Purchasing Power Parity (PPP)
購買力平價(jià)(PPP)
• Purchasing power parity (equal spending power) would count for two countries if LOOP held for all goods and services:
購買力平價(jià)(平等消費(fèi)權(quán))指望兩個(gè)國家如果循環(huán)舉行的所有商品和服務(wù):
• LOOP: Pi$ = $/£ELOOP. Pi£
• PPP:
aUSSPi$ = E$/£. aUK SPi£
Where:
aUS,UK = ‘weights’ on US/UK spending on items
E = exchange rate (loop for single items, or overall exchange rate)
S = summation sign for all i = 1 to ‘n’
P$/£ = prices of US/UK items
PPP – in brief
PPP - 簡(jiǎn)要
http://ukthesis.org/gjswglzy
• As ‘aUSSPi$’ is really just a price index for the USA, this can be rewritten:
PUS=S$/£.PUK
or P*=S.P
Where:
PUS/UK= a price index for the US/UK; or
P* = ‘foreign’ price level;
S($/£)= is the ‘spot’ market exchange rate.
N.B. – if you ever get strange results from this, check the way the exchange rate has been calculated!
Interest Rate Parity (IRP)
利率平價(jià)(IRP)
“
• Interest rate parity again comes from the Law of One Price (LOOP): ‘assets of equal risk should offer the same return, regardless of the currency of denomination.’
利率平價(jià)又來自一價(jià)法(LOOP):等于風(fēng)險(xiǎn)資產(chǎn)應(yīng)該提供相同的回報(bào),無論面額的貨幣。
Eaker et al. p.126
• There are two reasons for participating in foreign exchange – exporting/importing goods and services, or for purposes of overseas investment
有兩個(gè)原因參加外匯 - 出口/進(jìn)口商品和服務(wù),或用于海外投資
• Purchasing power parity suggests that the exchange rate will change until goods’ & services’ prices are equivalent.
購買力平價(jià),表明匯價(jià)將改變,直到貨物及服務(wù)的價(jià)格是相等的。
• Interest rate parity suggests instead that it adjusts until returns on domestic and overseas investments are equivalent.
利率平價(jià)理論,而不是建議調(diào)整,直到國內(nèi)和海外投資的回報(bào)是相等的。
• There exist two types of interest parity – covered and uncovered interest parity.
存在兩種類型的利率平價(jià) - 覆蓋與拋補(bǔ)利率平價(jià)。
Uncovered Interest Parity
無拋補(bǔ)利率平價(jià)
• Uncovered Interest Parity (UIP)
• rUK = rUS + [(£/$S - £/$Se)/ £/$S]
Where:
$/£S = the ‘spot’ market rate of $s to buy £s today#p#分頁標(biāo)題#e#
$/£Se = the expected ‘spot’ market rate at the end of the investment
$/£S - $/£Se = the extra income from any appreciation of the exchange rate over the value expected for the end of the investment
r = interest rate in the UK (£) or US ($)
Source: Econ 405B Lecture Two pp.9-11
Exchange rate quotes
匯率報(bào)價(jià)
• UK quote exchange rates as number of $s for £1 – S$/£
• US quote them as number of £s for $1 (reverse) – S£/$
• Technically, one is the inverse of the other so that:
S$/£ = 1 / S£/$
E.g. If UK exchange rate is $2 (per pound) US exchange rate is…. ½ = 0.5 (£s per $)
Which exchange rate matters??
匯率事宜?
1. When you move money from the UK to the US, the UK exchange rate matters – the number of $s per £1
當(dāng)您將錢從英國到美國,英國匯率事宜 - $ s的每1英鎊
e.g. £100 becomes 100 x S$/£
this would be 100 x 2 ($s per £)= $200
例如£100成為100個(gè)S/美元英鎊,
這將是100×2($ s每英鎊)=200美元
2. You then invest this in a US government security paying 5% for a year:
然后,您可以投資在美國政府的安全支付5%的一年:
Value then = $200 x (1+0.05)
= $210
3. You then transfer the money back home – so you have to use the US money markets – where their rate was 0.5 (£s per $1)
然后你的錢轉(zhuǎn)移回了家 - 所以你必須使用美國的貨幣市場(chǎng) - 他們率為0.5(£s每1美元,)
$210 x 0.5 = 105 (now £s)
• This would be equivalent to investing in the UK at 5%, which would also have paid £105.
這將相當(dāng)于在英國投資的5%,這也將支付105英鎊。
• But this assumes the £/$ exchange rate (in US) didn’t get any worse!
但是這個(gè)假設(shè),英鎊/美元的匯率在(美國)沒有得到任何更糟!
Expected returns
預(yù)期回報(bào)
• If a UK investor puts £1 into a government bond for a year, it will be worth £1.(1+rUK).
如果一個(gè)英國投資者將1到一年的政府債券,這將是英鎊1(1 + RUK)。
• If they chose to put this into a US government bond, they would have to do two foreign exchange deals – change their £1 into dollars at the start of the contract, and change the dollars paid back into £s at the end
如果他們選擇到美國政府債券,他們將不得不做兩個(gè)外匯交易 - 改變自己的1英鎊成美元的合同開始,改變美元在年底為英鎊£s后支付
• The expected value of this investment would equal:#p#分頁標(biāo)題#e#
£1.$/£S.(1+rUS).£/$Se
Where:
£/$Se = expected spot exchange rate of £s for $s in the US foreign exchange market – could be written as (1/$/£Se) i.e. the inverse of the expected spot rate $s per £ in the UK market
• But this investment is subject to foreign exchange risk…
但是這種投資受到外匯風(fēng)險(xiǎn)
Covered Interest Parity
補(bǔ)利率平價(jià)
• Covered Interest Parity (CIP) involves the use of forward contracts to remove risk of foreign exchange changes
補(bǔ)利率平價(jià)(CIP)涉及使用遠(yuǎn)期合約,以消除外匯變動(dòng)風(fēng)險(xiǎn)
• If a UK investor puts £1 into a government bond for a year, it will be worth £1.(1+rUK).
如果一個(gè)英國投資者將1到一年的政府債券,這將是英鎊1(1 + RUK)。
• If they chose to put this into a US government bond, they would have to do two foreign exchange deals – but here they change their £1 into dollars at the start of the contract, and simultaneously enter a forward exchange contract to change the dollars paid back into at the end of the investment
如果他們選擇到美國政府債券,他們會(huì)做兩外匯交易 - 但在這里,他們改變他們的1英鎊成美元的合同開始,并同時(shí)進(jìn)入一個(gè)改變美元的遠(yuǎn)期外匯合約在年底的投資為英鎊£s后支付
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