!"#%&'( 14)' *'"+,". /012&3&4(0. 6&' (' 78,&%%&42&3'6. 9:(3'2".

73( 6"#%&'( &83 &,&%(82" 31 ='0+0>:1 3>, ='"+,, @012&3&4(0,, 6&' 31 :@:1 2"3&A "B'3(6>, 6&' ':(3'2', :" &,('63. ('6(,(2"..

)' :8,&%%&42&3'6. ':(3'2". B0(:='(0C(,3&' :3'. ='"+,". @012&3&4(0.. )' 680'3"0(' B&04(,3". B(8 =0&:310'(B('(,3&' :" &83. ",&' 30&B"C'6 '=02&3&, B(%8"+,'6. "B'@"'0:"'., 21 30&B"C'6 @012&3(B':3>3'6 '=02&3& 6&' 6",30'6. 30B"C"..

)' 30B"C". @(8, ,& 6",30'6 0%( 6&+. ='"86(%,(8, 3'. &,3&%%&4. 30&B"C'6, 6&3&+:">, :" ='#(0& ,(2:2&3&, B(8 &B(3"%(, 3( 2"4&%3"0( 46( 3>, :8,&%%&4, :31, &4(0 :8,&%%42&3(.. E ='"+,. &4(0 :8,&%%42&3(. ",&' :31, (8:& 2& ",(B('12,1 B&46:2'& &4(0 B(8 %"'3(804" :@"=, 24 0". 3( 240(.

F( 2"4&%3"0( 20(. 3>, :8,&%%&4, :" A,( :8,%%&42& ",&' 30@(8:". :8,&%%&4., &%% 2"4%( 20(. ",&' :82#>,". &,3&%%&4, 6&' B0(+":2'&6. :8,&%%&4.. 73'. :82#>,". &,3&%%&4, 6&' 3'. B0(+":2'&6. :8,&%%&4. @(82" :82#>,& 2"3&A 3>, 2"0, 4'& 2"%%(,3'6 &,3&%%&4 ,(2':23>, :" B0(6&+(0':2,1 3'2. G,3+"3&, (' 30@(8:". :8,&%%&4. "66&+&0C(,3&' 2":&. 73'. 30@(8:". :8,&%%&4. 6&+(0C"3&' 1 30@(8:& :8,&%%&42&3'6 ':(3'2& (spot), ", :3'. :82#>,". &,3&%%&4, 6&' 3'. B0(+":2'&6. :8,&%%&4. 6&+(0C"3&' 1 B0(+":2'&6 :8,&%%&42&3'6 ':(3'2&.

!&+. 1 :8,&%%&42&3'6 ':(3'2& ",&' 1 :@"3'6 3'2 =( @0"(40#>, (,(2':23>,), ( 6&+(0':2. 31. B0&42&3(B('"3&' B>. 6&' 4'& %& 3& @0"40&. E ':(00(B& :31, &4(0 :8,&%%42&3(. &B&'3" "A:>:1 3>, &B(=:">, 3>, @0"(40#>, B(8 ",&' "6B"#0&:2,& :" ='(0"3'6 ,(2:2&3&, 3&, (' &B(=:"'. 2"30(,3&' :" 6(', H:1. G83 ",&' 1 H:1 31. ':(=8,&2&. 3>, "B'3(6>,.

I'& ="=(2,& "B'36'& 6&3&+:">, "6B"#0&:2,>, :" ='#(0& ,(2:2&3&, 6&' 4'& ="=(2,". B0(:=(6". 4'& 31 2"%%(,3'6 "A%'A1 31. ':(3'2&., 1 &6%8B31 ':(=8,&2& 3>, "B'3(6>, B0(:='(0C"' 31, 30@(8:& :8,&%%&42&3'6 ':(3'2&. I'& B&0="'42&, 3&, 1 :" 6(', H:1 B0(:=(62",1 &B=(:1 6&3&+:">, :" "80 8B"0H&,"' 31, B0(:=(62",1 &B=(:1 6&3&+:">, :" =(%0'&, 33" 8B0@"'

I'04(. G%(4(:6(#1., !"#$%' (")*%*+") )," -,.)0+", (")*%*+,

8B"0H%%(8:& C31:1 "80 6&' 3( "80 &,&3'23&' 2":& &B,&,3' :3( =(%0'(. 7" &,3+"31 B"0B3>:1 3( "80 8B(3'23&' &B,&,3' :3( =(%0'(.

J" :3&+"0 3& 8B%('B& ="=(2,&, 2& &A1:1 3>, "B'3(6>, 3(8 =(%&0(8 B0(6&%" &,&321:1 3(8 =(%&0(8. J& &A1:1 3>, "B'3(6>, 3(8 "80 B0(6&%" &,&321:1 3(8 "80. F%(., 2" 3& 8B%('B& ="=(2,& :3&+"0, 2& B0(:=(62",1 2"%%(,3'6 &,&321:1 (8B(321:1) 3(8 "80, (=14" 2":& :" 30@(8:& &,&321:1 (8B(321:1) 3(8 "80.

