Week 9: Exchange Rates
第9周:匯率
ID-4246M
Dr V G Fitzsimons
University of Bradford
ID-4246M
V G菲茨西蒙斯博士
布拉德福德大學(xué)
Foreign Exchange Markets
外匯市場(chǎng)
• In this lecture
在這個(gè)演講中
• Review of Exchange Rates
匯率回顧
• Arbitrage
套匯
• Law of One Price (LOOP)
一價(jià)定律(LOOP)
• Purchasing Power Parity (PPP)
購(gòu)買力平價(jià)(PPP)
• Interest Rate Parity (IRP)
利率平價(jià)(IRP)
• Uncovered interest parity (UIP)
無拋補(bǔ)利率平價(jià)(UIP)
• Covered interest parity (CIP)
補(bǔ)利率平價(jià)(CIP)
• Exceptions to the rule – does PPP (and IRP) hold?
該規(guī)則的例外 – 是否持有PPP(IRP)?
• Non-tradeable goods
非流通貨物
• Long-run conditions
長(zhǎng)期運(yùn)行條件
• Inflation in international transactions
在國(guó)際交易中的通貨膨脹
• Relative Purchasing Power Parity
相對(duì)購(gòu)買力平價(jià)
• The Fisher effect
費(fèi)雪效應(yīng)
http://ukthesis.org/gjswglzy
Reminder – exchange rates
提醒 - 匯率
• The exchange rate is the price of our currency if bought in foreign currency
外幣匯率是如果我們用外幣流通的價(jià)格
– e.g. £1 might cost $1.50 in the foreign exchange ‘spot’ markets (on average)
• This would be written
這將被寫入
E$/£ = 1.50
• Of course, it can also be quoted the other way, £s needed to buy ‘forex’
當(dāng)然,它也可以被引用的其他方式,英鎊需要購(gòu)買'外匯
E£/$ = 0.66
= the inverse of the $/£ exchange rate, i.e. 1/1.50 or 2/3
• Be careful to check which the book is using!
爭(zhēng)取仔細(xì)檢查哪本書是使用的!
• The price of the currency is determined by the demand for it and supply of it:
貨幣價(jià)格是由它的需求和供應(yīng):
D£= f(the country’s exports, financial inflows to it for investment, e.g. due to high interest rates)
S£= f(the country’s imports, financial outflows to invest elsewhere)
Basic principles: Arbitrage
基本原則:套利
• Arbitrage:
套利
• ‘Arbitrage involves the simultaneous purchase and sale of an asset, such as currency, at different prices. It produces a risk-free, instantaneous profit’#p#分頁標(biāo)題#e#
Eaker, Fabozzi & Grant, 1996, p.563
套利涉及同時(shí)購(gòu)買和出售資產(chǎn),如貨幣,以不同的價(jià)格。它產(chǎn)生無風(fēng)險(xiǎn)的利潤(rùn),瞬時(shí)“伊克,法博齊 - 格蘭特,1996,P.563
Arbitrage
套利
• If markets work efficiently, no arbitrage opportunities should exist..
如果市場(chǎng)高效地工作時(shí),沒有套戥的機(jī)會(huì)的應(yīng)該存在的
– ‘Arbitrageurs’ will repeatedly purchase the item in the relatively cheap market, driving up (demand and therefore) prices;
“套利”會(huì)反復(fù)購(gòu)買該項(xiàng)目在價(jià)格相對(duì)便宜的市場(chǎng),哄抬價(jià)格(需求,因此)
– and they will repeatedly sell the item in the relatively expensive market, raising supply and driving down prices.
他們會(huì)反復(fù)出售該物品在相對(duì)昂貴的市場(chǎng),提高供給和壓低價(jià)格。
LOOP – the ‘Law of one price’
LOOP - “一價(jià)定律”
• Arbitrage is the principal mechanism behind the ‘Law of One Price’ (LOOP) in international economics.
套利是背后的“一口價(jià)法則“(LOOP)在國(guó)際經(jīng)濟(jì)學(xué)的主要機(jī)制
• ‘The law of one price states that identical goods must sell at identical effective prices’
Eaker, Fabozzi, & Grant, 1996, p.566
法律一價(jià)狀態(tài),相同的貨,必須在相同的有效價(jià)格出售'伊克,法博齊 - 格蘭特,1996,p.566
• The ‘effective price’ would be the price in another country’s currency, ‘translated’ by the exchange rate into our currency
“有效價(jià)格”將在另一國(guó)貨幣的價(jià)格,“翻譯成”我們的貨幣匯率
The ‘LOOP’ exchange rate?
“LOOP”匯率?
$P = $/£ELOOP. £P
Which implies:
$/£ELOOP= $P / £P
E.g.
A loaf of bread costs £0.50 in the UK but costs $0.60 in the US – what would the LOOP exchange rate be?
一個(gè)面包成本£0.50在英國(guó)但成本0.60美元在美國(guó),如果回路的匯率是?
ELOOP= $0.60 / £0.50
= (0.60/0.50) $/£
= 1.20
( which is the number of $/£)
2004 December Big Mac index – China cheapest, and Switzerland most expensive!
2004年12月巨無霸指數(shù)——中國(guó)最便宜的,和瑞士最貴的!
Question: Using prices to work out exchange rates
提問:使用價(jià)格匯率
• Using the Big Mac data, work out the ‘law of one price’ exchange rate for the following:#p#分頁標(biāo)題#e#
使用的巨無霸的數(shù)據(jù),制定出“一口價(jià)”匯率法的以下內(nèi)容
• The Chinese Yuan against the US dollar
中國(guó)人民幣兌美元
• The Chinese Yuan against the Swiss Franc
中國(guó)的人民幣兌瑞士法郎
相關(guān)文章
UKthesis provides an online writing service for all types of academic writing. Check out some of them and don't hesitate to place your order.