Transcript 国际金融与开放宏观经济学

国际金融
与开放宏观经济学
Introduction
The Property of international finance
-from the different perspective of international
finance: Monetary Economics; Macro
Economics; The management of international
finance
- The key character: The equilibrium of balance
of payments_ internal and external; between the
countries economy areas; The stable of
international monetary system
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Old and new Approaches to international finance
_ Old: traditional analyze:flow and stock _ analyze
the factors of determinations
_modern:construct the micro foundations of
international monetary economics- Intertemporal
analyze
_Problem: Policy make and theory; The rational
choice of individual and collective; Individual
expect ional Hypothesis; the optimizing model in
the real world
_How deal with old and new: old first introduction
of new one
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International monetary economics is a science
of history
 Trace the development of international finance
_ the mechanism of price -spiece flow
_ the parity of interests
_ PPP
_ Elasticity approach
_ Multiplier approach
_ Intergrated Approach
_ Mundell – Fleming model
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_ Monetary approach
_ Portfolio approach and overshooting
_ The theory on the exchange rate system
_ Triffin dilemma and Optimum Currency
Areas
_ Currency Crises theory
_ The intertemporal Approach
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On the background of international finance
On the method of studies
On the References
参考文献
克鲁格曼和奥伯斯法尔德，《国际经济学》，人大出版社，
2001
Salvatore，《国际经济学》，清华，1997
Appleyard and Field， 《国际经济学》，机械工业出版社，
1998
Obstfeld and Rogoff，《Foundations of International
Macroeconomics》，The MIT Press，1999
高级国际金融学教程，中国金融出版社，2002
龚关，《国际金融理论》，武汉大学出版社，2000
潘国陵，《国际金融理论与数量分析方法》，上海三联，
2000
里维里恩等《国际货币经济学前沿问题》，中国税务出版社，
2000
姜波克，《开放经济下的宏观金融管理》，复旦，1999
(1、自由兑换，2、货币替代，3、货币市场，4、政
策搭配）
姜波克，陆前进，国际金融学，上海人民出版社，
2003年5月
 徐滇庆等，《泡沫经济与金融危机》，人大，
2000
 杨帆，《人民币汇率研究》，首都经贸大学出版
社，2000
 让.梯若尔，《金融危机、流动性与国际货币体
系》，中国人民大学出版社，2003年9月
 张礼卿，《汇率制度变革- 国际经验与中国选
择》，中国金融出版社
 麦金农，《美元本位下的汇率-东亚高储蓄两难》
中国金融出版社，2005
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本人近期主要相关论文
不对称国际经济体系下的人民币汇率问题—一个劳动力平价的视角，
商业经济与管理，2005，12
论人民币汇率双重均衡，管理世界，2005，5
经济全球化与“新特里芬悖论：经济理论与经济管理，2005，1，人
大复印，理论经济学4，世界经济导刊4
基于金融脆弱性的发展中国家新重商主义，浙江学刊，2005，1，人
大复印，金融与保险5，
人民币购买力平价和实际汇率分析，浙江社会科学，20041，
东亚国家汇率制度选择的困境，亚太经济，2003，3，人大复印，世
界经济导刊，7
主要国际杂志：Journal of International Economics, Journal of
finance,Journal of international money and finance
主要国际网址：www.imf.org, www.nber.org, www.bis.org,
www.worldbank.org
论文
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Part 1 The Basics
On the spot rates
_ volume quotation system
_Cross rates and Triangular arbitrage
_The mechanism of Equilibrium of
Exchange rates between different areas
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Case study: Calculation of Spot rates
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Condition: GBP/USD 1.5800/10; USD/EUR
0.9120/30;
USD/JPY 121.45/75
Problem :A firm would have EUR against 100 million
GDP, how much can the firm get
1.5800 * 0.9120 * 100M = 1.4410 *100M EUR.