14.1 ! "#$%&( )*+, ./&011*203+(

K"6',(2" 2" 2"0'6 H&:'6 @012&3(('6(,(2'6 "04&%"& 6&' 3'. &4(0. :3'. (B(". ",&' ='&B0&42&3":'2& (H%. Krugman and Obstfeld (2012) 6&' Mark (2001) 4'& :@"3'6. &,&%:"'.).

E ='"+,. &4(0 :8,&%%42&3(. ",&' :31, (8:& ,& ='"+,. &B(6",30>2,( =638( ='&B0&42&3"83,. F& ='#(0& ,(2:2&3& &4(0C(,3&' 6&' B>%(,3&' &B ='&B0&42&3"83. B(8 :3"4C(,3&' :" 2"4%& ='"+, 30&B"C'6 '=02&3&. )' ='&B0&42&3"83. ='&60&3(, &B(+2&3& ,(2':23>,, 6&' :3@(. 3(8. ",&' ,& 6,(8, 60=1, &4(0C(,3&. #+1, 6&' B(8%,3&. &60'H. E &4(0 :8,&%%42&3(. @&0&6310C"3&' &B 2"4%1 0"8:3313& 6&' 3( 46(. 3>, :8,&%%&4, ",&' 3"0:3'(.. ) 46(. 3>, :8,&%%&4, :" A,( :8,%%&42& ",&' B(% 2"4&%3"0(. &B 3(, 46( 3>, :8,&%%&4, B(8 ",&' &B&0&313". 4'& 3( ='"+,. "2B0'(. G83 :82H&,"' ='3' 3( 2"4&%3"0( 20(. 3>, :8,&%%&4, 4,"3&' 4'& 6"0=(:6(B'6(. %4(8..

E 3'2 3(8 =(%&0(8 :" A,( :8,%%&42& (B.@ 0,77 "80 &, =(%0'() 6&%"3&' 1 02%,33,.+,4") "0*4"+, (:" L80>B&M6(. 0(8.). F( &,3:30(#(, =1%&= 1 3'2 ",. ,(2:2&3(. :" =(%0'& (B.@ 1,3 =(%0'& &, "80) ",&' 1 :8,&%%&42&3'6 ':(3'2& :" G2"0'6&,'6(. 0(8.. J& &A1:1 31. :8,&%%&42&3'6. ':(3'2&. :" "80>B&M6(. 0(8. :12&,"' 3' 3( A,( :8,%%&42& 8B(321+16" ,&,3' 3(8 =(%&0(8, ", 2& &A1:1 31. :8,&%%&42&3'6. ':(3'2&. :" &2"0'6&,'6(. 0(8. :12&,"' 3' 3( A,( :8,%%&42& &,&3'2+16" ,&,3' 3(8 =(%&0(8. I",'6. 8B(321:1 ",. ,(2:2&3(. @(82" 3&, @0"'C(,3&' B"0'::3"0". 2(,=". 3(8 ,(2:2&3(. 4'& 31, &4(0 ",. =(%&0(8, 6&' &,&321:1 3&, @0"'C(,3&' %'43"0". 2(,="..

731 :8,@"'&, +& @01:'2(B(':(82" 3(, (0':2 31. :8,&%%&42&3'6. ':(3'2&. :" &2"0'6&,'6(. 0(8., =1%&= =(%0'& &, "80. G83 :12&,"' 3' 2& &A1:1 31. :8,&%%&42&3'6. ':(3'2&. ':(=8,&2" 2" ",:@8:1 3(8 "80 6&' &B(=8,2>:1 3(8 =(%&0(8, 6&+. @0"'C(,3&' B"0'::3"0& =(%0'& &, "80. E 6&+12"0', "A%'A1 31. ':(3'2&. 3(8 =(%&0(8 &B,&,3' :3( "80 (:" G2"0'6&,'6(. 0(8.) B&0(8:'C"3&' :3( *'40&22& 14.1.

I'04(. G%(4(:6(#1., !"#$%' (")*%*+") )," -,.)0+", (")*%*+,5 14 *'"+,". /012&3&4(0.

