Gaodun slideseconomics

http://finance.gaodun.cn Brief Introduction T Economics S 2017 Instructor: Jie S E P S S S S S S S S S S S S S S D S S A S S P S Q A E F R A C F E V F I I I M W Brief Introduction Brief Introduction C E Ø S S • R E V C E • R E G • R E Ø R R D F I C E Ø R E G Ø R E R D F D I R R 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn D http://finance.gaodun.cn Brief Introduction Brief Introduction : Ø Ø Study Notes Ø Ø Ø Currency Exchange Rates Ø GBP EUR Basics of Foreign Exchange Ø EUR GBP T Ø C EUR Ø I GBP ü GBP P ü EUR B Ø D Ø D Ø I 400-600-8011 cfa@gaodun.cn F D http://finance.gaodun.cn http://finance.gaodun.cn Currency Exchange Rates Currency Exchange Rates Ø N Ø S T Ø R Ø F A Real(d/f) = C C Nominal(d/f) Pd Pf Bid-Ask Spread Bid-Ask Spread Ø PC BC Ø T Ø B BC Ø A • T • T • T • C • T • M BC Ø T Ø I Ø S ü E T 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Cross Rate Calculation Cross Rate Calculation Ø E ü USD EUR CHF USD C GBP EUR Ø A ü GBP EUR USD EUR Ø E ü USD SFR SFR ASD Ø A ü ASD SFR Ø E USD GBP GBP USD A ü C GBP ü C AUD Ø A USD ASD C C S AUD GBP S GBP AUD GBP ASD USD C USD SFR AUD AUD ü SFR ASD Summary GBP Triangular Arbitrage Mark-to-Market Values of Forward Contracts Ø I Ø C • B AUD GBP A T • F Ø I • Ø E • Ø C • Ø C 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Triangular Arbitrage Triangular Arbitrage Ø T Ø S A B B C C ü A I O USD AUD MXN USD A Ø S Ø E ü USD AUD ü USD T USD MXN AUD ü MXN USD USD ü MXN AUD USD ü H Forward Discount or Premium Forward Discount or Premium Ø E Ø I • B • P • B • P M AUD CAD R S Ø I Ø F G Ø A F S CAD AUD CAD 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Mark-to-market value of a forward contract Mark-to-market value of a forward contract Ø T M M T R S VT =(FPT - FP)(contract size) Ø T Vt = T (FPt - FP)(contract size)   days   1  R  360      AUD W AUD Mark-to-market value of a forward contract Summary Ø A Ø I T T Ø C • T Ø T AUD • F • M (FP - FP)(contract size) (1.06206-1.05358)(1000000)   8463.64 Vt = t    days   60  1  R  360  1  0.0116  360        Ø E • • • 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn Y http://finance.gaodun.cn International Parity Relationships Ø I International Parity Relationships [1] R ü C T P I ü U Ø E Ø I Ø D Ø PPP Covered Interest Rate Parity P R F ü A Ø E R I P R PPP ü R PPP ü E A V PPP Uncovered Interest Rate Parity Ø C Ø U Ø T Ø T  days  + rx    360  =  days  + ry    360  r -r F - S + rx = = -1 = x y  rx - ry S + ry + ry Fforward (x / y) S spot(x / y) % S (x / y) E(St ) = S0 400-600-8011 cfa@gaodun.cn  days  1+rx    360 , days   1+ry    360  % S(x/y) = r -r E(St )-S0 1+rx = -1= x y  rx -ry S0 1+ry 1+ry http://finance.gaodun.cn http://finance.gaodun.cn International Fisher Relation Summary Ø T Ø I Ø C Ø A • C • U X : + rnom (x) = [1 + rreal(x) ][1 + E(I x )] • I Y : + rnom (y) = [1 + rreal(y) ][1 + E(I y )] Ø E rreal(x) = rreal(y) + rnom (x) + rnom (y) = + E(I x ) , + E(I y ) rnom (x) - rnom (y) + rnom (y) = • E(I x ) - E(I y ) • + E(I y ) rnom (x) - rnom (y)  E(I x ) - E(I y ) Absolute Purchasing Power Parity Ø A International Parity Relationships [2] PPP T Ø I Ø E PPP Ø D R Ø E J CPIA S(A / B) = CPIB 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Relative Purchasing Power Parity Ex-Ante Version of PPP Ø R Ø E PPP St 1+ I x t =( ), S0 1+ I y % S(x/y) = Ø W St - S0  Ix - Iy S0 Ø T E(S t ) + E(I x ) t E(S t ) - S0 =[ ] , % S(x / y) =  E(I x ) - E(I y ) S0 + E(I y ) S0 PPP International Parity Relationships Combined Ø E Ø U International Parity Relationships Combined PPP PPP Ø T Ø PPP 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Summary Ø I Long Term Equilibrium Exchange Rates Carry Trade Ø C • A T • R • E Ø E PPP Ø E Ø D • • • Ø C Long Term Equilibrium Exchange Rate Assessments Long Term Exchange Rate Determination Ø M Ø T E • Ø E %Sef/d  i f  id E • GDP Ø R U E T e % qf/d  q f/d  q f/d 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Technical Analysis to Forecast Exchange Rates Summary Ø C Ø I • O M I Ø C • C • F • T Ø E • • • Preconditions for Growth Conditions of Economic Growth and Potential GDP Ø S Ø F T Ø T Ø C Ø I Ø T Ø D Ø E Ø F GDP 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Potential GDP Potential GDP Ø T Ø P E P  P E P  GDP P   GDP ,  E  GDP  P E E GDP P GDP E GDP P E P       GDP E GDP GDP  Ø O Ø W Ø T GDP PE Ø O T