外匯交易市場課件

Chapter11TheforeignexchangemarketandexchangeratesChapter11Theforeignexchang1KeytermsForeignexchangemarket外匯交易市場Foreignexchangerisk外匯交易風(fēng)險Euro歐元Hedging套期保值Speculation投機Exchangerate匯率Depreciation貶值A(chǔ)ppreciation升值Stabilizingspeculation穩(wěn)定性投機Destabilizingspeculation不穩(wěn)定投機Crossexchangerates交叉匯率KeytermsForeignexchangemark2KeytermsEffectiveexchangerates有效匯率Arbitrage套利Spotrate即期匯率Forwardrate遠期匯率Forwarddiscount遠期貼水Forwardpremium遠期升水Foreignexchangefutures外匯期貨Foreignexchangeoption外匯期權(quán)Uncoveredinterestarbitrageparity無拋補的利率套利Coveredinterestarbitrage拋補的套利交易Offshoredeposits離岸存款KeytermsEffectiveexchangera311.1IntroductionDefinitionoftheForeignexchangemarkets:The“place”whereindividuals,firms,andbanksbuyandsellforeigncurrenciesorforeignexchange.Thesedifferentmonetarycentersareconnectedelectronicallyandareinconstantcontactwithoneanother,thusformingasingleinternationalforeignexchangemarket.11.1IntroductionDefinitio4/fred2/categories/15

5外匯交易市場課件611.2Functionsoftheexchangeratemarkets1.TheprincipalfunctionTransferoffundsorpurchasingpowerfromonenationandcurrencytoanother.ThisisusuallyaccomplishedbyanelectronictransferandincreasinglythroughtheInternet(facilitate).11.2Functionsoftheexchange72.Asecondfunctionofforeignexchangemarketsisthecreditfunction.

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

11.2Functionsoftheexchangeratemarkets2.Asecondfunctionoffo83.Anotherfunctionofforeignexchangemarketsistoprovidethefacilitiesforhedgingandspeculation(discussedinsection11.9).Today,about90percentofforeignexchangetradingreflectspurelyfinancialtransactionsandonly10percenttradefinancing.Continued:

11.2Functionsoftheexchangeratemarkets3.Anotherfunctionoffor91.Exchangerate:Thedomesticcurrencypriceoftheforeigncurrency.Theexchangeratebetweenthedollarandtheeuro(R)isequaltothenumberofdollarsneededtopurchaseoneeuro.Thatis,R=$/€,ifR=$/€=1,thismeansthatonedollarisrequiredtopurchaseoneeuro.11.3Equilibriumexchangerate1.Exchangerate:11.3Equi10Continued:11.3Equilibriumexchangerate50100150200250300350·······0.501.001.502.00R=$/€Million€/day2.ThedeterminationoftheequilibriumrateD€S€ABHE’FGCContinued:11.3Equilibriumex113.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:11.3Equilibriumexchangerate3.Depreciationrefersto124.Appreciation

