Week 9:  Exchange Rates
第9周：匯率

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

Foreign Exchange Markets
外匯市場

• In this lecture
在這個演講中
• Review of Exchange Rates
匯率回顧
• Arbitrage
套匯
• Law of One Price (LOOP)
一價定律（LOOP）
• Purchasing Power Parity (PPP)
購買力平價（PPP）
• Interest Rate Parity (IRP)
利率平價（IRP）
• Uncovered interest parity (UIP)
無拋補利率平價（UIP）
• Covered interest parity (CIP)
補利率平價（CIP）
• Exceptions to the rule – does PPP (and IRP) hold?
該規則的例外 – 是否持有PPP（IRP）？
• Non-tradeable goods
非流通貨物
• Long-run conditions
長期運行條件
• Inflation in international transactions
在國際交易中的通貨膨脹
• Relative Purchasing Power Parity
相對購買力平價
• The Fisher effect
費雪效應
http://ukthesis.org/gjswglzy

Reminder – exchange rates
提醒 - 匯率

• The exchange rate is the price of our currency if bought in foreign currency
外幣匯率是如果我們用外幣流通的價格
– e.g. £1 might cost $1.50 in the foreign exchange ‘spot’ markets (on average)
• This would be written
這將被寫入
  E$/£ = 1.50
• Of course, it can also be quoted the other way, £s needed to buy ‘forex’
當然，它也可以被引用的其他方式，英鎊需要購買'外匯
  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!
爭取仔細檢查哪本書是使用的！
• The price of the currency is determined by the demand for it and supply of it:
貨幣價格是由它的需求和供應：
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
基本原則：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#分頁標題#e#
  Eaker, Fabozzi & Grant, 1996, p.563
套利涉及同時購買和出售資產，如貨幣，以不同的價格。它產生無風險的利潤，瞬時“伊克，法博齊 - 格蘭特，1996，P.563

Arbitrage
套利

• If markets work efficiently, no arbitrage opportunities should exist..
如果市場高效地工作時，沒有套戥的機會的應該存在的
– ‘Arbitrageurs’ will repeatedly purchase the item in the relatively cheap market, driving up (demand and therefore) prices;
“套利”會反復購買該項目在價格相對便宜的市場，哄抬價格（需求，因此）
– and they will repeatedly sell the item in the relatively expensive market, raising supply and driving down prices.
他們會反復出售該物品在相對昂貴的市場，提高供給和壓低價格。

LOOP – the ‘Law of one price’
LOOP - “一價定律”

• Arbitrage is the principal mechanism behind the ‘Law of One Price’ (LOOP) in international economics.
套利是背后的“一口價法則“（LOOP）在國際經濟學的主要機制
• ‘The law of one price states that identical goods must sell at identical effective prices’
  Eaker, Fabozzi, & Grant, 1996, p.566
法律一價狀態，相同的貨，必須在相同的有效價格出售'伊克，法博齊 - 格蘭特，1996，p.566
• The ‘effective price’ would be the price in another country’s currency, ‘translated’ by the exchange rate into our currency
“有效價格”將在另一國貨幣的價格，“翻譯成”我們的貨幣匯率

The ‘LOOP’ exchange rate?
“LOOP”匯率？

$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?
一個面包成本£0.50在英國但成本0.60美元在美國,如果回路的匯率是?

  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月巨無霸指數——中國最便宜的,和瑞士最貴的!

 

Question:  Using prices to work out exchange rates
提問：使用價格匯率

• Using the Big Mac data, work out the ‘law of one price’ exchange rate for the following:#p#分頁標題#e#
使用的巨無霸的數據，制定出“一口價”匯率法的以下內容
• The Chinese Yuan against the US dollar
中國人民幣兌美元
• The Chinese Yuan against the Swiss Franc
中國的人民幣兌瑞士法郎