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1、INTERNATIONALFINANCIALMANAGEMENTINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEditionChapterObjective:Thischapterexamines（剖析）severalkeyinternationalparityrelationships,suchasinterestrateparityandpurchasingpowerparity.6ChapterSixInternationalParityRelationships&ForecastingForeignExchangeRa
2、tes套利是為了獲得一定的收益，同時買進和賣出相同或具有等價值的資產或商品的行為。當市場均衡時，市場不存在套利機會。像利率平價和購買力平價是產生套利均衡的條件。ChapterOutlineInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityCoveredInterestArbitrageIRPandExchangeRateDeterminationReasonsforDeviationsfromIRPPurchasingPowerPari
3、tyTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityPPPDeviationsandtheRealExchangeRateEvidenceonPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityPurchasi
4、ngPowerParityTheFisherEffectsForecastingExchangeRatesEfficientMarketApproachFundamentalApproachTechnicalApproachPerformanceoftheForecastersInterestRateParityPurchasingPowerParityTheFisherEffectsForecastingExchangeRatesInterestRateParityInterestRateParityDefinedCoveredInterestArbitrageInteres
5、tRateParity&ExchangeRateDeterminationReasonsforDeviationsfromInterestRateParityInterestRateParityDefinedIRPisanarbitragecondition.IfIRPdidnothold,thenitwouldbepossibleforanastute（[??stjut，精明的]）tradertomakeunlimitedamountsofmoneyexploiting（[?ksp'l??t??]，利用）thearbitrageopportunity.Sincewedon’t
6、typically（通常）observepersistentarbitrageopportunities,wecansafelyconsiderthatIRPholds.InterestRateParityCarefullyDefined假設你用1美元投資1年，有兩種方式可供選擇：i以美國利率在美國國內進行投資；ii以國外利率在國外進行投資。如果你將1美元以美國利率（i$）投資于美國國內，到期值為1*(1+i$）美元。匯率S和F分別代表即期匯率和遠期匯率，指一單位外幣能兌換的美元數(shù)。若投資于英國并進行以下交易：i按即期匯率S將1美元兌換成英鎊，即￡(1/S);ii將英鎊以英國利
7、率i￡進行投資，到期值為￡(1/S)(1+i￡)；iii將英國投資的到期值以遠期匯率售出，獲得預定的美元，即：$[(1/S)(1+i￡)F]。要實現(xiàn)套利均衡，兩種投資所產生的未來美元收益必須相等，即：1*(1+i$)=(1/S)(1+i￡)F，整理得到利率平價的正式表達式：IRPandCoveredInterestArbitrage（抵補套利）IfIRPfailedtohold,anarbitragewouldexist.It’seasiesttoseethisintheformofanex
