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佳妮 · 2023年02月09日

这里的exchange rate没有说就是real exchange rate

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。


老师,问题里的exchange rate没有说就是real exchange rate,如果理解成uncovered interest parity,那EM和DM货币的名义利率的差值增大,即期EM是会升值但将来是有贬值可能的,题目里问的方式will depreciate是不是可以理解成将来的预期,那这样B选项也是对的啊

1 个答案

笛子_品职助教 · 2023年02月10日

嗨,努力学习的PZer你好:


老师,问题里的exchange rate没有说就是real exchange rate,如果理解成uncovered interest parity,那EM和DM货币的名义利率的差值增大,即期EM是会升值但将来是有贬值可能的,题目里问的方式will depreciate是不是可以理解成将来的预期,那这样B选项也是对的啊


Hello,亲爱的同学!

本题的问法也不太精确,如果改成,the rela exchange rate for the EM currency will most likely depreciate if the:会更好。

这道题就了解一下这个知识点:

风险溢价上升,汇率贬值。本题通胀也是一种风险溢价。

实际利率上升,汇率升值。


不过同学问了名义利率和汇率的关系,老师再补充说明一下:名义利率增加,对汇率的影响,解题时这么处理。

如果是短期,则名义利率增加,汇率会升值。

如果是长期,则名义汇率增加,汇率会贬值。


那么我们如何知道题目问的是短期长期呢

一般来说,我们默认是长期的情况。利率越高,货币越贬。

如果题目中有特定的固定汇率制度,比如盯住汇率制,此时我们用短期情形。利率越高,货币越升。



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