国际财务管理之外汇市场

1、The Market for Foreign ExchangeChapter Four 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。Chapter Outline Function and Structure of the FX Market 外汇市场的功能与结构 FX Market Participants 外汇市场参与者 Correspondent Banking Relationships 代理银行关系 The Spot Market 即期市场 Spot Rate Quotations 即期市场报价 The Bid-Ask Spread 买卖差价 Spot

2、FX Trading 外汇即期市场交易 Cross Exchange Rate Quotations 交叉汇率报价 Triangular Arbitrage 三角套利 Spot Foreign Exchange Market Microstructure 即期外汇市场的微观结构4-3Chapter Outline Continued The Forward Market 远期市场 Forward Rate Quotations 远期利率报价 Long and Short Forward Positions 多头与空头 Forward Cross-Exchange Rates 三角远期汇率 Sw

3、ap Transactions 掉期交易 Forward Premium 远期溢价 Exchange-Traded Currency Funds外汇交易货币基金4-4FX Market Participants远期市场参与者 The FX market is a two-tiered market: 远期市场是双重市场 Interbank market (wholesale) 银行同业市场（批发）About 100-200 banks worldwide stand ready to make a market in foreign exchange. 造市商有100-200家Nonbank

4、dealers account for about 40% of the market. 非银行交易商占市场的40%There are FX brokers who match buy and sell orders but do not carry inventory and FX specialists. 经纪商只匹配交易，无有存货与专业人员。 Client market (retail) 客户端市场（零售） Market participants include international banks, their customers, nonbank dealers, FX broke

5、rs, and central banks. 4-5Circadian Rhythms of the FX Market外汇市场的交易节奏4-6Source: Sam Y. Cross, All About the Foreign Exchange Market in the United States, Federal Reserve Bank of New York, .Correspondent Banking Relationships银行同业关系 Large commercial banks maintain demand deposit acco

6、unts with one another, which facilitates the efficient functioning of the FX market. 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。4-7Correspondent Banking Relationships Bank A is in London. Bank B is in New York. The current exchange rate is 1.00 = $2.00. A currency trader employed at Bank A buys 100m from a cur

7、rency trader at Bank B for $200m settled using its correspondent relationship.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。 Bank ALondonBank BNYC$2001004-8一个美国人在London 一个英国人在NYC$600m400m$1200m100m100m$1,200m400m$600mYou can check your work: make sure that 1,300m = $1,200 x(1/$2) +100 + 600$

8、200100Bank A buys 100m from Bank B for $200mCorrespondent Banking RelationshipsAssetsLiabilities deposit at B 300mOther Assets600mBs Deposit$1,000mOther L&E600mTotal Assets 1,300mTotal L&E 1,300mAssetsLiabilities$ deposit at A$1000mOther Assets$800mAs Deposit 300mOther L&E $800mTotal Ass

9、ets $2,200mTotal L&E$2,200mBs Deposit200m deposit at A 200mAs Deposit $800mBank ALondonBank BNYC$ deposit at B $800m4-9Practice Problem实际问题 Bank X is in Milan米兰. Bank Y is in London伦敦. The current exchange rate is 1.10 = 1.00. Show the correct balances in each account if a currency trader employ

10、ed at Bank X buys 100,000,000 from a currency trader at Bank Y for 110,000,000. (The balance sheets are shown on the next slide.) 4-10Check: 1,700m = 1,320m x +100 + 4001.001.10 770m400m100m1,320m100m1,320m770m400mBank X buys 100m from Y for 110mAssetsLiabilities deposit at Y 300mOther Assets600mYs

11、deposit 1,210mOther L&E400mTotal Assets 1,700mTotal L&E 1,700mAssetsLiabilities deposit at X1,210mOther Assets590mXs deposit 300mOther L&E 810mTotal Assets 2,020mTotal L&E2,020mYs deposit200m deposit at X 200mXs deposit 880mBank XMilanoBank YLondon deposit at Y 880mBank XBank Y1.10 =

