國際金融-hapterthirdforeignexchangemarketandtransactions

1、The third chapter The foreign exchange market and foreign exchange transactions1Key terms Inter-bank Market 銀行間市場銀行間市場 Customer Market 客戶市場客戶市場 Spot transaction 即期交易即期交易Forward transaction 遠(yuǎn)期交易遠(yuǎn)期交易Interest arbitrage 套利交易套利交易Arbitrage 套匯交易套匯交易23 Foreign exchange market Foreign exchange transactions S

2、pot transaction Forward transaction Interest arbitrage arbitrageMAIN CONCERNS4一一 、foreign exchange market Concepts of foreign exchange market Participants of the marketSlide 13-51、The Foreign Exchange Market Exchange rates are determined in the foreign exchange market. The market in which internatio

3、nal currency trades take place The Actors The major participants in the foreign exchange market are: Commercial banks International corporations Foreign Exchange Broker Central banks6（Foreign Exchange Bank)（Foreign Exchange Broker） customers central banks7 Inter-bank MarketCustomer MarketSix foreign

4、 exchange markets in the whole Six foreign exchange markets in the whole worldworld： New yorkNew york London London Frankfurt Sydney Frankfurt Sydney Singapore Singapore TokyoTokyo Slide 13-8 The worldwide volume of foreign exchange trading is enormous, and it has ballooned in recent years. 24 hour

5、whole world market New technologies are used among the major foreign exchange trading centers . The integration of financial centers implies that there can be no significant arbitrage.2、Characteristics of the Market9 Time of foreign exchange market 惠靈頓惠靈頓 04:00-13:00悉尼悉尼 06:00-15:00東京東京 08:00-15:30香

6、港香港 10:00-17:00法蘭克福法蘭克福 14:30-23:00倫敦倫敦 15:30-(次日次日)00:30紐約紐約 21:00-(次日次日)04:00101 1、spot transactionspot transaction Two dayscase：GBP 1=USD 1.8880-1.8900ask：if to buy 100 thousands pounds, how many US dollars are needed?How many pounds can be got if to sell 100 thousands US dollars ?1) 1.8900*10000

7、0=189000$2) 100000/1.8900=52910pounds112 2、forward transactionforward transaction 1 1）conceptconcept 2 2）motivemotive to evade risk to speculate in order to earn money12 hedginghedgingTo sell or buy forward currencies in To sell or buy forward currencies in order that there is no impact of the order

8、 that there is no impact of the exchange rate on the foreign assets or exchange rate on the foreign assets or indebtednessindebtedness例例 1 1：英國出口一批商品：英國出口一批商品100100萬英鎊到美國，合萬英鎊到美國，合同約定三個月后付款結(jié)算，訂約日的市場匯率是同約定三個月后付款結(jié)算，訂約日的市場匯率是1=US$1.3879,1=US$1.3879,三個月遠(yuǎn)期匯率：三個月遠(yuǎn)期匯率：1=US$1.38801=US$1.388013案例案例 214 the d

9、ifference between hedging and speculation Speculation doesnt have real operation Speculation doesnt have real enough amount of capital Speculation can help the market equilibrium15 directdirect indirectindirect （3 3）conversionconversion升水（升水（at premium）貼水（貼水（at discount）平價（平價（at par） “前小后大往上加，前大后小往下

10、減；前小后大往上加，前大后小往下減；”16即期：即期：5.2130-5.2160 5.2130-5.2160 即期：即期：1.6975-1.69851.6975-1.69851 1個月個月 70-30 170-30 1個月個月 12-212-22 2個月個月 125-80 2125-80 2個月個月 26-1426-143 3個月個月 165-110 3165-110 3個月個月 30-2530-256 6個月個月 90-10 690-10 6個月個月 30-1530-151212個月個月 20-175 1220-175 12個月個月 20-5020-50+directdirect：“- -”

11、discountdiscount，“+ +”premiumpremium；indirectindirect：“- -”premiumpremium，“+ +”discountdiscount；17 Case 3：England exports 100 thousands merchandises to America, it is said to pay balance three month later in the contract, the exchange rate on that day is 1=US$1.8880-1.8900,three month forward rate：9

12、5-90。Importer wants to buy 100 thousands three month forward pounds How many US dollars are needed?100000*（1.8900-0.0090）=188100$183,3, swap transactionsswap transactions definitiondefinitionA foreign exchange swap is a spot sale A foreign exchange swap is a spot sale of a currency combined with a f

13、orward of a currency combined with a forward repurchase of the currency.repurchase of the currency.19 (1)sale is combined with purchase(2)one currency , the same amount (3)different pay time 20 For example, a multinational company has just received$1 million from sales and knows it will have to pay

14、those dollars to a California supplier in three months. the companys asset-management department would meanwhile like to invest the$1 million in Swiss francs. A three-month swap of dollars into Swiss francs may result in lower brokersfees than the two separate transactions of selling dollars for spo

15、t Swiss francs and selling the Swiss francs for dollars on the forward21224 4、interest arbitrageinterest arbitrage uncovered Interest rate arbitrage covered interest arbitrage2324255 5、ArbitrageArbitrage 1）definitionThe process of buying a currency cheap and selling it dear. 2）Two angle arbitrageTri

16、angle arbitrage26homework1， Triangle arbitrage 倫敦市場：倫敦市場：GBP1=USD2 法蘭克福市場：法蘭克福市場：GBP1=DEM3.8 紐約市場：紐約市場：USD1=DEM1.93272 2，已知某日紐約外匯市場美元對馬克的匯率為：，已知某日紐約外匯市場美元對馬克的匯率為： 即期匯率即期匯率 3 3個月遠(yuǎn)期個月遠(yuǎn)期USD1=1.6640USD1=1.66401.6650 DEM 2031.6650 DEM 203205205 某美國出口商品原價為某美國出口商品原價為1000USD1000USD。現(xiàn)有德國?，F(xiàn)有德國客戶向美國出口商詢價，若用馬克報價，請問客戶向美國出口商詢價，若用馬克報價，請問（1 1）若用即期付款，我應(yīng)報價多少馬克？）若