外汇交易市场

Chapter11TheforeignexchangemarketandexchangeratesKeytermsForeignexchangemarket外汇交易市场Foreignexchangerisk外汇交易风险Euro欧元Hedging套期保值Speculation投机Exchangerate汇率Depreciation贬值Appreciation升值Stabilizingspeculation稳定性投机Destabilizingspeculation不稳定投机Crossexchangerates交叉汇率KeytermsEffectiveexchangerates有效汇率Arbitrage套利Spotrate即期汇率Forwardrate远期汇率Forwarddiscount远期贴水Forwardpremium远期升水Foreignexchangefutures外汇期货Foreignexchangeoption外汇期权Uncoveredinterestarbitrageparity无抛补的利率套利Coveredinterestarbitrage抛补的套利交易Offshoredeposits离岸存款11.1IntroductionDefinitionoftheForeignexchangemarkets:The“place”whereindividuals,firms,andbanksbuyandsellforeigncurrenciesorforeignexchange.Thesedifferentmonetarycentersareconnectedelectronicallyandareinconstantcontactwithoneanother,thusformingasingleinternationalforeignexchangemarket./fred2/categories/15

(2007年12月10日美元汇率）11.2Functionsoftheexchangeratemarkets1.TheprincipalfunctionTransferoffundsorpurchasingpowerfromonenationandcurrencytoanother.ThisisusuallyaccomplishedbyanelectronictransferandincreasinglythroughtheInternet(facilitate).2.Asecondfunctionofforeignexchangemarketsisthecreditfunction.

Creditisusu.neededwhengoodsareintransitandalsotoallowthebuyers’timetoresellthegoodsandmakethepayment.Ingeneral,exportersallow90daysfortheimporterstopay.Continued:

11.2Functionsoftheexchangeratemarkets3.Anotherfunctionofforeignexchangemarketsistoprovidethefacilitiesforhedgingandspeculation(discussedinsection11.9).Today,about90percentofforeignexchangetradingreflectspurelyfinancialtransactionsandonly10percenttradefinancing.Continued:

11.2Functionsoftheexchangeratemarkets1.Exchangerate:Thedomesticcurrencypriceoftheforeigncurrency.Theexchangeratebetweenthedollarandtheeuro(R)isequaltothenumberofdollarsneededtopurchaseoneeuro.Thatis,R=$/€,ifR=$/€=1,thismeansthatonedollarisrequiredtopurchaseoneeuro.11.3EquilibriumexchangerateContinued:11.3Equilibriumexchangerate50100150200250300350·······0.501.001.502.00R=$/€Million€/day2.ThedeterminationoftheequilibriumrateD€S€ABHE’FGC3.Depreciationreferstoanincreaseinthedomesticpriceoftheforeigncurrency.IftheU.S.demandcurveforeurosshiftedup(e.g.,asaresultofincreasedU.S.tastesforEMUgoods)andintersectedtheU.S.supplycurveforeurosatpointG(seeFigure11.1),theequilibriumexchangeratewouldbeR=1.50,andtheequilibriumquantityofeuroswouldbe€300millionperday.Thedollaristhensaidtohavedepreciatedsinceitnowrequires$1.50(insteadoftheprevious$1)topurchaseoneeuro.Continued:11.3Equilibriumexchangerate4.Appreciation

