珊同學(xué)
2022-06-08 21:21It may seem counterintuitive that the domestic currency should be expected to depreciate if its portfolio offers a higher risk-adjusted expected return. The puzzle is resolved by the key phrase “driven to the point . . . ” in this subsection’s opening paragraph. In theory, the exchange rate will instantly move (“jump”) to a level where the currency with higher (lower) risk-adjusted expected return will be so strong (weak) that it will be expected to depreciate (appreciate) going forward. This is known as the overshooting mechanism, introduced by Dornbusch (1976).--這個(gè)overshooting 有點(diǎn)忘記到底是什么內(nèi)容了。
所屬：CFA Level III > Capital Market Expectations 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Nicholas助教
2022-06-09 14:55
該回答已被題主采納
同學(xué)，下午好。
多恩布什超調(diào)模型，在這一模型下分為兩個(gè)市場(chǎng)：商品市場(chǎng)與資本市場(chǎng)。商品價(jià)格對(duì)應(yīng)商品市場(chǎng)，外匯對(duì)應(yīng)資本市場(chǎng)，當(dāng)一個(gè)國(guó)家受到某事件沖擊，外匯會(huì)迅速做出調(diào)整，而商品價(jià)格由于具有粘性，對(duì)沖擊調(diào)整的周期比較長(zhǎng)，從而滯后于外匯的調(diào)整。所謂“超調(diào)”，即指在中短期，匯率的調(diào)整超過(guò)了長(zhǎng)期水平，在商品價(jià)格調(diào)整完成之后，匯率會(huì)變化到新的均衡水平。
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