國際財務管理第六版中文版第五章

國際財務管理EUN/RESNICKSixthEditionINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEdition引言：目標：這一章向?qū)W生介紹匯率決定的制度框架。本章是本書后續(xù)各章的基礎。5ChapterFive外匯市場外匯市場交易時間（北京時間）地區(qū)城市開市時間收市時間大洋洲悉尼7:0015:00亞洲東京8:0016:00香港9:0017:00新加坡9:0017:00巴林14:0022:00歐洲法蘭克福16:000:00蘇黎世16:000:00巴黎17:001:00倫敦18:002:00北美洲紐約20:004:00洛杉磯21:005:00FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSForwardPremium外匯市場的功能和結(jié)構外匯即期市場外匯遠期市場ChapterOutline外匯市場的功能和結(jié)構將全球范圍的協(xié)助交易的貨幣交易銀行、非銀行交易商和外匯經(jīng)紀人聯(lián)系在一起。外匯市場的參與者FXMarketParticipants外匯市場可分為兩個層級:銀行同業(yè)市場(Wholesale)客戶市場(Retail)據(jù)2010年國際清算銀行統(tǒng)計，14%為零售交易量，86%為銀行同業(yè)交易。市場參與者包括：國際銀行internationalbanks銀行客戶bank’scustomers非銀行交易商nobankdealers外匯經(jīng)紀人FXbrokers俗稱中介中央銀行centralbanks通匯關系國際銀行間的外匯交易如何結(jié)算的？Theinterbankmarketisanetworkofcorrespondentbankingrelationships畫圖中國進口商從荷蘭進口一批商品，采用歐元結(jié)算。進口商出口商國際銀行國際銀行通匯賬戶即期外匯市場

TheSpotMarket即期匯率標價套算匯率標價匯率買賣價差即期外匯交易三角套利即期外匯標價直接標價DirectquotationtheU.S.dollarequivalente.g.“aJapaneseYenisworthaboutapenny”間接標價IndirectQuotationthepriceofaU.S.dollarintheforeigncurrencye.g.“youget100yentothedollar”見表5-3SpotRateQuotationsCountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsThedirectquoteforBritishpoundis:CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsTheindirectquoteforBritishpoundis:￡.5242=$1CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsNotethatthedirectquoteisthereciprocaloftheindirectquote:5242.19077.1=CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364請解釋以下外匯標價含義S（€/$）=0.8171,S（$/￥）S（￡/$）套算匯率標價SupposethatS.$1.4655=1￡andthatS.$1.1975=€1.0Whatmustthe€/￡crossratebe美式標價法歐式標價法一個美式與一個歐式標價匯率P117計算題1匯率買賣價差

TheBid-AskSpread買價：Thebidpriceisthepriceadealeriswillingtopayyouforsomething.

賣價：Theaskpriceistheamountthedealerwantsyoutopayforthething.

買賣價差：Thebid-askspreadisthedifferencebetweenthebidandaskprices.思考：Sa（$/￡）和Sa（￡/$）以及Sb（$/￡）和Sb（￡/$）含義、關系.寫出公式。TheBid-AskSpreadAdealercouldofferbidpriceof$1.25per€askpriceof$1.26per€ask