referstoadeclineinthedomesticpriceoftheforeigncurrency.ConsiderthecaseofdownwardshiftoftheU.S.demandcurveforeuros(D€).iftheU.S.demandcurveforeurosshifteddownsoastointersecttheU.S.supplycurveforeurosatpointH(seeFigure11.1),theequilibriumexchangeratewouldfalltoR=0.5andthedollarissaidtohaveappreciated(becausefewerdollarsarenowrequiredtopurchaseoneeuro).Continued:11.3EquilibriumexchangerateSofarwehavedealtwithonlytwocurrenciesforsimplicity,inrealitytherearenumerousexchangerate,onebetweenanypairofcurrencies.Thus,besidestheexchangeratebetweentheU.S.dollarandtheeuro,thereisexchangeratebetweentheU.S.dollarandBritishpound(£),betweentheSwissfrancandtheMexicanpeso,andlikeexchangerates.11.4Crossexchangerates,effectiveexchangerates,andarbitrage1.Crossexchangerate—TheexchangeratebetweencurrencyAandcurrencyB,giventheexchangerateofcurrencyAandcurrencyBwithrespecttocurrencyC.Forexample,iftheexchangerate(R)were2betweentheU.S.dollarandtheBritishpoundand1.25betweenthedollarandtheeuro,thentheexchangeratebetweenthepoundandtheeurowouldbe1.60(i.e.,ittakes€1.6topurchase1€).Specifically,R=€/£=$valueof£/$valueof€=2/1.25=1.60Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage2.Effectiveexchangerate—Aweightedaverageoftheexchangeratesbetweenthedomesticcurrencyandthenation’smostimportanttradepartners,withweightsgivenbytherelativeimportanceofthenation’stradewitheachofthesetradepartners.CaseStudy11-4givestheeffectiveexchangerateoftheU.S.dollarfrom1972to2003.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage3.Arbitrage—Thepurchaseofacurrencyinthemonetarycenterwhereitischeaperforimmediateresaleinthemonetarycenterwhereitismoreexpensiveinordertomakeaprofit.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageThisreferstothepurchaseofacurrencyinthemonetarycenterwhereitischeaper,forimmediateresaleinthemonetarycenterwhereitismoreexpensive,inordertomakeaprofit:Forexample,ifthedollarpriceoftheeurowas$0.99inNewYorkand$1.01inFrankfurt,anarbitrageur(usuallyaforeignexchangedealerofacommercialbank)wouldpurchaseeurosat$0.99inNewYorkandimmediatelyreselltheminFrankfurtfor$1.01,thusrealizingaprofitof$0.02pereuro.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageWhiletheprofitpereurotransferredseemssmall,on€1milliontheprofitwouldbe$20,000foronlyafewminutes’work.Fromthisprofitmustbedeductedthecostoftheelectronictransferandtheothercostsassociatedwitharbitrage.Sincethesecostsareverysmall,wewillignorethemhere.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageAsarbitragetakesplace,theexchangeratebetweenthetwocurrenciestendstobeequalizedinthetwomonetarycenters.Continuingourexample,

weseethatarbitrageincreasesthedemandforeurosinNewYork,therebyexertinganupwardpressureonthedollarpriceofeurosmNewYorkAtthesametimethesaleofeurosinFrankfurtincreasesthesupplyofeurosthere,thusexertingadownwardpressureonthedollarpriceofeurosinFrankfurt.ThiscontinuesuntilthedollarpriceoftheeuroquicklybecomesequalinNewYorkandFrankfurt(sayat$1=€1),thuseliminatingtheprofitabilityoffurtherarbitrage.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage·WecanexaminetherelationshipbetweentheexchangerateandthenationbalanceofpaymentswithFigure11.3,whichisidenticaltoFigure11.1,exceptfortheadditionofthenewdemandcurveforeuroslabeledD’€.11.5Theexchangeratesandthebalanceofpayment50100150200250300350·······0.501.001.502.00R=$/€Million€/dayD€S€EE’WC···D’€ZThemostcommontypeofforeignexchangetransactioninvolvesthepaymentandreceiptoftheforeignexchangewithintwobusinessdaysafterthedaythetransactionisagreedupon.1.Spotrate—theexchangerateinforeignexchangetransactionsthatcallsforthepaymentandreceiptoftheforeignexchangewithintwobusinessdaysfromthedatewhenthetransactionisagreedupon.Thetwo-dayperiodgivesadequatetimeforthepartiestosendinstructionstodebitandcredittheappropriatebankaccountsathomeandabroad.Thistypeoftransactioniscalledaspottransaction.11.6Spotandforwardexchangerates

2.Forwardrate—theexchangerateinforeignexchangetransactionsinvolvingdeliveryoftheforeignexchangeone,three,orsixmonthsafterthecontractisagreedupon.Aforwardtransactioninvolvesanagreementtodaytobuyorsellaspecifiedamountofaforeigncurrencyataspecifiedfuturedateatarateagreedupontoday.Continued:11.6SpotandforwardexchangeratesThespecifiedfuturedateareusuallyfartherawaythantwodays—30days(1month),90days(3months),180days(6months),orevenseveralyears,with3monthsthemostcommon.Atanypointintime,theforwardratecanbeequalto,above,orbelowthecorrespondingspotrate.(Anexampleatpage292,thirdparagraph)Continued:11.6Spotandforwardexchangerates3.Forwarddiscount—the

