(简体)Market(外汇市场).ppt

1、股票配资软件外汇喊单网，职业操盘手带你赚钱！,International Economics,Li Yumei Economics trades occur in standardized contracts only, fore a few specific delivery dates, and are subject to daily limits on exchange rate fluctuations; trading only takes place only in a few geographical locations ( London, Chica

2、go, New York, Frankfurt, Singapore) in the futures market. Futures contracts are usually smaller amounts than forward contracts, more useful to small firms than to large firms but more expensive. Futures contracts can be sold at any time until maturity on an organized futures market. Although the tw

3、o markets are different, they are also connected by arbitrage when prices differ.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Foreign Exchange Futures and Options,Foreign Exchange Options （外汇期权） Concept A contract specifying the right to buy ( a call option, 看跌期权）or sell （a put option, 看涨期权）a standard amoun

4、t of a traded currency at or before a stated date. Case Study Quotations on Foreign Currency Futures and Options (page 471) “Open” （开盘价）column ( the beginning of the trading day) “High” and “Low” refer, respectively, to the high and low prices of the contract on the trading day. “Settle” （收盘价）means

5、the price at the close of that trading day. “Change” （涨幅）refers to the change in the settlement price from the previous day. “Lifetime high” and “Lifetime low” are, respectively, the highest and lowest prices at which that specific contract has ever been traded. “Open Interest”（尚未了结的期货合同份数） refers t

6、o the number of outstanding contracts on the previous trading day.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Case Study,Textbook Page 470-471 In contrast, neither forward contracts nor futures are options. Options are less flexible than forward contracts, but in some cases they may be more useful. An Exam

7、ple An American firm making a bid to take over a EMU (European Monetary Union ) firm may be required to promise to pay a specified amount in euros. Since the American firm does not know if its bid will successful, it will purchase an option to buy the euros that it would need and will exercise the o

8、piton if the bid is successful.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,14.5 Foreign Exchange Risks, Hedging, and Speculation,Foreign Exchange Risks (外汇风险） Implication Through time, a nations demand and supply curves for foreign exchange shift, causing the spot (and the forward) rate to vary frequently.

9、 A nations demand and supply curves for foreign exchange shift over time as a result of changes in tastes for domestic and foreign products in the nation and abroad, different growth and inflation rates in different nations, changes in relative rates of interest, changing expectations, and so on.,股票

10、配资软件外汇喊单网，职业操盘手带你赚钱！,Case Study If U.S. tastes for EMU products increase, the U.S. demand for euros increases (the demand curve shifts up), leading to a rise in the exchange rate (i.e., a depreciation of the dollar). On the other hand, a lower rate of inflation in the U.S. than the EMU

11、leads to U.S. products becoming cheaper for EMU residents. This tends to increase the U.S. supply of euros ( the supply curve shifts to the right) and causes a decline in the exchange rate (i.e., an appreciation of the dollar). Or simply the expection of a stronger dollar may lead to an appreciation

12、 of the dollar. In short, in a dynamic and changing world, exchange rates frequently vary, reflecting the constant change in the numerous economic forces simultaneously at work.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Case Study Figure 14-3,(Figure continues on next 2 slides),股票配资软件外汇喊单网，职业

13、操盘手带你赚钱！,FIGURE 14-3 Exchange Rates of the G-7 Countries and Effective Exchange Rate of the Dollar, 19712002.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Case Study Explanation of Figure 14-3 The great variation in exchange rates between the U.S. dollar and the currencies of the other G-7 countries from 197

14、1 to 2002. The top six panels of the figure show the fluctuations of the exchange rate of the currencies of G-7 countries with respect ot the dollar. The exchange rate used is the foreign-currency value of the dollar, so that an increase in the exchange rate refers to a depreciation of the foreign c

15、urrency (it takes more units of the foreign currency to purchase one dollar), while a reduction in the exchange rate refers to an appreciation of the foreign currency (it takes less units of the foreign currency to purchase one dollar). The bottom panel shows the effective exchange rate of the dolla

16、r defined as the weighted average of the foreign-currency vale of the dollar, with March 1973=100. The figure shows the wide fluctuations of exchange rates and the sharp depreciation of the various currencies and appreciation of the dollar until the beginning of 1985, and the appreciation of the var