referstoadeclineinthedomesticpriceoftheforeigncurrency.ConsiderthecaseofdownwardshiftoftheU.S.demandcurveforeuros(D€).iftheU.S.demandcurveforeurosshifteddownsoastointersecttheU.S.supplycurveforeurosatpointH(seeFigure11.1),theequilibriumexchangeratewouldfalltoR=0.5andthedollarissaidtohaveappreciated(becausefewerdollarsarenowrequiredtopurchaseoneeuro).Continued:11.3Equilibriumexchangerate4.Appreciationrefersto13Sofarwehavedealtwithonlytwocurrenciesforsimplicity,inrealitytherearenumerousexchangerate,onebetweenanypairofcurrencies.Thus,besidestheexchangeratebetweentheU.S.dollarandtheeuro,thereisexchangeratebetweentheU.S.dollarandBritishpound(￡),betweentheSwissfrancandtheMexicanpeso,andlikeexchangerates.11.4Crossexchangerates,effectiveexchangerates,andarbitrageSofarwehavedealtwith141.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,andarbitrage1.Crossexchangerate—The152.Effectiveexchangerate—Aweightedaverageoftheexchangeratesbetweenthedomesticcurrencyandthenation’smostimportanttradepartners,withweightsgivenbytherelativeimportanceofthenation’stradewitheachofthesetradepartners.CaseStudy11-4givestheeffectiveexchangerateoftheU.S.dollarfrom1972to2003.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage2.Effectiveexchangerate163.Arbitrage—Thepurchaseofacurrencyinthemonetarycenterwhereitischeaperforimmediateresaleinthemonetarycenterwhereitismoreexpensiveinordertomakeaprofit.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage3.Arbitrage—Thepurchase17Thisreferstothepurchaseofacurrencyinthemonetarycenterwhereitischeaper,forimmediateresaleinthemonetarycenterwhereitismoreexpensive,inordertomakeaprofit:Forexample,ifthedollarpriceoftheeurowas$0.99inNewYorkand$1.01inFrankfurt,anarbitrageur(usuallyaforeignexchangedealerofacommercialbank)wouldpurchaseeurosat$0.99inNewYorkandimmediatelyreselltheminFrankfurtfor$1.01,thusrealizingaprofitof$0.02pereuro.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageThisreferstothepurchas18Whiletheprofitpereurotransferredseemssmall,on€1milliontheprofitwouldbe$20,000foronlyafewminutes’work.Fromthisprofitmustbedeductedthecostoftheelectronictransferandtheothercostsassociatedwitharbitrage.Sincethesecostsareverysmall,wewillignorethemhere.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageWhiletheprofitpereuro19Asarbitragetakesplace,theexchangeratebetweenthetwocurrenciestendstobeequalizedinthetwomonetarycenters.Continuingourexample,

weseethatarbitrageincreasesthedemandforeurosinNewYork,therebyexertinganupwardpressureonthedollarpriceofeurosmNewYorkAtthesametimethesaleofeurosinFrankfurtincreasesthesupplyofeurosthere,thusexertingadownwardpressureonthedollarpriceofeurosinFrankfurt.ThiscontinuesuntilthedollarpriceoftheeuroquicklybecomesequalinNewYorkandFrankfurt(sayat$1=€1),thuseliminatingtheprofitabilityoffurtherarbitrage.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageAsarbitragetakesplace,20·WecanexaminetherelationshipbetweentheexchangerateandthenationbalanceofpaymentswithFigure11.3,whichisidenticaltoFigure11.1,exceptfortheadditionofthenewdemandcurveforeuroslabeledD’€.11.5Theexchangeratesandthebalanceofpayment50100150200250300350·······0.501.001.502.00R=$/€Million€/dayD€S€EE’WC···D’€Z·Wecanexaminetherelationsh21Themostcommontypeofforeignexchangetransactioninvolvesthepaymentandreceiptoftheforeignexchangewithintwobusinessdaysafterthedaythetransactionisagreedupon.1.Spotrate—theexchangerateinforeignexchangetransactionsthatcallsforthepaymentandreceiptoftheforeignexchangewithintwobusinessdaysfromthedatewhenthetransactionisagreedupon.Thetwo-dayperiodgivesadequatetimeforthepartiestosendinstructionstodebitandcredittheappropriatebankaccountsathomeandabroad.Thistypeoftransactioniscalledaspottransaction.11.6SpotandforwardexchangeratesThemostcommontypeoffo22

2.Forwardrate—theexchangerateinforeignexchangetransactionsinvolvingdeliveryoftheforeignexchangeone,three,orsixmonthsafterthecontractisagreedupon.Aforwardtransactioninvolvesanagreementtodaytobuyorsellaspecifiedamountofaforeigncurrencyataspecifiedfuturedateatarateagreedupontoday.Continued:11.6Spotandforwardexchangerates2.Forwardrate—theexchan23Thespecifiedfuturedateareusuallyfartherawaythantwodays—30days(1month),90days(3months),180days(6months),orevenseveralyears,with3monthsthemostcommon.Atanypointintime,theforwardratecanbeequalto,above,orbelowthecorrespondingspotrate.(Anexampleatpage292,thirdparagraph)Continued:11.6SpotandforwardexchangeratesThespecifiedfuturedate243.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:11.6Spotandforwardexchangerates3.Forwarddiscount—thepe25Forwarddiscounts(FD)orpremiums(FP)areusuallyexpressedaspercentagesperyearfromthecorrespondingspotrateandcanbecalculatedformallywiththefollowingformula:Continued:11.6SpotandforwardexchangerateswhereFRistheforwardrateandSRisthespotrate(whatwesimplycalledRintheprevioussection).Themultiplicationby4istoexpresstheFD(-)orFP(+)onayearlybasis,andthemultiplicationby100istoexpressthePDorPPinpercentages.Forwarddiscounts(FD)or261.Aforeignexchangefutures

