ch13-1外汇与汇率-2学生.ppt

中国工商银行人民币即期外汇牌价 日期：2008年11月05日 星期三单单位：人民币币/100外币币 币币种汇买汇买 、汇卖汇卖 中间间价 现汇买现汇买 入价 现钞买现钞买 入价 卖卖出价 发发布时时 间间 美元(USD)683.34681.97676.51684.7111:09:35 港币币(HKD)88.1687.9887.2888.3411:09:35 日元(JPY)6.84926.82186.60266.876611:09:35 欧元(EUR)884.24880.70852.41887.7811:09:35 英镑镑(GBP)1089.721085.361050.491094.0811:09:35 瑞士法郎(CHF)585.60583.26564.52587.9411:09:35 加拿大元(CAD)591.53589.16570.23593.9011:09:35 澳大利亚亚元(AUD)473.28471.39456.24475.1711:09:35 新加坡元(SGD)465.02463.16448.28466.8811:09:35 丹麦克朗(DKK)118.80118.32114.52119.2811:09:35 挪威克朗(NOK)103.16102.7599.45103.5711:09:35 瑞典克朗(SEK)89.4489.0886.2289.8011:09:35 澳门门元(MOP)85.5385.3684.6785.7011:09:35 新西兰兰元(NZD)413.08411.43398.21414.7311:09:35 韩韩元(KRW)0.5332-0.50550.560911:09:35 例如：上海2004年7月6日的实际行情 现汇价：USD 100 = CNY 826.63 829.11 现钞价：USD 100 = CNY 807.17 829.11 注意：现钞买入价要低于现汇买入价， 现钞卖出价一般等于现汇卖出价。 汇卖价 829.11 827.87 汇买价 826.63 钞买价 807.17 中间价 1% - 5% 书面形式书面形式 不同标价法下买价和卖价的位置 n直接标价法下： 上海：100美元 = 833.25元 837.60元 买入价 卖出价（） 银行买入美元价 银行卖出美元价 银行卖出人民价 银行买入人民价 -￥ 833.25 +100 -100 +￥ 837.60 差额收益：￥ 4.35 注注: :一般不加说明所报价都是现汇价一般不加说明所报价都是现汇价 n间接标价法下： 纽约:100美元 = 833.25元 837.60元 卖出价 买入价 （￥） 银行卖出人民币价 银行买入人民币 价 银行买入美元价 银行卖出美元价 - ￥ 833.25 + 100 - 100 + ￥ 837.60 注意：任何情况下，一个汇率中的前后两 个数字必按前小后大排列。 银行收益 ￥ 4.35 n直接标价法下，较低的价格为外汇买入价 ，较高的价格为卖出价。 上海： 100美元 = 833.25元 837.60元 买入价 卖出价（） n间接标价法下，情况相反，较低的价格为 外汇卖出价，较高的价格为买入价。 纽约: 100美元 = 833.25元 837.60元 卖出价 买入价（￥ ） 注意:一般而言,银行报出买价、卖价都是针对银行和外汇而言的 。 n美元标价法与非美元标价法： （银行买入基准货币价） 例如：上海外汇交易所 USD 1= CHF 1.6880 1.6895 银行买入美元,卖出瑞郎价 银行卖出美元,买入瑞郎价 客户卖出美元,买入瑞郎价 客户买入美元,卖出瑞郎价 例如：1= $ 1.56801.5685 ? 注：美元标价法与直接标价法，间接标价法有交叉。 非美元标价法与直接标价法，间接标价法也有交叉。 国际金融市场汇率 标价方法和银行同 业报价的国际惯例 如何区分买入价和卖出价？ n例如，某日巴黎外汇市场和伦敦外汇市 场的报价如下： 巴黎 USD1=SGD 5.7505 5.7615 伦敦 GBP1=USD 1.8870 1.8890 注意： n从银行还是客户的角度？ n哪种货币？ 买卖价在实际业务中的运用 例： 国内某一客户要付100美元给国外，假 设银行牌价为 USD 100 = CNY 826.80 830.20 国内银行国外银行 国内客户 要向国外客户 支付100美元 美 元 100的汇款通知书， 委托国外行付款 用830.20 人民币向 银行买入 100美元对 外支付 付 款 国外客户 n2005年3月2日，一家美国公司要在英国投资 ，需要购入500万英镑，当日市场报价即期英 镑对美元为:GBP1=USD 1.83111.8343 n该美国公司最终支付917.15万美元完成交易。 n 在如上外汇买卖中，银行买入英镑价 1.8311，银行卖出价1.8343，这家美国公司 以917.15购买了500万英镑，即用1.8343美 元购买1英镑，这实际就是客户购买英镑 的价格。 n模拟银行与客户，银行与银行之间的报价 与交易 n1. 企业客户去中国银行问价：美元对人 民币的价格是多少？ 购买10万美元，卖10万美元 思考：客户用什么价格购买或者出售他手中 的外汇？ 汇率的标价方法和报价方式总结 n无论采用什么标价方法，报价方进行双向报价时 ，前面较小数字是买入基准货币价格，后面较大 数字是卖出基准货币价格。 n各种标价法下双向报价方式含义一致性总结： 类类型标标价方法 基准货币货币双向报报价方式 前面较较小数字/后面较较大数字 同业银业银 行国 际惯际惯 例 单单位美元 美元买买入美元/卖卖出美元 站在报报价方 立场场都统统 一为为： 买买入基准/卖卖 出基准货货 币币价格 单单位镑镑英镑镑等买买入英镑镑/卖卖出英 镑镑 各地外 汇汇市 场场 直接标标价 外币币买买入外币币/卖卖出外 币币 间间接标标价 本币币买买入本币币/卖卖出本 币币 （二）基本汇率与套算汇率 1、基本汇率（Basic Rates）： 是本国货币与国际上某一关键货币 的汇率。 2、套算汇率（Cross Rates），又称 为交叉汇率。 Based on the key currency and calculate other rates. It is a triangle relationship. Cross rates nConsider USD / AUD = 0.52 GBP / AUD = 0.37 nthese together imply a rate between USD and GBP which is the cross rate: GBP / USD = GBP / AUD USD / AUD 有两种含义： （1）各国在制定出基本汇率后，再参考主要 外汇市场行情，推算出的本国货币与非关键 货币之间的汇率。 例如：我国某日制定的人民币与美元的基本汇 率是： USD1= CNY 8.2270 而当时伦敦外汇市场英镑对美元汇率为： GBP1=USD 1.7816 套算出人民币与英镑间的汇率：套算出人民币与英镑间的汇率： GBP1=CNY GBP1=CNY（1.78168.22701.78168.2270） =CNY 14.6572=CNY 14.6572 （2）由于西方外汇银行报价时采用美元标价 法，为了换算出各种货币间的汇率，必须 通过各种货币对美元的汇率进行套算。 