國際金融學習記事 丁淑妤

2014.10.20

Monetary approach

Determination of ex. Rate

Free capital market
1) One country model:

        The formulation:

PPP : P = Sp*

M = K= M^S = M^d = kpr replace ‧p=sp

→   S = M^S/ k‧p*‧y

2) Two country model

S = domestic $/foreign $)

     p* = rest of the world

     S^~: Effective exchange rate

The formulation :

 Domestic :  M^S = M^d = k*p*y

Foreign :   M^S*= M^d* = k* ‧ p*‧ y*

     Combine :  PPP :  P = sp*

               S =p*/p = (MS /MS*) / {(k /k*)‧(y/y*)}

3) Function : relationship

     y = f(x)

     observe x ↑ y ↑

 y (↓)

ex: S= M^Si/kp*y

   S= f(ms,k,p*y)

 Functional Forms:

    1. Spec Form        

    2. Unknown Form

ex: Demand Func

D = f(p, .....) 

4) Non-linearity

l   in independent variables:

  y = b0 + b1x + b2x²+ c1x + c2x² + ····· +d1x‧x2 ← (interaction terms)

l   in parameters:

  y = b0 + g(z)x1 + g(z)x2 + ·····

5) Rate of Change 

 Growth Rate : yt，gt = dlny= ΔYt / Yt

(rate of ) return

               UIRP : Uncovered Interest Rate Parity

Denotionsit : t  domestic interest rate

it* : t foreign  interest rate

st :  Spot rate in t

st+1 :  Spot rate ahead of 1-period

UIP : (1 + it ) = (1 + it*) ‧St+1/St

$ 1 → (1 + it)    it -利率

     6) Investment strategies

  1. → it(1+i)

  2.USD   → 1 + it*

 Strategy 1:  (1 + it) ／per NTD

            2: 1/St‧(1 + it*)‧St+1 per/ NTD

International finance news :
1.Toughest Bank Rules Underpin Sweden Stress Test Supremacy (2014.10.27)
2. Delay of Shanghai-HK connect scheme casts doubt on inclusion of "A" shares in MSCI EM index - exec (2014.10.27)

2014.10.13

1.1)     S=Spot exchange rate             

E=1/S(USD/NTD)

S ↑ => depreciation)

S ↓ =>appreciation)

(under frexible ex market)

 RMB         

-          Revaluation

-          Evaluation

1.2)     Markets

l   Spot market

l   Future market

l   Forward market

l   Options

l   SWAP

1.3)     Focus of international finance

l   Exchange rate view (short run)

l   Macro- econ impact rate determination (long run)

l   Micro portfolio model

l   Financial crisis

l   Integration

1.4)     Why capital flows over the world?

1.5)     Exchange rate 

PPP= p= sp*

M^d = kpy

 P=sp*  => S = s/ p*

    M^s = M^d =kpy

     M = k(sp*)y

     M = ksp*y

     S= M^s / (kp*y)

1.6)     Monetany approach to ex rate determination 

       M^s = M^d =k.p.y => P = M^s/(ky)

     M^s* = M^d* =k*.p*.y* => p* = M^s*/(k*.y*)

            Assumption: P = sp*

            S= p/p*=( M^s/ky)/ ( M^s*/k*y*) =( M^s/ M^s*)/((k/k*).(y/y*)

International Finance News
1. Libor Scandal: Deutsche Bank 'Braces Itself' For $1bn US And UK Fine (2014.10.24)
2. Winners and losers in Europe's bank stress test (2014.10.26)

2014.10.06

1. Economy economic

2.  Low of one price (LOP)

3.  Exchange rate determination

4.  Big   data

5.  Coursera

6.  Flipped Classroom

International finance news :

1. Normalisation of US rate structure positive for India’s economic outlook: Glenn Maguire, ANZ (2014.08.07)

2. BOC's US$6.5bn AT1 leads the way (2014.10.18)

2014.09.29