國(guó)際財(cái)務(wù)管理第六版中文版第五章

國(guó)際財(cái)務(wù)管理EUN/RESNICKSixthEditionINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEdition引言：目標(biāo)：這一章向?qū)W生介紹匯率決定的制度框架。本章是本書后續(xù)各章的基礎(chǔ)。5ChapterFive外匯市場(chǎng)外匯市場(chǎng)交易時(shí)間（北京時(shí)間）地區(qū)城市開市時(shí)間收市時(shí)間大洋洲悉尼7:0015:00亞洲東京8:0016:00香港9:0017:00新加坡9:0017:00巴林14:0022:00歐洲法蘭克福16:000:00蘇黎世16:000:00巴黎17:001:00倫敦18:002:00北美洲紐約20:004:00洛杉磯21:005:00FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSForwardPremium外匯市場(chǎng)的功能和結(jié)構(gòu)外匯即期市場(chǎng)外匯遠(yuǎn)期市場(chǎng)ChapterOutline外匯市場(chǎng)的功能和結(jié)構(gòu)將全球范圍的協(xié)助交易的貨幣交易銀行、非銀行交易商和外匯經(jīng)紀(jì)人聯(lián)系在一起。外匯市場(chǎng)的參與者FXMarketParticipants外匯市場(chǎng)可分為兩個(gè)層級(jí):銀行同業(yè)市場(chǎng)(Wholesale)客戶市場(chǎng)(Retail)據(jù)2010年國(guó)際清算銀行統(tǒng)計(jì)，14%為零售交易量，86%為銀行同業(yè)交易。市場(chǎng)參與者包括：國(guó)際銀行internationalbanks銀行客戶bank’scustomers非銀行交易商nobankdealers外匯經(jīng)紀(jì)人FXbrokers俗稱中介中央銀行centralbanks通匯關(guān)系國(guó)際銀行間的外匯交易如何結(jié)算的？Theinterbankmarketisanetworkofcorrespondentbankingrelationships畫圖中國(guó)進(jìn)口商從荷蘭進(jìn)口一批商品，采用歐元結(jié)算。進(jìn)口商出口商國(guó)際銀行國(guó)際銀行通匯賬戶即期外匯市場(chǎng)

TheSpotMarket即期匯率標(biāo)價(jià)套算匯率標(biāo)價(jià)匯率買賣價(jià)差即期外匯交易三角套利即期外匯標(biāo)價(jià)直接標(biāo)價(jià)DirectquotationtheU.S.dollarequivalente.g.“aJapaneseYenisworthaboutapenny”間接標(biāo)價(jià)IndirectQuotationthepriceofaU.S.dollarintheforeigncurrencye.g.“youget100yentothedollar”見表5-3SpotRateQuotationsCountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsThedirectquoteforBritishpoundis:CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsTheindirectquoteforBritishpoundis:￡.5242=$1CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsNotethatthedirectquoteisthereciprocaloftheindirectquote:5242.19077.1=CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364請(qǐng)解釋以下外匯標(biāo)價(jià)含義S（€/$）=0.8171,S（$/￥）S（￡/$）套算匯率標(biāo)價(jià)SupposethatS.$1.4655=1￡andthatS.$1.1975=€1.0Whatmustthe€/￡crossratebe美式標(biāo)價(jià)法歐式標(biāo)價(jià)法一個(gè)美式與一個(gè)歐式標(biāo)價(jià)匯率P117計(jì)算題1匯率買賣價(jià)差

TheBid-AskSpread買價(jià)：Thebidpriceisthepriceadealeriswillingtopayyouforsomething.

賣價(jià)：Theaskpriceistheamountthedealerwantsyoutopayforthething.

買賣價(jià)差：Thebid-askspreadisthedifferencebetweenthebidandaskprices.思考：Sa（$/￡）和Sa（￡/$）以及Sb（$/￡）和Sb（￡/$）含義、關(guān)系.寫出公式。TheBid-AskSpreadAdealercouldofferbidpriceof$1.25per€askpriceof$1.26per€ask