Problem : how much can the firm get JPY against 100M
EUR
121.45/0.9130 *100m = 133.13 * 100M EUO
Case study :De- and appreciation
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Condition: In 1985 the exchange rate of
USD/RMB was 3.7420, and in 1994 the
rate was 8.7250.
Problem:How much did the USD
appreciated, and RMB depreciated
USD (8.7250 – 3.7420)/3.7420 = 133%
RMB ( 3.7420 – 8.7250)/8.7420 = 57%
On the real exchange rates
_Concept: a broad summary measure of the
prices of one country’s goods and
services relative to other’s
_Different measures(2.8, 2.9; 2.10, 2.11;
2.13,2.14; 2.14)
_ A revise one: RE = et·（I*T / IT ）·[(1n*)+n*·(I*N/ IT * )] / [(1-n)+n·(IN/ IT )]国际金融
研究\方论文修改.doc 国际金融研究\三大经
济体实际汇率图.xls
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Pay attention to the Calculation
About Price index
_Basis time point ; The structure of Index; The
method of measurement
About The meaning of RE level: Appreciation and
Depreciation : Relative to the Nominal Exchange
rates on the Basis time; Showing the change of
international comparative power
Excises: Calculation the RE of REB against U.S
dollar between 1994 – 2004 with Equation 2.8
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On the effective exchange rate
_Nominal effective exchange rates, Formula
2.15,
Pay attention: using the volume (indirect)
quotation system, is given as an index
number with a base of 100
_Real effective exchange rates
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On the forward exchange market
Concept
 Hedging : open_ long_ short_ position
 Forward premium and discount
 CIP (2.19)(4.1), forward margin and Interest
different
 UIP (2.21)(4.2) with Speculators
_(4.3) Risk Premium; (4.4) Real interest Parity
(Fisher effect); (4.5) Efficiency Condition: perfect
capital mobility, perfect Asset Substitutability,
rational expectations and interest conditions
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On the Eurodollar and Xenocurrency
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Concept and history
Onshore and offshore
Chapter 3
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Fixed_ and floating exchange rates
World Gold standard and Price_Specie
flow mechanics
The Bretton woods system: The
adjustable peg; Reserve and The
monetary Authorities’ Intervention; adjust
mechanics
The adjust mechanics in gold standard
Deficit increase of exchange rates
Gold outflow decrease of money supply
in home and increase in foreign
change the relative prices
balance
Which conditions can full the mechanics?
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The Adjust mechanics of Bretton
woods system
Deficit Impact on E intervention
Decrease of reserve Decrease of basic
money Increase of Interest capital
inflow and Decrease of aggregate demand
downward of Price balance
Which condition can full the mechanism?
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The current nonsystem
Why was given the name of nonsystem?
_ international currency standard
_exchange rates regime
_discipline of international economy
_adjust mechanics of balance of payments
Inter regime between fixed and free floating
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Chapter 5
the balance of payments
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The economic meanings
The concept (page 54)
About the term of economic transaction;
residents
Accounting principles
Current account ; capital and financial account;
reservebalance charter.doc
The meaning of surplus, deficit, and equilibrium
Chapter 6 real and financial flows
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Equilibrium between internal and external ,
flow and stock in an open economy
Explain the columns: Sector and markets
The row identities(6.1-6.8)
The column identities(6.9-6.18)
2004S1.htm
Other identities
Chapter 7 the elasticity approach
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The background of theory
The assumption: ceteris paribus excluding
R; foreign exchange market is derived
from export_ and import markets; free
Movement of exchange rates
Elasticities of exchange rates
Marshall-Lerner condition
Elasticity Optimism vs. Pessimism
Foreign exchange market Equilibrium
 Real Equilibrium
Multiple equilibrium because of uncertainty
of the change of export value when R
changed
The stable conditions: an exchange rates
depreciation should reduce excess
demand for foreign exchange
 The meaning for developing countries
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Interrelation between the spot
and forward
The relationship between excess demand
und forward rates(7.17)
Arbitrage with limited funds (figure 7.2)
Commercial hedging (Figure 7.3)
Speculation (about the increase function of
gap; decrease function of risk to the
position)(7.5)
The monetary authorities’ Intervention
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Chapter 8
The multiplier approach
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The background : Harrod and Keynesian;
economy crises ; Transfer problem
