1、Ch 9 &10. 外匯市場外匯市場 & 匯率決定匯率決定學習目的：了解外匯市場的概要了解匯率決定的基本理論購買力平價理論 P PParity theory利率平價理論 Interest Rate Parity (IRP) theory資產市場學說1.匯率超調 Overshooting model 外匯市場外匯市場: 個人、企業和金融機構買賣外匯的市場。包括外匯現貨交易和衍生產品交易市場有形的市場有形的市場 指在特定交易場所和特定交易時間按照特定交易規則進行交易的場所。這些市場通過電子通訊聯系起來構成了單一的市場。 無形市場無形市場 intangible market 沒有特定的交易場所，這個

2、市場通過通訊工具聯系起來，這個市場也和有組織的市場通過通訊聯系起來，構成了整體的國際外匯交易市場。 9.1 外匯市場外匯市場: 定義定義 & 分類分類現貨外匯市場現貨外匯市場 Spot market 指兩種貨幣的清算通常在指兩種貨幣的清算通常在2個工作日完成的個工作日完成的交易市場。交易市場。外匯衍生交易市場外匯衍生交易市場( (Derivatives Market) 指外匯衍生產品可以進行交指外匯衍生產品可以進行交易的市場。外匯衍生產品通常包括：遠期外匯、外匯期貨、外易的市場。外匯衍生產品通常包括：遠期外匯、外匯期貨、外匯互換、期權等匯互換、期權等 forward, futures, swa

3、p, option of foreign currencies. Exchange of purchasing power to transfer funds & purchasing power from one country & currency to another.International credit flow of Funds credit usually be provided in process of trade (ex.90 days for part of import pay, short-term credit form exporters). Domestic

4、& foreign bank provide loan of foreign currency for domestic resident. Domestic firms issue bonds & equities in international market. Hedging & speculation foreign EX market provides many financial instruments for hedging & speculation. Portfolio management F-EX market provide assets of different cu

5、rrencies to diversify risk.9.2 Function of the market全球衍生和金融衍生產品9.3 9.3 外匯市場參與者外匯市場參與者底層參與者底層參與者: : 進出口商、旅游者、一般套期保值和投機者，主要是非金融機進出口商、旅游者、一般套期保值和投機者，主要是非金融機構參與者。構參與者。第二層參與者第二層參與者: : 商業銀行和其他金融機構商業銀行和其他金融機構。 第三層參與者：第三層參與者：外匯交易商和外匯經紀人外匯交易商和外匯經紀人 dealers and brokers.市場中最活躍的參與者通常是大銀行。 頂端頂端: : 中央銀行。中央銀行。所有國

6、家的中央銀行都不同程度地參與外匯交易市場。大所有國家的中央銀行都不同程度地參與外匯交易市場。大國中央銀行會對市場有較大的影響。國中央銀行會對市場有較大的影響。 參與者：四個層次參與者：四個層次a) 不間斷的全球市場不間斷的全球市場:b) USD b) USD 主導的市場主導的市場9.4 外匯市場的特點外匯市場的特點:d) d) 大幅波動的市場大幅波動的市場c) c) 最大的市場：最大的市場： the biggest & high liquidity market the biggest & high liquidity markete) e) 高度集中的市場高度集中的市場rate exchan

7、ge Forwardrate exehanyeSpot rate-Ex Realrate -Ex Nominal10.1. 外匯標價外匯標價: definition and quotations匯率：匯率：一種貨幣和另一種貨幣交換的價格，通常用一個單位的貨幣兌換另一貨幣的比率表示。直接標價法直接標價法 (The direct quotation rate): 用一個單位的外匯兌換本國貨幣的數量表示。間接標價法間接標價法 (Indirect quotation rate): 用一個單位的本幣兌換外國貨幣的數量表示。￥：￥：$/$/$/$/$/$/ currency, domestic ofon

8、appreciati quotation,indirect with currency, domestic ofon appreciati quotation,direct with /1 : thusand 0.1351, $ quotationindirect 40. 7 quotationdirect SSSSUSDSRMBSCh 10. 匯率決定理論匯率決定理論￥$/$/1 SS10.2. PPP購買力平價購買力平價 ( Purchasing Power Parity)10.2.1 Cassel, （卡塞爾（卡塞爾1922）PPP （law of one price）10.2.2 相對

9、購買力平價相對購買力平價 (Relative Purchasing Power Parity)ttss111111*1tttSSS)11(*11*111ttttttttttPPPPPPPPSS*$/* ; ;$/ppsPPSPPS￥ (in US) increased of DemandChina)(in increased $ ofSupply increased in US goods ofSupply redused Chinain good ofSupply US togoodsbasket export China : if* $,/* ,$ /￥tttttttt tppsPPSPP

10、SRationale behind PPP Theory (in US) increased of DemandChina)(in increased $ ofSupply increased in US goods ofSupply redused Chinain good ofSupply US togoodsbasket export China : if* $,/* ,$ /￥tttttttt tppsPPSPPS10.2.3. 真實匯率、名義匯率真實匯率、名義匯率Real , nominal rate & testing of PPP真實匯率真實匯率 ：本國商品在外國市場上的實際價格

