普格尔《国际金融第17版》 英文全套教辅 1911页.docx
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普格尔《国际金融第17版》 英文全套教辅 1911页.docx
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普格尔《国际金融第17版》英文全套教辅1911页
Chapter19
WhatDeterminesExchangeRates?
Overview
Sincethegeneralshifttofloatingexchangeratesintheearly1970s,exchangeratesbetweentheU.S.dollarandothermajorcurrencieshavebeenvariableorvolatile.Thechartsatthebeginningofthechaptersuggestthreetypesofvariability.First,therearelong-termtrendsinwhichsomecurrenciestendtoappreciateagainstthedollar,andotherstendtodepreciate.Second,therearemedium-termtrendswhicharesometimescountertothelongertrends.Third,thereissubstantialvariabilityduringtheshortrun.Thechapterpresentswhatweknowaboutexchangemovementsduringthesetimeperiodsofdifferentlengths.
Thechapterfirstexaminesshort-runmovementsinexchangerates.ItpresentstheversionoftheassetmarketapproachtoexchangeratesthatfocusesondebtsecuritiesandtheuncoveredinterestparityrelationshipdevelopedinChapter18,presumingthatthisrelationshipholdsapproximatelyifnotexactly.Thebasicdiscussionexaminesthepressureonthecurrentspotexchangerateifoneoftheotherthreerates(thedomesticinterestrate,theforeigninterestrate,andtheexpectedfuturespotexchangerate)changes,withtheothertwoheldconstant.Ifthedomesticinterestrateincreases,thentheforeigncurrencydepreciates(thehomecurrencyappreciates).Iftheforeigninterestrateincreases,thentheforeigncurrencyappreciates.(Thetextnotesthatwhatreallymattersisthechangeintheinterestdifferential.)
Iftheexpectedfuturespotexchangeratevalueoftheforeigncurrencyincreases,thenthecurrentspotexchangeratevalueoftheforeigncurrencyincreases.Manydifferentthingscaninfluencetheexpectedfuturespotexchangerate.First,ifexpectationssimplyextrapolaterecenttrends,thenabandwagonispossible.Speculationthenmaybebasedondestabilizingexpectations—expectationsformedwithoutregardtotheeconomicfundamentals—and(speculative)bubblescanoccur.Second,ifexpectationsarebasedonabeliefthatexchangerateseventuallyfollowPPP,thentheyleadtostabilizingspeculation—speculationthattendstomovetheexchangeratetowardavalueconsistentwiththeeconomicfundamentalsofnationalpricelevels.Third,expectationsareaffectedbyvariouskindsofnewsabouteconomicandpoliticalcircumstances.
Thechapterthenexamineslongtrendsinexchangerates.Ourunderstandingofexchangeratesinthelongrunisbasedonthepurchasingpowerparity(PPP)hypothesis.ThreeversionsofPPParepresented:
thelawofonepriceforasingleproduct,absolutePPP,andrelativePPP.
AbsolutePPPpositsthatabasketofproductswillhavethesamepriceinallcountrieswhenthepricesareconvertedintoasinglecurrencyusingthemarketexchangerates.InsymbolsabsolutePPPisP=ePf(ore=P/Pf),wheretheP'sareprices(measuredinlocalcurrencies)inthehomeandforeigncountries,andeistheexchangeratemeasuredasunitsofdomesticcurrencyperunitofforeigncurrency.Whenweexamineactualpricesandexchangerates,divergencesfromabsolutePPP(andthesimplerlawofoneprice)canbelarge.
RelativePPPpositsthattheexchangeratewillchangetooffsetdifferencesintheratesofproductpriceinflationindifferentcountries.Insymbols,(et/e0)=(Pt/P0)/(Pf,t/Pf,0),wherethesubscript0indicatestheinitialyearvaluesandthesubscripttindicatesvaluesinasubsequentyear.ThetextpresentsevidenceontherelativeversionofPPPbyexamininginflationrates(ratesofchangeofproductprices)indifferentcountriesandtheratesofthechangeoftheexchangeratebetweenthecountries'currencies.ArelationshipconsistentwithrelativePPPisclear—low-inflationcountriestendtohaveappreciatingcurrenciesandhighinflationcountriestendtohavedepreciatingcurrencies.Inaddition,examinationofthedollar-markanddollar-yenexchangeratesshowsthatthereisatendencytofollowrelativePPPinthelongrun,butthattherearealsosubstantialdeviationsfromrelativePPPintheshortrun.
Ifexchangeratesfollownationalpricelevelsinthelongrun,whatdeterminesnationalpricelevelsinthelongrun?
Inthelongrunthenationalmoneysupply(oritsgrowthrate)determinesthenationalpricelevel(orthenationalinflationrate),throughtheequilibriumbetweenmoneysupplyandmoneydemand.Inthetextweusethedemandformoneythatfollowsthequantitytheoryofmoney,inordertodrawouttherelationshipsinthemostdirectmannerpossible.Moneyisheldtofacilitatetransactions,sothatmoneydemandisbasedontheannualturnoveroftransactionsthatrequiremoney,andthisturnoverisproxiedbythelevelof(nominal)domesticproduct(PY,whereYisrealGDP).Thequantitytheorythensaysthat,foreachcountry,Ms=kPY,whereMsisthenationalmoneysupply,whichiscontrolledbynationalmonetarypolicy,andkisabehavioralparameter.