17、ious currencies and depreciation of the dollar afterwards.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Hedging （套期保值）,Concept It refers to the avoidance of a foreign exchange risk (or the covering of an open position 敞开头寸). Differences from Covering the Foreign Exchange Risk in the Spot Market (deposit the

18、money for the late use of payment and receipt fore the interest rate) Hedging usually takes place in the forward market, where no borrowing or tying up of funds is required. e.g. The importer could buy euros forward for delivery (and payment) in three months at todays three-month forward rate. If th

19、e euro is at a three forward premium of 4% per year, the importer will have to pay $ 101,000 in three months for the 100,000 needed to pay for the imports.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Conclusion A foreign exchange risk can also be hedged and an open position avoided in the futures or options

20、 markets. e.g. Suppose that an importer knows that he or she must pay 100,000 in three months and the three-month forward rate of the pound is FR=$1/ 1. The importer could either purchase the 100,000 forward (in which case he or she will have to pay $100,000 in three months and receive the 100,000)

21、or purchase an option to purchase 100,000 in three months , say at $1/ 1, and pay now the premium of , say, 1 percent (or$1,000 on the $100,000 option). If in three months the spot rate of the pound is SR=$0.98/ 1, the importer would have to pay $100,000 with the forward contract, but could let the

22、option expire unexercised and get the 100,000 at the cost of only$98,000 on the spot market. In that case, the $1,000 premium can be regarded as an insurance policy and the importer will save $2,000 over the forward contract. In a word of foreign exchange uncertainty, the ability of traders and inve

23、stors to hedge greatly facilitates the international flow of trade and investments. Without hedging there would be smaller international capital flows, less trade and specialization in production, and smaller benefits from trade. (e.g. MNCs),股票配资软件外汇喊单网，职业操盘手带你赚钱！,Speculation （投机）,Conce

24、pt It refers to the acceptance of a foreign exchange risk, or open position, in the hope of making a profit. If the speculator correctly anticipates future changes in spot rate, he or she makes a profit; otherwise, he or she incurs a loss. As in the hedging, speculation can take place in the spot, f

25、orward, futures, or options markets - usually in the forward market. Speculation in Spot Market If a speculator believes that the spot rate of a particular foreign currency will rise, he or she can purchase the currency now and hold it on deposit in a bank for resale later; If the speculator is corr

26、ect and the spot rate does indeed rise, he or she earns a profit on each unit of the foreign currency equal to the spread between the previous lower spot rate at which he or she purchased the foreign currency and the higher subsequent spot rate at which he or she resells it. Otherwise the speculator

27、 will bear the loss.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,If the speculator believes that the spot rate will fall, he or she borrows the foreign currency for three months, immediately exchanges it for the domestic currency at the prevailing spot rate, and deposits the domestic currency in a bank to e

28、arn interest. In both of the preceding examples, the speculator operated in the spot market and either had to tie up his or her own funds or had to borrow to speculate. Speculation in the Forward Market If the speculator believes that the spot rate of a certain foreign currency will be higher in thr

29、ee months than its present three-month forward rate, the speculator purchases a specified amount of the foreign currency forward for delivery ( and payment ) in three months. After three months, if the speculator is correct, he or she receives delivery of the foreign currency at the lower agree forw

30、ard rate and immediately resells it at the higher spot rate, thus realizing a profit. Otherwise, the speculator will bear the loss.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Speculation in an Option If the speculator believes that the foreign currency will depreciate, he or she could have purchased an opt

31、ion to sell a specific amount of foreign currencies in three months. If the speculator is correct, he or she will exercise the option, buy foreign currency in the spot market and receive the payment by exercising the option and earns the profit. Otherwise, he or she will bear the loss. A Long Positi

32、on （多头） If depreciation 2%, U.S. no gains; If depreciation over 2%, U.S. loss,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Covered Interest Arbitrage,Concept The transfer of short-term liquid funds abroad to earn higher returns with the foreign exchange risk covered by the spot purchase of the foreign curren

33、cy and a simultaneous offsetting forward sale. It also refers to the spot purchase of the foreign currency to make the investment and the offsetting simultaneous forward sale (swap) of the foreign currency to cover the foreign exchange risk. When the treasury bills mature, the investor can then get

