国际金融 任康钰 第04章.pptVIP

4.3 资产组合平衡模式（Portfolio Balance Model of Exchange Rate） 代表人：布朗逊·库礼（P.Kouri）等 主张：用“收益—风险”分析法取代通过套利和商品套购机制的分析，来探讨国内外资产市场（货币和证券）的失衡对汇率的影响。 假定：接受了多恩布茨关于短期内价格粘性的看法；各国资产不具有完全替代性；小国模型。 推导：托宾的“资产组合选择理论”的中心论点是，理性的投资者会将其拥有的财富，按照收益与风险的权衡，配置于可供选择的各种资产上。 贡献：将传统理论所强调的经常帐户收支纳入了汇率的资产市场说。 缺陷： ——商品市场的失衡如何影响汇率没有纳入其分析中； ——用财富总额代替收入作为影响资产组合的因素，但没有说明实际收入对财富总额的影响。 资产市场说总结： 一般均衡分析，将商品市场、货币市场和证券市场结合起来进行汇率决定分析，代替了局部均衡分析； 用存量分析代替了流量分析； 用动态分析代替了比较静态分析； 将长短期分析结合起来。 Effect of a Rise in the Dollar Interest Rate A depreciation of the euro is an appreciation of the dollar. 13-* Effect of a Rise in the Euro Interest Rate The Effect of an Expected Appreciation of the Euro Individuals and institutions now expect the euro to appreciate UIP in Practice Uncovered interest parity is hard to measure: requires expected future exchange rates Survey data does not match up precisely with UIP Statistical forecasts differ from UIP as well 2.2 Covered Interest Rate Parity (CIRP) 放松UIRP中关于投资者风险中性的假设。 以例子进行推导：见教材 公式： i: interest rate in domestic market; e*: forward rate; i*: interest rate in foreign market; e: spot rate. f= e* / e – 1 : 远期升（贴）水率 The forward premium (discount): the proportion by which a country’s forward exchange rate exceeds (fall below) its spot rate. (direct quotation) (1+i) = (1+i*)(f+1) i ≈ i*+f: 本国利率 = 外国利率 + 远期汇率变化率 CIRP：The domestic interest rate must be higher (lower) than the foreign interest rate by an amount equal to the forward discount (premium) on the domestic currency. 本国利率高于（低于）外国利率的差额等于本国货币的远期贴（升）水率。 规定了短期汇率波动的界限，较好地反映了外汇市场尤其 是开放程度较高的外汇市场上汇率波动的特点。比如在欧 洲货币市场上远期汇率就是利用两种货币的利率差异来计 算的。 Covered interest rate parity–the facts Three (to some extent overlapping) conditions are required for covered interest rate parity to hold: (1)?There must be sufficient speculation funds available （资金量要大，没有管制） (2)?We need the foreign exchange markets, spot or forward, to be organized, with well-defined and well-publicized rates freely available