What means twofold relevance
Assumption: Small country with no foreign
repercussions; underemployed resources;
rigidity of all prices; no capital movements
About the repercussion
Foreign repercussion
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nation 1
X increase
Y increase
M increase
nation 2
M increase
Y decrease
X increase
The basic model
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(8.1 – 8.5) about export function
(8.6 –8.10) injections and leakages; internal and
external equilibrium; mechanics: about induced
import
Multiplier: 1/I-b-h+u (8.11 – 8.13). If no induced
investment, k = 1/(s + u)
The necessary and sufficient for dynamic
stability (8.14 – 8.19), emphasis the expenditure
propensity to domestic goods shall be smaller
than 1( 8. 15) plus the marginal propensity to
import
The effect of a increase in export
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If b + h < 1, dB > 0, dB < dX, under adjustment
If b + h = 1, dB = 0, exact adjustment
If b + h > 1, dB < 0, overadjustment
The greater the marginal propensity to spend,
the greater ceteris paribus the multiplier
What is different between close and open
economy
Effect of a increase in import
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8.22 and stability condition
If the marginal propensity to spend is
smaller than one, the induced decrease in
import can not restore equilibrium.in the
opposite case the balance of payments
will go into surplus
If it exists dm = dC + dI ,there is no effect
on income
The transfer problem
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Background: Keynes and Ohlin
Deterioration in term of trade or not
Discussion: financial and real effect;
current account and overall balance;
under effect, effected and over effected
(8.27) (8.29)
Multiplier with foreign repercussions
dy
dx
di
dyf
db
sf /(s* sf+ s* - s/(s*sf+s * mf s * sf /(s * sf +
mf + m* sf ) > + m * sf) < 0
s* mf + m* sf )
0
>0
(sf + mf ) /(s* M / (s* sf+ s*
sf+ s* mf +
mf + m* sf ) > 0
m* sf ) > 0
(-m* sf ) /
(s*sf+s * mf +
m * sf) < 0
Chapter 9 an integrated approach
What means an integrated approach
 Theory contribution
 “small country model”
 About H-L-M condition:
if db/dr >0, x + m >1 + m hold
(9.1-9.4) BB and RR schedules. Internal and
external balance
Stable and unstable conditions (figure 9.3)
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Comparative statics and the transfer problem
J curve:currency-contract, pass-through,quantityadjustment
S curve investment explain
About Swang model:expenditure- switching and
– change
Depreciation effect: allocation effect and
monetary illusion
About assets effect
Why U.S.A can`t recover the disequilibria of
current account
Chapter 10 M-F model
Introduce
_ from IS –LM model to IS – LM – BP model
_ background: the relax of capital control in west
European; The crises of golden _ dollar
_ contribution: combination of real and monetary
analyze ; explaining the different effect of
monetary and fiscal policies in the fixed and
floating exchange rate regime; implicating the
principal of policies combination in the short run
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Fixed exchange rates
_ equilibriums in goods, money and foreign
exchange markets (10.1 - 10.3 )
_IS and LM curve
_ BP curve , the slope depends on the
responsiveness of capital flow to the
interest rate
_ current balance, capital balance and
overall balance
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Stability and equilibrium
_ figure 10.5. What means the money is
given and variable.140
_ Behavioral hypotheses: the money supply
varies in relation to the surplus or deficit in
the balance of payments(Reserve and
money supply); Income varies in relation
to the excess demand for goods; the rate
of interest varies in relation to the excess
demand for money
_sufficient stable conditions: e < 1 and m< 1
F10 471
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Dynamic analysis of the adjustment
process
At point A internal equilibrium and external
disequilibria
decrease of reserve
decrease of money supply
upward of
interest rats downward of consume and
investment decrease of Y
A property in fixed exchange regime : the
international reserve can not be sustained
infinitively to support imbalance
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About the burden of debt and confidence
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Short term and long term effect of capital
inflow
Bend backwards of BB curve Figure 10.7
The experience of world debt crises in
eighty`s
Financial globalization and confidence for
the stability of macro economy
Comparative statics
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The transfer problem( this can also seen
as deficit of BP
Exchange-rate devaluation(note: BB in
figure 10.9 is inelastic to I. If BB is elastic
to I, the adjustment is unaffected)
Flexible exchange-rates
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The model 10.6. M is given
About the dynamic behavior assumptions
