国际费雪效应解说PPT课件

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In the reality trade, IFE involve foreigner investment include exchange risk. However, the foreigner investment RP involved has no exchange risk.
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Bank add deposit rate
Cause a vicious circle
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Difference between IFE & RP
In rate parity, even in the reality trade, the arbitrator can have the observed value of all the four variables (Ft,St,id,if), however in IFE, the investor can only get three of them(E(St+1)), and the forth variable is the expecting value can only be known after the investment.
In 2007
Japan, prime interest rate:0.5%,
loan rate :around 1.5%
Australia, deposit rate :6.25%
Huge Carry trade
Currency revaluation
CPI go high
More Hot Money flow in
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Fra Baidu bibliotek
Thank you for your attention
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3. Assume the actual interest rate among the all countries is equal is not suit the reality. Actually, the more IFE make sense, the more unifying commodity market and financial market is.
INTERNATIONAL FISHER EFFECT
International Financial Management
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Division of The Group Members
Contents Definition
Theory application Case Significance
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Shortages
1. In short-term the actual data is very different from the theory.
2. Many currency has foreign exchange risk premium, kinds of uncovered arbitrage activities distort the money market. So in many situation the change of the exchange rate will higher than the difference of two countries’ interest rate
rate
1+r=(1+ρ)(1+E(i))
Combine PPP with Fisher Effect:
St/So=(1+Pd)/(1+Pf)=(1+id)/(1+if)
Then we can get the International Fisher Effect:
Or
St/So=(1+id)/(1+if)
Names Liu Yongjun, Jin Wenbo, Deng yuwen Yang Bowen, Cao Yi, Li Chen
Wang Yin, Ji Bao, Kai Qi Yu Lijie, Tang Ning
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Definition
From Fisher Effect to International Fisher Effect
Δ=(St-So)/So=(id-if)/(1+if)
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Application
1.
Interest rate go high expecting inflation rate go high Currency devaluation
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Application
2.
Present Currency
Nominal interest rate
Future Currency
But what?
Actual interest rate
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Definition
Fisher Effect:
Nominal interest rate = Actual interest rate + Inflation
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