機會）。缺點：忽視運輸成本、關稅、配額與其他限制對自由貿易的影響，也忽略了產品的差異化。13相對版的購買力平價說主張：本國貨幣與外幣的交換比率會調整到足以反映兩國價格水準的改變。其中購買力平價匯率（PPP匯率；PPPrate）。e0是期初一單位外幣的美元價值如果ih與if分別是本國與外國的通貨膨脹率1011hfieei(4.2)式1011hfieei(4.3)式14PURCHASINGPOWERPARITY1.Inmathematicalterms:et=(1+ih)te0(1+if)twhereet=futurespotratee0=spotrateih=homeinflationif=foreigninflationt=timeperiod15PURCHASINGPOWERPARITY2.Ifpurchasingpowerparityisexpectedtohold,thenthebestpredictionfortheone-periodspotrateshouldbeet=e0(1+ih)t(1+if)t16PURCHASINGPOWERPARITY3.Amoresimplifiedbutlesspreciserelationshipiset-e0=ih-ife0thatis,thepercentagechangeshouldbeapproximatelyequaltotheinflationratedifferential.17PURCHASINGPOWERPARITY4.PPPsaysthecurrencywiththehigherinflationrateisexpectedtodepreciaterelativetothecurrencywiththelowerrateofinflation.18購買力平價說1/2近似計算：意義：匯率於某一期間的改變，應等於同一期間的通膨差。高通貨膨脹率的貨幣應相對於低通貨膨脹率的貨幣貶值。(4.4)式100hfeeeie19圖表4.3購買力平價說20購買力的平價說1/3意涵：匯率的變動應只是在抵銷外國價格水準相對本國價格水準的變動。不會對本國廠商與其外國競爭者的相對競爭地位帶來任何影響才是。名目匯率（nominalexchangerate，亦即實際匯率，actualexchangerate）的改變，在決定幣值變動對一公司與一國家的真正影響時，可能並不重要。只有實質匯率的改變才足以影響國內企業與其海外競爭者的相對競爭地位。21購買力的平價說2/3實質匯率：實證結果：在長期能成立，但在短期內則否。(4.6)式11ftthieei22SampleProblemProjectedinflationratesfortheU.S.andGermanyforthenexttwelvemonthsare10%and4%,respectively.Ifthecurrentexchangerateis$.50/dm,whatshouldthefuturespotratebeattheendofnexttwelvemonths?011thttfieei1111.10.501.04e1.50(1.0577)e1$.529e23PARTIII.THEFISHEREFFECT費雪效果I.THEFISHEREFFECTstatesthatnominalinterestrates(r)areafunctionoftherealinterestrate(a)andapremium(i)forinflationexpectations.r=a+i24費雪效果1/2名目利率(r)乃由下列兩部分所構成：(1)實質的必要報酬率(a)，及(2)通貨膨脹溢酬(等於預期通貨膨脹率i)。1+名目利率=(1+實質利率)(1+預期通貨膨脹率)1+r=(1+a)(1+i)或r=a+i+ai近似表示法r=a+i25費雪效果2/2透過各國間的套利活動，實質報酬應趨於相等。在無政府干預下的均衡狀態，將遵循「名目利率差異(interestratedifferential)近似於預期的通貨膨脹率的差異」rh–rf=ih–if具有高通貨膨脹率的貨幣應較具有低通貨膨脹率的貨幣承擔高的利率。26實質利率差異1/2許多觀察家相信在日漸國際化的資本市場內，重大的實質利率差異不太可能長期存在。資本市場整合(capitalmarketintegration)意指實質利率是由資金的全球供需所決定。資本市場區隔(capitalmarketsegmentation)恰恰相反，後者主張實質利率是由當地借貸條件所決定。27實質利率差異2/2實證結果：實質利率差異是有可能存在的，而且沒被套利而消失。各國的實質利率有收斂的趨勢。實質利率差異可源自於各國採行截然不同的稅制或對資金自由流動強加規定限制。28PARTIV.THEINTERNATIONALFISHEREFFECT國際費雪效果A.RealRatesofInterest1.Shouldtendtowardequalityeverywherethrougharbitrage.2.Withnogovernmentinterferencenominalratesvarybyinflationdifferentialorrh-rf=ih-if29THEINTERNATIONALFISHEREFFECTB.AccordingtotheIFE,countrieswithhigherinflationrateshavehigherinterestrates.C.Duetocapitalmarketintegrationglobally,interestratedifferentialsareeroding.30THEINTERNATIONALFISHEREFFECTI.IFESTATES:A.thespotrateadjuststotheinterestratedifferentialbetweentwocountries.B.IFE=PPP+FEet=(1+rh)te0(1+rf)t31THEINTERNATIONALFISHEREFFECTB.Fisherpostulated:1.Thenominalinterestratedifferentialshouldreflecttheinflationratedifferential.2.Expectedratesofreturnareequalintheabsenceofgovernmentintervention.32THEINTERNATIONALFISHEREFFECTC.SimplifiedIFEequation:rh-rf=et-e0e033THEINTERNATIONALFISHEREFFECTD.ImplicationsifIFE1.Currencywiththelowerinterestrateexpectedtoappreciaterelativetoonewithahigherrate.2.Financialmarketarbitrage:insuresinterestratedifferentialisanunbiasedpredictorofchangeinfuturespotrate.34圖表4.10國際費雪效果35TheInternationalFisherEffectIfthe¥/$spotrateis¥108/$andtheinterestratesinTokyoandNewYorkare6%and12%,respectively,whatisthefuturespotratetwoyearsfromnow?011thttfreer2221.061081.12e21.12361081.2544e2?6.74/$e36PARTV.INTERES