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ZAA · 2023年01月28日

B为什么不对?

NO.PZ2018091706000061

问题如下:

Assume that the DM country has what is considered a low-yield safe haven currency while the EM country has a high-yield currency whose value is more exposed to fluctuations in the global economic growth rate. All else equal, the exchange rate for the EM currency will most likely depreciate if the:


选项:

A.

long-run equilibrium value of the high-yield currency is revised upward

B.

nominal yield spread between the EM and DM countries increases over time

C.

expected inflation differential between the EM and DM countries is revised upward

解释:

All else equal, an increase in the expected inflation differential should lead to depreciation of the EM currency.

解析:

real exchange rate (A/B) = equilibrium real exchange rate + (real interest rate B - real interest rate A)- (risk premium B - risk premium A)

根据上述公式。所以AB选项错误。

在其它条件相同的情况下,预期通胀率的扩大会加两国的风险溢价之差,从而应会导致新兴市场货币贬值。所以C选项正确。


B选项是名义利率的差距加大

REAL INTEREST两者相等

不就相当于通胀率不一样吗

那C对难道B不对吗

2 个答案

笛子_品职助教 · 2023年02月27日

嗨,爱思考的PZer你好:


膜拜,笛子老师的回复好像绕口令,太清楚了,谢谢!

老师也很感谢同学的认可,感动ing~我们一起加油!

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2023年01月28日

嗨,爱思考的PZer你好:


Hello,亲爱的同学!

这道题知识点就是一个公式,理解这个公式,然后根据公式去推理即可。


在以下基础班讲义,考点是The Impact of Balance of Payments Flows


real exchange rate (A/B) = equilibrium real exchange rate + (real interest rate B - real interest rate A)- (risk premium B - risk premium A)

实际汇率 = 均衡汇率 + 实际利率的利差 - 风险溢价之差。



可以这样理解:

就是说对于实际的交易汇率,我们在均衡的汇率水平上要对利率和风险因素进行区分,


实际利率水平高,说明国家的潜在GDP增速快,就会引起实际汇率升值。

如果风险溢价比较高,意味着国家的风险很高,会造成实际汇率贬值。inflation是风险溢价的一种。


名义利率和实际利率是可以互相转化的。名义利率 = 实际利率 + 通货膨胀。本题这里的风险溢价,主要指通胀。


所以,名义利率取决于两个变量,一是实际利率,二是通胀。


本题问的是,EM国家汇率在什么情况下会贬值。


前面已经说了,实际利率高会升值,通货膨胀高会贬值。那么名义利率 = 实际利率 + 通货膨胀,名义利率高,不一定带来汇率贬值。

如果名义利率高,是由于实际利率高引起的,那么汇率是升值。

如果名义利率高,是由于通胀高引起的,那么汇率会贬值。(C选项就是说,EM国家通胀高,所以EM国家汇率贬值)


所以B不一定会引起EM国家汇率贬值。不选B

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加油吧,让我们一起遇见更好的自己!

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年02月26日

膜拜,笛子老师的回复好像绕口令,太清楚了,谢谢!

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