国际金融课件--Chapter_2._Foreign_Exchange_&_Exchange_Rate(外汇与汇率

单击此处编辑母版标题样式,*,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,Chapter 2. Foreign Exchange & Exchange Rate,第二章 外汇与汇率,一 外汇(Foreign Exchange),Dynamic: 国际汇兑,行为,。,Static: 以外币表示的。,形态：1. 钞票；2.有价证券；3.支付凭证；,4.其他（可以转换成外汇的对外要求权）。,1,Characteristics of FE,二 外汇的特征：,以外币表示，可用于对外支付的,金融,资产。,物资偿付保证，各国普遍接受。,充分的可兑换性,(Convertibility),。,(1) Convertible;,经常项目没有任何限制；,资本项目也比较宽松。,(2) Restricted Convertible;,在经常项目,上对居民有限制，对非居民无限制。资本,项目原则上管制。,(3) Non-convertible;,对经常项目和资本项目,都管制。,2,Review of Marxist,货币,是充当,一般等价物,的一种,特殊商品,。,货币的职能：(1)价值尺度；(2)流通手段；(3)贮藏手段；(4)支付手段；(5)世界货币。,3,Variety of FE,三 外汇的种类：,（一）来源和用途：,贸易/非贸易,（二）自由兑换性：自由/记帐（三）买卖交割期：即期/远期,四 外汇的作用：,4,Foreign Exchange Rate,外汇汇率,Krugman: The Price of one currency in terms of another.,一国货币折算成另一国货币的比率。,5,The Adapted Speech from VIP-1,谈到价格比较就离不开汇率，因为中国货是用人民币标价的，而美国货是用美元标价的，没有汇率的话，二者无法进行比较，这里就产生汇率如何规定的问题。很遗憾地，,现在中国绝大多数的外贸教科书上对汇率的解说是含混不清的，一般都说汇率是两种货币购买力的比。,然而，以人民币和美元购买力来讲，二者的比取决于买什么东西。如果买旅游鞋，大概是四元人民币合一美元，但是如果买汽车，大概是十五元人民币合一美元，这不叫人糊涂吗？其实，正因为两种货币购买力之比是变化的，它取决于买什么商品，这才有外贸。,6,The Adapted Speech from VIP-2,如果不论买什么东西购买力的比都相同的话，就不会有任何贸易。如果汇率发生变化，价格比较跟著会变，比较优势也就会发生变化。比如说，如果中国增加了许多粮食或石油进口，外汇入不敷出的话，人民币将贬值，有些原来不值得出口的商品，现在变得可以出口了。这说明比较优势随著宏观的外贸形势而变，,并不仅仅取决于商品生产本身的成本。至于汇率如何决定，就不在本文中讨论了。,7,Direct Quotation,直接标价法：,一单位外国货币=若干本国货币。,US$ 100 = RMB 827.70,JP, 100000 = RMB 7820.10,HK$ 100 = RMB 106.12,世界上绝大多数国家，中国使用。,8,Indirect Quotation,间接标价法：,一单位本国货币=若干外国货币。,英国伦敦外汇市场使用。美国对英镑的标价使用。,直接和间接的,倒数,换算关系：,9,Other Classifications,按汇率制度，政策分：,固定汇率 Fix Rate,浮动汇率 Floating Rate,8.27,8.27 + 0.25 = 8.52,8.27 - 0.25 = 8.02,干预,10,基本汇率,vs,套算汇率,Basic rate,vs,Cross rate,Based on the key currency and calculate other rates. It is a triangle relationship.,香港把美元作为关键货币计算出基本汇率为,1,美元,=7.86,港元，如果纽约市场上,1,英镑,=1.63,美元，那么，港币对英镑的汇率就可以套算出来,1,英镑,=7.861.63=12.81,港元,11,币别Currency,中间价Middle,A,买入价Buying,B,卖出价Selling,C,现钞买入价Bank Notes,美元,827.70,826.46,828.94,807.84,说明：,A=(B+C)/2,公布汇率,银行买入,客户卖出,银行卖出,客户买入,运费+保险费2-3%,外汇兑换牌价,12,Defray and Speed,电汇,Telegraphic Transfer Rate/,常用；又称基础汇率；贵。,信汇,Mail Transfer Rate,；,港澳用,票汇,Demand Draft Rate /Sight Bill,；,(1),即期外汇汇票；,(2),长期汇票汇率。便宜。,根据银行占用客户资金长短来定价格。,13,Date of Delivery,即期,汇率,/,现汇汇率：,Spot Rate;,两个营业日内交割。,远期汇率,/,期汇汇率：,Forward Rate; 1,月,1,年交割。,升水,(At Premium):,远期,即期；,贴水,(At Discount):,远期,即期；,平价,(At Par):,远期,=,即期；,14,Examples:,间接标价法,：升水即期-升水（英镑与美元）,即期汇率：1.8870,1.8890,升水： 103, 98,远期汇率：1.8767,1.8792,直接标价法,：升水即期+升水（马克与美元）,即期汇率：2.2690,2.2720,升水： 118, 128,远期汇率：2.2808,2.2848,15,Official vs Market,官方汇率,Official Rate:规定法定价值：,贬值Devaluation;升值Revaluation;,市场汇率,Market Rate:由市场供求关系决定波动：,下浮Depreciation;上浮Appreciation,场内（交易所）和场外（黑市）,16,Other Terms,开盘价 Opening Rate,收盘价 Closing Rate,商业汇率 Commercial Rate,金融汇率 Financial Rate,单一汇率 Uniform Rate,双重汇率 Dual Rate复汇率 Multiple Rate/,17,Real Exchange Rate,名义汇率,双边汇率,有效汇率,Nominal Rate: Bilateral Rate &,Effective Rate,至于所兑换到的另一种货币实际上能购买多少商品和劳务则未能表示出来。,18,实际汇率,(RER)=,名义汇率,-,通货膨胀率,扣除通货膨胀因素的实际汇率可以下式表示,:,P* e = E,P,其中，,e,：,实际汇率；,E,：,名义汇率；,P*,：,外国的价格指数；,P,：,本国的价格指数。