12、 1.00AssetsLiabilities deposit at Y 300mOther Assets600mYs depositOther L&E400mTotal Assets 1,700mTotal L&E 1,700mAssetsLiabilities deposit at X1,210mOther Assets590mXs depositOther L&E 810mTotal Assets 2,020mTotal L&E2,020mYs deposit200m deposit at X 200mXs depositBank XMilanoBank Y

13、London deposit at Y 880mBank XBank Y1,210m300m880mPractice Problem4-11Correspondent Banking Relationships International commercial banks communicate with one another using:国际商业银行的联系 SWIFT: The Society for Worldwide Interbank Financial Telecommunications.环球银行金融电信协会 CHIPS: Clearing House Interbank Pay

14、ments System. 银行间支付结算系统 ECHO: Exchange Clearing House Limited, the first global clearinghouse for settling interbank FX transactions. 外汇结算所，首个全球外汇交易结算所4-12Spot Rate Quotations即期汇率报价 A direct quotation is: 直接法 The U.S. dollar equivalent. 本位币为计价货币（即：单位外币的本币价值） E.g., “a Japanese Yen is worth about a pe

15、nny.” An indirect quotation is: 间接法 The price of a U.S. dollar in the foreign currency. 外币为计价货币（即：单位本币的外币价值） E.g., “you get 100 yen to the dollar.” （100元日元折合1美元） See Exhibit 4.4 in the textbook.4-13中国银行是如何外币报价的？.507219717. 1=Spot Rate QuotationsCurrenciesU.S.-dollar foreign-exchange rates in late Ne

16、w York trading.-Friday-Country/currencyin US$ per US$Euro area euro1.4744 .67831-mos forward1.4747.67813-most forward1.4744.67826-mos forward1.4726.6791British pound1.9717.50721-mos forward1.9700.50763-most forward1.9663.50866-mos forward1.9593.5104The direct quote for the pound is: 1 = $1.9717The i

17、ndirect quote for the pound is: .5072 = $1Note that the direct quote is the reciprocal of the indirect quote:5072.19717. 1=CurrenciesU.S.-dollar foreign-exchange rates in late New York trading.-Friday-Friday-Country/currencyin US$ per US$Country/currencyin US$ per US$Canadian dollar.99841.0016Euro a

18、rea euro1.4744 .67831-mos forward.99861.00141-mos forward1.4747.67813-most forward.99881.00123-most forward1.4744.67826-mos forward.99791.00216-mos forward1.4726.6791Japanese yen.009220108.46British pound1.9717.50721-mos forward.009250108.111-mos forward1.9700.50763-most forward.009306107.463-most f

19、orward1.9663.50866-mos forward.009378106.636-mos forward1.9593.51044-14中国银行的外汇报价货币名称货币名称 现汇买入价现汇买入价 现钞买入价现钞买入价 现汇卖出价现汇卖出价 现钞卖出价现钞卖出价 中行折算价中行折算价 报价时间报价时间 英镑 9.6264 9.3292 9.7037 9.7037 9.7455 2013-09-12 15:59:18港币 0.7875 0.7812 0.7905 0.7905 0.7941 2013-09-12 15:59:18美元 6.1063 6.0573 6.1307 6.1307 6.

20、1575 2013-09-12 15:59:18瑞士法郎 6.5481 6.346 6.6007 6.6007 6.576 2013-09-12 15:59:18新加坡元 4.8043 4.656 4.8429 4.8429 4.8336 2013-09-12 15:59:18瑞典克朗 0.9342 0.9054 0.9417 0.9417 0.9385 2013-09-12 15:59:18丹麦克朗 1.0873 1.0537 1.096 1.096 1.0921 2013-09-12 15:59:18挪威克朗 1.033 1.0011 1.0413 1.0413 1.0341 2013-0

