西方汇率理论介绍

购买力平价说 Purchasing Power Parity (PPP) 卡塞尔(G. Cassel) 1916年 思维方式→“一价定律”

PPP states that exchange rate between two countries’ currencies equal the ratio of countries’ price levels. It highlights important factors behind exchange rate movement. 两种货币购买力之比决定两国货币的汇率。

The same commodity It costs $200 in U.S; It costs DM600 in Germany

Absolute PPP & Relative PPP 过渡等式

相对购买力平价说 Inflation rate πt denotes price changes between t and t-1.

The hamburger standard, Big Mac Prices Countries and regions Prices in local currency Implied PPP of the dollar Actual exchange rate 10/4/92 % over (+) of under(-) valuation of dollar China Yuan 6.30 2.88 5.44 +89 Hong Kong HS$ 8.90 4.06 7.73 +91 Italy Lire 4100 1872 1233 -34 Japan Yen 380 174 133 -24 Singapore S$ 4.75 2.17 1.65 U.S.A. $ 2.19

对上表的说明 The price in the US is regarded as the benchmark, the last column indicates over or under valuation of USD, that is, the price in the US is nearly 89 percent higher than that of China.

汉堡经济报告显示根据购买力平价理论 人民币汇价被低估一半A 本报讯英国《经济学家》杂志一年一度的“汉堡经济报告”出台了。报告显示，人民币、马来西亚林吉特。菲律宾比索和南非兰德的汇价被严重低估。 “汉堡经济报告”的基础是购买力平价理论，该理论认为两种货币之间的汇率会逐渐向特定汇率缓慢趋近，达到特定汇率后，数量相同的货物与服务在每个国家的交易价格都一样。

汉堡经济报告显示根据购买力平价理论 人民币汇价被低估一半B 这份报告研究的商品是麦当劳的麦香汉堡，约120个国家的麦当劳都提供这种汉堡。调查结果发现，美国麦香汉堡的平均合税售价是2.45美元。麦香汉堡售价最便宜的国家为中国大陆。马来西亚。菲律宾与南非，售价低于1.2美元，表示这些国家的币值被严重低估50%以上。售价最高的国家包括英国。丹麦与瑞士，这些国家的币值则最受高估。

汉堡经济报告显示根据购买力平价理论 人民币汇价被低估一半C “麦香汉堡指数”最大的成就是追踪欧元市值波动。1999年1月欧元正式启用时，几乎所有人都预测欧元会对美元升值，但是“麦香汉堡指数”却显示，欧元一开始就被过度高估。索罗斯基金管理公司承认欧元启用之初曾仔细考量“麦香汉堡指数”的卖出欧元信号，不久后却决定忽略这项信息。后来，欧元果然大幅贬值。

Richardson’s Test Negative results of PPP between the US and Canada.

“A Guide to World Prices” provides evidence against commodity price parity The price of aspirin (100 units) ranges from 1.16 dollars in Mexico City to 35.93 dollars in Tokyo. Likewise, a cost of a man’s haircut ranges from 6.93 in Mexico City to 66.66 dollars in Tokyo. It cost 10 times more to have a haircut in Tokyo than in Mexico City.

The price differential, however, is likely to persist because haircuts are simply not tradable. In comparison, the price disparity for camera film is substantially less. This can be attributable to the fact that camera film is a highly standardized commodity that is actively traded across national borders.

“How large is China’s economy Suppose you want to rank countries in terms of gross national product (GNP). If you use market rates, you can either underestimate or overestimate the true GNP values. A country’s ranking in terms of GNP value is quite sensitive to which exchange rate is used. China provides a striking example.

When the market exchange rate is used, China ranks 10th, lagging behind such countries as Canada, Spain, and Brazil. However, when the PPP exchange rate is used, China moves up to third (!) after Japan, but ahead of Germany and France. India also moves up from 11th to 6th when the PPP exchange rate is used. In contrast, countries like Canada and Spain move down in the GNP ranking when PPP exchange rates are used.

A Long-Run Exchange Rate Model Based on PPP, PPP does badly.

The actual mark-dollar exchange rate and the PPP-implied exchange rate

Empirical Study on PPP PPP 的技术问题： 物价指数的选择：GDP deflator; Wholesale Price Index; Consumer Price Index 商品分类上的可比性：tradable goods; non-tradable goods; commodity basket; 基期和连续数据：It requires data of 100 year or more. 统计数据的检验：Unit-root test; Cointegration test and so on.

PPP: an monetary approach? 购买力平价说的理论基础是货币数量说。它假定货币数量是影响货币购买力和物价水平的唯一因素。

The exchange rate is fully determined in the long run by the relative supplies of those monies and the relative real demands for them. It is monetary approach to the exchange rate. (Money supplies, interest rates and output levels)