2

GB 3( *'40&22& 14.1 ='&,"3&' 1 2"4%1 6&+12"0', 2"3&H%13313& 31. ':(3'2&., 6&+. 6&' (' 66%(' &,&321:1. 6&' 8B(321:1. 3(8 "80. 3&, =12'(804+16" 3( "80, :3'. &0@. 3(8 1999, 1 ':(3'2& 3(8 &B,&,3' :3( =(%0'( 3&, 1,179 =(%0'& &, "80. I'& 3& B03& =( @0,'&, 3( "80 8B(3'2+16" &B,&,3' :3( =(%0'(, 2" 6&33&3( :12"( :3'. 26 )63>H0(8 2000, 3&, #+&:" 3& 0,825 =(%0'& &, "80. GB 3'. &0@. 3(8 2002 3( "80 0@':" ,& &,&3'23&' &B,&,3' :3( =(%0'(, &, 1 &,&321:1 &83 "@" B(%%. ='&682,:"'.. ) B03(. 66%(. 31. &,&321:1. 3(8 "80 (%(6%10+16" :3& 3%1 3(8 2004, 3&, 1 ':(3'2& 3(8 "80 #+&:" 3( 1,363 =(%0'& &, "80. ,&. ="3"0(. 30'"3. 66%(. &,&321:1. 3(8 "80 A"6,1:" :3'. &0@. 3(8 2006. 73'. 15 7"B3"2H0(8 3(8 2008, 120& 6&300"8:1. 31. Lehman Brothers 6&' 12"0(21,& 6%"'= 4'& 31 ='"+, ,(2':2&3'6 60:1 3(8 2008, 1 ':(3'2& 3(8 "80 H0':63&, :3( ':3(0'6 8P1%3"0( :12"( 31., 1,599 =(%0'& &, "80. J:& :" ,& 2,& 1 ':(3'2& 3(8 "80 "@" 6&3&00":"' :3& 1,246 =(%0'& &, "80 (27 )63>H0(8 2008). 63(3", 1 ':(3'2& "80 =(%&0(8 ='&682&,"3&' :" ,& "0(. 2"3&A 1,5 6&' 1,2 =(%&0>, &, "80.

14.1.1 4+ "+1,#+ 50# 4,#*6( ./&0110*( 839& )*+, ./&011*203+(

I'& 3( 2"4&%3"0( 20(. 31. 2"3&B(%"2'6. B"0'=(8, (' :8,&%%&4. 4'& 3& B"0'::3"0& ='"+,. ='&B0&42&3":'2& ,(2:2&3& "%2H&,&, @0& 2:> 3(8 =(%&0(8 3>, EQG. F( =(%0'( 3>, EQG +">0"3&' 3( %+"0+, 67+, 4'& 3'. :8,&%%&4. :31, &4(0 :8,&%%42&3(.. I'& B&0="'42&, 4'& ,& 2"3&30P"' 6&,". :3"0%,". :" 4'", @0"'C(,3&' =( :8,&%%&4.. J& 4'& ,& 2"3&30&B(, (' :3"0%,". :" =(%0'&, 6&' 2& 4'& ,& 2"3&30&B(, 3& =(%0'& :" 4',. R4> 3(8 H+(8. (2"4%(8 46(8 :8,&%%&4,) 31. &4(0. 3(8 =(%&0(8, 3( 6:3(. &83. 31. 30'4>,'6. :8,&%%&4. ",&' :8,+>. 2'603"0( &B 31, &B"8+"&. :8,&%%&4 3>, :3"0%',, :" 4',. J" 31, "':&4>4 3(8 "80, 8B0@"' :2"0& 6&' ,& ="3"0( ,2':2& @12& :31, B&46:2'& ('6(,(2&, &%% 3( =(%0'( B&0&2,"' 3( 680&0@( ='"+,. ,(2':2&3'6 @12&.

731, &4(0 :8,&%%42&3(., =", 2B(0" ,& 8B0@(8, 21 &A'(B('12,". =8,&3313". 6"0=, &B 30'4>,'6. :8,&%%&4. :3& ='#(0& ,(2:2&3&. I'& B&0="'42&, &, S1 ",&' ':(3'2& 31. :3"0%,&. :" =(%0'&, S2 1 ':(3'2& 3(8 "80 :" =(%0'& 6&' S3 1 ':(3'2& 31. :3"0%,&. :" "80, 6&' (' :8,&%%&4. ",&' @>0. 6:3(., :31, ':(00(B& =", 2B(0" B&0 ,& ':@"',

S1=S3 x S25 5 5 5 5 S S S S (14.1)5

G, 1 (14.1), B(8 8B(="'6,"' 31, &B(8:& =8,&3313&. 6"0=, &B 30'4>,'6. :8,&%%&4. (arbitrage) B&0&H'C"3&', (' ='&B0&42&3"83. +& 2B(0(:&, ,& 6,(8, 60=1 &B 30'4>,'6. :8,&%%&4..

I'& B&0="'42&, :3'. 16 J&M(8 2012 :3'. 11:00 B2 0& L%%=(., (' ':(3'2". &83. 3&,,

I'04(. G%(4(:6(#1., !"#$%' (")*%*+") )," -,.)0+", (")*%*+,5 14 *'"+,". /012&3&4(0.

3

S1 = 1,5958S2 = 1,2701S3 = 1,2560

F( 4',2",( 3>, =( 3"%"83&>, ':(3'2', ",&' 1,5952 B(8 ='0"' &B 31, B031 ':(3'2& 2%'. :3( 33&03( ="6&='6. )' :8,"@". &4(0&B>%1:". :31, &4(0 :8,&%%42&3(. "A&,C(8, %". 3'. =8,&3313". 60=(8. &B 30'4>,'6. :8,&%%&4. 2"3&A ,(2':23>,.

14.1.2 :039*+,$( ./&0110*& 839& )*+, ./&011*203+(

)' :8,&%%&4. :31, &4(0 :8,&%%42&3(. ='&60,(,3&' :" 30"'. H&:'6. 6&314(0"..

