The Determination of Exchange Rates

The Determination of Exchange Rates Chapter 2

CHAPTER 2: THE DETERMINATION OF EXCHANGE RATES CHAPTER OVERVIEW: I. EQUILIBRIUM EXCHANGE RATES均衡即期匯率 II. ROLE OF CENTRAL BANKS中央銀行干預.

匯率 • 某一個國家的貨幣以另外一個國家貨幣(通常稱為參考貨幣reference currency)來計價時的價格。 • 即期匯率(spot rate)：於貨幣交易時立即交割的價格。 • 遠期匯率(forward rate)：是指對未來特定日期要交割的海外兌換的報價。

匯率 2/2 圖表 2.1 均衡匯率

Equilibrium Exchange Rates B. How Americans Purchase German Goods 1. Foreign Currency Demand -derived from the demand for a foreign country’s goods, services, and financial assets. e.g. The demand for German goods by Americans

The Demand for € in the U.S. $/€ D $.50 Qty

Equilibrium Exchange Rates B.2. Foreign Currency Supply: a. derived from the foreign country’s demand for local goods. b. They must convert their currency to purchase. e.g. German demand for US goods means Germansconvert euros to US $in order to buy.

The Supply of € in the U.S. $/ € S $.50 Qty

Equilibrium Exchange Rates B.3. Equilibrium Exchange Rate occurs where the quantity supplied equals the quantity demanded of a foreign currency at a specific local price.

The $/ € Equilibrium Rate $/ € Equilibrium D S $.50 Qty

Equilibrium Exchange Rates C. How Exchange Rates Change 1. Increased demand as more foreign goods are demanded, more of the foreign currency is demand. 2. In other words, the price of the foreign currency in local currency increases.

Equilibrium Exchange Rates C.3. Home Currency Depreciation a. Foreign currency grows more valuable than the home currency. b. The foreign currency’s value has appreciated against the home currency.

The US$ Depreciates When D’ $/ € D $.65 S $.50 Qty Q1 Q2

影響均衡匯率的因素 1/2 • 通貨膨脹率 • 利率 • 經濟成長率 • 政治與經濟的風險 • 預期心理

對均衡匯率之影響 • 相對利率 • 實質利率(real interest rate)：等於是名目利率減去通貨膨脹率。 • 較高的實質利率會讓貨幣升值。 • 相對經濟成長率：經濟成長會導致其貨幣也走強。 • 政經風險：低風險的貨幣－就是政經情勢較穩定的國家－會比高風險的貨幣得到比較高的評價。

Equilibrium Exchange Rates C.5 Currency Appreciation = (e1 - e0)/ e0 where e0 = old currency value e1 = new currency value

Equilibrium Exchange Rates EXAMPLE: € Appreciation If the dollar value of the € goes from $0.50 (e0) to $0.65 (e1), then the € has appreciated by (.65 - .50)/ .50 = 30%

Equilibrium Exchange Rates C.4. Calculating a Depreciation: = (e0 - e1)/ e1 where e0 = old currency value e1 = new currency value

Equilibrium Exchange Rates EXAMPLE: US$ Depreciation Use the formula (e0 - e1)/ e1 substituting (.50 - .65)/ .65 = - 23.1% is the US$ depreciation. 歐元升值的幅度並不等於美元貶值的幅度，是因為計算的基礎不同，所以兩貨幣的價值變動百分比並不相等。

Equilibrium Exchange Rates D. THE FACTORS AFFECTING EXCHANGE RATES: 1. Inflation rates 2. Interest rates 3. GNP growth rates

Sample Problem • Suppose the U.S. dollar appreciates against the Russian ruble by 500%. How much did the ruble depreciate against the dollar? • To solve the problem, you can approach it in two steps: • Solve for e1 • Substitute and solve for the depreciation (x)

U.S. $ APPRECIATION

RUBLE DEPRECIATION

SOLUTION – Step 1 Solve for e1

SOLUTION – Step 2 Substitute and solve for x

SOLUTION • When the dollar appreciated by 500% against the ruble, the ruble depreciated 83% against the dollar.

中央銀行干預

中央銀行干預 1/2 • 原因： • 實質匯率的上揚導致海外商品相對於國內商品價格下跌。 • 強勢美元不利美國出口，但可讓國內消費者得到較便宜的國外商品。 • 弱勢美元則有利美國出口，但不利於美國消費者。

中央銀行干預的手法 1/2 • 藉由增加另一貨幣的供給，來提高某一貨幣的需求。 • 沒有消毒的干預： • 金融主管單位並未將國內的貨幣供給與外匯交易隔開。 • 不僅改變匯率，也會改變通膨。

中央銀行干預的手法 2/2 • 有消毒的干預： • 公開市場操作：買賣國庫券。 • 淨結果：外匯存底的上升或下降，對於國內的貨幣供給應是沒有影響的。 • 央行超乎預期的干預可以為外匯市場帶來短暫的衝擊。

The Determination of Exchange Rates