percentageperyearbywhichtheforwardrateontheforeigncurrencyisbelowitsspotrate.4.Forwardpremium—thepercentageperyearbywhichtheforwardrateontheforeigncurrencyisaboveitsspotrate.Forexample,ifthespotrateis$1=€1andthethree-monthforwardrateis$0.99=€1,wesaythattheeuroisatathree-monthforwarddiscountof1centor1percent(4percentperyear)withrespecttothedollar.Ontheotherhand,ifthespotrateisstill$1=€1,butthethree-monthforwardrateisinstead$1.01=€1,theeuroissaidtobeataforwardpremiumof1centor1percentforthreemonths,orpremiumperyear.Continued:11.6SpotandforwardexchangeratesForwarddiscounts(FD)orpremiums(FP)areusuallyexpressedaspercentagesperyearfromthecorrespondingspotrateandcanbecalculatedformallywiththefollowingformula:Continued:11.6SpotandforwardexchangerateswhereFRistheforwardrateandSRisthespotrate(whatwesimplycalledRintheprevioussection).Themultiplicationby4istoexpresstheFD(-)orFP(+)onayearlybasis,andthemultiplicationby100istoexpressthePDorPPinpercentages.1.Aforeignexchangefutures

isaforwardcontractforstandardizedcurrencyamountsandselectedcalendardatestradedonanorganizedmarket.Whenyoubuyafuturecontract,youbuyapromisethataspecifiedamountofforeigncurrencywillbedeliveredonaspecifieddateinthefuture.Tradinginforeignexchangefutureswasinitiatedin1972bytheInternationalMonetaryMarket(IMM)oftheChicagoMercantileexchange(CME)ThecurrenciestradedontheIMMaretheJapaneseyen,theCanadiandollar,theBritishpound,theSwissfranc,theAustraliandollar,theMexicanpesoandeuro.11.7ForeignexchangefuturesandoptionsContinued:

11.7Foreignexchangefuturesandoptions2.Aforeignexchangeoptionisacontractgivingthepurchasertheright,butnottheobligation,tobuy(acalloption)orsell(aputoption)astandardamountofatradedcurrencyonastateddateoratanytimebeforeastateddate(theAmericanoption)andataastatedprice(thestrikeorexerciseprice).Thebuyeroftheoptionhasthechoicetopurchaseorforgothepurchaseifitturnsouttobeunprofitable―thatis,heisundernoobligationtoexercisehisright.Theselleroftheoption,however,mustfulfillthecontractifthebuyersodesires.Continued:

11.7ForeignexchangefuturesandoptionsThebuyerpaysapremiumrangingfrom1to5percentofthecontract'svalueforthisprivilegewhenheorsheentersthecontract.Forexample,anAmericanfirmmakingabidtotakeoveraEuropeanfirmmayberequiredtopromisepayaspecifiedamountineuros.SincetheAmericanfirmdoesnotknowifitsbidwillbesuccessful,itwillpurchaseanoptiontobuytheeurosthatitwouldneedandwillexercisetheoptiononlyifthebidissuccessful.Continued:

11.7Foreignexchangefuturesandoptions外汇期权有买方期权（CallOption）和卖方期权（PutOption）两种方式。买方期权也称看涨期权，它的持有者得到一种权利，可以在合约期满日或之前按约定的汇率买进一定数量的外汇。例如，按约定的1美元兑112日元的汇率买进美元卖出日元，称为USDCall，JPYPutOption。这种期权有利与否是从持有者角度来考虑的。如果在合约期满日或之前，美元币值上涨到1美元兑113日元，期权持有者就执行期权，因为按合约买进美元比在即期市场买进美元要便宜。如果美元币值下跌，他就不执行权利，付出的只是保险费。Continued:

11.7Foreignexchangefuturesandoptions卖方期权也称看跌期权，它的持有者在合约期满日或之前按约定的汇率出售一定的外汇。例如，按约定的1美元兑114日元的汇率卖出美元买进日元，称为USDPut，JPYCallOption。如果在期满日或之前美元下跌到1美元兑112日元，他就执行期权，因为按合约期卖出美元更加合算。否则他就放弃执行合约的权力，损失的也只是保险费。Continued:

11.7ForeignexchangefuturesandoptionsThroughtime,anation'sdemandandsupplycurvesforforeignexchangeshift,causingthespot(andtheforward)ratevaryfrequently.