isaforwardcontractforstandardizedcurrencyamountsandselectedcalendardatestradedonanorganizedmarket.Whenyoubuyafuturecontract,youbuyapromisethataspecifiedamountofforeigncurrencywillbedeliveredonaspecifieddateinthefuture.Tradinginforeignexchangefutureswasinitiatedin1972bytheInternationalMonetaryMarket(IMM)oftheChicagoMercantileexchange(CME)ThecurrenciestradedontheIMMaretheJapaneseyen,theCanadiandollar,theBritishpound,theSwissfranc,theAustraliandollar,theMexicanpesoandeuro.11.7Foreignexchangefuturesandoptions1.Aforeignexchangefutu27Continued:

11.7Foreignexchangefuturesandoptions2.Aforeignexchangeoptionisacontractgivingthepurchasertheright,butnottheobligation,tobuy(acalloption)orsell(aputoption)astandardamountofatradedcurrencyonastateddateoratanytimebeforeastateddate(theAmericanoption)andataastatedprice(thestrikeorexerciseprice).Continued:

11.7Foreignexcha28Thebuyeroftheoptionhasthechoicetopurchaseorforgothepurchaseifitturnsouttobeunprofitable―thatis,heisundernoobligationtoexercisehisright.Theselleroftheoption,however,mustfulfillthecontractifthebuyersodesires.Continued:

11.7ForeignexchangefuturesandoptionsThebuyeroftheoptionha29Thebuyerpaysapremiumrangingfrom1to5percentofthecontract'svalueforthisprivilegewhenheorsheentersthecontract.Forexample,anAmericanfirmmakingabidtotakeoveraEuropeanfirmmayberequiredtopromisepayaspecifiedamountineuros.SincetheAmericanfirmdoesnotknowifitsbidwillbesuccessful,itwillpurchaseanoptiontobuytheeurosthatitwouldneedandwillexercisetheoptiononlyifthebidissuccessful.Continued:

11.7ForeignexchangefuturesandoptionsThebuyerpaysapremiumr30外匯期權(quán)有買方期權(quán)（CallOption）和賣方期權(quán)（PutOption）兩種方式。買方期權(quán)也稱看漲期權(quán)，它的持有者得到一種權(quán)利，可以在合約期滿日或之前按約定的匯率買進一定數(shù)量的外匯。例如，按約定的1美元兌112日元的匯率買進美元賣出日元，稱為USDCall，JPYPutOption。這種期權(quán)有利與否是從持有者角度來考慮的。如果在合約期滿日或之前，美元幣值上漲到1美元兌113日元，期權(quán)持有者就執(zhí)行期權(quán)，因為按合約買進美元比在即期市場買進美元要便宜。如果美元幣值下跌，他就不執(zhí)行權(quán)利，付出的只是保險費。Continued:

11.7Foreignexchangefuturesandoptions外匯期權(quán)有買方期權(quán)（CallOption）和賣方期31賣方期權(quán)也稱看跌期權(quán)，它的持有者在合約期滿日或之前按約定的匯率出售一定的外匯。例如，按約定的1美元兌114日元的匯率賣出美元買進日元，稱為USDPut，JPYCallOption。如果在期滿日或之前美元下跌到1美元兌112日元，他就執(zhí)行期權(quán)，因為按合約期賣出美元更加合算。否則他就放棄執(zhí)行合約的權(quán)力，損失的也只是保險費。Continued:

11.7Foreignexchangefuturesandoptions賣方期權(quán)也稱看跌期權(quán)，它的持有者在合約期滿日或之前按32Throughtime,anation'sdemandandsupplycurvesforforeignexchangeshift,causingthespot(andtheforward)ratevaryfrequently.