price大于bidpriceThebid-askspreadrepresentsthedealer’sexpectedprofit.TheBid-AskSpreadAdealerwouldlikelyquotethesepricesas50-55.Itispresumedthatanyonetrading$10malreadyknowsthe“bigfigure”.BidAsk1.4650.6824S($/￡)S(￡/$)1.4655.6826bigfiguresmallfigure買賣價(jià)差回答P107表中的含義。套算匯率買賣價(jià)差的計(jì)算以表5-6為例，輔以板書計(jì)算題P118第8和第9題。三角套利$￡￥CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120￡1.00￥80=￡1.50$1.00$1.00￥120×?xí)系睦?-3TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120TheimpliedS(￥/￡)crossrateisCreditAgricolehaspostedaquoteofS(￥/￡)=85sothereisanarbitrageopportunity.So,howcanwemakemoney￥￡￥80=￥120×Thentradeyenforyourpreferredcurrency.Buythe￡@￥80;sell@￥85.TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120Aseasyas1–2–3:1.Sellour$for￡,2.Sellour￡for￥,3.Sellthose￥for$.￥￡123$TriangularArbitrageSell$100,000for￡atS(￡/$)=1.50receive￡150,000Sellour￡150,000for￥atS(￥/￡)=85receive￥12,750,000Sell￥12,750,000for$atS(￥/$)=120receive$106,250profitperroundtrip=$106,250–$100,000=$6,250TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(￥/￡)=85BarclaysS(￥/$)=120Herewehavetogo“clockwise”tomakemoney—butitdoesn’tmatterwherewestart.￥￡123$Ifwewent“counterclockwise”wewouldbethesourceofarbitrageprofits,nottherecipient!即期外匯市場(chǎng)的微觀結(jié)構(gòu)市場(chǎng)的圍觀結(jié)構(gòu)是指市場(chǎng)運(yùn)作的基本機(jī)制。即期外匯市場(chǎng)的買賣價(jià)差隨著：外匯匯率波動(dòng)程度的上升而增加；隨著交易商競(jìng)爭(zhēng)的家去而下降。私有信息（Privateinformation）是影響即期匯率的重要因素。isanimportantdeterminantofspotexchangerates.遠(yuǎn)期外匯市場(chǎng)遠(yuǎn)期匯率標(biāo)價(jià)遠(yuǎn)期多頭和空頭遠(yuǎn)期套算匯率遠(yuǎn)期升水互換交易遠(yuǎn)期外匯市場(chǎng)Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.遠(yuǎn)期合約的例子，比如你訂購(gòu)一件暢銷品的衣服。外匯遠(yuǎn)期市場(chǎng)涉及為了買入、賣出外匯而在現(xiàn)在簽訂合約。遠(yuǎn)期合約中，常見的到期期限分別為1,3,6,9,and12monthLonger-termswapsareavailable.遠(yuǎn)期匯率標(biāo)價(jià)Considertheexample:forBritishpounds,thespotrateisWhilethe180-dayforwardrateis遠(yuǎn)期外匯匯率如何標(biāo)價(jià)？（ForwardRateQuotations）。SpotRateQuotationsCountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotrateForwardrateislessthanspotrate遠(yuǎn)期匯率標(biāo)價(jià)美式標(biāo)價(jià)和歐式標(biāo)價(jià)S($/SF)=0.8662,F1($/SF)=0.8671,F3($/SF)=0.8686,F6($/SF)=0.8715,稱為瑞士法郎對(duì)美元的遠(yuǎn)期升水。那么，遠(yuǎn)期升水的幅度是多少？遠(yuǎn)期多頭與空頭比如F3（$/SF）若3個(gè)月后的即期匯率為或者為0.8616.黑板上畫圖例5-4，預(yù)期瑞士法郎會(huì)貶值，持有空頭，賣出遠(yuǎn)期外匯合約。遠(yuǎn)期多頭與空頭Ifyouhaveagreedtosellanything(spotorforward),youare“short”.Ifyouhaveagreedtobuyanything(forwardorspot),youare“l(fā)ong”.IfyouhaveagreedtosellFXforward,youareshort.IfyouhaveagreedtobuyFXforward,youarelong.遠(yuǎn)期套算匯率FN(j/k)=FN(j/$)*FN($/k)采用美式標(biāo)價(jià)套算采用歐式標(biāo)價(jià)套算ForwardCrossExchangeRatesIngenerictermsNoticethatthe“$”scancel.CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayArgentina(Peso)0.33090.32923.0221Australia(Dollar)0.78300.78361.2771Brazil(Real)0.37350.37912.6774Britain(Pound)1.90771.91350.52421MonthForward1.90441.91010.52513MonthsForward1.89831.90380.52686MonthsForward1.89041.89590.5290Canada(Dollar)0.80370.80681.24421MonthForward0.80370.80691.24423MonthsForward0.80430.80741.24336MonthsForward0.80570.80881.2412ForwardCrossExchangeRatesF6(CAD/￡)=F6(CAD/$)*F6($/￡)=1.2412*1,8904遠(yuǎn)期升水或貼水遠(yuǎn)期升水或貼水的計(jì)算例5-5Forexample,supposethe€isappreciatingfromS($/€)=1.25toF180The180-dayforwardpremiumisgivenby:=0.081.30–1.251.25×2=f180,€v$F180($/€)–S($/€)S($/€)=×360180互換交易S：買入（或賣出）遠(yuǎn)期外匯的同時(shí)，賣出（或買入）大約等量的即期外匯。比如，sohu公司要在墨西哥投資一子公司，需要100萬(wàn)比索，1年后子公司將會(huì)歸還100萬(wàn)比索，sohu公司如何避免匯率波動(dòng)風(fēng)險(xiǎn)。遠(yuǎn)期點(diǎn)數(shù)標(biāo)價(jià)即期1.1545-1.15481個(gè)月12-103個(gè)月32-386個(gè)月71-65即期1.2365-1.23681個(gè)月2-43個(gè)月9-126個(gè)月10-20CurrencySymbolsInadditiontothefamiliarcurrencysymbols(e.g.￡,￥,€,$)therearethree-lettercodesforallcurrencies. Itisalonglist,butselectedcodesinclude: CHF Swissfrancs GBP Britishpound ZAR SouthAfricanrand CAD Canadiandollar JPY JapaneseyenSummarySpotratequotationsDirectandindirectquotes Bidandaskpri