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INTERNATIONALFINANCIALMANAGEMENTINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEditionChapterObjectives:Thischapterservestointroducethestudenttotheinstitutionalframeworkwithinwhichexchangeratesaredetermined.Thischapterlaysthefoundationformuchofthediscussionthroughouttheremainderofthetext,thusitdeservesyourcarefulattention.5ChapterFiveTheMarketforForeignExchange貨幣代表的是購置力,如果要購置其他國家的產(chǎn)品或效勞,一般需要先購置該國的貨幣。就是用本國貨幣去購置外匯,這樣就能將本國購置力轉(zhuǎn)化為外匯國家的購置力。外匯市場(chǎng)是世界最大的金融市場(chǎng)。倫敦目前是世界最大的外匯交易中心。

國財(cái)6版page94圖;最新數(shù)據(jù)見下頁ppt;國財(cái)5版page89圖;EXHIBIT5.1SharesofReportedGlobalForeignExchangeTurnoverbycountryorregion,2023〔Source:BankforInternationalSettlements,:///statistics/index.htm)FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSwapTransactionsForwardPremiumFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketChapterOutlineTheFunctionandStructureof

theFXMarket即期和遠(yuǎn)期外匯市場(chǎng)都屬于場(chǎng)外交易市場(chǎng)〔OTC),買賣雙方通過、計(jì)算機(jī)終端和自動(dòng)處理系統(tǒng)形成交易網(wǎng)絡(luò),將全球范圍的貨幣交易銀行、非銀行交易商和外匯經(jīng)紀(jì)人聯(lián)系在一起。路透社和電子經(jīng)紀(jì)效勞公司是外匯交易報(bào)價(jià)顯示器的最大銷售商。外匯市場(chǎng)通信系統(tǒng)堪稱首屈一指,絕不亞于政府、國防和情報(bào)部門的通信系統(tǒng)。外匯市場(chǎng)一天24小時(shí)都在進(jìn)行著交易。分為三個(gè)主要市場(chǎng):亞洲-澳洲市場(chǎng)、歐洲市場(chǎng)和北美市場(chǎng)。亞洲-澳洲市場(chǎng)包括東京、新加坡、香港、悉尼和巴林等交易中心;歐洲市場(chǎng)包括倫敦、蘇黎世、巴黎、法蘭克福、布魯塞爾和阿姆斯特丹交易中心;北美市場(chǎng)包括紐約、芝加哥、舊金山、洛杉磯、蒙特利爾和多倫多交易中心。絕大多數(shù)交易所每天營業(yè)9至12個(gè)小時(shí)。EXHIBIT5.2TheCircadianRhythmsoftheFXMarket〔Source:FederalReserveBankofNewYork,〕TheFunctionandStructureof

theFXMarketFXMarketParticipantsCorrespondentBankingRelationships〔通匯關(guān)系〕FXMarketParticipantsTheFXmarketisatwo-tieredmarket〔雙層市場(chǎng)〕:InterbankMarket〔Wholesale,批發(fā)市場(chǎng)或銀行間同業(yè)市場(chǎng)〕ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventory.ClientMarket〔Retail,零售市場(chǎng)〕Marketparticipantsincludeinternationalbanks,theircustomers,nonbankdealers〔非銀行交易商〕,FXbrokers,andcentralbanks.國際銀行是外匯市場(chǎng)的核心。銀行客戶包括跨國公司、理財(cái)經(jīng)理和私人投資者。2023年BIS的統(tǒng)計(jì)數(shù)據(jù),零售或銀行客戶交易量約占外匯交易總量的14%〔2007該數(shù)據(jù)為17%〕,其余86%為國際銀行或非銀行交易商間的銀行同業(yè)交易。非銀行交易商指大型的非銀行金融機(jī)構(gòu),如投資銀行、共同基金、養(yǎng)老基金、對(duì)沖基金等。2023年,非銀行交易商的交易量占銀行同業(yè)市場(chǎng)交易量的47%〔2007年該數(shù)據(jù)為40%〕。大局部銀行同業(yè)交易屬于投機(jī)性或套利性交易。其參與者試圖通過判斷匯率走勢(shì)或通過相互競(jìng)爭(zhēng)的交易商間的臨時(shí)性價(jià)格偏差來獲利。外匯經(jīng)紀(jì)人為交易商的外匯買賣進(jìn)行撮合并從中收取費(fèi)用,但他們自身并不持有頭寸。銀行同業(yè)交易的大量業(yè)務(wù)都是通過路透社和EBS平臺(tái)來完成的。中央銀行干預(yù)外匯市場(chǎng)主要指運(yùn)用外匯儲(chǔ)藏購置本國貨幣、使本幣供給量減少,使本幣升值;出售本幣購置外匯,使本幣供給量增大,使本幣貶值。干預(yù)外匯市場(chǎng)中央銀行通常損失外匯儲(chǔ)藏,但無證據(jù)說明大規(guī)模干預(yù)外匯市場(chǎng)能實(shí)質(zhì)性的影響匯率走勢(shì)。FXMarketParticipantsCorrespondentBanking〔代理行〕RelationshipsLargecommercialbanksmaintaindemanddeposit(活期存款〕accountswithoneanotherwhichfacilitatestheefficientfunctioningoftheFXmarket〔有利于外匯市場(chǎng)的有效運(yùn)作〕.