,P,T,为,贸易商品的价格；,P,N,为非贸易商品的价格。,主要目的是测量竞争地位的变化。,19,Determinant of Exchange Rate,汇率的决定基础及影响汇率变动的主要因素,一 汇率的决定基础,（一）国际金本位制度下,各国规定了每一金铸币单位包含的黄金重量与成色，即,含金量Gold Content, 两国货币间的比价以含金量来折算。,20,Mint Par 铸币平价,两种货币的含金量对比叫铸币平价。,但外汇市场买卖时的价格在,黄金输送点,内波动。,黄金输送点=铸币平价,运费,$4.8665,+0.03,-0.03,$4.8965美国购买黄金运往英国,$4.8365用英镑购买黄金运回美国,21,Bank Note; Paper Money,（二）纸币流通制度下,纸币所代表的,价值量,（纸币的,购买力,）是决定汇率的基础。,发行纸币的物质准备；可以是黄金或其他。,22,Main Factors affecting FER,二 影响汇率变动的主要因素,利率：国际游资流向利润高的地方,国际收支：顺差国的货币需求,通货膨胀：贬值,外汇市场干预：中央银行买卖外汇,宏观经济政策：扩张还是紧缩,市场预期心理：,Sixth Sense,其他：股票，债券，石油价，战争,23,Impact on the Economy,三 汇率变动的经济影响 （贬值，逆差国）,对经常项目：,出口量，出口值，进口量，进口值；需求弹性，供给弹性；,J,曲线效应；生产要素的进口替代性。,对贸易条件：,出口商品单位价格变动率,/,进口商品单位价格变动率 比率；需求弹性，供给弹性。,对无形贸易收支,：旅游和侨汇收入,24,2. 对物价水平：,引发通货膨胀和贬值的恶性循环 (1) 进口物价带动工资；(2)进口原材料，设备出口商品。,4. 对资本输出入：,影响对贬值货币的信心；(1)资本外逃和货币替代；(2)有利于直接投资FDI;,5. 对国民收入再分配：,与出口相关部门得益；与进口相关部门受损。,6. 对生产要素利用：,劳动密集型；资本技术密集型；技术密集型；,25,Adverse cycle of devaluation,本币贬值,出口减少,进口增加,价格上升,出口增加，,进口减少,26,Exchange Theories,西方汇率理论,一 国际借贷说(Theory of International Indebtedness),葛逊(Goschen),Points: 国际借贷（流动债权债务）,外汇的供求外汇汇率。,For detail, please click,27,二 汇兑心理说 (Psychological Theory of Exchange),阿夫达里昂(Aftalion),Points: Marginal Utility,人们主观评价中的边际效用来决定外币价值。,主观到客观，而客观又反过来影响主观。,观察和实证上升到经验，经验来说明现象。,28,Purchasing Power Parity (PPP),三 购买力平价说,卡塞尔(G. Cassel) 1916年,PPP states that exchange rate between two countries currencies equal the ratio of countries price levels. It highlights important factors behind exchange rate movement.,两种货币购买力之比决定两国货币的汇率。,29,The same commodity,It costs $200 in U.S;,It costs DM600 in Germany,The Law of One Price:,Identical goods sold in different countries must sell for the same price when their prices are expressed in terms of the same currency if there are no transportation cost and tariff.,30,Absolute PPP & Relative PPP,过渡等式,相对购买力平价说,Inflation rate,t,denotes price changes between,t,and,t,-1.,31,The U.S. price was nearly 89 percent higher than the Chinas Price,Countries and regions,Prices in local currency,Implied PPP of the dollar,Actual exchange rate 10/4/92,% over (+) of under(-) valuation of dollar,China,Yuan 6.30,2.88,6.32,+89,Hong Kong,HS$ 8.90,4.06,7.73,+91,Italy,Lire 4100,1872,1233,-34,Japan,Yen 380,174,133,-24,Singapore,S$ 4.75,2.17,1.65,-24,U.S.A.,$ 2.19,The hamburger standard, Big Mac Prices,32,A Long-Run Exchange Rate Model Based on PPP, PPP does badly.,33,The actual mark-dollar exchange rate and the PPP-implied exchange rate,34,Empirical Study on PPP,PPP 的技术问题：,物价指数的选择：,GDP deflator; Wholesale Price Index; Consumer Price Index,商品分类上的可比性：,tradable goods; non-tradable goods; commodity basket;,基期和连续数据：,It requires data of 100 year or more.,统计数据的检验：,Unit-root test;,Cointegration,test and so on.,35,PPP: an monetary approach?,购买力平价说的理论基础是,货币数量说,。它假定货币数量是影响货币购买力和物价水平的唯一因素。