国际财务管理 英文课件Chap006.pptVIP

ExpectedRateofChangeinExchangeRateasInterestRateDifferential=F($/€)–S($/€)S($/€)i$–i€1+i€E(e)=≈i$–i€Giventhedifficultyinmeasuringexpectedinflation,managersoftenusea“quickanddirty”shortcut:通胀率难以预测常常用利率差大概估计≈i$–i€?$–?€EvidenceonPPPPPPprobablydoesn’tholdpreciselyintherealworldforavarietyofreasons.购买力平价出于各种原因可能难以成立Haircutscost10timesasmuchinthedevelopedworldasinthedevelopingworld.象理发医疗房屋等价格差异很大但不可贸易Film,ontheotherhand,isahighlystandardizedcommoditythatisactivelytradedacrossborders.另外有些高标准商品边贸活跃Shippingcosts,aswellastariffsandquotas,canleadtodeviationsfromPPP.交通、关税及配额等PPP-determinedexchangeratesstillprovideavaluablebenchmark.购买力平价依旧提供了一个汇率基准价值意义。ApproximateEquilibriumExchangeRateRelationshipsE(?$–?￡)≈IRP利率平价≈PPP购买力平价≈FE费雪效应≈FRPPP远期购买力平价≈IFE国际费雪效应≈FEP远期预期平价SF–SE(e)(i$–i￥)TheExactFisherEffects费雪效应Anincrease(decrease)intheexpectedrateofinflationwillcauseaproportionateincrease(decrease)intheinterestrateinthecountry.预期通货膨胀率增加(减少)将导致利率按比例增加(减少)。FortheU.S.,theFishereffectiswrittenas:1+i$=(1+?$)×E(1+?$)Where: ?$istheequilibriumexpected“real”U.S.interestrate. E(?$)istheexpectedrateofU.S.inflation. i$istheequilibriumexpectednominalU.S.interestrate.InternationalFisherEffect国际费雪效应IftheFishereffectholdsintheU.S.,1+i$=(1+?$)×E(1+?$)andtheFishereffectholdsinJapan,1+i￥=(1+?￥)×E(1+?￥)andiftherealratesarethesameineachcountry, ?$=?￥thenwegettheInternationalFisherEffect:推导出国际费雪效应E(1+?￥)E(1+?$)1+i$1+i￥=InternationalFisherEffectIf theInternationalFisherEffectholds,费雪效应成立thenforwardratePPPholds:购买力平价也成立E(1+?￥)E(1+?$)1+i$1+i￥=andifIRPalsoholds,利率平价也成立1+i$1+i￥S￥/$F￥/$=E(1+?￥)E(1+?$)=S￥/$F￥/$PPPFRPPP远期购买力平价FE费雪效应FEP远期预期平价