E B031 ",&' (' 486*20#' 02%,33,.' (spot), B(8 1 &4(0&B>%1:& 6%","' 2":& (:31, B0&42&3'6313& ",3. =( 12"0,). G83. B0(:='(0C(8, 3'. 486*20#' "0*4"+#'.

E ="3"01 6&314(0& ",&' (' 02%,33,.' ,%4,33,.% (swap), :3'. (B(". 3( ,2':2& B(8 &4(0C"3&' (B>%"3&') :2"0& +& "B&,&B>%1+" ("B&,&4(0&:3") :" 2& 2"%%(,3'6 12"0(21,&. E 3'2 3:( 31. 30@(8:&. :( 6&' 31. 2"%%(,3'6. &4(0&B>%1:&. B0(:='(0C"3&' :2"0&. E ':(3'2& &,3&%%&4. (swap rate) ",&' 1 ='(0 2"3&A 31. ':(3'2&. "B&,&4(0. ("B&,&B%1:1.) 6&' 31. ':(3'2&. 31. &0@'6. B%1:1. (&4(0.). E 30"@(8:& ':(3'2& 6&' 1 ':(3'2& &,3&%%&4. B0(:='(0C(8, 31, ;8*$#0+",) ':(3'2& (forward exchange rate).

E 3031 6&314(0& ",&' (' ;8*$#0+",)' 02%,33,.' (forward transactions). G83. ",&' :12"0',. :82#>,"., 4'& 2"%%(,3'6 &4(0&B>%1:& ",. ,(2:2&3(.. E 3'2, 1 B(:313& 6&' 1 12"0(21,& 31. &,3&%%&4. (B0(+":2&) B0(:='(0C(,3&' :2"0&. F3('". :8,&%%&4. 4,(,3&' 4'& 1 6&' 2 "H=(2="., 6&+. 6&' 4'& 1, 3, 6 6&' 12 2,".. R2" 3' ,& ,2':2& :8,&%%:"3&' 2" 8B"03212& (premium) 3&, 1 B0(+":2'&6 ':(3'2& ",&' 8P1%3"01 &B 31, 30@(8:& ':(3'2& (2" 3(, G2"0'6&,'6 (0':2). 731, &,3+"31 B"0B3>:1 :8,&%%:"3&' 2" 6B3>:1 (discount).

E 2"4%1 B%"'(P1#& 3>, :8,&%%&4, :31, &4(0 :8,&%%42&3(. ",&' 30@(8:". :8,&%%&4. 2"3&A ='&B0&42&3"83,. )' :8,&%%&4. &,3&%%&4, ",&' B"0B(8 3( 1/3 3(8 46(8 3>, :8,(%'6, :8,&%%&4,. )' B0(+":2'&6. :8,&%%&4. ",&' B(% 2'60 B(:(:3 3(8 :8,(%'6( 46(8.

712&,3'6 0%( :31, &4(0 :8,&%%42&3(. B&C(8, (' "80>6&3&+:"'., ),4,$0#"' 0# #28,2':2& ",&' 2& 6&3+":1 :" A,( ,2':2&, "63. 31. @0&. 6=(:1. &83( 3(8 ,(2:2&3(.. G, 6&' 6&%(,3&' "80>,(2:2&3& 4'& ':3(0'6(. %4(8., (' 6&3&+:"'. &83. =", ",&' &B&0&313& :31, L80B1. J& 6&3+":1 :" =(%0'& :" 2& 30B"C& 3(8 R(,=,(8 ",&' 2& 6&3+":1 "80>=(%&0>,, ", 2& 6&3+":1 :" 4'", :" 2& 30B"C& 31. T&. U061. ",&' 2&

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4

6&3+":1 "80>4',. )' B"0'::3"0". "80>6&3&+:"'. ",&' 6&3&+:"'. :3&+"0( "B'3(6(8 2" B0(+":2". B(8 &,3&,&6%(, &83. B(8 ",&' ='&+:'2". 4'& B0(+":2'&6. &4(0&B>%1:". :8,&%%42&3(..

F( LIBOR (London Interbank Offer Rate) ",&' 3( "B'36'( :3( (B(( (' 30B"C". ",&' ='&3"+"'2,". ,& =&,":(8, 680>. =(%0'& 6&' :3"0%,". :3'. B'( &A'B':3". 30B"C". 6&' "B'@"'0:"'. B(8 2"3@(8, :31, ='&30&B"C'6 &4(0 3(8 R(,=,(8. *,"'& :" %'43"0( &A'B':3". 30B"C". 6&' "B'@"'0:"'., @(8, 8P1%3"0( "B'36'( &B 3( LIBOR (premium).

