Lecture：CurrencyBasketEffectiveExchangeRate(国际金融-南开,胡春田).docVIP

PAGE  PAGE 13 Lecture 3：Currency Basket Effective Exchange Rate Currency basket Ni: quantity of i$ ∵Ti = e × Ji If and ? Peg to a CB? choosing et so that Bt = B0 i.e. Ni、Ji、B0 given, solve et Effective Exchange Rate Index $￡yenT1T1k /T10×100T2T3T4…19905100101001/30100199510200151501/2015020008160121201/12250 (1) cross exchange rate ? Ti = e × Ji (2) pegged to E ?? Questions: 1. unit？ 2. how many currencies; N =？ 3. weights？: 1. indexation, i.e. choose a base period 2. N = ? depends 3. weights: today’s topic 權數的選擇 1. 雙邊出口權數 i : 本國 j : 貿易對手國 意義僅代表雙邊關係，但未考慮到多邊關係。 2. 雙邊進口權數 衡量匯率變動對本國進口能力與進口成本之影響 3. 雙邊貿易權數 我國與貿易對手國之外匯供需關係 4. 世界出口市場權數 國總出口值 5. 平均出口權數 6. 平均貿易權數 7. 雙重加權權數 j, k：我國主要貿易對手國 8. 多邊匯率模型（Multilateral Exchange Rate Model, MERM）： See Artus and Rhomberg (IMF Staff Papers, 1973) In theory, the approaches can be classified as follow： DeterministicStochasticPartial equil.B K（1981）General equil.Hu（1985）Turnovsky (1982) Bhandari (1985) Branson Katseli’s model: Based on objective function ? choose optimal weight, Every time when Ji changes, if we pegged E which is built upon , ? we can guarantee that the objective function is not affected by the changes of Ji. Branson Katseli’s model: (3) pegged to real effective ER subscript 0: home country pegged to I ? (4) Objective: 1. Balance of trade (BOT): Px X – PmM 2. Terms of trade (TOT): Px /Pm 3. Px /P0: Suppose two countries only: Export market: Supply: (5) or Demand: (6) PPP ? or Equilibrium ? or (7) k: market power of exports in world market Small cty ? dx? ? k ? 1 (8) Import market: Supply: or Demand: (9) equilibrium ? mkt power in world import mkt k? ? 1 if sm ? ? (small cty) (10) Disaggregation: i.e. expor