34、the domestic currency equivalent of the foreign investment plus the interest earned without a foreign exchange risk.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Case Study (Textbook page 480) Suppose that the interest rate on three-month treasury bills is 6% per year in New York and 8% in Frankfurt, and ass

35、ume that the euro is at a forward discount of 1% per year. To engage in covered interest arbitrage, the U.S. investor exchanges dollars for euros at the current exchange rate (to purchase the EMU treasury bills) and at the same times sells forward a quantity of euros equal to the amount invested plu

36、s the interest he or she will earn at the prevailing forward rate.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Covered Interest Arbitrage Parity ( CIAP,抛补套利平价）,Concept The interest differential in favor of the foreign monetary center minus the forward discount on the foreign currency, or the interest differ

37、ential in favor of the home monetary center minus the forward premium on the foreign currency.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Figure 14.5 Covered Interest Arbitrage The vertical axis measures the difference in the interest rate in the home nation (i) and in the foreign nation (i) in percentages

38、 per annum The horizontal axis measures the forward exchange rate, with the minus sign indicating a forward discount and positive values indicating a forward premium on the foreign currency in the percent per annum. The solid diagonal line is the covered interest parity (CIAP) line. Below the CIAP l

39、ine, either the negative interest differential exceeds the forward discount or the forward premium exceeds the positive interest differential. In either case, there will be a capital outflow under covered interest arbitrage. Above the CIAP line, the opposite is true and there will be an arbitrage in

40、flow,股票配资软件外汇喊单网，职业操盘手带你赚钱！,FIGURE 14-5 Covered Interest Arbitrage.,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Covered Interest Arbitrage Margin (CIAM,抛补套利利润率）,Concept The interest differential in favor of the foreign monetary center minus the forward discount on the foreign currency, or the i

41、nterest differential in favor of the home monetary center minus the forward premium on the foreign currency. CIAM Formula CIAM=(i i)/(1+ i) (FRSR)/SR i interest rate in the home nation; i interest rate in the foreign nation; FR forward rate SR spot rate Explanation The negative sign for the CIAM ref

42、ers to a CIA outflow or investing in the foreign nation; The absolute value of the CIAM indicates that the extra return. (see bookpage 484 example),股票配资软件外汇喊单网，职业操盘手带你赚钱！,Efficiency of Foreign Exchange Markets,Implication The foreign exchange market is said to be efficient if forward ra

43、tes accurately predict future spot rates; that is, if forward rates reflect all available information and quickly adjust to any new information so that investors cannot earn consistent and unusual profits by utilizing any available information. Measures of Efficiency of Foreign Exchange Markets Firs

44、t it is very difficult to formulate and to interpret Many empirical tests have been conducted on the efficiency of foreign exchange markets by Levich (1985), more recently, Frankel and MacArthur (1988) , Lewis (1995),股票配资软件外汇喊单网，职业操盘手带你赚钱！,14.7 Eurocurrency Markets,Description and Size

45、of the Eurocurrency Markets Eurocurrency It refers to commercial bank deposits outside the country of their issue. e.g. a deposit denominated in U.S. dollars in a British commercial Bank (or even in a British branch of a U.S. bank) is called a Eurodollar. Eurocurrency Market The market where Eurocur

46、rencies are borrowed and lent. Function of Eurocurrency Market It is originated from the desire of communist nations to keep their dollar deposits outside the U.S. from the early days of the Cold War for fear that they might be frozen in a political crisis,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Reasons

47、 for the Development and Growth of the Eurocurrency Market,Higher interest rates often prevailing abroad on short-term deposits International corporations often found it very convenient to hold balances abroad for short periods in the currency in which they needed to make payments International corp

48、orations can overcome domestic credit restrictions by borrowing in the Eurocurrency market,股票配资软件外汇喊单网，职业操盘手带你赚钱！,Operation and Effects of Eurocurrency Markets,Operation Eurobanks do not, in general, create money, but they are essentially financial intermediaries bringing together lende

49、rs and borrowers. Effects The Eurocurrency market can create great instability in exchange and other financial markets. The Eurocurrency market reduces the effectiveness of domestic stabilization efforts of national governments Eurocurrency markets are largely uncontrolled. As a result, a deep worldwide recession could render some of the systems banks insolvent and possibly lead internationally to the type of bank panics that afflicted capitalist nations during the nineteenth century and the first thir