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第五章 汇率决定理论 PowerPoint PPT Presentation


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第五章 汇率决定理论. 第一节 汇率决定理论的演变发展 第二节 购买力平价说 第三节 利率平价说 第四节 国际收支说 第五节 资产市场说. 汇率决定理论演变发展. 汇率决定理论研究的着眼点:是一国货币的汇率水平受什么因素决定和影响。 本章讨论汇率决定的背景:实行货币自由兑换,汇率由市场来决定的国家。 汇率决定理论是国际金融理论的核心之一,随着经济背景和经济学基础理论的演变经历了不同的发展,主要经历了国际借贷说、购买力平价说、汇兑心理说、国际收支说和资产市场说几个阶段。. 第一节 汇率决定理论演变发展. 早在18世纪,就有学者开始对汇率问题进行探讨。

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第五章 汇率决定理论

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    • 1861G.J.GoschenTheory of Internationaln Indebtedness


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    • G.Cassel19221914


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    • 1927A.AftalionPsychological Theory of Exchange


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    • 1923Theory of Interest Parity

    • Paul Einzig19311937Theory of the Riciprocity


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  • 70Balance of Payment Theory of Exchange Rate


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  • absolute versionrelative version


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  • e=Pa/Pb

  • e1BAPaAPbB


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  • e1e0Pa1Pa0APb1Pb0B


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  • p(1+if)=p+p*if=id-if pid-if


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  • 50


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    • perfect mobility


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  • (rd)(rf)pe

  • idIf+e..(5.2.6)


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  • ef=E(es)

  • biased predictorE(es)-ef


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    • idIf+e


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  • DD

  • SS

  • SSDD


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  • SSDD

  • SSDD

  • DDSS


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  • (Monetary Approach to Exchange Rate)

  • Portfolio Balance Model of Exchange Rate


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Overshooting model

Overshooting Model

  • (Rudiger Dornbusch)1976

  • flexible-price Monetary Approach(Sticky-price Monetary Approach)


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Portfolio balance model of exchange rate

Portfolio Balance Model of Exchange Rate


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  • WM Npe Fp

  • MNF


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  • + + + - +


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  • 2000

  • R.F.L.C.H.1998

  • 1998

  • 2000

  • 1999

  • 1991


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