国际费雪效应解说

From Fisher Effect to ຫໍສະໝຸດ Baidunternational Fisher Effect
Nominal interest rate
But what? Actual interest rate
2014-9-29
Economics School, DUT
3
Definition

Fisher Effect: Nominal interest rate = Actual interest rate + Inflation rate
Economics School, DUT 8


2014-9-29
Thank you for your attention
2014-9-29
Economics School, DUT
9
Names
Liu Yongjun, Jin Wenbo, Deng yuwen Yang Bowen, Cao Yi, Li Chen Wang Yin, Ji Bao, Kai Qi Yu Lijie, Tang Ning
2014-9-29
Economics School, DUT
2
Definition
2. In 2007 Japan, prime interest rate:0.5%, loan rate :around 1.5% Australia, deposit rate :6.25%
revaluation
go high flow in
add
2014-9-29
Economics School, DUT

Or
Δ＝（St－So）/So＝(id－if)/(1＋if)
2014-9-29
Economics School, DUT
4
Application

1.
go high
go high
devaluation
2014-9-29
Economics School, DUT
5
Application

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:
St/So＝(1＋id)/(1＋if)
6
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 the reality trade, IFE involve foreigner investment include exchange risk. However, the foreigner investment RP involved has no exchange risk.

2014-9-29
Economics School, DUT
7
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 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
2014-9-29
Economics School, DUT
1
Division of The Group Members
Contents
Definition Theory application Case Significance