Theforeignexchangerisk:theriskresultingfromchangesinexchangeratesovertimeandfacedbyanyonewhoexpectstomakeortoreceiveapaymentinaforeigncurrencyatafuturedate;alsocalledanopenposition.11.8ForeignexchangerisksAnation'sdemandandsupplycurvesforforeignexchangeshiftovertimeasaresultof

①changesintastesfordomesticandforeignproductsinthenationandabroad,②differentgrowthandinflationratesindifferentnations,③changesinrelativeratesinterest,④changingexpectations,andsoon.Continued:11.8ForeignexchangerisksContinued:11.8Foreignexchangerisks1.Contractedfutureforeigncurrencypaymentsmaybecomemoreexpensiveifthedomesticcurrencyfalls(depreciate)invalue.

Example1:AnU.S.importer

Acontractrequiresa€100,000paymentinthreemonthstime.

Iftheexchangerateiscurrently$1/€1,theexpecteddollarcostis$100,000;

Iftheexchangeratechangesto$1.10/€1intheinterveningmonths,thedollarcostrisesto$110,000;

IfthespotrateisSR=$0.9/€1,thecostwillbe90,000,$10,000lessthananticipated.2.Contractedfutureforeigncurrencyreceiptsmayfallinvalueifthedomesticcurrencyincreases(appreciate)invalue.

Example2:AnU.S.exporter

Aproducerexpectstoreceiveapaymentof€100,000inthreemonthstime.

Iftheexchangerateiscurrently$1/€1,theexpecteddollarreceiptis$100,000;

Iftheexchangeratechangesto$0.90/€1intheinterveningmonths,thedollarreceiptfallsto$90,000;

Ifthespotrateishigherinthreemonththanitistoday,i.e.,SR=$1.1/€1,thedollarreceiptariseto110,000.Continued:11.8Foreignexchangerisks

Summery:Theseexampleshowthatwheneverafuturepaymentmustbemadeorreceivedinaforeigncurrency,aforeignexchangerisk,orso-calledopenposition,isinvolvedbecausespotexchangeratesvaryovertime.Ingeneral,businesspeopleareriskaverseandwillwanttoavoidorinsurethemselvesagainsttheirforeignexchangerisk.

Then,howcanbusinesspeopledotoavoidrisk?Continued:11.8ForeignexchangerisksHedgingreferstotheavoidanceofaforeignexchangerisk,orthecoveringofanopenposition.11.9Hedging1.Speculationistheoppositeofhedging.Whereasahedgerseekstocoveraforeignexchangerisk,aspeculatoracceptsandevenseeksoutaforeignexchangerisk,oranopenposition,inthehopeofmakingaprofit.Ifthespeculatorcorrectlyanticipatesfuturechangesinspotrates,heorshemakesaprofit;otherwise,heorsheincursaloss.

Speculationcantakeplaceinthespot,forward,futures,oroptionsmarkets—usuallyintheforwardmarket.Webeginbyexaminingspeculationinthespotmarket.11.10Speculation(1)Rise:Ifaspeculatorbelievesthatthespotrateofaparticularforeigncurrencywillrise,hecanpurchasethecurrencynowandholditondepositinabankforresalelater.Ifthespeculatoriscorrectandthespotratedoesindeedrise,heearnsaprofitoneachunitoftheforeigncurrencyequaltothespreadbetweenthepreviouslowerspotrateatwhichhepurchasedtheforeigncurrencyandthehighersubsequentspotrateatwhichheresellsit.Ifthespeculatoriswrongandthespotratefalls,heincursalossbecausetheforeigncurrencymustberesoldatapricelowerthanthepurchaseprice.Continued:11.10Speculation(2)Fall:If,ontheotherhand,thespeculatorbelievesthatthespotratewillfall,heborrowstheforeigncurrencyforthreemonths,immediatelyexchangesitforthedomesticcurrencyattheprevailingspotrate,anddepositsthedomesticcurrencyinabanktoearninterest.Afterthreemonths,ifthespotrateontheforeigncurrencyislower,asanticipated,thespeculatorearnsaprofitbypurchasingthecurrency(torepaytheforeignexchangeloan)atthelowerspotrate.Continued:11.10SpeculationOfcourse,forthespeculatortoearnaprofit,thenewspotratemustbesufficientlylowerthanthepreviousspotratetoalsoovercomethepossiblyhigherinterestratepaidonaforeigncurrencydepositoverthedomesticcurrencydeposit.Continued:11.10Speculation2.InforwardmarketInbothoftheprecedingexamples,thespeculatoroperatedinthespotmarketandeitherhadtotieuphisownfundsorhadtoborrowtospeculate.Itistoavoidthis,thatspeculation,likehedging,usuallytakesplaceintheforwardmarket.Forexample,ifthespeculatorbelievesthatthespotrateofacertainforeigncurrencywillbehigherinthreemonthsthanitspresentthree-monthforwardrate,thespeculatorpurchasesaspecifiedamountoftheforeigncurrencyforwardfordelivery(andpayment)inthreemonths.Continued:11.10SpeculationAfterthreemonths,ifthespeculatoriscorrect,hereceivesdeliveryoftheforeigncurrencyattheloweragreedforwardrateandimmediatelyresellsitatthehigherspotrate,thusrealizingaprofit.Ofcourse,ifthespeculatoriswrongandthespotrateinthreemonthsislowerthantheagreedforwardrate,heincursaloss.

