国际金融第3讲

汇率超调
•超调: 本国货币供给的永久性增加导致本币的 贬值超过了长期中的贬值程度，并且在短期到 长期的调整过程中，即期汇率逐渐收敛于其长 期水平
汇率超调overshooting和undershooting有助于解释 为什么汇率的日常波动可以如此之大. See Figure 3-8 and 3-9.

2014-6-8
Chinese Finance Research Institute
20
暂时性和永久性的政策变化和冲击 货币供给的永久性变化和冲击 •长期: 货币中性 •短期 •从短期到长期的调整 See Figure 3-8.
II. 政策分析


2014-6-8
Chinese Finance Research Institute
15
Figure 3-8 St2 2 2 St3=S 4
2014-6-8 the Fed. rate refinancing rate of ECB
0.9 0.8
2000
2001
2002
2003
2004
13
Chinese Finance Research Institute

Exchange-rate Overshooting
资产方法
M d / P f i, Y M d / P f i* , Y * Se S i i* S
M1/P M2/P
An increase in Ms
2014-6-8
Chinese Finance Research Institute
11
Figure 3-6-2 Changes in foreign money supply
S t1 S t2 0 i
An increase in Ms* Return Real money supply
Foreign Exchange Market The Equilibrium Exchange Rate
2014-6-8
Chinese Finance Research Institute
9

货币供给和汇率
本国货币供给的变化 See Figure 3-6-1.

III. 政策分析

国外货币供给的变化 See Figure 3-6-2.
3
St1 i2 Ms1/P1 Ms2/P1 1 i1 1
Expectation changes
i2 Ms2/P2 Ms2/P1
i1 4
2
2
Short run
2014-6-8
Long run
Chinese Finance Research Institute
16

Exchange-rate Overshooting
内容


货币市场的均衡
货币供给和汇率
汇率的超调
作业
2014-6-8
Chinese Finance Research Institute
1

货币市场的均衡
I. 货币供求
II.短期内利率的决定

一个关键假定 •价格刚性

短期内利率的决定 See Figure 3-1.

货币供给变化(Figure 3-2-1)
6
Figure 3-3
St
St1 St* St2 Expected return on foreign deposits Return
2014-6-8
Chinese Finance Research Institute
7
Figure 3-4 Simultaneous equilibrium in the home money market and foreign exchange market
2014-6-8
5

货币供给和汇率
重访UIP (Figure 3-3)
I. 国外外汇市场均衡

II. 汇率决定的资产方法

利率、汇率和货币的关系 See Figure 3-4.

货币市场和外汇市场的关系 See Figure 3-5.
2014-6-8
Chinese Finance Research Institute
2014-6-8
Chinese Finance Research Institute
17
Figure 3-9 Overshooting
Ms P
M s2 M s1
P2 P1
t0
t
t0
t
i
St Leabharlann Baidu t2 St3=S
i1 i2 t0 t
S t1
t0
t
2014-6-8
Chinese Finance Research Institute
18

Exchange-rate Overshooting
这个模型也被称为汇率决定的粘性价格模型，是 货币主义学派和凯恩斯学派理论的综合。

III. 总结
汇率经济的新分支——汇率动态学
汇率决定的弹性价格和粘性价格模型都假定产出 是外生变量



作业
阅读课本第十五章 (2012).
Read Chaper 19 of Mankiw (2011), Chapters 14 and 19 of Mishkin (2011) for more understanding on the theory of money supply and money demand.

产出变化(Figure 3-2-2)
Chinese Finance Research Institute
2
2014-6-8
Figure 3-1
i
i3
ie i2
Equilibrium interest rate Money demand Ld (i,Y)
Ms/P Chinese Finance Research Institute

产出变化 经验证据

See Figure 3-7.
2014-6-8
Chinese Finance Research Institute
10
Figure 3-6-1 Changes in home money supply
St2 St1 0 Return Real money supply
i2
i1
S t1 0
i
Expected return on foreign deposits Return Real money supply
M/P
increasing
2014-6-8
Chinese Finance Research Institute
8
Figure 3-5 Money market and exchange rate linkages Home Central Bank OMO FXO Home Money & Bond Market i Foreign Central Bank OMO Foreign Money & Bond Market i* FXO
M1/P
2014-6-8
Chinese Finance Research Institute
12
Figure 3-7 U.S. exchange rate and interest rate Source: St. Louis Fed.; www.ecb.int
1.4 1.3 1.2 1.1 1.0 8 6 4 2 0 1999

* *
I. 更完整的汇率决定理论



货币方法
M d / P e
M
e
* d
/ P* f i * , Y *
e e e *e
f i e , Y e

e

14
S P /P
2014-6-8
Chinese Finance Research Institute

Exchange-rate Overshooting
M/P
2014-6-8
3
Figure 3-2-1
i
An increase in Ms ie i1
Ld (i,Y)
Ms1/P Ms2/P Chinese Finance Research Institute
M/P
2014-6-8
4
Figure 3-2-2
i
i1 ie
An increase in output Ld (i,Y2) Ld (i,Y1) Ms1/P Chinese Finance Research Institute M/P