国际财务管理之外汇市场

TheMarketforForeignExchange ChapterFour 现在 你觉得有没有进行交叉汇率套利的机会 描述一下你的结论是如何形成的 ChapterOutline FunctionandStructureoftheFXMarket外汇市场的功能与结构FXMarketParticipants外汇市场参与者CorrespondentBankingRelationships代理银行关系TheSpotMarket即期市场SpotRateQuotations即期市场报价TheBid AskSpread买卖差价SpotFXTrading外汇即期市场交易CrossExchangeRateQuotations交叉汇率报价TriangularArbitrage三角套利SpotForeignExchangeMarketMicrostructure即期外汇市场的微观结构 4 3 ChapterOutlineContinued TheForwardMarket远期市场ForwardRateQuotations远期利率报价LongandShortForwardPositions多头与空头ForwardCross ExchangeRates三角远期汇率SwapTransactions掉期交易ForwardPremium远期溢价Exchange TradedCurrencyFunds外汇交易货币基金 4 4 FXMarketParticipants远期市场参与者 TheFXmarketisatwo tieredmarket 远期市场是双重市场Interbankmarket wholesale 银行同业市场 批发 About100 200banksworldwidestandreadytomakeamarketinforeignexchange 造市商有100 200家Nonbankdealersaccountforabout40 ofthemarket 非银行交易商占市场的40 ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventoryandFXspecialists 经纪商只匹配交易 无有存货与专业人员 Clientmarket retail 客户端市场 零售 Marketparticipantsincludeinternationalbanks theircustomers nonbankdealers FXbrokers andcentralbanks 4 5 CircadianRhythmsoftheFXMarket外汇市场的交易节奏 4 6 Source SamY Cross AllAbouttheForeignExchangeMarketintheUnitedStates FederalReserveBankofNewYork www newyorkfed org CorrespondentBankingRelationships银行同业关系 Largecommercialbanksmaintaindemanddepositaccountswithoneanother whichfacilitatestheefficientfunctioningoftheFXmarket 大型商业银行之间要求对方保持存款账户 有利于外汇市场的有效运行 4 7 CorrespondentBankingRelationships BankAisinLondon BankBisinNewYork Thecurrentexchangerateis 1 00 2 00 AcurrencytraderemployedatBankAbuys 100mfromacurrencytraderatBankBfor 200msettledusingitscorrespondentrelationship 利用两个银行之间的同业关系 A银行的一个货币交易者 从B银行的货币交易者 购买 100m 交予对方 200m BankALondon BankBNYC 4 8 一个美国人在London 一个英国人在NYC Youcancheckyourwork makesurethat 1 300m 1 200 x 1 2 100 600 BankAbuys 100mfromBankBfor 200m CorrespondentBankingRelationships AssetsLiabilities depositatB 300m OtherAssets 600m B sDeposit 1 000m OtherL E 600m TotalAssets 1 300m TotalL E 1 300m AssetsLiabilities depositatA 1000m OtherAssets 800m A sDeposit 300m OtherL E 800m TotalAssets 2 200m TotalL E 2 200m B sDeposit 200m depositatA 200m A sDeposit 800m BankALondon BankBNYC depositatB 800m 4 9 PracticeProblem实际问题 BankXisinMilan米兰 BankYisinLondon伦敦 Thecurrentexchangerateis 1 10 1 00 ShowthecorrectbalancesineachaccountifacurrencytraderemployedatBankXbuys 100 000 000fromacurrencytraderatBankYfor 110 000 000 Thebalancesheetsareshownonthenextslide 4 10 BankXbuys 100mfromYfor 110m AssetsLiabilities depositatY 300m OtherAssets 600m Y sdeposit 1 210m OtherL E 400m TotalAssets 1 700m TotalL E 1 700m AssetsLiabilities depositatX 1 210m OtherAssets 590m X sdeposit 300m OtherL E 810m TotalAssets 2 020m TotalL E 2 020m Y sdeposit 200m depositatX 200m X sdeposit 880m BankXMilano BankYLondon depositatY 880m BankX BankY 1 10 1 00 PracticeProblem 4 11 CorrespondentBankingRelationships Internationalcommercialbankscommunicatewithoneanotherusing 国际商业银行的联系SWIFT TheSocietyforWorldwideInterbankFinancialTelecommunications 环球银行金融电信协会CHIPS ClearingHouseInterbankPaymentsSystem 银行间支付结算系统ECHO ExchangeClearingHouseLimited thefirstglobalclearinghouseforsettlinginterbankFXtransactions 外汇结算所 首个全球外汇交易结算所 4 12 SpotRateQuotations即期汇率报价 Adirectquotationis 直接法TheU S dollarequivalent 本位币为计价货币 即 单位外币的本币价值 E g aJapaneseYenisworthaboutapenny Anindirectquotationis 间接法ThepriceofaU