汇率的定义

汇率的定义 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 匯率的定義 The price of one currency in terms of another is called an exchange rate. ?在開放經濟體系裡為重要的價格變數之一 Ex.(1)紐約時間1999年1月11日下午4點,要買一單位的歐元(euro)須支付1.1497美 元,則稱美元兑歐元的匯率為,1.1497 per euro. (2)台北時間2000年9月7日元太外匯經濟公司收盤價,要買一單位的美元須支付 31.085台幣,則稱台幣對美元的匯率為NTD31.085 per USD. 匯率和國際交易(Exchange Rates and International Transactions) ? Each country has a currency in which the prices of goods and services are quoted. Ex.美 國的美元、英國的英鎊、… ? Exchange rates play a central role in international trade because they allow us to compare the prices of goods and services produced in different countries. Ex.美國的消費者究竟要買,19000的福特車還是,2500000的三菱進口車,須視美 元與日圓之間的匯率而定. 透過匯率將2國商品售價換成以同一幣別示,即可比較商品的貨幣價格高低. 匯率的報價方式 1 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach ? 直接報價法(Direct or American terms ) ,the price of the foreign currency in terms of dollars or 一單位外國貨幣可兌換的本國貨幣數量. Ex.,0.009198,,1. ? 間接報價法(Indirect or European terms) ,the price of dollars in terms of the foreign currency or 一單位本國貨幣可兌換的外國貨幣數量. Ex.,108.72,,1. Ex.在美國一件Edinburgh Woolen Mill sweater售價50英鎊, (1) 當美元對英鎊的匯率為,1.50 per pound時,此毛衣的美元售價為,1.50,,×,50 ,,75 (2) 當美元對英鎊的匯率下降為,1.25 per pound時,(英鎊貶值,美元升值),此毛衣的 美元售價下降為,1.25,,×,50,,62.5.(美元升值,進口到美國的進口品其美元 售價下降) (3) 當美元對英鎊的匯率上升為,1.75 per pound時,(英鎊升值,美元貶值),此毛衣的 2 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 美元售價上升為,1.75,,×,50,,87.5.(美元貶值,進口到美國的進口品其美元 售價上升) 匯率的變動,升值或貶值 A depreciation (An appreciation) of the pound against the dollar is a fall (rise) in the dollar price of pounds. A depreciation (An appreciation) of a country’s currency markets its goods cheaper (more expensive) for foreigners. Note,英鎊相對於美元升值時,同時代表美元相對於英鎊貶值. ?在探討升(貶)值時,須注意我們討論的是哪2種幣別. 結論,When a country’s currency depreciates,foreigners find that its exporters are cheaper and domestic residents find that imports from abroad are more expensive. An appreciation has opposite effects,Foreigners pay more for the country’s products and domestic consumers pay less for foreign products. 匯率和相對價格(Exchange Rates and Relative Prices) 前提假設,在美國一件牛仔褲的貨幣價格為,45 在英國一件毛衣的貨幣價格為,50 此2名名目價格固定不變 當匯率為,1.5 per pound時,毛衣的美元售價為,1.50,,×,50,,75. (1) 在美國一件毛衣可換,75 per sweater,,45 per pair of jeans,1.67件牛仔褲,牛仔 3 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 褲的英鎊售價為,45,(,1.5,,),,30. (2) 在美國一件毛衣可換,50 per sweater,,30 per pair of jeans,1.67件牛仔褲. 1.67即為毛衣對牛仔褲的相對價格. (a) 當匯率為,1.75 per pound時,(英鎊升值),毛衣的售價為,1.75,,×,50,,87.5, 一件毛衣可換,87.5,,45,1.94件的牛仔褲. 毛衣對牛仔褲的相對價格上升為1.94. (b). 若毛衣為英國的出口財,則由(a).、(b).二式可知,當英鎊升值時,英國出口財的相對價 格會上升. 結論, An appreciation of a country’s currency raises the relative price of its exports and lowers the relative price of its imports. A depreciation of a country’s currency lowers the relative price of its exports and raises the relative price of its imports. 外匯市場(The Foreign Exchange Market), The market in which international currency trades take place is called the foreign exchange market. 外匯市場的成員(The Actors), 1. Commercial banks(商業銀行),為外匯市場的主角 4 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach ? Foreign currency trading among banks,called inter-bank trading,accounts for most of the activity in the foreign exchange market. ? Inter-bank exchange rates,the rates banks charge to each other. No amount less than , 1 million is traded at those rates. ? Retail rates,the rates available to corporate customers. ? The difference between the retail and wholesale interbank rates is the bank’s compensation for doing the business. 2. Corporations.