G,3:3('@&, 3( EURIBOR (Euro Interbank Offer Rate) ",&' 3( "B'36'( :3( (B(( (' 30B"C". ",&' ='&3"+"'2,". ,& =&,":(8, "80 :3'. B'( &A'B':3". 30B"C". 6&' "B'@"'0:"'. B(8 2"3@(8, :31, ='&30&B"C'6 &4(0 3(8 "80 (:31 V0&,6#(031, 3( Q&0:', 3( J'%,( 6&' &%%(). *,"'& :" %'43"0( &A'B':3". 30B"C". 6&' "B'@"'0:"'., @(8, 8P1%3"0( "B'36'( &B 3( EURIBOR (premium).

E "A%'A1 3(8 EURIBOR &B 3( 1999 4'& =,"'& 2&. "H=(2=&., 30', 21,, 6&' =="6& 21,, B&0(8:'C"3&' :3( *'40&22& 14.2.

E "A%'A1 3>, H0&@8@0,'>, (3021,>,) "B'3(6>, 3(8 =(%&0(8 6&' 3(8 260(8 &B 3( 1964 ("80 &B 3( 1999) B&0(8:'C"3&' :3( *'40&22& 14.3.

14.2 ! :01/22&9 =8+>/&020 36& ?@#3+56&

)' 30@(8:". ':(3'2"., (' B0(+":2'&6. ':(3'2". 6&' 3& "B'36'& 3>, "80>6&3&+:">, "A&03,3&' 2"3&A 3(8., 2:> 31. 6&%822,1. ':(=8,&2&. 3>, "B'3(6>,.

G, i ",&' 3( "B'36'& 2&. 6&3+":1. "80>=(%&0>, 4'& 2& B"0(=( t, i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

1+ it = (1+ it*)FtStS S S S S S S S S (14.2)

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5

G, 1 (14.2) B&0&H'C"3&', B>. 6&' 4'& 3'. 30'4>,'6. :8,&%%&4., 8B0@(8, B"0'+0'& :8,&%%&4, "A':(00B1:1. (arbitrage) B(8 +& "A&,:(8, 3& B('& B"0'+0'& 60=(8. 6&' +& (=14:(8, :31, (14.2).

E (14.2) :8,"B4"3&' 3',

Ft =1+ it1+ it*

St = 1+it it*1+ it*

St S S S S S S S S (14.3)

E ='(0 3>, "B'3(6>, B0(:='(0C"' 3( &, 1 B0(+":2'&6 ':(3'2& +& :8,"B4"3&' 8B"03212& (premium) 6B3>:1 (discount) :" :@:1 2" 31, 30@(8:& ':(3'2&. G, 3( "B'36'( 3>, "80>6&3&+:">, :" =(%0'& ",&' 8P1%3"0( &B 3( "B'36'( 3>, 6&3&+:">, :" "80, 33" 3( "80 &,3&%%:"3&' 2" 8B"03212& :31, B0(+":2'&6 &4(0 :8,&%%42&3(., =1%&= 1 B0(+":2'&6 3(8 ':(3'2& ",&' 8P1%3"01 &B 31, 30@(8:& ':(3'2&. 7" &,3+"31 B"0B3>:1 3( "80 &,3&%%:"3&' 2" 6B3>:1 :31, B0(+":2'&6 &4(0 :8,&%%42&3(..

I'& B&0="'42&, :3'. 15 J&03(8 2012, 1 30@(8:& ':(3'2& 3(8 "80 3&, 1,2775 =(%0'& &, "80, 1 B0(+":2'&6 ",. 21,. 3&, 1,2776 (8B"03212& 0,1% :" "3:'& H:1), 6&' 1 B0(+":2'&6 ",. 3(8. 3&, 1,2842 (8B"03212& 0,5% :" "3:'& H:1).

E (14.2) B(%%. #(0. "6#0C"3&' 2" H:1 31 %(4&0'+2'6 31. B0(:44':1,

it it* + ft st SS S S S S S S S S (14.5)

B(8 f=ln(F), s=ln(S).

14.3 ! )51/@39 =8+>/&020 36& ?@#3+56&

F( 60=(. &B 2& B0(+":2'&6 :8,&%%&4 :31, &4(0 :8,&%%42&3(. ':(3&' 2" 31 ='(0 31. B0(+":2'&6. ':(3'2&. &B 31, 30@(8:& ':(3'2&, 31 :3'42 %A1. 31. B0(+":2&.. !&3 :8,B"'&, 31 :3'42 31. :,&P1. 31. B0(+":2'&6. :8,&%%&4., 2" 31 8B+":1 31. (8="3"0313&. &B,&,3' :3(, 6,=8,( (risk neutrality), +& B0B"' ,& ':@"',

Ft = Et (St+1) S S S S S S S S S S (14.6)

B(8 = ",&' ( 3"%":3. 2&+12&3'6, B0(:=(6',. E (14.6) %"' 3' 63> &B :8,+6". (8="3"0313&. &B,&,3' :3(, 6,=8,(, 1 B0(+":2'&6 ':(3'2& +& B0B"' ,& ':(3&' 2" 31 2&+12&3'6 ((0+(%(4'6) B0(:=(6& 4'& 31, 3'2 31. 30@(8:&. ':(3'2&. 31 :3'42 31. %A1. 31. B0(+":2&..