銀行同業(yè)市場(chǎng)就是代理行關(guān)系網(wǎng)絡(luò),其中大型商業(yè)銀行彼此間都設(shè)立存款賬戶,即所謂代理行賬戶。

CorrespondentBankingRelationshipsBankAisinLondon,BankBisinNewYork.Thecurrentexchangerateis£1.00=$2.00.AcurrencytraderemployedatBankAbuys£100mfromacurrencytraderatBankBfor$200msettledusingitscorrespondentrelationship(代理行關(guān)系〕.〔注:A銀行在B銀行有英鎊和美元兩個(gè)存款賬戶,A銀行記錄在自己的資產(chǎn)賬戶下,同時(shí)B銀行在A銀行也有英鎊和美元兩個(gè)存款賬戶,A銀行記錄在自己的負(fù)債賬戶下,這樣涉及到A銀行四個(gè)賬戶,兩個(gè)資產(chǎn)賬戶和兩個(gè)負(fù)債賬戶;同理B銀行也是,這樣共涉及八個(gè)賬戶?!矪ankALondonBankBNYC$200m£100mCorrespondentBankingRelationshipsAssets Liabilities£depositatB£300mOtherAssets£600mB’sDeposit$1,000mOtherL&E£600mTotalAssets£1,300mTotalL&E£1,300mAssets Liabilities$depositatA$1000mOtherAssets$800mA’sDeposit£300mOtherL&E$800mTotalAssets$2,200mTotalL&E$2,200m£400m$1,200m$1200m£400m$600mB’sDeposit£200m$600m£depositatA£200m£100mA’sDeposit$800mBankALondonBankBNYC$200m£100m$depositatB$800m£100m銀行A的記賬貨幣為英鎊,因?yàn)锳在英國;銀行B的記賬貨幣為美元,因?yàn)锽在美國。Thecurrentexchangerateis£1.00=$2.00.BankALondon$200mCorrespondentBankingRelationshipsInternationalcommercialbankscommunicatewithoneanotherwith〔以下的通信系統(tǒng)用于全球結(jié)算〕:SWIFT:TheSocietyforWorldwideInterbankFinancialTelecommunications.CHIPS:ClearingHouseInterbankPaymentsSystemECHO:ExchangeClearingHouseLimited,thefirstglobalclearinghouseforsettlinginterbankFXtransactions.TheSpotMarket〔即期外匯市場(chǎng)〕SpotRateQuotations〔即期匯率報(bào)價(jià)〕TheBid-AskSpread〔買賣差價(jià)〕SpotFXtrading〔即期外匯交易〕CrossRates〔套算匯率〕Spot〔Forward〕RateQuotationsCountryUSDequiv

FridayUSDequiv

ThursdayCurrencyperUSD

FridayCurrencyper

USDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsNotethatthedirectquoteisthereciprocal〔倒數(shù)的〕oftheindirectquote:5242.19077.1=CountryUSDequivFridayUSDequivThursdayCurrencyper

USDFridayCurrencyperUSDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364TheBid-AskSpreadThebidpriceisthepriceadealeriswillingtopayyouforsomething.Theaskpriceistheamountthedealerwantsyoutopayforthething.Thebid-askspreadisthedifference〔差額〕betweenthebidandaskprices.TheBid-AskSpreadAdealercouldofferbidpriceof$1.25per€askpriceof$1.26per€Thebid-askspreadrepresentsthedealer’sexpectedprofit.哪種貨幣更貴〔2023年6月2日〕,見下頁ppt,國財(cái)6版104表,最新資料查詢見以下鏈接Source:TheWallStreetJournal,June3,2023,p.C.2.Source:TheWallStreetJournal,June3,2023,p.C.2.TheBid-AskSpreadAdealerwouldlikelyquotethesepricesas72-77.Itispresumedthatanyonetradingalreadyknowsthe“bigfigure〞.BidAsk1.9072.5242S($/£)S(£/$)1.9077.5243bigfiguresmallfigureSpotFXtradingIntheinterbankmarket〔銀行同業(yè)拆借市場(chǎng)〕,thestandardsizetradeisaboutU.S.$10million.Thestakes〔賭注〕arehigh.The“l(fā)ongterm〞isabout10minutes.CrossRatesSupposethatS($/€)=1.50

i.e.€1.00=$1.50andthatS(¥/€)=50

i.e.€1.00=¥50Whatmustthe$/¥crossratebe?$1.50¥50=$1.50€1.00€1.00¥50×$1.00=¥33.33$0.0300=¥1TriangularArbitrage$CreditLyonnaisS(€/$)=1.50CreditAgricoleS(¥/€)=85BarclaysS(¥/$)=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=$6,250TriangularArbitrage$CreditLyonnaisS(€/$)=1.50CreditAgricoleS(¥/€)=85BarclaysS(¥/$)=120Herewehavetogo“clockwise〞tomakemoney—butitdoesn’tmatterwherewestart.¥€123$Ifwewent“counterclockwise〞wewouldbethesourceofarbitrageprofits,nottherecipient!開始有85日元,換1歐元,換2/3美元,換80日元,比開始少了5日元SpotForeignExchangeMicrostructureMarketMicrostructurereferstothemechanics[m?k?n?ks]ofhowamarketplaceoperates.Bid-AskspreadsinthespotFXmarket:increasewithFXexchangeratevolatility.〔需要風(fēng)險(xiǎn)補(bǔ)償〕decreasewithdealercompetition.〔競(jìng)爭(zhēng)加劇,利潤變小〕Privateinformationisanimportantdeterminantofspotexchangerates.實(shí)證發(fā)現(xiàn),中央銀行對(duì)外匯市場(chǎng)的干預(yù)似乎對(duì)匯率沒有實(shí)質(zhì)性影響,卻提高了市場(chǎng)的波動(dòng)性,這會(huì)增加交易者的交易本錢。TheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCrossExchangeRatesSwapTransactionsForwardPremiumTheForwardMarketAforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.Ifyouhaveeverhadtoorderanout-of-stock〔缺貨〕textbook〔教科書〕,thenyouhaveenteredintoaforwardcontract.ForwardRateQuotationsTheforwardmarketforFXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday.Bankquotesfor1,3,6,9,and12monthmaturitiesarereadilyavailable〔容易獲得〕forforwardcontracts.Longer-termswapsareavailable.ForwardRateQuotationsConsidertheexamplefromabove:forBritishpounds,thespotrateis$1.9077=£1.00Whilethe180-dayforwardrateis$1.8904=£1.00What’supwiththat?ForwardRateQuotationsClearlythemarketparticipantsexpect〔預(yù)期〕thatthepoundwillbeworthlessindollarsinsixmonths.CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364ForwardRateQuotationsConsiderthe(dollar)holdingperiodreturnofadollar-basedinvestorwhobuys£1millionatthespotandsellsthemforward〔6MonthsForward〕:$HPR=gainpay$1,890,400–$1,907,700$1,907,700=–$17,300$1,907,700=$HPR=–0.0091AnnualizeddollarHPR=–0.0091×2=–1.82%ForwardPremium〔遠(yuǎn)期升水〕Theinterestratedifferentialimpliedbyforwardpremiumordiscount.Forexample,supposethe€isappreciatingfromS($/€)=1.25toF180($/€)=1.30The180-dayforwardpremiumisgivenby:=0.081.30–1.251.25×2=f180,€v$F180($/€)–S($/€)S($/€)=×360180LongandShortForwardPositionsIfyouhaveagreedtosellanything(spotorforward),youare“short〞.Ifyouhaveagreedtobuyanything(spotorforward),youare“l(fā)ong〞.IfyouhaveagreedtosellFXforward,youareshort.IfyouhaveagreedtobuyFXforward,youarelong.PayoffProfiles0S180($/¥)F180($/¥)=.009524ShortpositionlossprofitIfyouagreetosellanything〔此圖為賣出日元〕inthefutureatasetpriceandthespotpricelaterfallsthenyougain.Ifyouagreetosell