例如：香港某外汇银行的外汇买卖报价是 ： USD1=CAD 1.7720 USD1=CHF 1.5182 据此可以套算出加拿大和瑞士法郎之 间的汇率： CAD1=CHFCAD1=CHF（1.5182/1.77201.5182/1.7720 ） =CHF 0.8568 =CHF 0.8568 n买入卖出价的套算 例1：某日某一外汇交易所内对外报价如下 USD CHF = 1.5715 - 1.5725 GBP USD = 1.4600 - 1.4610 求： GBP CHF ？ USD CHF GBP USD GBP CHF = 1.57151.4600 - 1.57251.4610 2.2944 2.2974 英镑买入价 英镑卖出价 注意：公共货币的位置不同时，竖号左右两边的 数字同边相乘。 例2：纽约市场行情如下 USD CHF = 1.5715 - 1.5725 USD CAD = 0.6845 - 0.6849 某人持有1万加元，欲兑换瑞郎，问汇率 多少？可兑换多少？ USD CHF 1.5715 1.5725 CAD CHF = = - USD CAD 0.6849 0.6845 = 2.2944 - 2.2974 注意：公共货币的位置相同时，竖号左右两边 的数字分母交叉相除。 USD CHF = 1.5715 - 1.5725 USD CAD = 0.6845 - 0.6849 求： CAD CHF ？ 解释： 1.5715 1.5725 买入USD卖出CHF 卖出USD买入CHF 0.6845 - 0.6849 买入USD 卖出CAD 卖出USD买入CAD 求：CAD CHF ？ ？ 买入CAD卖出CHF 卖出CAD买入CHF -自学 （三）电汇、信汇和票汇汇率 1、Telegraphic Transfer Rate，T/T Rate ，是以电讯方式买卖外汇时所使用的汇 率。 2、Mail Transfer Rate，M/T Rate，是以 信函方式买卖外汇时所使用的汇率。 3、Draft Rate，是以各种票据方式买卖买卖 外 汇时汇时 所使用的汇汇率。 按银行汇按银行汇 兑方式分兑方式分 思考思考: : 电汇汇率与信汇汇率和票汇汇率相比电汇汇率与信汇汇率和票汇汇率相比, ,哪哪 个高哪个低个高哪个低? ? 如：毕业生银行工作（外甥）如：毕业生银行工作（外甥） 1. Telegraphic Transfer Rate 常用；又称基础汇率；贵。 2. Mail Transfer Rate；港澳用 3. Draft Rate /Sight Bill；(1)即期外 汇汇票；(2)长期汇票汇率。便宜。 根据银行占用客户资金长短来定价格。 比较 n阅读资料：汇款国外渠道比长短 n阅读材料的思考题可以作为新闻播报的主题 泰国机场，街头尤其是观光区，到处都可以找到换 汇的地方： 这是在曼谷 Suvarnabhumi Airport 看到的 TMB 银行 汇率告示牌 （四）即期汇率和远期汇率 nDeliver：指买卖双方履行交易契约，进行 钱货两清的授受行为。 n交割日期(Value date)不同，则买卖价格也 不同。 Spot Rate，也称现汇汇率。交易双方达成 外汇买卖协议后，在两个工作日内办理交 割的汇率。 2. Forward Rate，也称期汇汇率。交易双 方达成外汇买卖协议后，约定在未来某一 时间进行实际交割所使用的汇率。 Contract date Value date Value date 2个营业日 即 期 远 期 XX 天 一般而言，期汇的买卖差价要大于现汇的买卖差价 注：通常在报纸，电视上看到的注：通常在报纸，电视上看到的“ “今天美元兑人今天美元兑人 民币的汇率是民币的汇率是7.87.8”,”,”人民币升值了人民币升值了” ”等，不加特等，不加特 殊说明都是指即期汇率殊说明都是指即期汇率. . DOLLAR SPOT FORWARD AGAINST THE DOLLAR JAN 25, 2005CLOSING MID-SPOT BID/OFFER SPREAD ONE MONTH RATE THREE MONTH RATE ONE YEAR RATE Europe Russia (Rouble) Switzerland Euro America Canada (c$) USA ($) Pacific/middle East/africa Australia(A$) Hong kong(HK$) 28.063 7 1.195 4 1.295 6 1.239 4 - 1.307 9 7.799 4 597-677 951-958 955-958 392-397 075-082 990-998 28.073 7 1.193 5 1.296 1 1.239 5 - 7.786 5 28.128 7 1.189 7 1.297 4 1.239 1 - 7.763 7 28.613 7 1.168 6 1.307 6 1.233 7 - 7.671 9 伦敦金融时报公布2005年1月25日外汇市场汇率 (五) 名义汇率、实际汇率与有效汇率 按衡量货币价值划分，分为名义汇率 、实际汇率与有效汇率 (1)名义汇率 (Nominal Exchange Rates, NER):是指官方公布的汇率, 是外 汇交易中使用的现实汇率。 (2)实际汇率（Real Exchange Rates, RER) Nominal variables, such as an exchange rate, do not consider changes in prices over time. Real variables, on the other hand, include price changes. A real exchange rate, therefore, accounts for relative price changes. Real Exchange Rates: Real Exchange Rates: Measuring Relative Purchasing PowerMeasuring Relative Purchasing Power nA nominal exchange rate indicates the purchasing power of one nations currency over the currency of another nation. nReal exchange rates indicate the purchasing power of a nations residents for foreign goods and services relative to their purchasing power for domestic goods and services. nA real exchange rate is an index. Hence, we compare its value for one period against its value in another period. 