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1、INTERNATIONAL FISHER EFFECTInternational Financial Management2024/9/51Economics School, DUTDivision of The Group MembersContentsNamesDefinitionLiu Yongjun, Jin Wenbo, Deng yuwenTheory applicationYang Bowen, Cao Yi, Li ChenCaseWang Yin, Ji Bao, Kai QiSignificanceYu Lijie, Tang Ning2024/9/52Economics
2、School, DUTDefinitionlFrom Fisher Effect to International Fisher EffectPresent CurrencyFuture CurrencyNominal interest rateBut what?Actual interest rate2024/9/53Economics School, DUTDefinitionlFisher Effect:lNominal interest rate = Actual interest rate + Inflation ratelCombine PPP with Fisher Effect
3、:lThen we can get the International Fisher Effect:lOr1+r=（1+）（1+E(i)）St/So(1Pd)/(1Pf)(1id)/(1if)St/So(1id)/(1if)（StSo）/So(idif)/(1if)2024/9/54Economics School, DUTApplicationl1.Interest rateInterest rate go highgo highexpecting inflation rate expecting inflation rate go highgo highCurrency Currency
4、devaluationdevaluation2024/9/55Economics School, DUTApplicationl2.lIn 2007lJapan, prime interest rate:0.5%, l loan rate :around 1.5% lAustralia, deposit rate :6.25%Huge Carry tradeHuge Carry tradeCurrency Currency revaluationrevaluationMore Hot Money More Hot Money flow inflow inCPI CPI go highgo hi
5、ghBank Bank add add deposit ratedeposit rateCause a vicious circleCause a vicious circle2024/9/56Economics School, DUTDifference between IFE & RPlIn rate parity, even in the reality trade, the arbitrator can have the observed value of all the four variables（Ft，St，id，if）, however in IFE, the investor
6、 can only get three of them（E（St+1）, and the forth variable is the expecting value can only be known after the investment. lIn the reality trade, IFE involve foreigner investment include exchange risk. However, the foreigner investment RP involved has no exchange risk.2024/9/57Economics School, DUTS
7、hortagesl1.In short-term the actual data is very different from the theory.l2.Many currency has foreign exchange risk premium, kinds of uncovered arbitrage activities distort the money market. So in many situation the change of the exchange rate will higher than the difference of two countries interest ratel3.Assume the actual interest rate among the all countries is equal is not suit the reality. Actually, the more IFE make sense, the more unifying commodity market and financial market is.2024/9/58Economics School, DUTThank you for your attention2024/9/59Economics School, DUT
