北大金融学课件(英文版)第3章(4课时).ppt

1、CHAPTER3,THEFOREIGNEXCHANGEMARKET,3-2,ForeignExchange,Foreignexchangeistheactoftradingdifferentnationsmoneys.DemanddepositsinbanksPapermoneysCoinsForeignexchangerateisthepriceofonenationsmoneyintermsofanothernationsmoney.,3-3,ForeignExchangeMarket,Theforeignexchangemarketisthemarketinwhichnationalmo

2、neysaretradedforothernationalmoneys.24-hourmarket/geographicdispersionEnormoustradingvolumes($1.2trilliononForexvs.$42billiononNYStockMarketperday,2001)MosttradinginvolvesU.S.dollarsRetailvs.Interbankpartofthemarket,3-4,24-HourMarket,Sidney7:00-12:00Tokyo8:00-14:00HongKong/Singapore9:00-16:00Frankfu

3、rtSummer14:00-23:00Winter15:00-0:00LondonSummer15:00-23:30Winter16:00-0:30NewYorkSummer20:30-3:00Winter21:30-4:00WestCoastSummer21:30-4:00Winter22:30-5:00,InBeijingTime,thefollowingmarketsaremostactiveinFXtrading,3-5,MarketSize,MainFXmarketaveragedailyturnover,1988-2007,inbillionsofUSD,Source:Bankfo

4、rInternationalSettlements(December2007),3-6,Mosttradedcurrencies,Source:BankforInternationalSettlements,2007,3-7,Top10currencytraders,Source:EuromoneyFXsurveyFXPoll2008.TheEuromoneyFXsurveyisthelargestglobalpollofforeignexchangeserviceproviders.,3-8,LevelsofAccess,Stockmarketvs.Forexmarket:Nocentral

5、exchangeorclearinghouse:OTCmarketForexmarketisdividedintolevelsofaccess.Retailpartsvs.InterbankpartsTradingvolumeDifferenceinspreads:differencebetweenbidandaskprice,EUR/USD：0.7070/0.7073forinterbankmarket0.7000/0.7100forbanknotesortravelerschecks,3-9,RetailMarkets,Britishfirm,U.S.producer,Ajetplane,

6、BankinLondon,Askitsbanktoconvertpoundsintodollars,BankinNewYork,InstructtotakedollarsfromitsdemanddepositaccountandpaytotheU.S.producer,Transferdollarstoitsaccount,3-10,Inter-bankMarket,SupposethatbankinLondonmaybeunwillingtocontinueholdingthepoundsThetop-tierinter-bankmarketaccountsformorethan50%of

7、alltransactions.Participantsininter-bankmarket:commercialbanksandinvestmentbanksActiveparticipantsinretailpartofthemarket:smallerinvestmentbanks,multi-nationalcorporations,hedgefunds,pensionfunds,insurancecompanies,mutualfunds,otherinstitutionalinvestors,3-11,ExchangeRates,Anexchangerateisthepriceof

8、onecurrencyintermsofanothercurrency.TwocurrenciesinvolvedTimingofdelivery1.Spot2.Forward(Anotherrateisthefuturespotrate.),3-12,ExchangeRates,AsaU.S.dollarpriceoftheothercurrency.$1.7621/$0.1462/rmbAsthepriceoftheU.S.dollarinunitsoftheothercurrency.0.5675/$rmb6.8406/$Thereciprocalsofeachother.,3-13,D

9、irectvs.IndirectQuotation,DirectQuotation:Ratesquotedintermsofavariablenumberofhomecurrencyperfixedforeigncurrencyunit.rmb6.8406/$ViceVersa$0.1462/rmb,3-14,SpotExchangeRate,Source:BankofChina,ThepriceoftheothercurrencyinunitsofRMB,3-15,SpotExchangeRate,Source:BankofChina,3-16,CrossRatesinSpotMarket,

