英国剑桥大学 (University of Cambridge)：有关投资价值、通货膨胀及费雪效应的举例说明
Value of the investment – CIP example
投资价值– CIP举例
• Value of this investment would be:
此项投资的价值将是：
= £1.$/£S.(1+rUS).£/$F
But this time with no foreign exchange risk…
但是，这一次，没有外汇风险...
This deal better complies with the principle of interest rate parity, as the investments in both countries are now of equal risk.
这笔交易更符合利率平价的原则，在这两个国家的投资，现在同等的风险。
£/$F = forward exchange of £s for $s in the US market, which would equal (1/$/£F) where $/£F is the forward price of £s in $ prices in the UK market.
http://ukthesis.org/gjswglzy
CIP equation
CIP方程
• From above we know that the investments in £ or $ government securities will give equal returns:
从上面我们知道，以英镑或美元政府证券的投资将给予同等的回报：
• £1.(1+rUK) = £1.$/£S.(1+rUS).£/$F
or
• (1+rUK) = $/£S.(1+rUS).£/$F
• (1+rUK)/(1+rUS) = $/£S.£/$F
• (1+rUK)/(1+rUS) = $/£S/$/£F
Questions IRP
IRP问题
• (1+rUK) = $/£S.(1+rUS).£/$F
1. If the $ per £ spot exchange rate is $2, the UK interest rate is 5% (0.05) and the US interest rate is 10% (0.10), what would the forward exchange rate be
如果美元英镑现货汇率为2美元，英国的利率为5％（0.05）和美国的利率为10％（0.10），远期汇率
(a) £s per $
(b) $s per £
Answers
IRP 回答
• (1+rUK) = $/£S.(1+rUS).£/$F
• (1.05) = 2.(1.10). £/$F
• (1.05) / (2 x 1.10) = £/$F
• £/$F = 1.05 / 2.2 = 0.477 (to 3sf)
• (a) so the forward exchange rate is £0.477 per $.
• (b) the inverse rate would be 1/0.477 = $2.095 per £
Inflation
通货膨胀
• Relative Purchasing Power Parity
相对购买力平价
• If levels of prices do not line up accurately, surely changes in prices will be related in some way?
如果价格水平不排队准确，想必价格变动将被以某种方式相关？
• The Fisher Effect
费雪效应
• Inflation might also be expected to significantly affect relative interest rates between countries.
通胀可能也将有望显着影响国家之间的相对利率。
The Fisher Effect
费雪效应#p#分页标题#e#
• The Fisher effect connects interest rates to inflation, stating how ‘real’ interest rates and expected inflation jointly determine ‘nominal’ interest rates:
费雪效应连接通货膨胀，利率说明如何“真实”的利率和通胀预期共同决定'名义利率：
• (1+r) = (1+r*)(1+i)
• (1+r) = (1+ 0.02) (1+ 0.05) = 1.071
• Where
• r = nominal interest rate (here 7.1%)
• r* = real interest rate (here 2%)
• i = expected inflation rate (here 5%)
Questions Fisher Effect
费雪效应问题
•
• Work out the nominal rate of interest that should occur under the following circumstances:
工作的名义利率应在下列情况下发生：
(1) real interest rate = 3%; expected inflation = 7%
实际利率=3％，预期通货膨胀率= 7％
(2) real interest rate = 1%; expected inflation = 4%
实际利率=1％，预期通货膨胀率= 7％
(3) real interest rate = 3%; expected inflation = 7%
实际利率=3％，预期通货膨胀率= 7％
Answers Fisher Effect
费雪效应答案
• Work out the nominal rate of interest that should occur under the following circumstances:
工作的名义利率应在下列情况下发生：
(1) real interest rate = 3%; expected inflation = 7%
(1+r) = (1.03).(1.07)
r = 10.21
(2) real interest rate = 1%; expected inflation = 4%
(1+r) = (1.01).(1.04)
r = 5.04
(3) real interest rate = 3%; expected inflation = 7%
(1+r) = (1.03).(1.04)
r = 7.12
Sources
来源
• Allen, L. (1997) Capital Markets and Institutions: a global view. (London: Wiley)
• Eaker, M.R., Fabozzi, F.J., & Grant, D. (1996) International Corporate Finance. (International Ed., London: Dryden) Chapters 4-5, 9