anythinginthefutureatasetpriceandthespotpricelaterrisesthenyoulose.PayoffProfilesloss0S180(¥/$)F180(¥/$)=105-F180(¥/$)profitWhetherthepayoffprofileslopesupordowndependsuponwhetheryouusethedirectorindirectquote:F180(¥/$)=105orF180($/¥)=.009524.圖為給出日元換入美元shortposition在與縱軸交點(diǎn)上,美元變得一文不值,按照105日元兌換1美元的遠(yuǎn)期合約兌換,每換得一文不值的1美元就損失105日元。Whentheshortenteredintothisforwardcontract,heagreedtosell¥in180daysatF180(¥/$)=105PayoffProfilesloss0S180(¥/$)F180(¥/$)=105-F180(¥/$)120If,in180days,S180(¥/$)=120,theshortwillmakeaprofitbybuying¥atS180(¥/$)=120anddelivering¥atF180(¥/$)=105.〔在現(xiàn)貨市場(chǎng)上買入日元用于遠(yuǎn)期市場(chǎng)上交割〕15¥profitshortpositionPayoffProfilesloss0S180(¥/$)F180(¥/$)=105Longposition〔買入日元〕-F180(¥/$)F180(¥/$)shortposition〔賣出日元〕profitSincethisisazero-sumgame,thelongpositionpayoffistheoppositeoftheshort.PayoffProfilesloss0S180(¥/$)F180(¥/$)=105Longposition-F180(¥/$)profitThelonginthisforwardcontractagreedtoBUY¥in180daysatF180(¥/$)=105If,in180days,S180(¥/$)=120,thelongwilllosebyhavingtobuy$atS180(¥/$)=120anddelivering$atF180(¥/$)=105.120–15¥ForwardCrossExchangeRatesIt’sjustan“delayed〞exampleofthespotcrossratediscussedabove.IngenerictermsNoticethatthe“$〞iscancel.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)0.80370.80681.24421MonthForward0.80370.80691.24423MonthsForward0.80430.80741.24336MonthsForward0.80570.80881.2412ForwardCrossExchangeRatesGBP1.00CAD2.3464=GBP1.00USD1.00USD1.8904CAD1.2412×pound-CanadiandollarcrossrateGPB1=USD1.8904CAD1.2412=USD1TheforwardCurrencySymbolsInadditiontothefamiliarcurrencysymbols(e.g.£,¥,€,$)therearethree-lettercodesforallcurrencies. Itisalonglist,butselectedcodesinclude: NZD新西蘭元SEK瑞典克朗NOK挪威克朗SGD新加坡元ZAR SouthAfricanrand〔南非蘭特〕USD美元EUR歐元GBPBritishpoundCHF SwissfrancsJPYJapaneseyen CAD CanadiandollarAUD澳大利亞元March15th,2023七種主要貨幣套算匯率數(shù)據(jù)見下頁pptMarch15th,2023,資料來源:SWAPSAswapisanagreementtoprovideacounterpartywithsomethinghewantsinexchangeforsomethingthatyouwant.Swaptransactionsaccountforapproximately47%percent〔5版數(shù)據(jù)為56%〕ofinterbankFXtrading,whereasoutrightforwardtradesare13percent〔5版數(shù)據(jù)為11%〕.最新數(shù)據(jù)見下頁ppt表;國財(cái)6版Page102表5-2;國財(cái)5版Page102表5-1;〔資料來源:TriennialCentralBankSurveyofforeignexchangeandderivativesmarketactivityin2023,BankforInternationalSettlements,〕Swapsarecoveredfullyinchapter14.GlobalforeignexchangemarketturnoverbyinstrumentdailyaveragesinApril,inbillionsofUSdollarsandpercentagesInstrument200720102013Amount%Amount%Amount%Spottransactions

1,005

30.2

1,488

37.5

2,046

38.3Outrightforwards

362

10.9

475

11.9

680

12.7Foreignexchangeswaps

1,714

51.6

1,759

44.3

2,228

41.7Currencyswaps

31

0.9

43

1.1

54

1.0FXoptionsandotherproducts

212

6.4

207

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