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
Foreign Exchange Markets
外匯市場
• In this lecture
在這個演講中
• Review of Exchange Rates
匯率回顧
• Arbitrage
套匯
• Law of One Price (LOOP)
一價定律(LOOP)
• Purchasing Power Parity (PPP)
購買力平價(PPP)
• Interest Rate Parity (IRP)
利率平價(IRP)
• Uncovered interest parity (UIP)
無拋補利率平價(UIP)
• Covered interest parity (CIP)
補利率平價(CIP)
• Exceptions to the rule – does PPP (and IRP) hold?
該規則的例外 – 是否持有PPP(IRP)?
• Non-tradeable goods
非流通貨物
• Long-run conditions
長期運行條件
• Inflation in international transactions
在國際交易中的通貨膨脹
• Relative Purchasing Power Parity
相對購買力平價
• The Fisher effect
費雪效應
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’
當然,它也可以被引用的其他方式,英鎊需要購買'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!
爭取仔細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:
貨幣價格是由它的需求和供應:
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#分頁標題#e#
Eaker, Fabozzi & Grant, 1996, p.563
套利涉及同時購買和出售資產,如貨幣,以不同的價格。它產生無風險的利潤,瞬時“伊克,法博齊 - 格蘭特,1996,P.563
Arbitrage
套利
• If markets work efficiently, no arbitrage opportunities should exist..
如果市場高效地工作時,沒有套戥的機會的應該存在的
– ‘Arbitrageurs’ will repeatedly purchase the item in the relatively cheap market, driving up (demand and therefore) prices;
“套利”會反復購買該項目在價格相對便宜的市場,哄抬價格(需求,因此)
– and they will repeatedly sell the item in the relatively expensive market, raising supply and driving down prices.
他們會反復出售該物品在相對昂貴的市場,提高供給和壓低價格。
LOOP – the ‘Law of one price’
LOOP - “一價定律”
• Arbitrage is the principal mechanism behind the ‘Law of One Price’ (LOOP) in international economics.
套利是背后的“一口價法則“(LOOP)在國際經濟學的主要機制
• ‘The law of one price states that identical goods must sell at identical effective prices’
Eaker, Fabozzi, & Grant, 1996, p.566
法律一價狀態,相同的貨,必須在相同的有效價格出售'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
“有效價格”將在另一國貨幣的價格,“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?
一個面包成本£0.50在英國但成本0.60美元在美國,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——中國最便宜的,和瑞士最貴的!
Question: Using prices to work out exchange rates
提問:使用價格匯率
• Using the Big Mac data, work out the ‘law of one price’ exchange rate for the following:#p#分頁標題#e#
使用的巨無霸的數據,制定出“一口價”匯率法的以下內容
• The Chinese Yuan against the US dollar
中國人民幣兌美元
• The Chinese Yuan against the Swiss Franc
中國的人民幣兌瑞士法郎
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