Potential GDP vs Actual GDP Ø S GDP GDP GDP Summary GDP Ø I Ø C • F Ø C • R GDP Ø E Ø I GDP • • 400-600-8011 cfa@gaodun.cn GDP http://finance.gaodun.cn http://finance.gaodun.cn Production Function Ø C Production Function D Y = TK L(1- T ) ü T TFP Ø D S ü K L Ø F Ø I GDP I Production Function Production Function Ø O Ø I Y K = TK L(- ) = T( )  y = Tk L L y : labor productivity k : capital per worker (capital deepening) MPK Y d [T K L (1- ) ] = = K dK Y M PK = r  = r K rK = Y M PK = Ø A TFP Ø T Ø S 400-600-8011 cfa@gaodun.cn K Y http://finance.gaodun.cn TK ( -1 ) L (1- ) = Y K http://finance.gaodun.cn Productivity Curves Productivity Curves Ø G Ø T Ø E MPK A MPK Ø T Growth Accounting Relations Productivity Curves Y T = + Y T Y y L Y  yL , = + Y y L Ø F Y = TK L(1- ) , Ø G K L + (1 - ) K L GDP Ø I Ø C Ø G 400-600-8011 cfa@gaodun.cn TFP GDP http://finance.gaodun.cn http://finance.gaodun.cn Summary Ø I Factors Affecting Economic Growth Ø C • C T D Ø E Ø E • Ø E - • • - Natural Resources Labor Supply Factors Ø R Ø D Ø N • Ø D A A C • 400-600-8011 cfa@gaodun.cn C http://finance.gaodun.cn http://finance.gaodun.cn Labor Supply Factors Factors Affecting Economic Growth Ø L Ø H Labor force participation = labor force working age population I Ø P ICT Ø I • S Ø A T • D • S TFP Factors Affecting Economic Growth Ø T Summary D Ø I R D Ø C • F L Ø E R D Ø P • GDP I 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn ICT http://finance.gaodun.cn Economic Growth Theories Ø C Economic Growth Theories [1] Ø N T Ø E Ø C Classical growth theory-Malthusian Neoclassical Growth Theories Ø T Ø N GDP Ø T Ø T W GDP Ø N y T = + y T y = Tk  y k =  y k g*  400-600-8011 cfa@gaodun.cn (1 - ) k k T y = T = y (1 - ) (1 - ) , : grow th rate in technology http://finance.gaodun.cn http://finance.gaodun.cn Neoclassical Growth Theories Ø S Neoclassical Growth Theories G Ø B I L I Y Y y L = + Y  yL , Y y L Y L =  Y (1 - ) L G*  (1 - )  L Neoclassical Growth Theories Neoclassical Growth Theories Ø I Ø T Ø S Ø I üP üR üD 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Neoclassical Growth Theories Ø S N Neoclassical Growth Theories M Ø I I Neoclassical Growth Theories Summary Ø I Ø I I Ø C • C • N Ø E • 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Endogenous Growth Theory Ø E Economic Growth Theories [2] A TFP T Ø I Ø C T Ø E Ø D Ø U Endogenous Growth Theory Convergence Hypotheses Ø T Ø A TFP • N TFP Ø C • E R D 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Convergence Hypotheses Expected Impact of Removing Trade Barriers Ø C B C Ø I Ø A Ø I T Ø I Ø I Summary Ø I Economics of Regulation [1] Ø C T • E • C Ø D H • I Ø D Ø E Ø D • • Ø D • 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Classifications of Regulations and Regulators Classifications of Regulations and Regulators Ø R • S • A R I G • O J SRO N SRO Classifications of Regulations and Regulators Uses of Self-Regulation in Financial Markets Ø G Ø SRO E SEC Ø I Ø T • SRO SRO E FINRA SRO N SRO E PCAOB Ø O E FASB IASB 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Economic Rationale for Regulatory Intervention Regulatory Interdependencies Ø I Ø R A A Ø R Ø E R Ø R O A R Summary Ø I Economics of Regulation [2] Ø C T • C Ø D • S Ø E • R Ø D • R Ø E Ø D • Ø E 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Tools of Regulatory Intervention Purposes in Regulating Commerce and Financial Markets Ø P Ø R Ø R R T E Ø R T • R I • R P Ø P R Antitrust Regulation Benefits and Costs of Regulation Ø A Ø R Ø W Ø N Ø M 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn http://finance.gaodun.cn Effects of a Specific Regulation Summary Ø R Ø I Ø R Ø C • T • P • A Ø R • B • E Ø R Ø E Ø S • 400-600-8011 cfa@gaodun.cn http://finance.gaodun.cn ... EUR GBP T Ø C EUR Ø I GBP ü GBP P ü EUR B Ø D Ø D Ø I 400-600-8011 cfa @gaodun. cn F D http://finance .gaodun. cn http://finance .gaodun. cn Currency Exchange Rates Currency Exchange Rates Ø N Ø S T Ø... B BC Ø A • T • T • T • C • T • M BC Ø T Ø I Ø S ü E T 400-600-8011 cfa @gaodun. cn http://finance .gaodun. cn http://finance .gaodun. cn Cross Rate Calculation Cross Rate Calculation Ø E ü USD EUR CHF... Contracts Ø I Ø C • B AUD GBP A T • F Ø I • Ø E • Ø C • Ø C 400-600-8011 cfa @gaodun. cn http://finance .gaodun. cn http://finance .gaodun. cn Triangular Arbitrage Triangular Arbitrage Ø T Ø S A B B C C ü