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6

G,3'6&+':3,3&. 31, (14.6) :31, (14.2), @(82" 31, ,)32;47 "0*?2%,+, 42,>, 6"0=,, 2:> 31. :30&314'6. ,& =&,"C":&' :" ,& ,2':2& 6&' ,& =&,"C"'. &6%8B3& :" ,& %%(. G83 3& B0(:=(62",& 60=1 +& (=14:(8, :" "A'::(0(B13'6. :8,&%%&4. (arbitrage) B(8 +& (=14:(8, :31, (14.7).

E :8,+61 31. &6%8B31. ':(=8,&2&. 3>, "B'3(6>, @01:'2(B('"3&' "80>. :31 ='"+, 2&60(('6(,(2'6, >. 2& B031 B0(:44':1 :3'. :8,+6". ':(00(B&. 3>, ='"+,, @012&3&4(0, 6&' :3( B0(:='(0':2 3>, :8,&%%&42&3'6, ':(3'2',.

14.4 A B,+8>#+,#82( 36& ./&0110*203#5& =8+3#2#&.

JB(0(2" 30& ,& @01:'2(B(':(82" 31, :8,+61 ':(00(B&. :3'. ='"+,". @012&3&4(0. B0(6"'2,(8 ,& &,&%:(82" 3( H0&@8@0,'( B0(:='(0':2 3>, :8,&%%&42&3'6, ':(3'2',.

GB 31, (14.7), "B'%(,3&. 4'& 31 :8,&%%&42&3'6 ':(3'2&, @(82",

St =1+ it*1+ it

EtSt+1 S S S S S S S S S (14.10)

I'& B&0="'42&, &, S ",&' 1 :8,&%%&42&3'6 ':(3'2& 3(8 "80 ($ &, ), i* 3( "B'36'( 31. L80>C,1. 6&' i 3( "B'36'( 3>, EQG, 1 (14.10) :8,"B4"3&',

S$,t =1+ iEU ,t1+ iUS ,t

EtS$,t+1 S S S S S S S S (14.11)

H (14.11) 2&. 8B(="'6,"' 3(8. 30"'. B&04(,3". B(8 B0(:='(0C(8, 31, 30@(8:& :8,&%%&42&3'6 ':(3'2& 3(8 "80.

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Q03(,, 3( "B'36'( 3(8 =(%&0(8. :( 8P1%3"0( ",&' 3( "B'36'( 3(8 =(%&0(8, 3:( 2'603"01 ",&' 1 30@(8:& :8,&%%&42&3'6 ':(3'2& 3(8 "80 :" :@:1 2" 31, B0(:=(62",1 2"%%(,3'6 ':(3'2&. J" %%& %4'&, ,(=(. 3>, "B'3(6>, 3(8 =(%&0(8 H"%3',"' 31 :@:1 &,3&%%&4. 3(8 =(%&0(8 2" 3( "80, 6&' 2"',"' 31 :8,&%%&42&3'6 ':(3'2& 3(8 "80 :" =(%0'&.

*"3"0(. B&04>, ",&' 3& "80>B&M6 "B'36'&. :( 8P1%3"0( ",&' 3( "B'36'( 3(8 "80, 3:( 8P1%3"01 ",&' 1 30@(8:& :8,&%%&42&3'6 ':(3'2& 3(8 "80 :" :@:1 2" 31, B0(:=(62",1 2"%%(,3'6 ':(3'2&. J" %%& %4'&, ,(=(. 3>, "B'3(6>, 3(8 "80 "B'="',,"' 31 :@:1 &,3&%%&4. 3(8 =(%&0(8 2" 3( "80, 6&' &8A,"' 31 :8,&%%&42&3'6 ':(3'2& 3(8 "80.

F03(. B&04>, ",&' 1 B0(:=(62",1 2"%%(,3'6 ':(3'2&. :( 8P1%3"01 ",&' 1 B0(:=(62",1 2"%%(,3'6 ':(3'2&, 3:( 8P1%3"01 ",&' 6&' 1 30@(8:& ':(3'2&. Q&04(,3"., "63. 3>, "B'3(6>,, B(8 (=14(, :" B0(:=(62",1 2"%%(,3'6 ",:@8:1 3(8 "80, ",':@(8, 3( "80 &2:>., 2:> 31. &6%8B31. ':(=8,&2&. 3>, "B'3(6>,. Q&04(,3". B(8 (=14(, :" B0(:=(62",1 2"%%(,3'6 8B(321:1 3(8 "80 &B(=8,&2,(8, 3( "80 &2:>..

)' "B'B3:"'. &83, 3>, 30', B&0&4,3>, 2B(0(, ,& &,&%8+(, 6&' ='&40&22&3'6. I'& ,& 6,(82" 63' 33('(, +& @01:'2(B(':(82" 31 (14.9).