Theforeignexchangerisk:theriskresultingfromchangesinexchangeratesovertimeandfacedbyanyonewhoexpectstomakeortoreceiveapaymentinaforeigncurrencyatafuturedate;alsocalledanopenposition.11.8ForeignexchangerisksThroughtime,anation'sd33Anation'sdemandandsupplycurvesforforeignexchangeshiftovertimeasaresultof

①changesintastesfordomesticandforeignproductsinthenationandabroad,②differentgrowthandinflationratesindifferentnations,③changesinrelativeratesinterest,④changingexpectations,andsoon.Continued:11.8ForeignexchangerisksAnation'sdemandandsupp34Continued: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.Continued:11.8Foreignexchan352.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:11.8Foreignexchangerisks2.Contractedfutureforei36

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

Then,howcanbusinesspeopledotoavoidrisk?Continued:11.8ForeignexchangerisksSummery:Continued:11.8Fo37Hedgingreferstotheavoidanceofaforeignexchangerisk,orthecoveringofanopenposition.11.9HedgingHedgingreferstotheavoi381.Speculationistheoppositeofhedging.Whereasahedgerseekstocoveraforeignexchangerisk,aspeculatoracceptsandevenseeksoutaforeignexchangerisk,oranopenposition,inthehopeofmakingaprofit.Ifthespeculatorcorrectlyanticipatesfuturechangesinspotrates,heorshemakesaprofit;otherwise,heorsheincursaloss.

Speculationcantakeplaceinthespot,forward,futures,oroptionsmarkets—usuallyintheforwardmarket.Webeginbyexaminingspeculationinthespotmarket.11.10Speculation1.Speculationistheoppo39(1)Rise:Ifaspeculatorbelievesthatthespotrateofaparticularforeigncurrencywillrise,hecanpurchasethecurrencynowandholditondepositinabankforresalelater.Ifthespeculatoriscorrectandthespotratedoesindeedrise,heearnsaprofitoneachunitoftheforeigncurrencyequaltothespreadbetweenthepreviouslowerspotrateatwhichhepurchasedtheforeigncurrencyandthehighersubsequentspotrateatwhichheresellsit.Ifthespeculatoriswrongandthespotratefalls,heincursalossbecausetheforeigncurrencymustberesoldatapricelowerthanthepurchaseprice.Continued:11.10Speculation(1)Rise:Ifaspeculator40(2)Fall:If,ontheotherhand,thespeculatorbelievesthatthespotratewillfall,heborrowstheforeigncurrencyforthreemonths,immediatelyexchangesitforthedomesticcurrencyattheprevailingspotrate,anddepositsthedomesticcurrencyinabanktoearninterest.Afterthreemonths,ifthespotrateontheforeigncurrencyislower,asanticipated,thespeculatorearnsaprofitbypurchasingthecurrency(torepaytheforeignexchangeloan)atthelowerspotrate.Continued:11.10Speculation(2)Fall:If,ontheother41Ofcourse,forthespeculatortoearnaprofit,thenewspotratemustbesufficientlylowerthanthepreviousspotratetoalsoovercomethepossiblyhigherinterestratepaidonaforeigncurrencydepositoverthedomesticcurrencydeposit.Continued:11.10SpeculationOfcourse,forthespecula422.InforwardmarketInbothoftheprecedingexamples,thespeculatoroperatedinthespotmarketandeitherhadtotieuphisownfundsorhadtoborrowtospeculate.Itistoavoidthis,thatspeculation,likehedging,usuallytakesplaceintheforwardmarket.Forexample,ifthespeculatorbelievesthatthespotrateofacertainforeigncurrencywillbehigherinthreemonthsthanitspresentthree-monthforwardrate,thespeculatorpurchasesaspecifiedamountoftheforeigncurrencyforwardfordelivery(andpayment)inthreemonths.Continued:11.10Speculation2.InforwardmarketContin43Afterthreemonths,ifthespeculatoriscorrect,hereceivesdeliveryoftheforeigncurrencyattheloweragreedforwardrateandimmediatelyresellsitatthehigherspotrate,thusrealizingaprofit.Ofcourse,ifthespeculatoriswrongandthespotrateinthreemonthsislowerthantheagreedforwardrate,heincursaloss.

