跨国公司财务管理(第七版)(工商管理经典译丛会计与财务系列) 教学课件 夏皮罗 ch

INTEREST RATE PARITY THEORY
C. Simplified IFE equation:
(if rf is relatively small)
e 1 e 0 r h rf e0
THE INTERNATIONAL FISHER EFFECT
D. Implications of IFE
1. Currency with the lower interest rate is expected to appreciate relative to the one with a higher rate.
1. If exchange rates adjust to inflation differential, PPP states that real exchange rates stay the same.
PURCHASING POWER PARITY C. Real exchange rates
THE INTERNATIONAL FISHER EFFECT D. Implications of IFE
2. an Financial market arbitrage: insures interest rate differential is unbiased predictor of change in future spot rate.
If the prices after exchange-rate adjustment were not equal, arbitrage in the goods worldwide ensures eventually it will.
ARBITRAGE AND THE LAW OF ONE PRICE
THE FISHER EFFECT
B. Real Rates of Interest
1. Should tend toward equality everywhere through arbitrage.
2. With no government interference nominal rates vary by inflation differential or
2
PART I. ARBITRAGE AND THE LAW OF ONE PRICE I. THE LAW OF ONE PRICE
A. Law states:
Identical goods sell for the same price worldwide.
ARBITRAGE AND THE LAW OF ONE PRICE B. Theoretical basis:
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CHAPTER 4
International Finance and Currency: Parity Conditions
PURCHASING POWER PARITY 4. PPP says
the currency with the higher inflation rate is expected to depreciate relative to the currency with the lower rate of inflation.
ARBITRAGE AND THE LAW OF ONE PRICE
E. Inflation and home currency depreciation:
1. money 2. jointly determined by the growth of domestic supply; Relative to the growth of domestic money demand.
D. Due to capital market integration globally, interest rate differentials are eroding.
PART IV. THE INTERNATIONAL FISHER EFFECT (IFE)
I. IFE STATES:
A. the spot rate adjusts to the interest rate differential between two countries.
1

t t

PURCHASING POWER PARITY
2. If purchasing power parity is expected to hold, then the best prediction for the one-period spot rate should be
et e0
ARBITRAGE AND THE LAW OF ONE PRICE D. Five Parity Conditions Linked by
1. 2. The adjustment of various rates and prices to inflation.
The notion that money should have no effect on real variables (since they have been adjusted for price changes).
PART VI. INTEREST RATE PARITY THEORY
I. INTRODUCTION A. The Theory states:
the forward rate (F) differs from the spot rate (S) at equilibrium by an amount equal to the interest differential (rh - rf) between two countries.
1 i
f
1 ih
t t
PURCHASING POWER PARITY
3. A more simplified but less precise relationship is
et ih i f e0
that is, the percentage change should be approximately equal to the inflation rate differential.
A. Price levels adjusted for
exchange rates should be
equal between countries
PURCHASING POWER PARITY
II. ABSOLUTE PURCHASING POWER PARITY
B. One unit of currency has same purchasing
ARBITRAGE AND THE LAW OF ONE PRICE
F. THE LAW OF ONE PRICE
- enforced by international
arbitrage.
PART II. PURCHASING POWER PARITY I. THE THEORY OF PURCHASING POWER PARITY:
power globally.
PURCHASING POWER PARITY III. RELATIVE PURCHASING POWER PARITY
A. states that the exchange rate of one currency against another will adjust to reflect changes in the price levels of the two countries.
THE INTERNATIONAL FISHER EFFECT B. Fisher also postulated that
2. Expected rates of return are equal in the absence of government intervention.
THE INTERNATIONAL FISHER EFFECT
2. Competitive positions:
domestic and foreign firms
are unaffected.
PART III. THE FISHER EFFECT (FE)
I. THE FISHER EFFECT
states that nominal interest rates (r) are a function of the real interest rate (a) and a premium (i) for inflation expectations. R = a + i
states that spot exchange rates between currencies will change to the differential in inflation rates between countries.
PURCHASING POWER PARITY II. ABSOLUTE PURCHASING POWER PARITY
PURCHASING POWER PARITY B. Real Exchange Rates:
the quoted or nominal rate adjusted for a country’s inflation rate is
e et
' t
( 1 i f ) ( 1 ih )
t
t
PURCHASING POWER PARITY C. Real exchange rates
THE INTERNATIONAL FISHER EFFECT
IFE = PPP + FE
et (1 rh ) t e0 (1 r f )
t
THE INTERNATIONAL FISHER EFFECT
B. Fisher postulated
1. The nominal interest rate differential should reflect the inflation rate differential.
PURCHASING POWER PARITY
1. In mathematical terms:
et e0
where
ih 1 if
et e0 ih if t = = = = = future spot rate spot rate home inflation foreign inflation the time period
C. Five Parity Conditions Result From These Arbitrage Activities
1. 2. 3. 4. 5. Purchasing Power Parity (PPP) The Fisher Effect (FE) The International Fisher Effect (IFE) Interest Rate Parity (IRP) Unbiased Forward Rate (UFR)
INTEREST RATE PARITY THEORY
2. The forward premium or discount equals the interest rate differential.
(F - S)/S = (rh - rf)
where rh = the home rate rf = the foreign rate
rh - rf = i h - i f
THE FISHER EFFECT
C. According to the Fisher Effect,
countries with higher inflation rates have higher inteபைடு நூலகம்est rates.
THE FISHER EFFECT