NO.PZ202105270100000303
问题如下：
Robert Hadpret is the chief economist at Agree Partners, an asset management firm located in the developed country of Eastland. He has prepared an economic report on Eastland for the firm’s asset allocation committee. Hadpret notes that the composite index of leading economic indicators has declined for three consecutive months and that the yield curve has inverted. Private sector borrowing is also projected to decline. Based on these recent events, Hadpret predicts an economic contraction and forecasts lower inflation and possibly deflation over the next 12 months.
Helen Smitherman, a portfolio manager at Agree, considers Hadpret’s economic forecast when determining the tactical allocation for the firm’s Balanced Fund (the fund). Smitherman notes that the fund has considerable exposure to real estate, shares of asset-intensive and commodity-producing firms, and high-quality debt. The fund’s cash holdings are at cyclical lows.
Currently, Eastland’s currency is fixed relative to the currency of the country of Northland, and Eastland maintains policies that allow unrestricted capital flows. Hadpret examines the relationship between interest rates and exchange rates. He considers three possible scenarios for the Eastland economy:
- Scenario 1 Shift in policy restricting capital flows
- Scenario 2 Shift in policy allowing the currency to float
- Scenario 3 Shift in investor belief toward a lack of full credibility that the exchange rate will be fixed forever
Discuss how interest rate and exchange rate linkages between Eastland and Northland might change under each scenario.
Note: Consider each scenario independently.
选项：
A.B.
C.
解释：
Scenario 1
Eastland currently has a fixed exchange rate with unrestricted capital flows. It is unable to pursue an independent monetary policy, and interest rates will be equal to those in Northland. By restricting capital flows along with a fixed exchange rate, Eastland will be able to run an independent monetary policy with the central bank setting the policy rate. Thus, interest rates can be different in the two countries
Scenario 2
Eastland currently has a fixed exchange rate pegged to Northland with unrestricted capital flows. Eastland is unable to pursue an independent monetary policy with interest rates in Eastland equal to the interest rates prevailing in Northland (the country to which the currency is pegged). If Eastland allows the exchange rate to float, it will now be able to run an independent monetary policy with interest rates determined in its domestic market. The link between interest rates and exchange rates will now be largely expectational and will depend on the expected future path of the exchange rate. To equalize risk-adjusted returns across countries, interest rates must generally be higher (lower) in the country whose currency is expected to depreciate (appreciate). This dynamic often leads to a situation where the currency overshoots in one direction or the other.
Scenario 3
Eastland and Northland (with currencies pegged to each other) will share the same yield curve if two conditions are met. First, unrestricted capital mobility must occur between them to ensure that risk-adjusted expected returns will be equalized. Second, the exchange rate between the currencies must be credibly fixed forever. Thus, as long as investors believe that there is no risk in the future of a possible currency appreciation or depreciation, Eastland and Northland will share the same yield curve. A shift in investors’ belief in the credibility of the fixed exchange rate will likely cause risk and yield differentials to emerge. This situation will cause the (default-free) yield curve to differ between Eastland and Northland.
场景1
Eastland目前实行固定汇率，资本流动不受限制。它无法实行独立的货币政策，利率将与Northland持平。通过限制资本流动和固定汇率，Eastland将能够实行独立的货币政策，由中央银行制定政策利率。因此，两国的利率可能不同。
场景2
Eastland目前与Northland实行固定汇率，资本流动不受限制。Eastland无法实行独立的货币政策，使Eastland的利率与Northland(货币与之挂钩的国家)的利率相等。如果Eastland允许汇率浮动，它现在将能够实行独立的货币政策，利率由其国内市场决定。目前，利率和汇率之间的联系在很大程度上将取决于预期的汇率未来走势。为了使各国经风险调整后的收益相等，在预期货币将贬值(升值)的国家，利率通常必须较高(较低)。这种动态往往会导致货币在某个方向上过度升值。
场景3
如果满足两个条件，Eastland和Northland(货币相互挂钩)将共享相同的收益率曲线。首先，必须在它们之间实现不受限制的资本流动，以确保经风险调整后的预期回报率达到均衡。第二，两种货币之间的汇率必须可靠地永远固定下来。因此，只要投资者认为未来不存在货币升值或贬值的风险，Eastland和Northland的收益率曲线将是相同的。投资者对固定汇率可信度的信念转变，可能会导致风险和收益差异的出现。这种情况将导致Eastland和Northland的(无违约)收益率曲线存在差异。因此，Hadpret所预测的庞大政府预算赤字不太可能对收益率曲线产生太大的持久影响，尤其是考虑到在紧缩期间私营部门借款将下降，在一定程度上抵消了政府债券供应的增加
S1: Shift in policy restricting capital flows. When the Currency rate is fixed, there are two conditions need to be met in order to let all nation's yield curve to be the same. First is the restriction of capital flows, the second is investor belief toward a full credibility that the exchange rate will be fixed forever. When there is a shift in policy restricting capital flows, nations gain the rights to have full discretion of independent fiscal and money policy so they can set different policy rate. Yield Curves towards different countries would not be the same.
S2: Shift in policy allowing the currency to float. When there is a shift of float currency, currency is highly correlated to the interest rate, in order to equalize the risk and return relationships via countries, who has higher/lower interest rate would be depreciated/appreciated at last.
S3: Shift in investor belief toward a lack of full credibility that the exchange rate will be fixed forever. When the Currency rate is fixed, there are two conditions need to be met in order to let all nation's yield curve to be the same. First is the restriction of capital flows, the second is investor belief toward a full credibility that the exchange rate will be fixed forever. When there is a Shift in investor belief toward a lack of full credibility that the exchange rate will be fixed forever, the original risk-return relationship would be changed. Yield Curves towards different countries would not be the same.
