International Fisher effect について

Words near each other

Dictionary Lists

mini英和辞書

mini和英辞書

翻訳と辞書　辞書検索 [ 開発暫定版 ]

スポンサードリンク

International Fisher effect ：ウィキペディア英語版

International Fisher effect
The international Fisher effect (sometimes referred to as Fisher's open hypothesis) is a hypothesis in international finance that suggests differences in nominal interest rates reflect expected changes in the spot exchange rate between countries. The hypothesis specifically states that a spot exchange rate is expected to change equally in the opposite direction of the interest rate differential; thus, the currency of the country with the higher nominal interest rate is expected to depreciate against the currency of the country with the lower nominal interest rate, as higher nominal interest rates reflect an expectation of inflation.〔
==Derivation of the international Fisher effect==
The international Fisher effect is an extension of the Fisher effect hypothesized by American economist Irving Fisher. The Fisher effect states that a change in a country's expected inflation rate will result in a proportionate change in the country's interest rate,〔 such that the Fisher effect:
:

(1 + i_\$) = (1 + \rho_$) \times E(1 + \pi_$)

can be arranged as
:

i_\$ = \rho_\$ + E(\pi_\$) + \rho_\$E(\pi_\$) \approx \rho_\$ + E(\pi_\$)

where
:

i_$

is the nominal interest rate
:

\rho_$

is the real interest rate
:

E(\pi_$)

is the expected inflation rate
The hypothesis suggests that the expected inflation rate should equal the difference between the nominal and real interest rates in any given country, such that:
:

E(\pi_$) = \frac   \approx i_$ - \rho_$

where
:

$

could be substituted with any country's currency
Assuming the real interest rate is equal across two countries due to capital mobility, such that

\rho_$ = \rho_c

, substituting the aforementioned equation into the expectations form of relative purchasing power parity results in the formal equation for the international Fisher effect:
:

E(e) = \frac   \approx i_$ - i_c

where
:

E(e)

is the expected rate of change in the exchange rate
This equation can be rearranged as:
:

E(e) = \frac   - 1

抄文引用元・出典: フリー百科事典『ウィキペディア（Wikipedia）』
■ウィキペディアで「International Fisher effect」の詳細全文を読む

スポンサードリンク

翻訳と辞書 : 翻訳のためのインターネットリソース