E &0':3"0 B%"80 31. (14.9) 8B(="'6,"' 31, &B=(:1 :" =(%0'& 2'&. "80>6&3+":1. =(%&0>,, ", 1 ="A' B%"80 31, &B=(:1 :" =(%0'& 2'&. "80>6&3+":1. :" "80. J" ="=(2,". 3'. B0(:=(6". 4'& 31 2"%%(,3'6 3'2 31. ':(3'2&., 1 ="A' B%"80 31. (14.9) :8,"B4"3&' 2& &0,13'6 :@:1 2"3&A 31. 30@(8:&. :8,&%%&42&3'6. ':(3'2&. 3(8 =(%&0(8 6&' 31. &B=(:1. :" =(%0'& 2'&. "80>6&3+":1. :" "80.

:( 8P1%3"0( ",&' 3( S, 3:( 2'603"01 ",&' 1 B0(:=(62",1 8B(321:1 3(8 =(%&0(8 4'& ="=(2,". B0(:=(6". 4'& 31 2"%%(,3'6 3'2 31. ':(3'2&..

E (14.9) &,&B&0:3&3&' :3( *'40&22& 14.3, 3( (B(( H(1+ :31, 6&3&,1:1 3(8 H0&@8@0,'(8 B0(:='(0':2( 31. :8,&%%&42&3'6. ':(3'2&.. E B0(:=(62",1 &B=(:1 2'&. "80>6&3+":1. =(%&0>, :" =(%0'& B&0:3&3&' &B 31, 6+"31 40&22, 6&+. 1 &B=(:1 &83 ",&' &,"A031:1 &B 31 :8,&%%&42&3'6 ':(3'2&. E B0(:=(62",1 &B=(:1 2'&. "80>6&3+":1. "80 :" =(%0'& B&0:3&3&' &B 31, 6&2B%1 2" 31, &0,13'6 6%:1, 6&+. :( 8P1%3"01 ",&' 1 30@(8:& :8,&%%&42&3'6 ':(3'2&, 3:( 2'603"01 ",&' 1 B0(:=(62",1 2"%%(,3'6 &,&321:1 3(8 "80, 4'& ="=(2,". B0(:=(6". 4'& 31, 3'2 31. 2"%%(,3'6. :8,&%%&42&3'6. ':(3'2&.. E :8,&%%&42&3'6 ':(3'2& ':(00(B&. B0(:='(0C"3&' :3( :12"( S1 :3( (B(( 1 B0(:=(62",1 &B=(:1 2'&. "80>6&3+":1. ?*3,86&3+":1. #28 (:" =(%0'&). )B('&=B(3" %%1 ':(3'2& =", ",&' ':(3'2& ':(00(B&. 6&' B0(6&%"

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8

2":& 6',:"'. &B 3( ,& ,2':2& :3( %%( B(8 (=14(, :31 :8,&%%&42&3'6 ':(3'2& ':(00(B&. S1.

I'& B&0="'42&, :31, ':(3'2& S2 1 &B=(:1 6&3&+:">, :" "80 ",&' 2'603"01 &B 31, &B=(:1 6&3&+:">, :" =(%0'&, 2" &B(3%":2& ,& 2"3&6,1+(, 6&3&+:"'. &B 3( "80 :3( =(%0'( 6&' ,& ",':@8+" 1 ':(3'2& 3(8 =(%&0(8. G,3+"3&, :31, ':(3'2& S3 1 &B=(:1 6&3&+:">, :" "80 ",&' 2"4&%3"01 &B 31, &B=(:1 6&3&+:">, :" =(%0'&, 2" &B(3%":2& ,& 2"3&6,1+(, 6&3&+:"'. &B 3( =(%0'( :3( "80 6&' ,& ",':@8+" 1 ':(3'2& 3(8 "80. E 2,1 ':(00(B& ",&' :31, ':(3'2& S1.

73( *'40&22& 14.4 "A"3C(82" 3'. "B'B3:"'. 2'&. 2">:1. 3(8 "B'3(6(8 3(8 =(%&0(8. G83 2"3&6'," 31, &B=(:1 3(8 =(%&0(8 B0(. 3& &0':3"0, 2" &B(3%":2& 31, ",:@8:1 31. :8,&%%&42&3'6. ':(3'2&. 3(8 "80.

73( *'40&22& 14.5 "A"3C(82" 3'. "B'B3:"'. 2'&. 2">:1. 3(8 "B'3(6(8 3(8 "80. G83 2"3&6'," 31, 6&2B%1 B0(:=(62",1. &B=(:1. 3(8 "80 B0(. 3& &0':3"0, 2" &B(3%":2& 31, B3:1 31. :8,&%%&42&3'6. ':(3'2&. 3(8 "80.

