the determination of exchange rates

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The Determination of Exchange Rates

Chapter 2

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CHAPTER 2: THE DETERMINATION OF EXCHANGE RATES

CHAPTER OVERVIEW:I. EQUILIBRIUM EXCHANGE RATES 均衡

即期匯率II. ROLE OF CENTRAL BANKS 中央銀行干

預 .

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匯率 某一個國家的貨幣以另外一個國家貨幣 ( 通常

稱為參考貨幣 reference currency) 來計價時的價格。

即期匯率 (spot rate) ：於貨幣交易時立即交割的價格。

遠期匯率 (forward rate) ：是指對未來特定日期要交割的海外兌換的報價。

4圖表 2.1 均衡匯率

匯率 2/2

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Equilibrium Exchange Rates

B. How Americans Purchase German Goods1. Foreign Currency Demand

-derived from the demand for a foreign country’s goods, services, and

financial assets.

e.g. The demand for German goods by Americans

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The Demand for € in the U.S.

Qty

$.50

$/€D

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Equilibrium Exchange Rates

B.2. Foreign Currency Supply:a. derived from the foreign country’s

demand for local goods. b. They must convert their currency to

purchase.e.g. German demand for

US goods means Germans convert euros to US $ in order to buy.

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The Supply of € in the U.S.

$/ €

Qty

$.50

S

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Equilibrium Exchange Rates

B.3. Equilibrium Exchange Rate

occurs where the quantity supplied equals the quantity

demanded of a foreign currency at a specific local price.

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The $/ € Equilibrium Rate

Qty

$.50

S

$/ €D

Equilibrium

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Equilibrium Exchange Rates

C. How Exchange Rates Change

1. Increased demandas more foreign goods are demanded,

more of the foreign currency is demand.

2. In other words, the price of the foreign currency in local currency

increases.

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Equilibrium Exchange Rates

C.3. Home Currency Depreciation a. Foreign currency grows

more valuable than the home currency.

b. The foreign currency’s value has appreciated against the

home currency.

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The US$ Depreciates When

Qty

$.50

S

$/ €

D

D’

$.65

Q1 Q2

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影響均衡匯率的因素 1/2

通貨膨脹率 利率 經濟成長率 政治與經濟的風險 預期心理

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影響均衡匯率的因素 1/2

通貨膨脹率 利率 經濟成長率 政治與經濟的風險 預期心理

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對均衡匯率之影響 相對利率

實質利率 (real interest rate) ：等於是名目利率減去通貨膨脹率。

較高的實質利率會讓貨幣升值。 相對經濟成長率：經濟成長會導致其貨幣也走

強。 政經風險：低風險的貨幣－就是政經情勢較穩

定的國家－會比高風險的貨幣得到比較高的評價。

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Equilibrium Exchange Rates

C.5 Currency Appreciation

= (e1 - e0)/ e0

where e0 = old currency value

e1 = new currency value

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Equilibrium Exchange Rates

EXAMPLE: € AppreciationIf the dollar value of the € goes from $0.50 (e0) to

$0.65 (e1), then the € has appreciated by

(.65 - .50)/ .50 = 30%

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Equilibrium Exchange Rates

C.4. Calculating a Depreciation:

= (e0 - e1)/ e1

where e0 = old currency value

e1 = new currency value

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Equilibrium Exchange Rates

EXAMPLE: US$ Depreciation

Use the formula

(e0 - e1)/ e1

substituting(.50 - .65)/ .65 = - 23.1%

is the US$ depreciation.歐元升值的幅度並不等於美元貶值的幅度，是因為計

算的基礎不同，所以兩貨幣的價值變動百分比並不相等。

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Equilibrium Exchange Rates

D. THE FACTORS AFFECTING EXCHANGE RATES:

1. Inflation rates

2. Interest rates

3. GNP growth rates

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Sample Problem Suppose the U.S. dollar appreciates against

the Russian ruble by 500%. How much did the ruble depreciate against the dollar?

To solve the problem, you can approach it in two steps: Solve for e1

Substitute and solve for the depreciation (x)

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U.S. $ APPRECIATION

1 0

0

( )5.00

e e

e

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RUBLE DEPRECIATION

0 1

1

e ex

e

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SOLUTION – Step 1 Solve for e1

1 0

0

5e e

e

01

0 0

1

0

1 0

5

1 1 5 1

6

ee

e e

e

e

e e

1 0

0

5e e

e

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SOLUTION – Step 2 Substitute and solve for x

0 1

1

( )e ex

e

0 0

0

6

6

5

683%

e ex

e

x

x

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SOLUTION

When the dollar appreciated by 500% against the ruble, the ruble depreciated 83% against the dollar.

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中央銀行干預

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中央銀行干預 1/2

原因： 實質匯率的上揚導致海外商品相對於國內商品

價格下跌。 強勢美元不利美國出口，但可讓國內消費者得

到較便宜的國外商品。 弱勢美元則有利美國出口，但不利於美國消

費者。

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藉由增加另一貨幣的供給，來提高某一貨幣的需求。

沒有消毒的干預： 金融主管單位並未將國內的貨幣供給與外匯交

易隔開。 不僅改變匯率，也會改變通膨。

中央銀行干預的手法 1/2

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中央銀行干預的手法 2/2

有消毒的干預： 公開市場操作：買賣國庫券。 淨結果：外匯存底的上升或下降，對於國內的貨幣

供給應是沒有影響的。 央行超乎預期的干預可以為外匯市場帶來短暫的

衝擊。