21、9-12 15:59:18日元 0.0612 0.0594 0.0617 0.0617 0.0616 2013-09-12 15:59:18加拿大元 5.9056 5.7233 5.9531 5.9531 5.9744 2013-09-12 15:59:18澳大利亚元5.6401 5.4661 5.6797 5.6797 5.7446 2013-09-12 15:59:18欧元 8.1093 7.859 8.1745 8.1745 8.2009 2013-09-12 15:59:18澳门元 0.7652 0.7395 0.7681 0.7927 0.7662 2013-09-12 15:59:

22、18菲律宾比索0.1389 0.1346 0.14 0.1443 0.14 2013-09-12 15:59:18泰国铢 0.1922 0.1863 0.1938 0.1997 0.192 2013-09-12 15:59:18新西兰元 4.9611 4.808 5.001 5.0309 4.9807 2013-09-12 15:59:18韩元 0.0059 0.0054 0.0059 0.0059 0.0057 2013-09-12 15:59:18卢布 0.1866 0.1813 0.1881 0.1943 0.187 2013-09-12 15:59:18林吉特 1.8558 1.868

23、8 1.8688 1.8558 1.8842 2013-09-12 15:59:18台币 0.2133 0.1989 0.2133 0.2133 0.2062 2013-09-12 15:59:18The Bid-Ask Spread 买卖差价 The bid price is the price a dealer is willing to pay you for something. 交易商支付给客户的价格。（银行买入） The ask price is the amount a dealer wants you to pay for something. 交易商要客户支付的价格。（银行卖

24、出） It doesnt matter if were talking used cars or used currencies: the bid-ask spread is the difference between the bid and ask prices. 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The Bid-Ask Spread买卖差价 A dealer could offer: 交易商提供的价格 A bid price of $1.4739 per . （银行）买价 An ask price of $1.4744 per . （银

25、行）卖价 While there are a variety of ways to quote the above, the bid-ask spread represents the dealers expected profit. 买卖差价是交易商的期望利润率。Percent Spread = 100Ask Price Bid Price Ask Price 4-170.0339% = x 100$1.4744 $1.4739$1.4744 The Bid-Ask SpreadA dealer pricing pounds in terms of dollars（以本币标值） would

26、likely quote these prices as 1217.Anyone trading $10m knows the “big figure.” “1000万美元”是一个大数字。USD Bank QuotationsAmerican Terms（本币标价）（本币标价）European Terms（外币标价）（外币标价）BidAskBidAskPounds1.97121.9717.5072.50734-18The Bid-Ask SpreadUSD Bank QuotationsAmerican Terms 本币标值本币标值European Terms 外币标值外币标值BidAskBi

27、dAskPounds1.97121.9717.5072.5073Notice that the reciprocal of the S($/) bid is the S(/$) ask. = 1.00 $1.9712.5073 $1.004-19$10,000 1$1.9720= 5,071Dealer will pay $1.9715 for 1 GBP; he is asking $1.9720.He will pay .5071 for $1 and will charge .5072 for $1Currency Conversion with Bid-Ask Spreads 不同货币

28、差价转化 A speculator in New York wants to take a $10,000 position in the pound. 一个纽约的投机者想用美元买英镑 After his trade, what will be his position?交易完成后他的头寸是多少？1.9715 20.5071 72S($/)S(/$)Bid Ask4-20He sells 250,000 at the dealers bid price:250,000 x$1.47391.00=$368,475He sells 500,000 at the dealers ask price:

29、500,000 x$1.00.5076=$985,027.58$1,353,502.58Sample Problem A businessman has just completed transactions in Italy and England. He is now holding 250,000 and 500,000 and wants to convert to U.S. dollars. 一个商人在意大利和英国做完了生意。 His currency dealer provides this quotation:GBP/USD 0.5025 76USD/EUR 1.4739 44W