price大于bidpriceThebid-askspreadrepresentsthedealer’sexpectedprofit.TheBid-AskSpreadAdealerwouldlikelyquotethesepricesas50-55.Itispresumedthatanyonetrading$10malreadyknowsthe“bigfigure”.BidAsk1.4650.6824S($/￡)S(￡/$)1.4655.6826bigfiguresmallfigure買賣價差回答P107表中的含義。套算匯率買賣價差的計算以表5-6為例，輔以板書計算題P118第8和第9題。三角套利$￡￥CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120￡1.00￥80=￡1.50$1.00$1.00￥120×書上的例子5-3TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120TheimpliedS(￥/￡)crossrateisCreditAgricolehaspostedaquoteofS(￥/￡)=85sothereisanarbitrageopportunity.So,howcanwemakemoney￥￡￥80=￥120×Thentradeyenforyourpreferredcurrency.Buythe￡@￥80;sell@￥85.TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120Aseasyas1–2–3:1.Sellour$for￡,2.Sellour￡for￥,3.Sellthose￥for$.￥￡123$TriangularArbitrageSell$100,000for￡atS(￡/$)=1.50receive￡150,000Sellour￡150,000for￥atS(￥/￡)=85receive￥12,750,000Sell￥12,750,000for$atS(￥/$)=120receive$106,250profitperroundtrip=$106,250–$100,000=$6,250TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120Herewehavetogo“clockwise”tomakemoney—butitdoesn’tmatterwherewestart.￥￡123$Ifwewent“counterclockwise”wewouldbethesourceofarbitrageprofits,nottherecipient!即期外匯市場的微觀結(jié)構市場的圍觀結(jié)構是指市場運作的基本機制。即期外匯市場的買賣價差隨著：外匯匯率波動程度的上升而增加；隨著交易商競爭的家去而下降。私有信息（Privateinformation）是影響即期匯率的重要因素。isanimportantdeterminantofspotexchangerates.遠期外匯市場遠期匯率標價遠期多頭和空頭遠期套算匯率遠期升水互換交易遠期外匯市場Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.遠期合約的例子，比如你訂購一件暢銷品的衣服。外匯遠期市場涉及為了買入、賣出外匯而在現(xiàn)在簽訂合約。遠期合約中，常見的到期期限分別為1,3,6,9,and12monthLonger-termswapsareavailable.遠期匯率標價Considertheexample:forBritishpounds,thespotrateisWhilethe180-dayforwardrateis遠期外匯匯率如何標價？（ForwardRateQuotations）。SpotRateQuotationsCountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotrateForwardrateislessthanspotrate遠期匯率標價美式標價和歐式標價S($/SF)=0.8662,F1($/SF)=0.8671,F3($/SF)=0.8686,F6($/SF)=0.8715,稱為瑞士法郎對美元的遠期升水。那么，遠期升水的幅度是多少？遠期多頭與空頭比如F3（$/SF）若3個月后的即期匯率為或者為0.8616.黑板上畫圖例5-4，預期瑞士法郎會貶值，持有空頭，賣出遠期外匯合約。遠期多頭與空頭Ifyouhaveagreedtosellanything(spotorforward),youare“short”.Ifyouhaveagreedtobuyanything(forwardorspot),youare“l(fā)ong”.IfyouhaveagreedtosellFXforward,youareshort.IfyouhaveagreedtobuyFXforward,youarelong.遠期套算匯率FN(j/k)=FN(j/$)*FN($/k)采用美式標價套算采用歐式標價套算ForwardCrossExchangeRatesIngenerictermsNoticethatthe“$”scancel.CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayArgentina(Peso)0.33090.32923.0221Australia(Dollar)0.78300.78361.2771Brazil(Real)0.37350.37912.6774Britain(Pound)1.90771.91350.52421MonthForward1.90441.91010.52513MonthsForward1.89831.90380.52686MonthsForward1.89041.89590.5290Canada(Dollar)0.80370.80681.24421MonthForward0.80370.80691.24423MonthsForward0.80430.80741.24336MonthsForward0.80570.80881.2412ForwardCrossExchangeRatesF6(CAD/￡)=F6(CAD/$)*F6($/￡)=1.2412*1,8904遠期升水或貼水遠期升水或貼水的計算例5-5Forexample,supposethe€isappreciatingfromS($/€)=1.25toF180The180-dayforwardpremiumisgivenby:=0.081.30–1.251.25×2=f180,€v$F180($/€)–S($/€)S($/€)=×360180互換交易S：買入（或賣出）遠期外匯的同時，賣出（或買入）大約等量的即期外匯。比如，sohu公司要在墨西哥投資一子公司，需要100萬比索，1年后子公司將會歸還100萬比索，sohu公司如何避免匯率波動風險。遠期點數(shù)標價即期1.1545-1.15481個月12-103個月32-386個月71-65即期1.2365-1.23681個月2-43個月9-126個月10-20CurrencySymbolsInadditiontothefamiliarcurrencysymbols(e.g.￡,￥,€,$)therearethree-lettercodesforallcurrencies. Itisalonglist,butselectedcodesinclude: CHF Swissfrancs GBP Britishpound ZAR SouthAfricanrand CAD Canadiandollar JPY JapaneseyenSummarySpotratequotationsDirectandindirectquotes Bidandaskpri