假设某一时期，EUR/USD汇率为1.4500，一年以后美国的通胀率为5%，欧元区的通胀率为3%，根据购买力平价理论：（1）哪种货币升值？（2）新的均衡汇率是多少？
美国的通胀率高于欧元区，则美元将贬值，欧元相对于美元将升值。欧元的升值的幅度为5%-3%=2%，新的均衡汇率为1.45乘上1.02

currency's fair value as well as its expected value is the forward price. In brownian motion, dS = mu*S
+s*sigma*dw, we only look as the drift term, which will be the "most fair" price of the currency. The drift term mu is the interest rate differential. Based on risk neutral assumption, high yield currency's value against low yield currency should decrease as time passes by, such as usdjpy, and the fact that usdjpy has been staying relatively high to its forward price is the carry trade.

depending on the interest rate u have, we have continously compounding and s.a compounding etc. here we assume conitunous compounding.

Fwd = Spot*Exp[-1*(Rf-Rd)*t), or = spot*df(for)/df(dom)

spot: spot price
Rf: interest rate of foreign ccy, eg USD
Rd: interest rate of domestic ccy, eg JPY
t: time to maturity of the forward
df: discount factor

in case of inflation, i suppose we look at the effective interest rate which will be Rf-Inflation(for) and Rd-Inflation(dom) respectively.

so the eurusd*1.02 is a simple version assuming linear compounding and t=1 with equal eur and usd interest rate.

2# xuzhsong


新的均衡汇率为1.45乘上1.02
本文来自: 人大经济论坛 详细出处参考：http://www.pinggu.org/bbs/viewthread.php?tid=550379&page=1&from^^uid=1218748

这个 怎么解释？ 1.02 从哪里来的

4# 9471290

那个1.02是1+2%

5# renazha

哥哥 你又QQ 么 能指导我一下不？