CombiningPPPandthequantitytheoryequationsfortwocountries,weobtainabasisforthemonetaryapproachtoexplainingorpredictingexchangeratesinthelongrun:
e=P/Pf=(Ms/Msf)(kf/k)(Yf/Y).Iftheratioofthek'sissteady,thentheexchangeratewillchangeoverthelongrunasthemoneysupplieschangeandasrealGDPsgrow,withelasticitiesofone.Otherthingsequal,inthelongrunalowerlevel(orslowergrowthovertime)ofacountry'smoneysupply,orahigherlevel(orfastergrowth)ofitsrealGDP,tendtoresultinahighervalue(anappreciationovertime)ofthecountry'scurrency,becauseeachimpliesalowerlevel(orslowerrateofincrease)inthecountry'spricelevel.
HowdowegetfromtheshortruninwhichportfolioadjustmentsbyinternationalinvestorsplacethemajorpressuresonexchangeratestothelongrunofPPP?
Wecanviewthisasaprocessinwhichtheexchangerateovershoots(relativetothevalueconsistentwithPPP)intheshortrun,andthen(gradually)revertstoPPPinthelongrun.Thiscanbeseenmostclearlybyconsideringanabruptchangeinthedomesticmoneysupply.Theadditional(andpresumablyrealistic)assumptionisthatproductpricelevelsadjustslowlytowardthelevelconsistentwiththequantitytheoryequation.Ifthedomesticmoneysupplyincreasesabruptly,then,atfirst,thedomesticpriceleveldoesnotrisemuch,buteventuallyitwill.Withtheincreaseinthemoneysupply(andnotsomuchofanincreaseinmoneydemandatfirst),domesticinterestratesdecrease.Inaddition,investorsexpectthateventuallytheforeigncurrencywillappreciate(thedomesticcurrencywilldepreciate)relativetoitsinitialvalue,becausethedomesticpriceleveleventuallywillbehigher(PPPinthelongrun).Forbothofthesereasons(lowerinterestrateandexpectedappreciationoftheforeigncurrencyrelativetoitsinitialvalue),investorsshifttheirinvestmentstowardforeign-currencyassets.Thiscausesanabrupt,largeappreciationoftheforeigncurrency—morethanisconsistentwiththesmallamountofchangeinthedomesticpricelevelintheshortrun,andalsomorethanisconsistentwiththelongrunchangeinthepricelevel.Oncetheexchangeratevalueoftheforeigncurrencyovershootsintheshortrun,itthenisexpectedtoanddoesdeclinebacktowardthelongrunvaluethatisconsistentwithPPP.Infact,thissubsequentexpecteddepreciationoftheforeigncurrencyisnecessarytoreestablishuncoveredinterestparity.Theoverallreturnonforeign-currencyassetsisthenloweredbytheexpecteddepreciationoftheforeigncurrency,sothatitisaboutequaltothelowerdomesticreturnresultingfromthelowerdomesticinterestrate.
Thechapternextdiscusseshowdifficultitistopredictexchangeratemovementsintheshortrun.Generally,economicmodels(liketheassetmarketapproachorthemonetaryapproach)cannotbeatthenaivemodelofarandomwalk,whichpredictsthattheexchangerateinthefuturewillsimplybethesameastheexchangeratetoday.Amajorreasonforthisinabilitytoforecastisthatthecurrentspotexchangeratereactsquicklyandstronglytounexpected(andthereforeunpredictable)news.Asecondreasonmaybethattradersandinvestorsformtheirshort-runexpectationsofexchangeratesbasedlessoneconomicfundamentalsandmoreonrecenttrends.Theexpectationsarethenself-confirming,resultinginbubblesinthemovementofexchangeratesovertime.
Thechapterconcludesbyintroducingsomeconceptsanddistinctionsthatareusefulinmeasuringandexaminingexchangeratevalues.Nominalbilateralexchangeratesaresimplythestandardratesquotedintheforeignexchangemarket.Thenominaleffectiveexchangerateisanindexthattrackstheweighted-averagenominalvalueofacounty'scurrency.DeviationsfromPPPcanbemeasuredusingtherealexchangerate,whichcanbemeasuredasanindexbetweentwocurrencies(bilateral)orasaweightedaverageindexrelativetoanumberofothercurrencies(effective).IfPPPholdsinthelongrun,thentherealexchangeratetendstoreturntoits"normal"value(e.g.,100).AswewilldiscussinChapter22,changesintherealexchangeratealsocanbeusedasanindicatorofchangesintheinternationalpricecompetitivenessofacountry’sproducts.
Tips
Forunderstandingshort-runmovementsinexchangerates,onepointisclear—short-runpressuresonmajorcurrenciesandmanyothersresultfromportfolioadjustmentsorfinancialrepositioningbyinternationalinvestorsandtraders.Beyondthis,wemustbesomewhathumble.Whilewehavesomeunderstandingofthebasicreasonsfortheseadjustmentsandrepositioning,thereisalsomuchthatwecannotexplainorpredictbyrelativelysimpletheories.
Thepresentationoftheshort-runpressuresonthecurren
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