S dollarintheforeigncurrency 外币为计价货币 即 单位本币的外币价值 E g youget100yentothedollar 100元日元折合1美元 SeeExhibit4 4inthetextbook 4 13 中国银行是如何外币报价的 SpotRateQuotations Thedirectquoteforthepoundis 1 1 9717Theindirectquoteforthepoundis 5072 1 Notethatthedirectquoteisthereciprocaloftheindirectquote 4 14 中国银行的外汇报价 货币名称现汇买入价现钞买入价现汇卖出价现钞卖出价中行折算价报价时间英镑9 62649 32929 70379 70379 74552013 09 1215 59 18港币0 78750 78120 79050 79050 79412013 09 1215 59 18美元6 10636 05736 13076 13076 15752013 09 1215 59 18瑞士法郎6 54816 3466 60076 60076 5762013 09 1215 59 18新加坡元4 80434 6564 84294 84294 83362013 09 1215 59 18瑞典克朗0 93420 90540 94170 94170 93852013 09 1215 59 18丹麦克朗1 08731 05371 0961 0961 09212013 09 1215 59 18挪威克朗1 0331 00111 04131 04131 03412013 09 1215 59 18日元0 06120 05940 06170 06170 06162013 09 1215 59 18加拿大元5 90565 72335 95315 95315 97442013 09 1215 59 18澳大利亚元5 64015 46615 67975 67975 74462013 09 1215 59 18欧元8 10937 8598 17458 17458 20092013 09 1215 59 18澳门元0 76520 73950 76810 79270 76622013 09 1215 59 18菲律宾比索0 13890 13460 140 14430 142013 09 1215 59 18泰国铢0 19220 18630 19380 19970 1922013 09 1215 59 18新西兰元4 96114 8085 0015 03094 98072013 09 1215 59 18韩元0 00590 00540 00590 00590 00572013 09 1215 59 18卢布0 18660 18130 18810 19430 1872013 09 1215 59 18林吉特1 85581 86881 86881 85581 88422013 09 1215 59 18台币0 21330 19890 21330 21330 20622013 09 1215 59 18 TheBid AskSpread买卖差价 Thebidpriceisthepriceadealeriswillingtopayyouforsomething 交易商支付给客户的价格 银行买入 Theaskpriceistheamountadealerwantsyoutopayforsomething 交易商要客户支付的价格 银行卖出 Itdoesn tmatterifwe retalkingusedcarsorusedcurrencies thebid askspreadisthedifferencebetweenthebidandaskprices 无论用汽车买 还是用货币买 都没有关系 关键是买卖差价是多少 4 16 以银行方定义价格 TheBid AskSpread买卖差价 Adealercouldoffer 交易商提供的价格Abidpriceof 1 4739per 银行 买价Anaskpriceof 1 4744per 银行 卖价Whilethereareavarietyofwaystoquotetheabove thebid askspreadrepresentsthedealer sexpectedprofit 买卖差价是交易商的期望利润率 4 17 TheBid AskSpread Adealerpricingpoundsintermsofdollars 以本币标值 wouldlikelyquotethesepricesas12 17 Anyonetrading 10mknowsthe bigfigure 1000万美元 是一个大数字 4 18 TheBid AskSpread 4 19 Dealerwillpay 1 9715for1GBP heisasking 1 9720 Hewillpay 5071for 1andwillcharge 5072for 1 CurrencyConversionwithBid AskSpreads不同货币差价转化 AspeculatorinNewYorkwantstotakea 10 000positioninthepound 一个纽约的投机者想用美元买英镑 Afterhistrade whatwillbehisposition 交易完成后他的头寸是多少 4 20 Hesells 250 000atthedealer sbidprice Hesells 500 000atthedealer saskprice SampleProblem AbusinessmanhasjustcompletedtransactionsinItalyandEngland Heisnowholding 250 000and 500 000andwantstoconverttoU S dollars 一个商人在意大利和英国做完了生意 Hiscurrencydealerprovidesthisquotation GBP USD0 5025 76USD EUR1 4739 44 Whatarehisproceedsfromconversion 他换回多少美元 AnotherSampleProblem AnItalianhasjustcompletedtransactionsinAmericaandEngland Heisnowholding 100 000and 500 000 andwantstoconvertbothamountstotheeuro 一个意大利人在美国和英国完成了交易 Hiscurrencydealerprovidesthisquotation GBP USD0 5025 76USD EUR1 4739 44 Whatarehisproceedsfromconversion 他换回多少欧元 4 22 SpotFXTrading即期市场 Intheinterbankmarket thestandardsizetradeisaboutU S 10million 在同业市场 一个交易标准单位是1000万美元 Abanktradingroomisanoisy activeplace 银行的交易厅是一个吵杂而活跃的地方Thestakesarehigh 赌注很高 The longterm isabout10minutes 在这里 长期 指10分钟 4 23 1 00 0 75 Payattentiontoyour currencyalgebra 货币代数 CrossRates交叉 三角 汇率 SupposethatS 1 50 i e 1 50 1 00 andthatS 2 00 i e 1 00 2 00 Whatmustthe crossratebe 4 24 10 000 19 712 13 371 CrossRateswithBid AskSpreads交叉汇率下的买卖差价 