c and d
adjustments
Chapter 11
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The dilemma of internal and external
balance
Tinbergen`s principle
The problem of stagflation
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Fiscal policy with freely capital movement
under fixed exchange rates
Fiscal policy with capital control under
fixed exchange rates
Fiscal policy with freely capital movement
under floating exchange rates
a comparative
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monetary policy with freely capital
movement under fixed exchange rates
monetary policy with capital control under
fixed exchange rates
monetary policy with freely capital
movement under floating exchange rates
monetary policy with inelastic capital
movement under floating exchange rates
a comparative
Assignment problem
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Figure 11.1;11.2
Figure 11.3 11.4
Perfect capital mobility figure 11.5
Some properties of M-F model
11.2.2
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The effect of capital movement induced by the
change of interest rate has a short-term
property
The effect of interest on capital flow is limited
If The effect of interest on the income is
sensitive, the assignment will be not true
The intervenes policy should be determined
before the expectation has been changed
The payments of foreign debt will not offset the
effect of interest difference on the capital
movements
Chapter 12 monetary approach
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Background
Price-specie-flow mechanism
Assume :optimum distribution of specie;
constant of income(full employment),
productivity; price- elasticity sufficient (real
exchange rates); I has no influence on the L
The difference between classical and modern
monetarism
Basic proposition and implication
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Proposition I: the relationship between
stock and flow
Proposition II : PPP and the law of one
price
Proposition III: full employment
implication
A simple model
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Model 12.3
The meaning : A is the result of stock adjustment,
and determined by supply and demand for
money
Model 12.4
The meaning : the demand for money is a stable
function of income, interest rate is a datum
12.9 and 12.6: money stock decides the change
of reserve
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The different effects of devaluation from
the perspective of MABP and traditional
approach
The different assumption: employment;
price change; The law of one price; flow
and stock
A theory should combine the flow and
stock
The approach of new Cambridge school
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The main differences between new and old
The model meaning: the desired value of stock
decides the level of expenditure, so that the new
school is much nearer to the MABP than the old
one
Private A = Y, (G – T) determines CA
The effect of devaluation on the CA is offset by
the indirect effect of devaluation on the income
Policy implication
Chapter 13
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Background
2 ways of portfolio analyze: micro and macro FM model
Assumption: small country; only 3 kinds of
assets; the supply and demand for foreign bond
is always equal
Model 13.1 – 13.6
Figure 13.1 and 13.2: LL, FF and NN curves
Portfolio and macroeconomic
equilibrium und fixed E
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Some remarks: The way the budget deficit
is financed: issuing bonds and printing
money; The influence on private income
induced from interest payment; The
influence on government expenditure
induced from interest payment.
The ground idea of model: combination of
real and monetary, flow and stock
Assumption
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GR as exogenously and endogenously
variable
13.7- 13.9
13.10 public sector`s budget deficit
13.11- 13.14 flow and stock analyze
13.15 Y determination under the
consideration of wealth
13.16 wealth effect on L
13.7 The effects of payments imbalance
and government deficit on the M
Monetary and long-run
equilibrium
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Short-run and long-run equilibrium
Long-run assumption
Portfolio and macro Equilibrium
under flexible E
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Exchange rate changes influence the price
level, which influence real M supply 13.2513.27
Price and exchange rate changes and
expectation13.28-13.30
The basic model: 13.31-13.42
Static expectations
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In short –run the effect of fiscal policy on Y
is better than the effect of monetary policy
because of wealth and M supply
Rational expectations and
overshooting
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The effect of adjustment policy under
rational expectation is smaller than under
static expectation, while the depreciation
under rational expectation is smaller than
und static expectation.