30、hat are his proceeds from conversion? 他换回多少美元？($985,027.58 + $100,000) x1.00$1.4744= 735,911.27500,000 x$1.00.5076$985,027.58 = Another Sample Problem An Italian has just completed transactions in America and England. He is now holding $100,000 and 500,000, and wants to convert both amounts to the e

31、uro. 一个意大利人在美国和英国完成了交易。 His currency dealer provides this quotation:GBP/USD 0.5025 76USD/EUR 1.4739 44What are his proceeds from conversion? 他换回多少欧元？4-22Spot FX Trading即期市场 In the interbank market, the standard size trade is about U.S. $10 million. 在同业市场，一个交易标准单位是1000万美元。 A bank trading room is a no

32、isy, active place. 银行的交易厅是一个吵杂而活跃的地方 The stakes are high. 赌注很高。 The “long term” is about 10 minutes. 在这里， “长期”指10分钟。4-230.751.00=$1.501.001.00 $2.001.00 = 0.75Pay attention to your “currency algebra”!货币代数货币代数Cross Rates 交叉（三角）汇率 Suppose that S($/) = 1.50 (i.e., $1.50 = 1.00) and that S($/) = 2.00 (i

33、.e., 1.00 = $2.00). What must the / cross rate be?4-2410,000 sell at bid $19,712buy at ask 13,371Cross Rates with Bid-Ask Spreads交叉汇率下的买卖差价To find the / cross bid rate, consider a retail customer who: 为了知道/ 的交叉汇率，假设有一个零售客户：USD Bank QuotationsAmerican TermsEuropean TermsBidAskBidAskPounds1.97121.9717

34、.5072.5073Euros1.47381.4742.6783.678510,000 $1.97121.00.6783$1.00= 13,370.65Starts with 10,000, sells for $, and buys :He has effectively sold at a / bid price of 1.3371/. 他以1.3371/的买价，卖掉了英镑，买入欧元。4-257,475$14,738 buy at asksell at bid10,000Cross Rates with Bid-Ask SpreadsTo find the / cross ask rate

35、, consider a retail customer who starts with 10,000, sells for $, and buys :10,000 $1.00.67851.00$1.9717= 7,474.97He has effectively bought at a / ask price of 1.3378/. 他以1.3371/的卖价，买入了英镑。USD Bank QuotationsAmerican TermsEuropean TermsBidAskBidAskPounds1.97121.9717.5072.5073Euros1.47381.4742.6783.67

36、854-26Cross Rates with Bid-Ask SpreadsBank QuotationsAmerican TermsEuropean TermsBidAskBidAsk:$1.9712$1.9717.5072.5073:$1.4738$1.4742.6783.6785:1.33711.33780.74750.7479directindirectRecall that the reciprocal of the S(/) bid is the S(/) ask. 回忆下，直接和间接标价法的买价与卖家互为倒数。=.74791.001.33711.004-27思考：如果第三方的报价

37、如此，有无套利机会？Triangular Arbitrage 三角套利Bank QuotationsBidAskDeutsche Bank :$1.9712$1.9717Credit Lyonnais :$1.4738$1.4742Credit Agricole :1.33101.3317“No Arbitrage” :1.33711.3378Suppose we observe these banks posting these exchange rates. As we have calculated the “no arbitrage” / cross bid and ask rates

38、, we can see that there is an arbitrage opportunity: 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：1 $1.97121.001.00$1.4742= 1.33714-28法国里昂信贷银行法国农业信贷银行德意志银行Triangular ArbitrageBank QuotationsBidAskDeutsche Bank :$1.9712$1.9717Credit Lyonnais :$1.4738$1.4742Credit Agricole :1.33101.3317“No Arbit

39、rage” :1.33711.3378By going through Deutsche Bank and Credit Lyonnais, we can sell pounds for 1.3371. The arbitrage is to buy the pounds from Credit Agricole for 1.3317. 1 $1.97121.001.00$1.4742= 1.33714-29Triangular ArbitrageBank QuotationsBidAskDeutsche Bank :$1.9712$1.9717Credit Lyonnais :$1.4738