(公司行號) 3. Non-bank financial institutions 4. Central banks. Characteristics of the Market, 即期與遠期匯率(Spot Rates and Forward Rates)— 1.Spot exchange rates, Two parties agree to an exchange of bank deposits and execute the deal immediately. Exchange rates governing such “on-the-spot” trading are called spot exchange rates,and the deal is called a spot transaction. Spot exchange usually becomes effective only two days after a deal is struck. The delay occurs because in most cases it takes two days for payment instructions to be cleared through the banking system. 5 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 2.Forward Exchange Rates, Foreign exchange deals sometimes specify a value date farther away then two days,30days,90days,180days,or even several years. The exchange rates quoted in such transactions are called forward exchange rates. Ex. A、B二人於9月1日簽訂外匯買賣契約,A同意售出,100000予B,向其換得 ,155000,並同意於10月1日交易.此即為30天期的遠期外匯交易,此時遠期匯 率為,1.55,,. Note, (1).此遠期匯率,1.55 per pound 和9月1日當天的即期匯率不同,但很接近。 (2).此遠期匯率,1.55 per pound 也和其他不同到期日的遠期外匯交易之遠期匯率不同. 從事遠期外匯交易的主要目的為,避險. 遠期換匯(Foreign Exchange Swap)— A foreign exchange swap is a spot sale of a currency combined with a forward repurchase of the currency. 期貨與選擇權(Futures and Options) — 6 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 匯率的決定(The Demand for Foreign Currency Assets)— 外幣存款的利率高低及外幣匯率的預期貶值率多寡,會影響外幣存款其未來價值。而 外幣存款未來價值的高低會影響外匯市場參與者,商業銀行、公司行號、非銀行的金 融機構、央行,其對外幣存款種力的分配,進而需求不同的外幣,透過在外匯市場交 易後即決定出匯率來. Assets and Assets Returns ? 人們可以以不同的型式持有資產. Ex.保有股票(stocks)、債券(bonds)、現金(cash)… ? The object of acquiring wealth-of saving-is to transfer purchasing power into the future. ? Assets rate of return (資產報酬率),the percentage increase in value asset offers over some time period. ? Ex.1999年年初花,100買花旗銀行的股票,到了2000年年初得到,1的股利,而且股 票的市價上升為,109,則這一年的股票總值為,110.而此股票的報酬率為, 股票價值,購買成本$110,$100,,10%. 購買成本$100 預期報酬率 ? Asset’s expected rate of return over the time period,the percentage difference between that expected future value and the price you pay for the asset today. ?資產未來的報酬未知 (Ex.股票的股利及未來的市價),所以目前在決定是否持有此 7 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 項資產時,只能對其未來的資產總值做預測, 預期未來到期的資產總值,資產的購買成本預期報酬率, 資產的購買成本 實質的預期報酬率 ? The Real of Return,預期的報酬率,物價上漲率 The real return measures the goods and services a saver can buy in the future in return for giving up some consumption (that is ,saving) today. Ex.花旗銀行股票於1999,2000年間的報酬率為10,,而若1999,2000年間所有商 品、勞務的美元價格也均上漲10,,則花旗銀行股票的實質報酬率為0.投資者不會 想持有此項資產. Note,The returns on two assets cannot be compared unless they are measured in the same units. Only after the returns are expressed in terms of a common unit of measure, for example,all in terms of dollars,can we tell which asset offers the highest expected real rate of return. Risk & Liquidity 投資者在決定究竟要持有何者資產時,除了考慮資產的預期實質報酬率外,也在乎資 產的持有風險與流動性. 8 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach ? Risk,the variability asset contributes to saver’ wealth. Savers dislike uncertainty and are reluctant to hold assets that make their wealth highly variable. An asset with high a expected rate of return may appear undesirable to savers if its realized rate of return fluctuates widely. ? Liquidity,the ease with which the asset can be sold or exchanged for goods. ?即資產可變現or兌換其他財貨的難易程度. Cash is the most liquid of assets. It is always acceptable at face value as payment for goods or other asset. To compare returns on different deposits,market participants need two pieces of information. (1).Interest Rates They need to know how the money values of the deposits will change. ?