Tofindthe crossbidrate consideraretailcustomerwho 为了知道 的交叉汇率 假设有一个零售客户 10 000 13 370 65 Startswith 10 000 sells for andbuys Hehaseffectivelysold ata bidpriceof 1 3371 他以 1 3371 的买价 卖掉了英镑 买入欧元 4 25 7 475 14 738 10 000 CrossRateswithBid AskSpreads Tofindthe crossaskrate consideraretailcustomerwhostartswith 10 000 sells for andbuys 10 000 7 474 97 Hehaseffectivelybought ata askpriceof 1 3378 他以 1 3371 的卖价 买入了英镑 4 26 CrossRateswithBid AskSpreads direct indirect RecallthatthereciprocaloftheS bidistheS ask 回忆下 直接和间接标价法的买价与卖家互为倒数 4 27 思考 如果第三方的报价如此 有无套利机会 TriangularArbitrage三角套利 Supposeweobservethesebankspostingtheseexchangerates Aswehavecalculatedthe noarbitrage crossbidandaskrates wecanseethatthereisanarbitrageopportunity 假设这些银行各自的交易价格如上 无套利 交叉汇率的买卖已经算好了 可以发现 如此报价存在着套利机会 4 28 法国里昂信贷银行 法国农业信贷银行 德意志银行 TriangularArbitrage BygoingthroughDeutscheBankandCreditLyonnais wecansellpoundsfor 1 3371 ThearbitrageistobuythepoundsfromCreditAgricolefor 1 3317 4 29 TriangularArbitrage Startwith 1m Sell toDeutscheBankfor 1 971 200 Buy fromCreditLyonnais receive 1 337 132 Buy fromCreditAgricole receive 1 004 078 89 4 30 SpotForeignExchangeMicrostructure即期外汇市场结构 Marketmicrostructurereferstothemechanicsofhowamarketplaceoperates 是指市场运作的机制 Thebid askspreadsinthespotFXmarket 即期市场的买卖差价IncreasewithFXexchangeratevolatility 随着汇率波动而增加 Decreasewithdealercompetition 随着交易商竞争而减小 Privateinformationisanimportantdeterminantofspotexchangerates 非公众信息是即期汇率的重要决定因素 4 31 TheForwardMarket远期市场 ForwardRateQuotations远期汇率报价LongandShortForwardPositions远期多头与空头ForwardCrossExchangeRates远期交叉汇率ForwardPremium远期溢价SwapTransactions掉期交易 4 32 ForwardRateQuotations TheforwardmarketforFXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday 今天签订的未来交易价格 Bankquotesfor1 3 6 9 and12monthmaturitiesarereadilyavailableforforwardcontracts 远期合约的到期日为 Longer termswapsareavailable 可以签订长期掉期协议 4 33 ForwardRateQuotations Considertheexchangeratesshowntotheright ForBritishpounds thespotexchangerateis 1 9717 1 00whilethe180 dayforwardrateis 1 9593 1 00What supwiththat 右图所示 即期汇率是 180天后的汇率是 那么 这是怎么回事 Clearlymarketparticipantsexpectthatthepoundwillbeworthlessindollarsinsixmonths 4 34 ForwardRateQuotations Considerthe dollar holdingperiodreturnofadollar basedinvestorwhobuys 1millionatthespotexchangerateandsellsthemforward 一个美元持有者 将美元在即期市场购入100万英镑 同时把此英镑在远期市场出售 HPR 0 00629 AnnualizeddollarHPR 1 26 0 629 2 4 35 市场可以存在于异地 比如 八里桥市场和家乐福超市 也可以存在异时 比如外汇市场或证券市场 HoldingPeriodReturn HPR ForwardPremium Theinterestratedifferentialimpliedbyforwardpremiumordiscount 利率意味着远期溢价或折价Forexample supposethe isappreciatingfromS 1 55toF180 1 60 欧元涨价了The180 dayforwardpremiumisgivenby 溢价是 0 0645 or6 45 4 36 LongandShortForwardPositions Ifyouhaveagreedtosellanything spotorforward youare short 卖 空头Ifyouhaveagreedtobuyanything forwardorspot youare long 买 多头Sp ifyouhaveagreedtosellanFXforward youareshort andifyouhaveagreedtobuyanFXforward youarelong 4 37 PayoffProfiles损益图 profit loss Spotexchangein6months Payofffromlongpositionin 10 000 1 9593 2 10 1 407 1 90 593 Considerthepayoffsatmaturitytoalongpositioninasixmonthforwardcontracton 10 000 买入6个月的英镑远期合约的损益状况 4 38 ForwardCrossRates The3 monthforward crossrateis 4 39 CurrencySymbols Inadditiontothefamiliarcurrencysymbols therearethree lettercodesforallcurrencies Itisalonglist butselectedcodesinclude CHFSwissfrancsGBPBritishpoundZARSouthAfricanrandCADCanadiandollarJPYJapanesey