CFA二級-階段總結(jié)與重點精講-經(jīng)濟(jì)學(xué)

階段總結(jié)與重點精講直播即將開始L2–Economics1Ethicsweight:StudySession1-2Ethics&ProfessionalStandardsQuantitativeAnalysisEconomics10%-15%5%-10%15%-20%5%-15%15%-25%10%-20%5%-15%5%-10%5%-10%100%StudySession3StudySession4StudySession5-6StudySession7-8StudySessionStudySession12-13StudySession14StudySession15StudySession16-17FinancialReportingandAnalysisCorporateFinanceEquityFixedIncomeDerivativeInvestmentAlternativeInvestmentPortfolioManagement2Ethics階段總結(jié)L2-Economics3Economics?Studysession4(Economicsfor?13:CurrencyRates:Understanding(☆☆☆)?14:EconomicGrowthInvestmentDecision(☆☆☆)?15:EconomicsofRegulation(☆)4Economics重點精講L2–Economics5EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibriumCross-ratesCalculationsofFXarbitrageMark-to-marketvalueofforwardcontracttrade6EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibriumCoveredinterestrateparityInternationalparityrelationshipsUncoveredinterestrateparityForwardrateparityPurchasingpowerparityTheinternationalFishereffect7EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibriumMundell-FlemingmodelThemonetaryapproachFXandpolicyTheassetmarketapproach/portfoliobalanceapproach8EconomicsCurrencyRates:Understanding–CalculationsofFX:Cross-RateABAC==CBbidbidbidAACBCBofferofferofferABBA=1bidofferABBA=1offerbid9EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–CalculationsofFX:arbitrage?arbitrage:convertingfromcurrencyAtocurrencythenfromcurrencyBtocurrencyC,thenfromcurrencyCbacktoA.IfweendupwithmorecurrencyAtheendthanstartedwith,we'veearnedarbitrageprofit.10Economics13:CurrencyRates:Understanding–CalculationsofFX:arbitrageExample?=0.6000-0.6015;=10.7000-10.7200?=6.3000-6.3025.toarbitragefromthesemarkets?Answer:?1→1/0.6015AUD→(1/0.6015)*6.3000MXN→((1/0.6015)*6.3000)/10.720USD→0.97704USD,profit?1USD→→(1*10.700)/6.3025AUD→((1*10.700)/6.3025)*0.6000USD→1.01864USD,arbitrage11Economics13:CurrencyRates:Understanding–CalculationsofFX:Mark-to-Marketvalue?Mark-to-Marketvalue:theprofit(orloss)thatwouldberealizedfromclosingthepositionatcurrentmarketprices.?Iflongthebasecurrencythemark-to-marketvaluepriortoexpirationis:F?FContractSize)t0PBV=PBtdays3601+rpricecurrency12Economics13:CurrencyRates:Understanding–InternationalParityRelationships?Coveredinterestrateparity?Thecurrencywithhighernominalyieldwilldepreciate.daysdays1+if1+idF-S360days360?ii()fdF=Sf/d=f/df/df/ddays360Sf/d1id+360daysi?i)fd36013Economics13:CurrencyRates:Understanding–InternationalParityRelationships?Uncoveredinterestrateparity?Theinvestorisassumedtoberisk-neutral.?Theexpectedappreciation/depreciationoftheexchangeratejusttheyield(()1i1%S+?e=+1idff/de%Si-if/dfd14Economics13:CurrencyRates:Understanding–CalculationsofFX:Carrytrade?Whenuncoveredinterestrateparitydoesnothold,inaFXcarrytrade,investorinvestsinahigheryieldingcurrencyusingfundsborrowedinaloweryielding?Duringperiodslowcarrytradestendtogeneratepositivereturns,theyarepronetosignificantcrashriskinturbulenttimes.ifrr,returnr?r?%Sfdfdf/d15Economics13:CurrencyRates:Understanding–InternationalParityRelationships?Forwardrateparity?Forwardratetheforwardexchangeratewillbeunbiasedpredictorthefuturespotexchangerateifbothcovereduncoveredinterestrateparityhold.FS=ef/df/d16EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–InternationalParityRelationships?PurchasingPowerparity?AbsoluteS=PPf/dfd%S??Relative?Ex-anteversionoff/dfd%Seef?edf/d17EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–InternationalParityRelationships?InternationalFisherEffect:Theinterestratebetweentwocountriesshouldbeequaltotheexpectedinflationifbothuncoveredinterestrateparityex-antehold.?=iief?edfd?InterestRaterealinterestratewillconvergetothesamelevelacrossmarketsr=rfd18EconomicsCurrencyRates:Understanding–FXandmonetaryandfiscalpolicy?Mundell-Flemingmodel?Assumeinflationplaysnorole.?Mundell-Flemingapproachfocusestheshort-termimplicationsmonetaryandfiscal19EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–FXandmonetaryandfiscalpolicy?Mundell-Flemingmodelmobilityandfiscallowcurrencyrestrictive+expansionaryrestrictive+restrictivecurrencycurrencycurrency20EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–FXandmonetaryandfiscalpolicy?TheMonetaryApproach?Assumethatoutputisfixed,sothatmonetarypolicyprimarilyinflation,whichinturnexchangerates.?Puremonetarymodel:holdspointintimeoutputisheldconstant.expansionary(restrictive)monetarypolicyleadstoanincrease(decrease)inpricelevelandadecrease(increase)inthevaluethedomestic21EconomicsReading13:CurrencyExchangeRates:UnderstandingEquilibrium–FXandmonetaryandfiscalpolicy?TheMonetaryApproach?Dornbuschovershootingmodel(多恩布什匯率超調(diào)模型）?Assumesthatpricesaresticky(inflexible)intheshortterm.?Underanexpansionarymonetaryintheshortterm,exchangeratesovershootthelong-runimpliedvalues.ThedepreciationofcurrencyisgreaterthanthedepreciationimpliedInthelongterm,exchangeratesgraduallyincreasetowardtheirimpliedvalues.22EconomicsCurrencyRates:Understanding–FXandmonetaryandfiscalpolicy?ThePortfolioBalanceApproach?Portfoliobalancemodelfocusesthelong-termimplicationsfiscalpolicyoncurrencyvalues.?Continuedincreasesinfiscaldeficitsareunsustainableandinvestorsmayrefusetofundthedeficits.Thegovernmentwillhavetomonetizeitsdebtleadingtocurrencydepreciation.?Inthelongterm,thegovernmenttoreversecourse(tighterbudgetarypolicy)leadingtodepreciationofthedomestic23EconomicsReading14:EconomicGrowthandInvestmentDecisionCobb-DouglasproductionfunctionProductionfunctionProductivitycurveGrowthaccounting24EconomicsReading14:EconomicGrowthandInvestmentDecisionClassicalgrowththeoryTheoriesofgrowthNeoclassicalgrowththeoryEndogenousgrowththeory25EconomicsReading14:EconomicGrowthandInvestmentDecisionAbsoluteconvergenceConvergenceConditionalconvergenceclubconvergence26EconomicsReading14:EconomicGrowthandInvestmentDecision?Cobb-DouglasproductionfunctionYAK=ATotalfactorproductivityShareofoutputallocatedtocapital(K)andlabor(L)?importantproperties:?Constantreturnstoscale:increasingallinputsafixedpercentageleadstothesamepercentageincreaseinoutput.?Diminishingmarginaltheextraoutputproducedfromaone-unitincreaseinaninputdecrease,keepingtheotherinputsunchanged.27EconomicsReading14:EconomicGrowthandInvestmentDecision?Productivitycurve28EconomicsReading14:EconomicGrowthandInvestmentDecision?Productivitycurve?Growthincapitalperworker(capitaldeepening)causesalongaproductivitycurve.?Thecurvaturetherelationshipderivesfromthediminishingmarginalproductivitycapital.?Economieswillincreaseinvestmentincapitallongas>thelevelof=capitaldeepeningstopsandlaborproductivitybecomesstagnant.?growthcausestheproductivitycurvetoshiftupwards.29EconomicsReading14:EconomicGrowthandInvestmentDecision?Growthaccounting-GrowthAccountingEquationYY=AA+KK+)LL?aistheelasticityofoutputwithrespecttocapital?1-aistheelasticityoutputwithrespecttolabor?ChangeinTFPestimatedaresidual:ex-post(realized)changeinoutputminusoutputimpliedex-postchangesinlaborandcapital.30EconomicsReading14:EconomicGrowthandInvestmentDecision?Growthaccounting-LaborProductivityGrowthAccountingEquationY=YY=yy+LL?Itavoidstheneedtoestimatethecapitalinputandtheassociatedwithcomputingtotalfactor?ItincorporatesbothcapitaldeepeningTFPprogressinthelaborproductivityterm.31EconomicsReading14:EconomicGrowthandInvestmentDecision?Theoriesofgrowth-Classicalgrowththeory?Thegrowthinpercapitaincomeisnotpermanent.?advances→investmentinnewcapital↑→laborproductivity↑→demandforlabor↑→realwagesandemployment↑→populationexplosion→percapitaincome↓?matterhowmuchtechnologyadvances,realwageswilleventuallydrivenbacktothesubsistencelevel,andnopermanentproductivitygrowthimprovementinthestandardlivingwill32EconomicsReading14:EconomicGrowthandInvestmentDecision?Theoriesofgrowth-Neoclassicalgrowththeory?Inthesteadystate:?Theoutput-to-capitalratioisconstant?Capitalperworker(k)andoutputperworker(y)growthesamerateθ/(1-α).?Themarginalproductcapitalisequaltotherealinterestrate(rentalpricecapital).?ThemarginalproductcapitalisalsoconstantαY/K.?Capitaldeepeninghasnoeffectonthesteadystategrowthrateoftheeconomyoronthemarginalproductofcapital.33EconomicsReading14:EconomicGrowthandInvestmentDecision?Theoriesofgrowth-Neoclassicalgrowththeory?Inthesteadystate:?Thegrowthrateofoutputequalstherateoflaborgrowthplusthesteadystaterategrowthinoutputperworker:θ/(1-α)+?Highersaving(investment)rateleadstoahigheroutputworkerhighercapitalworker?Highersaving(investment)ratecannotpermanentlyraisethegrowthrateoutputperworkerandthegrowthrateofoutput.34EconomicsReading14:EconomicGrowthandInvestmentDecision?Theoriesofgrowth-Endogenousgrowththeory?Incontrasttotheneoclassicalmodel,endogenousgrowththeorycontendsthattechnologicalgrowthemergesasaresultofinvestmentinbothphysicalandhumancapital.progressenhancesproductivitybothlaborandcapital.?Unliketheneoclassicalmodel,therearediminishingmarginalreturntocapitalfortheeconomyawholebecauseinvestmentshavepotentiallylargepositiveexternalitiesorspillovereffects.35EconomicsReading14:EconomicGrowthandInvestmentDecision?Theoriesofgrowth-Endogenousgrowththeory?Unliketheneoclassicalmodel,thereissteadystategrowthrate,highersaving(investment)rate(s)impliesapermanentlyhighergrowthrate.36EconomicsReading14:EconomicGrowthandInvestmentDecision?Convergence?Absoluteconvergencedevelopingcountries,regardlesstheirparticularcharacteristics,