F%(., :3( *'40&22& 14.6 "A"3C(82" 3'. "B'B3:"'. 2'&. B0(:=(62",1. 2"%%(,3'6. B3:1. 3(8 "80 (4'& B&0="'42& %4> 3>, =12(:'(,(2'6, B0(H%123>, 31. "80>C,1.). G83 2"3&6'," 31, 6&2B%1 B0(:=(62",1. &B=(:1. 3(8 "80 B0(. 3& &0':3"0, 2" &B(3%":2& 31, B3:1 31. 30@(8:&. :8,&%%&42&3'6. ':(3'2&. 3(8 "80. )' B0(:=(6". 4'& 2"%%(,3'6. 2"3&H(%. 31. ':(3'2&. ",&' H&:'6. B0(:='(0':3'6. B&04>, 31. 30@(8:&. :8,&%%&42&3'6. ':(3'2&.. )B('&=B(3" "A%'A1 =12'(804" B0(:=(6". 4'& 2"%%(,3'6 2"3&H(% 31. ':(3'2&., (=14" 2":& :" 2"3&H(% 31. 30@(8:&. ':(3'2&. B0(. 31, ='& 6&3"+8,:1.

14.5 ./2@$,82030

)' :8,&%%&42&3'6. ':(3'2". B0(:='(0C(,3&' :3'. ='"+,". @012&3&4(0.. )' 680'3"0(' B&04(,3". B(8 =0&:310'(B('(,3&' :" &83. ",&' 30&B"C'6 '=02&3&, B(%8"+,'6. "B'@"'0:"'., 21 30&B"C'6 @012&3(B':3>3'6 '=02&3& 6&' 6",30'6. 30B"C"..

)' 30B"C". @(8, ,& 6",30'6 0%( 6&+. ='"86(%,(8, 3'. &,3&%%&4. 30&B"C'6, 6&3&+:">, :" ='#(0& ,(2:2&3&, B(8 &B(3"%(, 3( 2"4&%3"0( 46( 3>, :8,&%%&4, :31, &4(0 :8,&%%42&3(.. E ='"+,. &4(0 :8,&%%42&3(. ",&' :31, (8:& 2& ",(B('12,1 B&46:2'& &4(0 B(8 %"'3(804" :@"=, 24 0". 3( 240(.

F( 2"4&%3"0( 20(. 3>, :8,&%%&4, :" A,( :8,%%&42& ",&' 30@(8:". :8,&%%&4., &%% 2"4%( 20(. ",&' :82#>,". &,3&%%&4, 6&' ,& 2'60 20(. B0(+":2'&6. :8,&%%&4.. 73'. :82#>,". &,3&%%&4, 6&' 3'. B0(+":2'&6.

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:8,&%%&4. @(82" :82#>,& 2"3&A 3>, 2"0, 4'& 2"%%(,3'6 &,3&%%&4 ,(2':23>, :" B0(6&+(0':2,1 3'2. G,3+"3&, (' 30@(8:". :8,&%%&4. "66&+&0C(,3&' 2":&.

!&+. 1 :8,&%%&42&3'6 ':(3'2& ",&' 1 :@"3'6 3'2 =( @0"(40#>, (,(2':23>,), ( 6&+(0':2. 31. B0&42&3(B('"3&' B>. 6&' 4'& %& 3& @0"40&. E ':(00(B& :31, &4(0 :8,&%%42&3(. &B&'3" "A:>:1 3>, &B(=:">, 3>, @0"(40#>, B(8 ",&' "6B"#0&:2,& :" ='(0"3'6 ,(2:2&3&, 3&, (' &B(=:"'. 2"30(,3&' :" 6(', H:1. G83 ",&' 1 H:1 31. ':(=8,&2&. 3>, "B'3(6>,.

I'& ="=(2,& "B'36'& 6&3&+:">, "6B"#0&:2,>, :" ='#(0& ,(2:2&3&, 6&' 4'& ="=(2,". B0(:=(6". 4'& 31 2"%%(,3'6 "A%'A1 31. ':(3'2&., 1 ':(=8,&2& 3>, "B'3(6>, B0(:='(0C"' 31, 30@(8:& :8,&%%&42&3'6 ':(3'2&. I'& B&0="'42&, 3&, 1 :" 6(', H:1 B0(:=(62",1 &B=(:1 6&3&+:">, :" "80 8B"0H&,"' 31, B0(:=(62",1 &B=(:1 6&3&+:">, :" =(%0'&, 33" 3( "80 &,&3'23&' 2":& &B,&,3' :3( =(%0'(. 7" &,3+"31 B"0B3>:1 3( "80 8B(3'23&' &B,&,3' :3( =(%0'(.

J" 3& 8B%('B& ="=(2,& :3&+"0, 2& &A1:1 3>, "B'3(6>, 3(8 =(%&0(8 B0(6&%" &,&321:1 3(8 =(%&0(8. J& &A1:1 3>, "B'3(6>, 3(8 "80 B0(6&%" &,&321:1 3(8 "80. F%(., 2" 3& 8B%('B& ="=(2,& :3&+"0, 2& B0(:=(62",1 2"%%(,3'6 &,&321:1 (8B(321:1) 3(8 "80, (=14" 2":& :" 30@(8:& &,&321:1 (8B(321:1) 3(8 "80.

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*'40&22& 14.2LB'36'& EURIBOR

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$## DM##

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Krugman P. and M. Obstfeld (2012), International Economics: Theory and Policy, Pearson, London.

Mark Nelson (2001), International Macroeconomics and Finance, Blackwell, Oxford.

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