Economics

CFA_LV2_Econ_F.hwp

 

 

 

 

Economics

 

[ Currency Exchange Rates: Determination and Forecasting ]

 

○ Exchange rates : USD/AUD 1.0508-1.0510

- base currency : AUD, price currency : USD

- bid price : 1.0508, dealer buy, ask(offer) price : 1.0510, dealer sell

- AUD/USD = 1/1.0510-1/1.0508

 

○ Triangular arbitrage

- (FC1/DC)×(FC2/FC1)×(DC/FC2) - 1 > 0 (profit)

= 0 (no arbitrage)

< 0 (loss)

 

○ International parity

theory	equation
covered interest rate parity
uncovered interest rate parity		risk-neutral, unbiased predictor PPP + fisher, FX carry trade
international fisher relation		free capital flows
absolute purchasing power parity	S(A/B) = CPI(A) / CPI(B)	CPI바스켓 등 제약조건
relative purchasing power parity	%ΔS(A/B) = inflation(A) - inflation(B)	장기환율

⇒ 궁극적으로 인플레이션이 환율변동의 요인

 

○ Balance of payments

- current account + financial account + official reserve account = 0

- 경상수지(상품,서비스,소득,경상이전) + 자본수지 + 준비자산증감(부호 반대) = 0

 

○ Current account influences

- flow mechanism : 경상수지 흑자 → 자본 유입 → 평가절상

- portfolio composition mechanism :　경상수지 흑자 → 자본수지 적자 → 상대국 자산 과다 보유 → 포트폴리오 다변화; 상대국 과다 보유 자산 매각 → 상대국 통화 평가 절하

- debt sustainability mechanism : 경상수지 적자 → 자본수지 흑자 → 부채 과다 → 평가절하

 

 

 

○ Financial account influences

- real exchange rate(A/B) = equilibrium real exchange rate(A/B)

+ (real interest rateB - real interest rateA)

- (risk premiumB - risk premiumA)

○ Taylor Rule

-

- rn = neutral real policy interest rate

- π = inflation rate

- y = log of output

 

○ IMF, long-term equilibrium real exchange rate

- macroeconomic balance : estimate how much current exchange rates must adjust to equalize a country's expected current account imbalance and that country's sustainable current account imbalance.

- external sustainability : estimate how much current exchange rates must adjust to force a country's external debt(asset) relative to GDP towards its sustainable level.

- reduced form econometric model : estimates the equilibrium path of exchange rate movements based on patterns in several key macroeconomic variables, such as trade balance, net foreign asset/liability, and relative productivity.

 

○ Risk of carry trade

- funding currency appreciate; leverage risk

- return distribution is not normal; negative skewness and excess kurtosis (crash risk)

- risk management : volatility filter, valuation filter

 

○ Mundell-fleming model

- capital mobility : high → 금융정책, 확대통화 → 금리하락, 확대재정 → 금리상승

- capital mobility : low → 재정정책, 확대 통화/재정 → GDP증가 → 수입증가 → 통화가치하락

- inflation is no role

 

○ Monetary approach

- pure monetary model : 확장 통화/재정정책 → 물가상승, 통화가치 하락

- dornbush overshooting model : 단기적 물가 고정, 긴축 통화정책 → 이자율 상승 → capital inflow → 환율 상승

 

○ Portfolio balance(asset market) approach

- 확대 재정 → 정부 부채 증가 → 리스크 증가 → 통화가치 하락

[ Economic Growth and the Investment Decision ]

○ Stock market

- ΔP = ΔGDP +Δ(E/GDP) + Δ(P/E)

- p = stock price, e = earnings

 

○ Cobb-Douglas production function

- Y = TKαL(α-1)

- T = total factor productivity, α = total factor cost

- output per worker = Y/L = T(K/L)α

 

○ Growth accounting relations

- ΔY/Y = ΔT/T + α×(ΔK/K) + (1-α)×(ΔL/L)

- Y = output, T = technology, α = share of income paid to capital =elasticity

- growth rate in potential GDP = long-term growth rate of technology

+ α(long-term growth rate of capital)

+ (1-α)(long-term growth rate of labor)

- growth rate in potential GDP = long-term growth rate of labor force

+ long-term growth rate in labor productivity

 

○ Growth theory

- classical : malthusian, subsistence level

- neoclassical : steady state growth rate(균제상태), 경제성장률 = 인구증가율 = 자본증가율

- endogenous : technology growth comes from investment in physical and human capital

returns to capital are constant

 

○ Neoclassical growth theory

- sustainable growth of output per capita = growth rate in technology / labor's share of GDP

- sustainable growth of output = (growth rate in technology / labor's share of GDP)

+ growth of labor

○ Convergence hypotheses

- absolute convergence : 후진국 선진국 수렴

- conditional convergence : 조건(저축률, 인구성장률, 생산곡선) 동일 수렴

- club convergence : 제도(저축률, 금융시장, 재산권, 보건교육서비스) 동일 수렴

 

[ Economics of Regulation ]

 

○ Regulatory interdependencies

- regulatory capture theory : agency가 규제 대상에게 영향을 받음

- regulatory competition : compete to provide business-friendly

- regulatory arbitrage : 국가 간 규제 차이 이용, 규제 회피