11、和本國商品在本國市場上的價格比率。它可以表明商品的比價，也可以表示購買力平價匯率偏離的程度。tttmtttppptppptmtmtppptmttppptmtttmttmtqppsqqssssSQQSQPPPPSQ)( );()( S ;S ;S ; *111$*$*$￥ hold; becan PPP relative thus; ; 1 & ;0:if;)-(:becan function testing the thushold; becan PPP relative; - ;Qor 0:*1tPPPRtttmttttmtttPPPtmtttsppsppsppssQQqif 1)1 /()

12、1(% ; 1)1 ()1 ( ;)1 ()1 (;)1 ()1 ( ;*11*1*SSSSSPSPSPPSPPttttttttttttt 1 ; 0 ; 1 )1 /( ) 1 (%10*10S? of change thebe what will %,5 %;5 . 8 then,and hold, becan PPP originally Suppose :Example $,/1tCh,1tCh,tS￥%3 . 31)05. 1 /( ) 085. 1 (1)1 /( )1 ( t , t , t $,/ChChS￥Tests of PPP based on annual data f

13、rom 1982 to 2004*ttppmtsPPP line為何 PPP 短期不成立組合效應： 商品價格統計、通脹統計、利率、收入水平、關稅、政府和企業控制、遠期匯率預期等因素等。貿易品和非貿易品： traded goods and non-traded goods8606$/860686062006$/20062006￥SSUSChUSCh10.2.4. modifying of PPP: (transaction cost, tariff)tppsPtTCPPtTPCtPPTCPPS*)1)(1 (;)1 (;)1)(1 (10.2.4. modifying of PPP: Samue

14、lsonBalassa (1964)為勞動生產率為收入水平為系數，為勞動投入，工資水平，其中： /Y L W)()()()1 ()1 (*LYaaawwppsLWYPWLPYBalassa-Samuelson effects發展中國家實際匯率變化趨勢：經濟高速增長實際匯率升值（變小）？10.3 利率平價理論利率平價理論 (The interest rate parity theory)b) 模型：*$ /$ /1$ /*$ /1$ / 1$ /*/ $1 ;11 ; ) 1 (1ii iSSSiiSSS i S ittttttt ￥*1*1 ;i iSSSi i sstttttc) case:

15、 EMS, 1992 ,united of German：*1iiSSSttta) IRP假設假設 資本自由移動 交易成本為零 利潤最大化和風險中性l 有效外匯市場 本國資產和外國資產完全可替代 9.3.2.modify of IRP: transaction cost (Frenkel and Levich, 1995,1997) the transaction cost is the main reason that Covered IRP can not hold.The existent of transaction cost, forms a “neutral band” (d) n

16、ear the line of IRP. Within the neutral band there is no chance to arbitrage. The band maybe about 0.5%, 0.6%, Einzig1967; 0.15- 1.1% F and Levich,1997, ）c) 拋補和未拋補拋補和未拋補IRP Covered IRP & Uncovered IRP；）（；）（）（ UIPas called befunction then theinsured benot can 1 ofreturn the ifCIP as called befunction

17、 then the ,coveredget becan 1 ofreturn the 11*1iSFiiiSSFifttttt)1)(1)(1)(1 ( maybe1S)1 (1)1 (*/$0$/*fsmKkttttiFiFiSAiA：￥10.4 Monetary approach：narrow sense & broad sense modelsThis kind of model combines the quantity model of money demand with the PPP theory to explain the determination of exchange

18、rate. This approach introduce money demand and output into analyses of exchange model. 1*1*)()( ;KKYYMMPPSYPKMKPYM導作用。使匯率下跌的因素起主減少產出下降，預期利率上升，投資時，表明當利率升高時當素引起匯率上升起主導因資本流入，貨幣緊縮，時，表明利率升高時，當成立；時，認為廣義貨幣模型等于或接近于、當，或為常數應約為0010)()()()()()()(ln,ln,ln,ln,ln/)()()()()()()()()(/)()(33210*3*2*10*3*2*1*2*1*1*1*t

19、ttttttttttttttttttttiiyymmeiiyymmkkppeiiYyMmKkPpiymkpiKYPMiiyymmeyymmekkyymmeihYKhiKYMMEhiKYPMKKYYMMPPEYPKMKPYMtttttyymmskkyymms)()()()()(*2*1*Monetary approach：narrow sense model (Cagan, 1956) This kind of model combines the Kenyess money demand with the PPP theory to explain the determination of e

20、xchange rate. introduce money demand, interest rate and output into analyses of exchange model.當把利率和收入因素同時引入時要分析利率對匯率的影響較為困難，其原因是利率、貨幣數量和收入之間自相關造成的。Monetary approach：broad sense model,iymkpiKYPM/iiYyMmKkPpln ,ln,ln ,ln ,lnttttttttttsEisiifiiyymms ,depreciateY)&(I , 0:if ,appreciateinflow capital :in

