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玛卡巴卡 · 2021年09月09日

PPP

  1. CFA III
  2. Capital Market Expectations

NO.PZ2020012102000011

问题如下：

Fap is a small country whose currency is the Fip. Three years ago, the exchange rate was considered to be reflecting purchasing power parity (PPP). Since then, the country’s inflation has exceeded inflation in the other countries by about 5% per annum. The Fip exchange rate, however, remained broadly unchanged.

What would you have expected the Fip exchange rate to show if PPP prevailed? Are Fips over or undervalued, according to PPP?

选项：

解释：

According to PPP, to offset the effect of the higher inflation in Fap, the Fip should have depreciated against the other currencies by approximately the difference between Fap inflation and that in the other countries. According to PPP, Fip is overvalued.

解析：根据购买力平价理论，为了抵消Fap中较高的通货膨胀的影响，Fip应该对其他货币贬值大约是Fap通货膨胀与其他国家之间的差额。根据购买力平价理论，Fip被高估了。

PPP的公式 （E(S1)-S0）/S0=InflationA-InflationB，如果FIP（也就是这里的A）大于其他国家（B）5%，那公式IA-IB大于0，从而S1大于S0，不是应该说明A要升值么？现在A没升值，所以A被低估了？请老师解答，谢谢

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源_品职助教 · 2021年09月09日

嗨，爱思考的PZer你好：


PPP说的是，两国汇率的差，大约等于两国通胀的差。但是通胀高的国家的货币倾向于贬值。

就本题而言， （E(S1)-S0）/S0=InflationA-InflationB

这里的汇率S,就是A/B。这里A是本币，B是外币

结合题目，根据公式，A/B的数值是5%，也就是说每单位B可以多换5%的A

因为B是外币，A是本币（通胀高的币），所以应该是B升值，那么A会继续贬值。

不客气~

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