10、Source:,3-17,TheNewYorkforeignexchangesellingratesbelowapplytotradingamongbanksinamountsof$1millionandmore,asquotedat4p.m.EasterntimebyDowJonesandothersources.Retailtransactionsprovidefewerunitsofforeigncurrencyperdollar.ForLateNewYorkTradingFriday,October9,2009,KeyCurrencyCrossRates,Source:WallStre

11、etJournal,3-18,ForeignExchangeTrading,SWIFT:linked8,332financialinstitutionsin208countries,asofDecember2007CHIPS:hasaround46members,asattheendof2006,3-19,WhatmakestheERriseorfall?,Allthetransactionscreatesupplyanddemandforforeigncurrencies,whichdeterminetheexchangerate,withincertainforeignexchangesy

12、stem.,3-20,Demand&Supply,Importsofgoodsandservicesandcapitaloutflows(aswellasincomepaymentstoforeigners)createademandforforeigncurrency.Exportsofgoodsandservicesandcapitalinflows(aswellasincomereceivedfromforeignsources)createasupplyofforeigncurrency.,3-21,DemandandSupplyCurves,3-22,WhyDoesDemandCur

13、veSlopeDownward?,Whenthepounddeclinesfrom$1.98to$1.6,theAmericanswillfindmoreuseofit.,50,$1.98/50=$99$1.60/50=$80,MadeinBritain,3-23,WhyDoesSupplyCurveSlopeUpward?,Whenthepounddeclinesfrom$1.98to$1.6,theBritishwillbereluctanttobuyAmericangoods.,$99,$99$1.98/=50$99$1.60/=61.87,MadeinU.S.A,3-24,WhyDoe

14、sDemandCurveShift？,Thefollowingwilldriveittotheright:IncreaseindemandforU.K.products.(causedbyforcesotherthanchangesintheexchangerate)AriseinU.S.residentswillingnesstoinvestinpound-denominatedfinancialassets,3-25,WhyDoesSupplyCurveShift？,Thefollowingwilldriveittotheright:IncreaseinU.K.residentsdeman

15、dforU.S.products(causedbyforcesotherthanchangesintheexchangerate).AriseinU.K.residentswillingnesstoinvestinU.S.dollar-denominatedfinancialassets.,3-26,FloatingExchangeRates,ThesimplestsystemTheformationofexchangeratesismarket-driven,purelybytheinteractionofprivatedemandandsupplyforthatcurrency.Noint

16、erventionbygovernmentorcurrencyauthority.,3-27,Figure3.2,3-28,Figure3.3,Consider:Ademand-sideforceotherthanchangesinexchangeratesdrivesthedemandcurveupwards.,3-29,FixedExchangeRates,Heavyinterventionbygovernmentorcurrencyauthority.Afixedexchangerateismaintainedevenifthisratethegovernmentchoosesdiffe

17、rsfromthecurrentequilibriumrate.,3-30,Figure3.2A,Inthiscase,Britishofficialsareforcedtointerveneinthemarket,buying50bnPoundtofillthegapAB.,2.00,2.02,Parvalue,3-31,Figure3.2B,Now,Swissgovernmentmustsell100bnSFrtodefendthefixedexchangerateof0.505.,3-32,ChangesinExchangeRates,Appreciationvs.depreciatio

18、nunderfloatingexchangerateregimeRevaluationvs.devaluationunderfixedexchangerateregime.,Case2InApril21,2008,Rmb/Dollar=7.00InApril22,2008,Rmb/Dollar=6.89,Case1In1994,Rmb/Dollar=5.70wentto:Rmb/Dollar=8.30,3-33,Canthesehappen?,$1.7/inNewYorkwhile$1.6/inLondon$1.7/,SFr3/Pound&$0.50/SFrexistatapointintim

19、e?,3-34,Arbitrageinthespotmarket,Arbitrageisaprocessofbuyingandsellingtomakea(nearly)risklesspureprofit,whichensurestheratesindifferentlocationsessentiallythesame.,3-35,ArbitrageintheSpotMarket,CitibankHSBCBidPriceforHK$0.1288$0.1298AskPriceforHK$0.1293$0.1303,IfyouhaveHKD10,000inhandandwouldexchangethemforUSD,