Week 9:  Exchange Rates
第9周：汇率

ID-4246M
Dr V G Fitzsimons
University of Bradford
ID-4246M
V G菲茨西蒙斯博士
布拉德福德大学

Foreign Exchange Markets
外汇市场

• In this lecture
在这个演讲中
• Review of Exchange Rates
汇率回顾
• Arbitrage
套汇
• Law of One Price (LOOP)
一价定律（LOOP）
• Purchasing Power Parity (PPP)
购买力平价（PPP）
• Interest Rate Parity (IRP)
利率平价（IRP）
• Uncovered interest parity (UIP)
无抛补利率平价（UIP）
• Covered interest parity (CIP)
补利率平价（CIP）
• Exceptions to the rule – does PPP (and IRP) hold?
该规则的例外 – 是否持有PPP（IRP）？
• Non-tradeable goods
非流通货物
• Long-run conditions
长期运行条件
• Inflation in international transactions
在国际交易中的通货膨胀
• Relative Purchasing Power Parity
相对购买力平价
• The Fisher effect
费雪效应
http://ukthesis.org/gjswglzy

Reminder – exchange rates
提醒 - 汇率

• The exchange rate is the price of our currency if bought in foreign currency
外币汇率是如果我们用外币流通的价格
– e.g. £1 might cost $1.50 in the foreign exchange ‘spot’ markets (on average)
• This would be written
这将被写入
  E$/£ = 1.50
• Of course, it can also be quoted the other way, £s needed to buy ‘forex’
当然，它也可以被引用的其他方式，英镑需要购买'外汇
  E£/$ = 0.66
= the inverse of the $/£ exchange rate, i.e. 1/1.50 or 2/3
• Be careful to check which the book is using!
争取仔细检查哪本书是使用的！
• The price of the currency is determined by the demand for it and supply of it:
货币价格是由它的需求和供应：
D£= f(the country’s exports, financial inflows to it for investment, e.g. due to high interest rates)
S£= f(the country’s imports, financial outflows to invest elsewhere)
 

Basic principles:  Arbitrage
基本原则：套利

• Arbitrage:
套利
• ‘Arbitrage involves the simultaneous purchase and sale of an asset, such as currency, at different prices.  It produces a risk-free, instantaneous profit’#p#分页标题#e#
  Eaker, Fabozzi & Grant, 1996, p.563
套利涉及同时购买和出售资产，如货币，以不同的价格。它产生无风险的利润，瞬时“伊克，法博齐 - 格兰特，1996，P.563

Arbitrage
套利

• If markets work efficiently, no arbitrage opportunities should exist..
如果市场高效地工作时，没有套戥的机会的应该存在的
– ‘Arbitrageurs’ will repeatedly purchase the item in the relatively cheap market, driving up (demand and therefore) prices;
“套利”会反复购买该项目在价格相对便宜的市场，哄抬价格（需求，因此）
– and they will repeatedly sell the item in the relatively expensive market, raising supply and driving down prices.
他们会反复出售该物品在相对昂贵的市场，提高供给和压低价格。

LOOP – the ‘Law of one price’
LOOP - “一价定律”

• Arbitrage is the principal mechanism behind the ‘Law of One Price’ (LOOP) in international economics.
套利是背后的“一口价法则“（LOOP）在国际经济学的主要机制
• ‘The law of one price states that identical goods must sell at identical effective prices’
  Eaker, Fabozzi, & Grant, 1996, p.566
法律一价状态，相同的货，必须在相同的有效价格出售'伊克，法博齐 - 格兰特，1996，p.566
• The ‘effective price’ would be the price in another country’s currency, ‘translated’ by the exchange rate into our currency
“有效价格”将在另一国货币的价格，“翻译成”我们的货币汇率

The ‘LOOP’ exchange rate?
“LOOP”汇率？

$P = $/£ELOOP. £P
Which implies:
  $/£ELOOP= $P / £P
E.g.
 A loaf of bread costs £0.50 in the UK but costs $0.60 in the US – what would the LOOP exchange rate be?
一个面包成本£0.50在英国但成本0.60美元在美国,如果回路的汇率是?

  ELOOP= $0.60 / £0.50
   = (0.60/0.50) $/£
   = 1.20 
 ( which is the number of $/£)

2004 December Big Mac index – China cheapest, and Switzerland most expensive!
2004年12月巨无霸指数——中国最便宜的,和瑞士最贵的!

 

Question:  Using prices to work out exchange rates
提问：使用价格汇率

• Using the Big Mac data, work out the ‘law of one price’ exchange rate for the following:#p#分页标题#e#
使用的巨无霸的数据，制定出“一口价”汇率法的以下内容
• The Chinese Yuan against the US dollar
中国人民币兑美元
• The Chinese Yuan against the Swiss Franc
中国的人民币兑瑞士法郎