,The exchange rate is fully determined in the,long run,by the relative supplies of those monies and the relative real demands for them.,It is monetary approach to the exchange rate. (Money supplies, interest rates and output levels),36,Interest Rate Parity Theory-1,四 利率平价说： 凯恩斯(J.M. Keynes) 1923,Points: 资本从利率低的国家转移至利率高的国家。但同时为防范汇率风险，要将未来收回的投资资本本息远期售出。表现为：利率较高的国家的即期汇率因购买增多而上升，其远期汇率因抛售增多而下跌。一直到两国投资收益相等为止。,The foreign exchange market is in equilibrium when deposits of all currencies offer the same expected rate of return.,For Details, Please Click,37,Interest Rate Parity Theory-2,i,=本国利率；i*=外国利率；,e,s,=直接标价法下的即期汇率；,e,f,=直接标价法下的远期汇率；,(,1+i,)=一单位本币在国内投资到期所获收益；,=一单位本币投资国外到期收益；,由于,i*,比,1,小得多，故,38,Todays dollar/DM exchange rate,Interest rate on DM deposits,Expected dollar depreciation rate against DM,Dollar return on DM deposits,0.395,0.05,-0.03,0.02,0.383,0.05,0.00,0.05,0.375,0.05,0.02,0.07,0.370,0.05,0.035,0.085,0.365,0.05,0.05,0.10,Todays dollar/DM exchange rate and the expected dollar,Return on DM deposits when,39,Dollar interest rate,DM interest rate,Expected rate of dollar depreciation against DM,Rate of return difference between dollar and DM deposits,0.10,0.06,0.00,0.04,0.10,0.06,0.04,0.00,0.10,0.06,0.08,-0.04,0.10,0.12,-0.04,0.02,Comparing dollar rates of return on dollar and DM deposits,40,Uncovered Interest Parity-1,以上所说的是“抛补利率平价说”(Covered Interest Parity-CIP)即套利者通过抛补套利活动可以赚取无风险的利润。,现在再进一步“不抛补的利率平价”说”,(Uncovered Interest Parity-UIP),。套利者可以让其未来的外币收益头寸（本金+利息）在时间,t,不加抛补，并一直等到时间(,t,+1)再安排按(,t,+1)时的即期汇率 （直接标价法）重新换成本币。与 不同， 的值在时间,t,是未知的，因此，持有不抛补头寸的吸引力必须根据,的不同结果出现的概率予以评估。,41,Uncovered Interest Parity-2,UIP要求市场使本币资产的收益与外币资产的未抛补头寸的收益在时间,t,时的预期值,E,t,保持均衡， 即：,国内外利率之差等于一百分率表示的本币的预期贬值率（或升值率）。,42,Uncovered Interest Parity-3,The interest parity relationship can also be used to illustrate the concept of,effective return,on a foreign investment.,If the forward exchange rate is equal to the expected future spot rate, then the forward premium is also equal to the expected change in the exchange rate and,uncovered interest rate,parity,will hold. (i.e., The expected change in the exchange rate is equal to the interest differential.),43,Theory of Portfolio Selection,流动资产选择说； 托宾,(James Tobin),Points:,投资者选择和调整资产组合（现金和有价证券）一直到各种 资产的预期边际收益率相等为止。各种外币资产的增减是投资者调整其外币资产比率的结果。这种调整引起汇率变动。,For Details,International trade in assets can make both parties to the trade better off by allowing them to reduce the riskiness of the return on their wealth. = Asset Approach,44,Monetary Approach,货币主义汇率理论,For Details, Click,Points:,在一价定律成立的基础上，汇率是由货币市场的货币存量来决定。并且还取决于本国与外国的国民收入和预期通货膨胀率的变动。,货币供应量价格 购买力平价 汇率,国民收入 货币供应量不变购买力平价 汇率,名义利率和通货膨胀是朝着同一方向变化的。,45,通货膨胀和利率长期变动趋向一致,46,Fisher Effect,The long-run relationship between inflation and interest rates.,Example: If US inflation were to rise from 5% to 10% per year, dollar interest rates would eventually catch up with the higher inflation, rising by 5% per year from their initial level. In the long run, purely monetary developments should have no effect on an economys relative price,名义利率=实际利率+预期通货膨胀率,47,