Inanyevent,nocurrencychangeshandsuntilthethreemonthsareover(exceptforthenormal10percentsecuritymarginthatthespeculatorisrequiredtopayatthetimehesignstheforwardcontract.Continued:11.10SpeculationAfterthreemonths,ifthe44

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:11.10SpeculationExample:supposethatthe45IfthespotrateinthreemonthsisinsteadSR=$1.00/€1,thespeculatorearnsonly1￠pereuro.Ifthespotrateinthreemonthsis=$1.01/€1,thespeculatorearnsnothing.Finally,ifthespotrateinthreemonthsishigherthantheforwardrateatwhichthespeculatorsoldtheforwardeuros,thespeculatorincursalossoneacheuroequaltothedifferencebetweenthetworates.Continued:11.10SpeculationIfthespotrateinthree46

3.Stabilizingspeculation

Itreferstothepurchaseofaforeigncurrencywhenthedomesticpriceoftheforeigncurrency(i.e.,theexchangerate)fallsorislow,intheexpectationthatitwillsoonrisethusleadingtoaprofit.Oritreferstothesaleoftheforeigncurrencywhentheexchangeraterisesorishigh,intheexpectationthatitwillsoonfall.Stabilizingspeculationmoderatesfluctuationsinexchangeratesovertimeandperformsausefuleconomicfunction.Continued:11.10Speculation3.Stabilizingspeculation474.Destabilizingspeculation

Itreferstothesaleofaforeigncurrencywhentheexchangeratefallsorislow,intheexpectationthatitwillfallevenlowerinthefuture,orthepurchaseofaforeigncurrencywhentheexchangerateisrisingorishigh,intheexpectationthatitwillriseevenhigherinthefuture.Destabilizingspeculationthusmagnifiesexchangeratefluctuationsovertimeandcanproveverydisruptivetotheinternationalflowoftradeandinvestments.Continued:11.10Speculation4.Destabilizingspeculati481.Definitionoftheinterestarbitrage

Thetransferofshort-termliquidcapital(suchasthepurchaseofforeigntreasurybills)toearnahigherreturnsabroad.

(短期流動資本在國際間流動，以便在國外獲得較高的報償）11.11Interestarbitrage1.Definitionoftheinter49Sincethetransferoffundsabroadtotakeadvantageofhigherinterestratesabroadinvolvestheconversionofthedomestictotheforeigncurrencytomaketheinvestment,andthesubsequentreconversionofthefunds(plustheinterestearned)fromtheforeigncurrencytothedomesticcurrencyatthetimeofmaturity,aforeignexchangeriskisinvolved.Continued:11.11InterestarbitrageSincethetransferoffund502.Uncoveredinterestarbitrage—thetransferofshort-termliquidfundstotheinternationalmonetarycenterwithhigherinterestrateswithoutcoveringtheforeignexchangerisk(短期流動資本流向利潤更高的國際貨幣中心，但又沒有覆蓋外匯風(fēng)險).

ThepreviousexamplewoulddemonstrateuncoveredinterestarbitrageifthereturnoffundstotheU.S.wasdoneatthefuturespotrateratherthanbyaforwardcontract.Continued:11.11Interestarbitrage2.Uncoveredinterestarbi513.Coveredinterestarbitrage—thetransferofshort-termliquidfundsabroadtoearnhigherreturnswiththeforeignexchangeriskcoveredbythespotpurchaseoftheforeigncurrencyandasimultaneousoffsettingforwardsale.Itoccurswhenthetransferabroaddoesnotentailexchangeraterisk.Continued:11.11Interestarbitrage3.Coveredinterestarbitr524.Coveredinterestarbitrageparity(CIAP)—Thesituationwheretheinterestdifferentialinfavoroftheforeignmonetarycenterequalstheforwarddiscountontheforeigncurrency.