40、$1.4742Credit Agricole :1.33101.3317Start with 1m. Sell to Deutsche Bank for $1,971,200:Buy from Credit Lyonnais, receive 1,337,132:$1,971,200 1.00$1.4742= 1,337,132.Buy from Credit Agricole, receive 1,004,078.89.10,000,000 $1.97121.00= $1,971,200.4-30Spot Foreign Exchange Microstructure即期外汇市场结构 Mar

41、ket microstructure refers to the mechanics of how a marketplace operates. 是指市场运作的机制。 The bid-ask spreads in the spot FX market: 即期市场的买卖差价 Increase with FX exchange rate volatility. 随着汇率波动而增加。 Decrease with dealer competition. 随着交易商竞争而减小。 Private information is an important determinant of spot exchan

42、ge rates. 非公众信息是即期汇率的重要决定因素。4-31The Forward Market 远期市场 Forward Rate Quotations 远期汇率报价 Long and Short Forward Positions 远期多头与空头 Forward Cross Exchange Rates 远期交叉汇率 Forward Premium 远期溢价 Swap Transactions 掉期交易4-32Forward Rate Quotations The forward market for FX involves agreements to buy and sell for

43、eign currencies in the future at prices agreed upon today. 今天签订的未来交易价格。 Bank quotes for 1, 3, 6, 9, and 12 month maturities are readily available for forward contracts. 远期合约的到期日为 Longer-term swaps are available. 可以签订长期掉期协议。4-33Forward Rate QuotationsConsider the exchange rates shown to the right. Fo

44、r British pounds, the spot exchange rate is $1.9717 = 1.00 while the 180-day forward rate is $1.9593 = 1.00Whats up with that? 右图所示，即期汇率是180天后的汇率是那么，这是怎么回事？Country/currencyin US$ per US$UK pound1.9717.50721-mos forward1.9700.50763-most forward1.9663.50866-mos forward1.9593.5104Clearly market partici

45、pants expect that the pound will be worth less in dollars in six months.4-34Forward Rate Quotations Consider the (dollar) holding period return of a dollar-based investor who buys 1 million at the spot exchange rate and sells them forward: 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 =gainpain$1,959,

46、300 $1,971,700$1,971,700= $12,400$1,971,700= $HPR = 0.00629Annualized dollar HPR = 1.26% = 0.629% 24-35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。Holding Period Return，HPR Forward Premium The interest rate differential implied by forward premium or discount. 利率意味着远期溢价或折价 For example, suppose the i

47、s appreciating from S($/) = 1.55 to F180($/) = 1.60. 欧元涨价了 The 180-day forward premium is given by: 溢价是：= 0.0645, or 6.45%1.60 1.551.55 2=f180,v$F180($/) S($/) S($/)=3601804-36Long and Short Forward Positions If you have agreed to sell anything (spot or forward), you are “short.” 卖-空头 If you have ag

48、reed to buy anything (forward or spot), you are “long.”买-多头 Sp, if you have agreed to sell an FX forward, you are short, and if you have agreed to buy an FX forward, you are long.4-37Payoff Profiles 损益图profitlossSpot exchange in 6 months $/Payoff from long position in 10,000Country/currencyin US$ pe

49、r US$UK pound1.9717.50721-mos forward1.9700.50763-most forward1.9663.50866-mos forward1.9593.5104$1.9593/$2.10/$1,407$1.90/$593Consider the payoffs at maturity to a long position in a six month forward contract on 10,000. 买入6个月的英镑远期合约的损益状况4-38Forward Cross RatesCurrenciesU.S.-dollar foreign-exchange rates in late New York trading.-Friday-Country/currencyin US$ per US$Euro area euro1.4744 .67831-mos forward1.4747.67813-mos forward1.4744.67826-mos forward1.4726.6791UK pound1.9717.50721-mos forward1.9700.50763-mos forw