Inanyevent,nocurrencychangeshandsuntilthethreemonthsareover(exceptforthenormal10percentsecuritymarginthatthespeculatorisrequiredtopayatthetimehesignstheforwardcontract.Continued:11.10Speculation

Example:supposethatthethree-monthforwardrateontheeuroisFR=$1.01/€1andthespeculatorbelievesthatthespotrateoftheeurointhreemonthswillbeSR=$0.99/€1.ThespeculatorthensellseurosforwardattheFR=$1.01/€1fordeliveryinthreemonths.Afterthreemonths,ifthespeculatoriscorrect,hepurchaseseurosinthespotmarketatSR=$0.99/€1andimmediatelysellsthemtofulfilltheforwardcontractattheagreedforwardrateof$1.01/€1,therebyearningaprofitof2￠pereuro.Continued:11.10SpeculationIfthespotrateinthreemonthsisinsteadSR=$1.00/€1,thespeculatorearnsonly1￠pereuro.Ifthespotrateinthreemonthsis=$1.01/€1,thespeculatorearnsnothing.Finally,ifthespotrateinthreemonthsishigherthantheforwardrateatwhichthespeculatorsoldtheforwardeuros,thespeculatorincursalossoneacheuroequaltothedifferencebetweenthetworates.Continued:11.10Speculation

3.Stabilizingspeculation

Itreferstothepurchaseofaforeigncurrencywhenthedomesticpriceoftheforeigncurrency(i.e.,theexchangerate)fallsorislow,intheexpectationthatitwillsoonrisethusleadingtoaprofit.Oritreferstothesaleoftheforeigncurrencywhentheexchangeraterisesorishigh,intheexpectationthatitwillsoonfall.Stabilizingspeculationmoderatesfluctuationsinexchangeratesovertimeandperformsausefuleconomicfunction.Continued:11.10Speculation4.Destabilizingspeculation

Itreferstothesaleofaforeigncurrencywhentheexchangeratefallsorislow,intheexpectationthatitwillfallevenlowerinthefuture,orthepurchaseofaforeigncurrencywhentheexchangerateisrisingorishigh,intheexpectationthatitwillriseevenhigherinthefuture.Destabilizingspeculationthusmagnifiesexchangeratefluctuationsovertimeandcanproveverydisruptivetotheinternationalflowoftradeandinvestments.Continued:11.10Speculation1.Definitionoftheinterestarbitrage

Thetransferofshort-termliquidcapital(suchasthepurchaseofforeigntreasurybills)toearnahigherreturnsabroad.

(短期流动资本在国际间流动，以便在国外获得较高的报偿）11.11InterestarbitrageSincethetransferoffundsabroadtotakeadvantageofhigherinterestratesabroadinvolvestheconversionofthedomestictotheforeigncurrencytomaketheinvestment,andthesubsequentreconversionofthefunds(plustheinterestearned)fromtheforeigncurrencytothedomesticcurrencyatthetimeofmaturity,aforeignexchangeriskisinvolved.Continued:11.11Interestarbitrage2.Uncoveredinterestarbitrage—thetransferofshort-termliquidfundstotheinternationalmonetarycenterwithhigherinterestrateswithoutcoveringtheforeignexchangerisk(短期流动资本流向利润更高的国际货币中心，但又没有覆盖外汇风险).

Thepreviouse