13-Ch14-2外汇市场模型.pptVIP

Ch14.2 A model of foreign exchange markets 回忆外汇资产需求 Equilibrium in the Foreign Exchange Market When market participants willingly hold the existing supplies of deposits of all currencies, this implies that the foreign exchange market is in equilibrium. Parity The equivalent in value of a sum of money expressed in terms of a different currency at a fixed, official rate of exchange. Equality of prices of goods or securities in two different markets. Interest Parity:The Basic Equilibrium Condition The basic equilibrium condition The foreign exchange market is in equilibrium when deposits of all currencies offer the same expected rate of return. Interest parity condition The expected returns on deposits of any two currencies are equal when measured in the same currency. It implies that potential holders of foreign currency deposits view them all as equally desirable assets. The expected rates of return are equal when: 汇率决定理论之一----利率平价理论 利率平价是外汇市场的基本均衡条件 1. 当所有的货币存款都提供相同的预期收益率时,外汇市场处于均衡状态。 2. 用相同货币衡量的任意两种货币存款的预期收益率相等的条件，称作利率平价条件。 利率平价又称未抵补利率平价（interest Parity or Uncovered Interest Parity ） How Changes in the Current affect Expected Returns Depreciation of a country’s currency today lowers the expected domestic currency return on foreign currency deposits. Appreciation of the domestic currency today raises the domestic currency return expected of foreign currency deposits. Table 13-4: Today’s Dollar/Euro Exchange Rate and the Expected Dollar Return on Euro Deposits When Equilibrium in the Foreign Exchange Market The Equilibrium Exchange Rate Exchange rates always adjust to maintain interest parity. Assume that the dollar interest rate R$, the euro interest rate R€, and the expected future dollar/euro exchange rate Ee$/€, are all given. Equilibrium in the Foreign Exchange Market Uncovered Interest Parity （此部分英文书上没有,可参照P354） Uncovered Interest Parity UIP is a condition relating interest differentials to an expected change