21、dicate maybe 0 :if hold becan modelmonetary of sense broad1 ; 1 constabt; a beor 0:)()()(33210*3*2*10 ，；，)()()()(*iiyymmkkppe導作用。使匯率下跌的因素起主減少產出下降，預期利率上升，投資時，表明當利率升高時當素引起匯率上升起主導因資本流入，貨幣緊縮，時，表明利率升高時，當成立；時，認為廣義貨幣模型等于或接近于、當，或為常數應約為0010)()()()()()()(ln,ln,ln,ln,ln/)()()()()()()()()(/)()(33210*3*2*10*3*2*

22、1*2*1*1*1*tttttttttttttttttttttiiyymmeiiyymmkkppeiiYyMmKkPpiymkpiKYPMiiyymmeyymmekkyymmeihYKhiKYMMEhiKYPMKKYYMMPPEYPKMKPYM10.5 Asset market approach （匯率決定的資產組合理論）（匯率決定的資產組合理論）The portfolio balance or asset market approach to the exchange rate extends the monetary approach to include other financial

23、assets besides money.Integrated of the market and action of assets hold: investor hold a variety of financial asset, both domestic and foreign. Maximizing the return on the asset portfolio as a whole. Imperfect substitutes: In particular, additional risk is to be associated with the holding of forei

24、gn financial assets. Hence, there is a positive risk premium attached to the holding of foreign financial assets. Rational expectations: the theories recognizes the importance of investor expectations regarding future asset prices.Demand of assets：eeeExaeBBMWWPYaxiifeBWPYaxiifBWPYaxiifM/)(),(),(),(*

25、/ )()()()()(exp*1*1*tttttttttttttttewweeEiieeEiieWW兩邊取自然對數得：4*4*113*2*10)()()()(cwwcppcyycmmccettttttttt10.5.1 General model：10.5.2 Yangs preliminary model：4*4*113*2*1014131211*10*4*32*1110*1*1*11*1*1*)()()()(11211)/1(/)/(1/)12).()()()11(.).()()(ppp)10.(./)()()()()(8)9()9.(./)()()7()6()8().()()()()(

26、)3()2()7.(./)()()()6.(.).()5(.)()()()()4.().()()()3(.)2(.)1.(./)()()()(exp),(),(),(cwwcppcyycmmccekkyymmeppppyymmkkppeewweeyymmkkppewweeiiiiyymmkkppewweeEiieeiieeEyyddppppppeiiyyddiykpmiykpmppeewweeEiieeEiieWWeBBMWWPYxaiifeBWPYxaiifBWPYxaiifMtttttttttttttttttttttttttttttttttttttttttttttttttttttttttt

27、ttttttttttttttttttttttttttttttttttttttttttttttttttt）得：）代入（），（將（其中：理論成立，所以有：由于在長期中）代入（代入對數形式）（此時各變量均是自然兩邊取自然對數得：10.5.3 Evaluation for Asset market approachIntroduce the portfolio theory into the theory of determination of exchange rate. Provide a new research framework; the research view including th

28、e money market and capital market.Introduce the stock of the assets into analysesShortcoming: difficult to implement the empirical testing. )()(exp ();/()()1 ()()1 ()()()1*ttttttbbmtbmbmbSSEiiSfffSWffWfWfWWfS*1*1*1*),(),(),(*BSBMWWSSiifBSWSSiifBWSSiifMttbttbttm10.6 Sticky price & exchange rate overs

29、hooting (Dornbusch, 1976)There are difference of size and quickness of exogenous shock adjustment in capital market and in goods market. Perfect mobility of capital, home country, as a small country, can not influence the interest rate in international market. The adjustment in capital market is ver

30、y fast. If the original equilibrium of capital market is influence by exogenous shock, the market will get to a new equilibrium in the short or very short run. Adjustment in trade flow of goods market occur only gradually over time. The price is sticky over time. In short run, the relation between p

31、rice (P) & exchange rate (E) is not tightness. In long run, the price will respond to the shock and will get a new equilibrium gradually. In long run the PPP relation should be finally hold. ）)()()()()()()(127)12).()(1()()(1 (5)4()11.().()()()()(8)10.(.).()()9.(.).()()() 8).()()()()()7).()()()()(: )

32、 3()2()6(. ) 5(. )()()()()4(. )()()() 3.(. )2(. ) 1.(. *3*2*10*4*32*1110*11*1*1*1*11*ttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttttppbyybmmbbsyymmsppppiiyysppppssayymmkkppssassEssDornbuschyymmkkppsssEyymmkkppiiyymmkkppiissEyyddppppppsiiyyddiykpmiykpmpps）有：）代入（將（）合并得：代入（）得：代入（成正比。匯率的差和匯率差因此：預期匯率和實際匯率收斂。匯率的變化向長期均衡匯率，但長期中，即期衡率會偏離購買力平價均的方程：短期內即期匯The equilibrium: capital market / goods market 01000100*EEEEEEiMPeeiMds 01000100*EEEEEEiMPeeiMds*$/*$/p-pePe PPPe￥001*EEEiiReal demand funct