即須知道currency’s interest rate,the amount of that currency an individual can earn by lending a unit of the currency for a year. (2).Expected rate of depreciation They need to know how exchange rates will change so that they can translate rates of return measured in different currencies into comparable terms. ?即須知道預期貶值率,expected rate of depreciation of the dollar against the euro as the percentage increase in the dollar,euro exchange rate over a year. eEE,$/?$/?Ex. expected depreciation rate, E$/? 9 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach E,today’s dollar,euro exchange rate (number of dollars per euro) $/? eE,dollar,euro exchange rate (number of dollars per euro) expected to prevail a $/? year from today. Example, t R(1).le ,today’s interest rate on one-year dollar deposits. $ R,today’s interest rate on one-year New Taiwan dollar deposits. NTD E,today’s NTD,dollar exchange rate (number of NTD per dollar). NTD/$ eE,NTD,dollar exchange rate (number of NTD per dollar) expected to prevail /$NTD a year from today. (2).assume 美元存款與台幣存款具有完全替代性. 推導, (1，R)(a).投資者將1NTD存於台灣銀行的台幣存款帳戶,則一年後的本利和為個NTD NTD, (1，R),1NTD,R?台幣存款的報酬率為,(a). NTD1 (b).投資者若將1NTD存於花旗銀行的美元存款帳戶,則現在須先將1NTD換成USD, 1()此時可換得1NTD?個 USD(此為本金),一年後美元存款的利息為,ENTD/$ 1()，R, $E/$NTD 10 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 1(1)?一年後美元存款的本利和為.目前並不知道一年後到期時的匯率水，R，$ENTD/$ eE準,?只能採用預期匯率,,將以美元表示的本利和換成用台幣表示,則可/$NTD eENTD/$換得個台幣. ，R,[(1)]$ENTD/$ e(1)RE，$NTD/$1,ENTD/$求美元存款的報酬率,. 1 美元存款的報酬率, eeeeE，R,E,ERE,RE，REE,ENTD/$$NTD/$NTD/$$NTD/$$NTD/$$NTD/$NTD/$NTD/$, ,，EEENTD/$NTD/$NTD/$ eeE,EE,ENTD/$NTD/$NTD/$NTD/$ R，，R,$$EENTD/$NTD/$ e,EER上式中,為百分比,也是百分比,2者相成值甚小,?略而不計. $E eE,ENTD/$NTD/$美元存款的報酬率約為(),(b). R，$ENTD/$ eE,ENTD/$NTD/$R若(a).,(b).,,,則代表台幣存款的報酬率高於美元存款,R，()NTD$ENTD/$ 則此時投資者會將資產轉成台幣存款,外匯市場上,外資湧入,美元外匯 的供給增加. eE,ENTD/$NTD/$R若(a).,(b).,,,代表美元存款的報酬率高於台幣存款,則R，()NTD$ENTD/$ 11 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 此時,投資者會將台幣換成美元匯出,外匯市場上,美元需求上升,外匯 流出. Interest Rate Parity Condition?外匯市場均衡的基本條件 ? The foreign exchange market is in equilibrium when deposits of all currencies offer the same expected rate of return. ? The condition that the expected returns on deposits of any two currencies are equal when measured in the same currency is called the interest rate parity condition. ? It imply that potential holders of foreign currency deposits view them all as equally desirable asset. ?就上例言,台幣存款和美元存款間的利率平價條件為, eE,ENTD/$NTD/$ (13-2) R,R，NTD$ENTD/$ eE因為為預期因素,含有不確定的風險, /$NTD ?(13-2)式稱為Uncovered Interest Rate Parity (未拋補的利率平價條件). 目前匯率變動對美元存款預期報酬率的影響 eE,ENTD/$NTD/$令美元存款以台幣表示的報酬率為D,R，, $ENTD/$ eeEdE,0RdR,0假設與為固定常數,?, /$/$$NTD$NTD eed(E,E),E,dE(E,E)NTDNTDNTDNTDNTDNTD/$/$/$/$/$/$dD,dR，? $2(E)NTD/$ 12 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach e,E,dE,E,dE，E,dENTDNTDNTDNTDNTDNTD/$/$/$/$/$/$? dD,2(E)NTD/$ e,EdDNTD/$,0,(c). ,2dE(E)NTD/$NTD/$ The Equilibrium Exchange Rate 當台幣存款和美元存款間的利率平價條件成立時,所決定出來的匯率即為均衡匯率. [圖示] eERRE利率(,)、預期的匯率()改變對當前匯率水準()的影響, /$NTD$NTDNTD/$ R(1).(本國利率)上升時?匯率下跌(台幣升值) NTD R(2).(美國利率)上升時,?匯率上升(台幣貶值) $ eE(3).(預期的未來匯率)上升?使目前的匯率上升(圖形同上) /$NTD Conclusion,a rise in the expected future exchange rate causes a rise in the current exchange. Similarly,a fall in the expected future exchange rate causes a fall in the current exchange rate. 13 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach ? An increase in the interest paid on deposits of a currency causes that currency to appreciate against foreign currencies. 即對未來匯率之預期改變,會影響現在的匯率水準. [圖示] 14 授課教師:陳寶媛 International Economics Krugman & Obstfeld 20090928(一) Cha. 13 Exchange Rates and the Foreign Exchange Market:An Asset Approach 15 授課教師:陳寶媛