实际汇率 (RER)= 名义汇率 - 通货膨胀率 实际汇率反映了以同种货币表示的两国商品的相 对价格水平，从而反映了本国商品的国际竞争力。 Real Exchange Rates An Example nIn 1996 the spot rate between the dollar and the pound was 0.6536. (/$) nIn 2000 the rate was 0.6873. nHence, the pound depreciated relative to the dollar by 5.16 percent (0.6873-0.6536)/0.6536*100. nBased on this alone, the purchasing power of US residents for British goods and services (relative to US goods and services) rose by 5.16 percent. Example: Continued nSuppose in 1996 the British CPI was 156.4 and the US CPI was 154.7. In 2000, the CPIs were 170.5 and 172.7 respectively. nBased on this, British prices rose 9.0 percent while US prices rose 11.6 percent, a 2.6 difference. nSince the prices of British goods and services rose slower than the prices of US goods and services, there was an increase in purchasing power of British goods and services relative to the purchasing power of US goods and services. Combining the Two Effects nA real exchange rate combines these two effects - the gain in purchasing power of US residents due to the nominal depreciation of the pound and the gain in relative purchasing power due to British prices rising at a slower rate than US prices. nTo construct a real exchange rate, the spot rate, as it is quoted here, is multiplied by the ratio of the US CPI to the UK CPI. (/$) x (US CPI/UK CPI) Combining the Two Effects n1996 Real Rate = 0.6536 x (154.7/156.4) = 0.6465. n2000 Real Rate = 0.6873 x (172.7/170.5) = 0.6962. nThe real depreciation of the pound was 7.69 percent. Conclusion nThe nominal exchange rate change resulted in a 5.2 percent gain in the purchasing power of UK goods and services for US residents. nThe difference in price changes resulted in a 2.6 percent gain in purchasing power of UK goods and services relative to US goods and services for US residents. nNote how the 5.2 percent decline was augmented by the 2.6 gain, resulting in an overall 7.7 percent gain in purchasing power. nThe changes in nominal exchange rates cause changes in the real exchange rates, affecting the international competitive positions of countries. The real exchange rate is denoted by q, which is expressed by the equation indicated. nFirst note that if PPP holds, the real exchange rate will be unity, that is q = 1. When PPP is violated, however, the real exchange rate will deviate from unity. Suppose, for example, the annual inflation rate is 5 percent in the United States and 3.5 percent in the U.K., and the dollar depreciated against the pound by 4.5 percent. Then the real exchange rate is 0.97. 实际汇率与名义汇率的关系（阅读）实际汇率与名义汇率的关系（阅读） n In the above example, the dollar depreciated by more than is warranted by PPP, strengthening the competitiveness of U.S. industries in the world market. If the dollar depreciates by less than the inflation rate differential, the real exchange rate will be greater than unity, weakening the competitiveness of U.S. industries. n To summarize, nq = 1: Competitiveness of the domestic country unaltered. nq 1: Competitiveness of the domestic country deteriorates. n The real effective exchange rate rises if domestic inflation exceeds inflation abroad and the nominal exchange rate fails to depreciate to compensate for the higher domestic inflation rate. n Thus, if the real effective exchange rate rises (falls), the domestic countrys competitiveness declines (improves). 