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1、,第一章 国际平价条件与汇率预测,基本内容,有关外汇与汇率的基本知识 汇率变化幅度的测定 汇率变化的影响因素 购买力平价 利率平价 国际费雪效应（第四、五章）,外汇市场,An exchange rate measures the value of one currency in units of another currency. Markets Spot market Trade in cash with delivery in two business days Forward market Trade at a pre-specified price and on a pre-speci
2、fied future date Volume $1.2 trillion average daily volume during 2001 75% of trade is in the interbank market（75%的交易是银行之间的外汇交易，其日均交易额达1.2trillion 美元）,FX turnover by currency,Source: Bank for International Settlements (www.bis.org), March 2002.Percentages sum to 200 because two currencies are involv
3、ed in each transaction.,Participants in the fx market,Wholesale marketDealers (or market makers)Buy and sell at quoted bid and offer pricesBrokersServe as matchmakers, without putting their own money at risk Retail market Governments Corporations Smaller financial institutions Individuals,Two rules
4、for multinational finance,Rule #1 Keep track of your units （注意货币单位） Rule #2 Always buy or sell the currency in the denominator of a foreign exchange quote（买卖的货币是指外汇标价中处于分母的货币）,Rule #1 Keep track of your units,A bottle of Georges de Bouef merlotBuy 1 bottle of wine P = 40/btlSpot exchange rate S$/ =
5、$0.80/ S/$ = 1/S$/ = 1.25/$ How much is this in dollars? P$ = PS$/ = (40/btl) ($0.80/) = $32/btl= P/S/$ = (40/btl) / (1.25/$) = $32/btl How much is this in dollars? P$ = P S/$ = (40/btl) (1.25/$)= 250 / (btl$) 这是什么? 因此，Keep track of your currency units,Rule #2 Think of buying or selling the asset in
6、 the denominator,先从商品买卖说起，Buying and selling a bottle of wineBuy a bottle at 40/btl and sell at 50/btl 10/btl profit。在这里买卖的对象是分母中的wine。 Buying or selling a foreign currency is like buying or selling any other asset. Buying and selling eurosBuy s at $0.80/ and sell at $1.00/Buy s at $0.80/ Sell $s at
7、 1.25/$ Sell s at $1.00/ Buy $s at 1.00/$ $0.20/ profit 0.25/$ profit,An example of what can go wrong,如果买卖价格弄错了，即如果Buy $s at $0.80/ and sell $s at $1.00/，结果会如何呢？Buy $s at $0.80/ Sell s at 1.25/$ Sell $s at $1.00/ Buy s at 1.00/$ $0.20/ loss 0.25/$ lossSo, Always think of buying or sellingthe currenc
8、y in the denominator!,FX quotation conventions （汇率报价惯例）,European/American quotes for the $ European quotes are convenient for a European because they place the foreign currency (the $) in the denominator（银行间报价多为欧式报价，即单位美元的外国货币汇率，因为美元是最经常交易的货币。）欧式标价法对当地人很方便。e.g. 1.25/$ American quotes are convenient
9、for an American because they place the foreign currency (the ) in the denominator美式标价法对美国人很方便。e.g. $0.80/,FX quotation conventions （汇率报价惯例）,Direct/indirect quotes for foreign currency f Direct quotes are convenient for a domestic resident because they place the foreign currency in the denominator (d
10、/f); e.g. 110.95/ for a resident of Japan Indirect quotes are inconvenient for a domestic resident because they place the foreign currency in the numerator (f/d);e.g. 110.95/ for a resident of Europe,汇率变动幅度的测定,When a currency declines in value, it is said to depreciate. When it increases in value, i
11、t is said to appreciate. 外国货币相对于本国货币的变动百分比 The percentage change (% D) in the value of a foreign currency is computed as:A positive % D represents appreciation of the foreign currency, while a negative % D represents depreciation. 本国货币相对于外国货币汇率的变动百分比,人民币再创新高 汇率双向波动将更趋明显,人民币汇率,一年来美元兑人民币汇率,汇率变动幅度的测定,例
12、如：美元兑人民币的汇率从2005年7月21日的$1=8.1100RMB变为2012年8月24日的$1=6.3564RMB,请计算美元相对于人民币的变化幅度和人民币相对于美元的变化幅度？ 解：美元相对于人民币的汇率变动率=（6.3564-8.1100）/8.1100 = -21.6% 人民币相对于美元的汇率变动率=（8.1100-6.3564)/6.3564 =27.6%,人民币兑欧元汇率变动,例如：人民币兑欧元汇率: 2005年7月21日: 1=10.0641RMB 2010年3月4日: 1=9.3482RMB欧元相对于人民币的汇率变动率=（9.3482-10.0641）/10.0641= -
13、7.1% 人民币相对于欧元的汇率变动率=（10.0641-9.3482)/9.3482=7.7%,RMB. inflation 中国对美国商品的需求增加,因而外汇需求也增加 美国对中国商品的需求减少,因而美元外汇供应减少,影响汇率变化的因素,1.Relative Inflation Rates,RMB. interest rates 人民币对美元存款的需求减少,因而外汇需求下降 美元对人民币存款的需求增加,因而外汇供给增加,影响汇率变化的因素,2.Relative Interest Rates,RMB. income level 人民币对美国商品需求增加,因而外汇需求上升 对外汇供给的影响不无
14、法预测,影响汇率变化的因素,3.Relative Income Levels,S1,4.Government Controls imposing foreign exchange barriers（设置外汇交易障碍）, imposing foreign trade barriers（设置贸易障碍）, intervening in the foreign exchange market（干预外汇市场）, affecting macro variables such as inflation, interest rates, and income levels.（影响宏观变量）,影响汇率变化的因素
15、,5.Expectations Foreign exchange markets react to any news that may have a future effect. 当市场预计某种货币趋跌时，交易者会大量抛售该货币，造成该货币汇率下浮的事实；反之，当人们预计某种货币趋于坚挺时，又会大量买进该种货币，使其汇率上扬。由于公众预期具有投机性和分散性的特点，加剧了汇率短期波动的振荡。,影响汇率变化的因素,Expectations,Fed chairman suggests Fed is Strengthened unlikely to cut U.S. interest rates A
16、possible decline in German Strengthened interest rates Central banks expected to Weakened intervene to boost the euro,Signal Impact on $ Poor U.S. economic indicators Weakened,影响汇率变化的因素,6.Speculating 自1973年实行浮动汇率制以来，外汇市场的投机活动越演越烈，投机者往往拥有雄厚的实力，可以在外汇市场上推波助澜，使汇率的变动远远偏离其均衡水平。 投机的关键内容是低价买入、高价卖出，或者是高价卖出、低
17、价买入。,Purchasing Power Parity, or PPP,1.绝对购买力平价的基本内容 The absolute form of PPP, or the “law of one price”（Equivalent assets sell for the same price. ） suggests that similar products in different countries should be equally priced when measured in the same currency.这就是绝对购买力的基本公式 即，汇率取决于以不同货币衡量的可贸易商品的价格水平之比，也就是不同货币对可贸易商品的购买力之比。,