(拋補的套利平價：有利的外國貨幣中心的利差等于外國貨幣的遠期貼水的狀態(tài))Continued:11.11Interestarbitrage4.Coveredinterestarbitr53Coveredinterestarbitrageisessentiallywithoutrisk.Therefore,allprofitablemovementsoffundsshouldoccur.Themovementoffundstoexploitprofitablearbitragepossibilitiesshouldmoveinterestrates,thespotrate,andtheforwardratesoastoeliminateprofitableopportunities.Oncetheprofitableopportunitiesareclosed,thefollowingparityconditionwillhold:et=[(1+rJapan)/(1+rUS)]?f360etisthespotexchangerate($/￥)f360isthe1yearforwardrate($/￥)rJapanistheinterestrateinJapanrUSistheinterestrateintheU.S.Continued:11.11InterestarbitrageCoveredinterestarbitrage54Fig.15-2r資產(chǎn)收益率S即期匯率本國外國外幣計價的相似資產(chǎn)的平均收益率預(yù)期匯率Fig.15-2rS即期匯率本國外國外幣計價預(yù)期匯率55（二）拋補的利率平價如：設(shè)美國的短期利率為10％，英國的為8％。套利者用英鎊買美元，投入美國市場，則一年可多賺2％的利息收益。一英國投資者有100萬英鎊，存入倫敦，6個月后可獲本利104萬英鎊。如果當(dāng)時外匯市場即期匯率為1英鎊兌1．67美元，投資于美國。6個月可獲本利175．35萬美國。假定6個月后匯率不變，該投資者從美國市場賣掉美元后可換回105萬英鎊，比在英國多賺1萬英鎊，即多賺1％的利息（半年利差為1％）。但是，6個月后，如果英鎊對美元升值，則投資者可能損失。設(shè)6個月后，英鎊升值2％，即1英鎊兌1．7034美元，則175．35萬美元只能換回102．94萬英鎊，比在英國投資少賺1．06萬英鎊。由此可見，無拋補套利投資者在承受高利率貨幣貶值的風(fēng)險。如果做拋補套利，投資者在買進即期美元調(diào)往紐約的同時，馬上在遠期市場上賣出為期6個月的遠期美元（包括預(yù)計的利息收入）。這樣，無論6個月中匯率變化如何，該投資者在6個月后的英鎊收入都有保障。（二）拋補的利率平價如：設(shè)美國的短期56

拋補利率平價表明：本國利率高于（低于）外國利率的差額等于本國貨幣的遠期貼水（升水）。高利率國的貨幣在遠期外匯市場上必定貼水，低利率國的貨幣在該市場上必定升水。如果國內(nèi)利率高于國際利率水平，資金將流入國內(nèi)牟取利潤。拋補利率平價表明：本國利率高于（低于）外國57

拋補利率平價中，套利者不僅要考慮利率的收益，還要考慮由于匯率變動所產(chǎn)生的收益變動。套利與掉期業(yè)務(wù)相結(jié)合可以避免匯率風(fēng)險。在本幣利率高于外幣利率的情況下，大量掉期外匯交易的結(jié)果是，本幣的現(xiàn)匯匯率下?。ū編派担h期匯率上?。ū編刨H值）。隨著拋補套利的不斷進行，期匯匯率與現(xiàn)匯匯率的差額會不斷增大，直至兩種資產(chǎn)所提供的收益率完全相等。此時拋補套利活動停止，本幣遠期貼水幅度恰好等于國內(nèi)利率高于國際利率的幅度。拋補利率平價中，套利者不僅要考慮利率的收益58

結(jié)論：在資本具有充分國際流動性的前提下，拋補與無拋補的利率平價均告訴我們，如果本國利率上升，并超過利率平價所要求的水平，本幣將會預(yù)期貶值；反之，則升值。

結(jié)論：在資本具有充分國際流動性的前提下，59Chapter11TheforeignexchangemarketandexchangeratesChapter11Theforeignexchang60KeytermsForeignexchangemarket外匯交易市場Foreignexchangerisk外匯交易風(fēng)險Euro歐元Hedging套期保值Speculation投機Exchangerate匯率Depreciation貶值A(chǔ)ppreciation升值Stabilizingspeculation穩(wěn)定性投機Destabilizingspeculation不穩(wěn)定投機Crossexchangerates交叉匯率KeytermsForeignexchangemark61KeytermsEffectiveexchangerates有效匯率Arbitrage套利Spotrate即期匯率Forwardrate遠期匯率Forwarddiscount遠期貼水Forwardpremium遠期升水Foreignexchangefutures外匯期貨Foreignexchangeoption外匯期權(quán)Uncoveredinterestarbitrageparity無拋補的利率套利Coveredinterestarbitrage拋補的套利交易Offshoredeposits離岸存款KeytermsEffectiveexchangera6211.1IntroductionDefinitionoftheForeignexchangemarkets:The“place”whereindividuals,firms,andbanksbuyandsellforeigncurrenciesorforeignexchange.Thesedifferentmonetarycentersareconnectedelectronicallyandareinconstantcontactwithoneanother,thusformingasingleinternationalforeignexchangemarket.11.1IntroductionDefi