Effects of an Increase in the U.S.Money Supply
Dollar/euro exchange
Rate, E$/€
Dollar/euro exchange
Rate, E$/€
Dollar return
E2$/€
2'
E1$/€
M1US
P1US
M2US
P1US
Expected
euro return
4'
E3$/€
1'
R2$ R1$ L(R , Y )
$
US
Rates of return
(in dollar
0
terms)
2
1
2
M US
P2US
M2US
P1US
(a) Short-run effects
U.S. real
money holdings
2'
E2$/€
Expected
euro return
3'
0
Dollar return
U.S. real
money holdings
R2$
R1$
L(R$, YUS)
4
U.S. real money supply
2
(b) Adjustment to longrun equilibrium
Chapter 15 Exchange rate
determination
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PPP theory中国的名义和实际.ppt
The law of one price and other problem with
PPP
The H-B-S model: the basic idea is that the nontradable price in a country with higher
productivity increases by economic growth so
that the real exchange rate appreciates, but it
did not affect the competition of tradable sector
设；P为消费者物价指数，Pt为贸易品物价指数，Pnt为F
非贸易品物价指数；a和b分别代表发达国家和发展中国家；
Wt和Wnt分别代表贸易和非贸易品的劳动生产率；N和（1N）分别为贸易和非贸易品的权重；L t和Lnt分别代表贸易
和非贸易部门的工资率。同时，Na ＜ Nb ，（I – Na ）＞
（1 - Nb ），P = NPt + （1-N） Pnt ， dWat ＞ dWbt ，
dWant = dWbnt 。
 当 dWat上升， dLat上升，只要dLat = dWat ， Pat不变。根
据一价定律，Pat = Pbt ， 必有dLat ＞ dLbt 。由于工资增长
率在一国的两部门基本相等， dLat = dLant ＞ dLbt = dLbnt ，
导致dPant ＞ dPbnt ，就有，
 Pa = NPat + （1-N）Pant ＞ Pb = NPbt + （1-N）Pbnt ，且，
（I – Na ）＞（1 - Nb ）
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Sectoral Productivity Growth Differences and the Change in
the Relative Price of Nontraded Goods, 1970-1985
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The revised PPP
E = e0·（I*T / IT ）·[(1-n*)+n*·(I*N/ IT * )] / [(1n)+n·(IN/ IT )]
The relationship between ppp and real
exchange rates
Flow approach
Monetary approach: a long-run general
model15.1-15.4
The portfolio approach
About labor parity
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Assume: the labor cost and productivity are the
main factor , which determine the price level
P＝w/a
（1）
P = price, w = wage ，a = productivity,and
P*＝w*/a*
（2）
The relative price between 2 counties：
P/ P*＝（w/ w*）·（a*/a）
（3）
The portfolio approach
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Hypothesis :imperfect substitutability;
small country
15.20 – 15.24 the basic idea
Interaction between current and capital
accounts
About macro econometric models
The empirical studies
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Explanation and prediction
About the method of test
Equilibrium exchange rates: a benchmark
to be used to check the possible
misalignment of the actual exchange rate
FEER , BEER AND ERER
The relationship between RER,EER AND
PPP SHUANG EQUILIBRIUM.doc
CHAPTER 16CAPITAL MOVEMENTS,
SPECULATION AND CURRENCY CRISES
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The background: real and monetary;
capital movements in the history; the
characters
Direct investment
Short – term capital movements and
speculation
Financial crises