不知道人民币实际升值多少 n2006-09-16 来源：财经时报 n9月15日，中央五部委宣布出口退税率的调整通 知，总体看降多升少，而这意味着人民币的实际 汇率再次升值。升了多少？不知道。原因是，官 方没有向外界公布调整后的“出口退税平均税率” 。 n在亚洲金融危机后，中国为坚持人民币不贬值， 而大幅上调了出口退税率，目的是为出口企业减 轻压力；3年前，中国下调了出口退税率，当时 也是为了缓和人民币升值的压力。即平均出口退 税率从15.11%下降到12.11%。因此， 2003年人们可以清晰地做出判断，因出口退税 税率的下调，人民币实际升值了3%。 n(3)有效汇率（Effective Exchange rate, EER）：A measure of the general value of a currency. nOn any given day, a currency may appreciate in value relative to some currencies while depreciating in value against others. nAn effective exchange rate is a measure of the weighted-average value of a currency relative to a select group of currencies. nThus, it is a guide to the general value of the currency. Weighted Average Value nTo construct an EER, we must first pick a set of currencies we are most interested in. nNext, we must assign relative weights. In the following example, we weight the currency according to the countrys importance as a trading partner. Weights nSuppose that of all the trade of the US with Canada, Mexico, and the UK, Canada accounts for 50 percent, Mexico for 30 percent, and the UK for 20 percent. nThese constitute our weights (0.50, 0.30, and 0.20). nNow consider the following exchange rate data. Exchange Rate Data Calculating the EER nThe EER is calculating by summing the weighted values of the current period rate relative to the base year rate. nThe weighted-average value is calculated as: (weight i)(current exchange value i)/(base exchange value i) where i represents each individual country included in the weighted average. Calculating the EER nCommonly this sum is multiplied by 100 to express the EER on a 100 basis. nHence, an EER is an index. nAs we shall see next, the base-year value of the index is 100. nThe index, therefore, is useful is showing changes in the weighted average value from one period to another. Example nLet last year be the base year. nThe effective exchange rate last year was: (1.52/1.52)*0.50 + (10.19/10.19)*0.30 + (0.61/.61)*0.20*100 = 100. nAs with any index measure, the base year value is 100. Example nTodays value of the EER is: (1.44/1.52)*0.50 + (9.56/10.19)*0.30 + (0.62/0.61)*0.20 n= (0.958) or 95.8% nThe dollar, therefore, has experienced a 4.2 percent depreciation in weighted value. Effective Exchange Measures nThere are a number of effective exchange measures available in the popular press. Some common measures are: nBank of England Index: The Economist. nJ.P. Morgan: The Wall Street Journal and the Financial Times. (六) 名义与实际有效汇率 n名义有效汇率Nominal Effective Exchange Rates: 其货币与所有贸易伙伴国 货币双边名义汇率的加权. n实际有效汇率Real Effective Exchange Rates: nominal effective exchange rates corrected by relative price levels. nNote: by construction, a rising real effective exchange rate index usually means real appreciation. n实际有效汇率不仅考虑了所有双边名义汇率的 相对变动情况，而且还剔除了通货膨胀对货币 本身价值变动