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1、Chapter10Chapter10ExchangeRateDeterminationandForecastingDuringJanuary2006,thevalueofthedollarintermsoftheJapaneseyenhoveredaround￥117.00>$.OnFebruary7,2011,itwas￥82.38>$.In5years,thedollarlostabout30%ofitsvaluerelativetotheyen.Whatdrivessuchextraordinarycha
2、ngesinrelativecurrencyvaluations,andcanwepredicttheirdirectionandmagnitude?Ontheonehand,theanswermustbeyesbecausefinancialinstitutionsdevotesubstantialresourcestoproducingforecastsfortheirclients,andforecastingfirmssuccessfullymarketcurrencyforecasts.However
3、,theanswermaybenobecauseeconomicmodelsoftenfailtoexplainexchangeratemovementsafterthefact.Corporationsusecurrencyforecastsinavarietyofcontexts:quantifyingforeignex-changerisk,settingpricesfortheirproductsinforeignmarkets,valuingforeignprojects,developinginte
4、rnationaloperationalstrategies,andmanagingworkingcapital.Internationalportfoliomanagersuseexchangerateforecaststoevaluatethedesirabilityofinvestinginpar-ticularforeignequityandbondmarketsandwhethertohedgetheassociatedcurrencyrisks.Shouldmanagerspurchasecurre
5、ncyforecasts?Ifmarketsarerelativelyefficient,itshouldbedifficulttoproducebettershort-termforecaststhanforwardexchangeratespor-tendorbetterlong-termforecaststhanuncoveredinterestrateparitypredicts.Yet,wesawevidenceinChapter7thattheseparityconditionsdonotalway
6、shold,especiallyintheshortrun.Therefore,currencyforecastsarepotentiallyvaluable.Thismotivatesourdiscussionofthetwoessentialtechniquesthatareusedtoforecastexchangerates:fundamentalanalysisandtechnicalanalysis.Becauseofthedramaticcurrencycrisesinanumberofdevel
7、opingcountrieswithpeggedsystemsinthe1990s,forecastsinthesesystemsareofspecialinterest,andwediscussthemseparately.10.1PARITYCONDITIONSANDEXCHANGERATEFORECASTSThecoveredinterestrateparity(CIRP)relationship,discussedinChapter6,linksforwardrates,spotrates,andint
8、erestratedifferentials.Uncoveredinterestrateparity(UIRP),dis-cussedinChapter7,whichissometimesreferredtoastheinternationalFisherrelationship(namedfortheeminentAmericaneconomistIrvingFisher),link
