國際投資導(dǎo)論及前兩章課件chapter foreign exchange

Chapter1ForeignExchangeForeignExchangeQuotationsWhatisExchangeRates?ExchangeratesrelatetopriceslevelsintwocountriesPricelevelofasinglecountrydependsonthesupplyanddemandformoneyinthecountryValueofmoneyisdeterminedbysupplyanddemandinthedomesticeconomy.ItsvalueinrelationtoforeigncurrenciesisalsodeterminedbysupplyanddemandForeignExchangeQuotationsForeignExchangeQuotationsBasicprinciplesandtheforexquotationconventionMostcurrenciesinworldwideforeignexchange(forex)markets,alltradestakeplaceusingoneconventionSomesymbols:a:b=S€:$=1.25and$:€=0.80$:€definedasthenumberofeurosperdollar€:$definedasthenumberofdollarspereuroForeignExchangeQuotationsTheForexconventionspecifiesratesforallcurrenciesperdollar(asinY/$),exceptforthepound($/?)andtheeuro($/€).Differentiation:$/€→

€:$

FromthetwocurrenciesagainstU.S.dollar,wecanderivethecross-exchangeratebetweenthetwocurrencies.ForeignExchangeQuotationsForeignExchangeQuotationsForeignExchangeQuotationsForeignExchangeQuotations貨幣名稱貨幣簡稱貨幣名稱貨幣簡稱人民幣CNY美元USD日元JPY歐元EUR英鎊GBP澳大利亞元AUD瑞士法郎CHF加拿大元CAD港幣HKD新西蘭元NZD韓國元KRW馬來西亞林吉特MYR新加坡元SGD菲律賓比索PHP俄羅斯盧布SUR泰銖THBForeignExchangeQuotationsDirectandindirectexchangerateQuotationsaregenerallymadeintermsoftheamountofdomesticcurrency(DC)requiredtopurchaseoneunitofforeigncurrency(FC)iscalleddirectexchangerateAmountofforeigncurrencyrequiredtopurchaseoneunitofdomesticcurrencyiscalledindirectexchangerate1USD=6.68RMBdirectexchangerate(inChina)1RMB=0.149USDindirectexchangerate(inChina)ForeignExchangeQuotationsInNewYorkandLondon,tradersuseindirectquotations.TheJapanesequotethedollarexchangerateas120Y/$($:Y)(120yenperdollar),adirectrateinJapan.BecauseofthecentralroleplayedbytheU.S.dollar,incountriesotherthantheUnitedStates,allexchangerateswiththedollarareusuallygivenasdirectrates,thedomesticcurrencyvalueofonedollar.ForeignExchangeQuotationsSomeexceptionsTheBritishpoundplayedahistoricalroleontheinternationalscene,ithasalwaysbeenquotedasthedollarpriceofonepound.Whentheeurowasintroducedin1999,itisquotedtheforeigncurrencyvalueofoneeuro,includingthedollar.鏈接：英鎊的興衰英國在1816

宣布金本位制，1821年正式實(shí)行。此后，很多國家采用了金本位制，成為一種世界性的制度。英鎊是這一國際貨幣體系的中心。首先，英國經(jīng)濟(jì)是世界最強(qiáng)。1860年時(shí)，世界的出口有三分之一涌向英國。同時(shí)，英國也大量向世界各地出口機(jī)器制成品和服務(wù)。其次，英國金融業(yè)十分發(fā)達(dá)。倫敦當(dāng)時(shí)執(zhí)世界金融業(yè)的牛耳，銀行林立，國際金融客戶紛至沓來。鏈接：英鎊的興衰英國是“世界的銀行家”。英國的對(duì)外投資，占世界全部投資的40%。世界貿(mào)易的60%以英鎊定價(jià)、結(jié)算和融資。許多國家把國際儲(chǔ)備存放在倫敦。1899年，世界外匯儲(chǔ)備的64%是英鎊。英鎊當(dāng)時(shí)風(fēng)靡世界。很多國家如澳大利亞、新西蘭和南非等，直接就以英鎊為貨幣。其他如加拿大等，英鎊則是平行于其本國貨幣的法償貨幣。更多的國家將其貨幣釘住英鎊。這些國家和地區(qū)后來構(gòu)成龐大的英鎊區(qū)，涵蓋70多個(gè)國家和地區(qū)。鏈接：英鎊的興衰第一次世界大戰(zhàn)是英鎊命運(yùn)的轉(zhuǎn)折點(diǎn)。英國由投資國逆轉(zhuǎn)為負(fù)債國。1971年，英鎊實(shí)施自由浮動(dòng)，英鎊區(qū)解體。1985年3月曾一度跌至1英鎊兌換1.03美元的歷史低點(diǎn)。以后英鎊改為“尾隨馬克”，英國利率政策聽命于德國。導(dǎo)致先是因追隨德國低利率而使國內(nèi)通脹迅速上漲。爾后德國利率上升，英國隨之提高利率，而剛好與國內(nèi)經(jīng)濟(jì)形勢背道而馳。鏈接：英鎊的興衰英國在1990年10月又匆匆按1英鎊兌2.95馬克的匯率參加了歐洲匯率機(jī)制（ERM），這一匯率過高但是不能變動(dòng)。導(dǎo)致利率匯率雙雙過高，無法維持固定匯率。1992年9月16日英鎊經(jīng)歷“黑色星期三”，索羅斯單挑英格蘭銀行，從賣空英鎊中獲利將近10億美元。英國政府共投入270億英鎊，結(jié)果慘敗。英國政府期間共損失34億英鎊。英國就此退出歐洲匯率機(jī)制。鏈接：英鎊的興衰退出ERM后，英格蘭銀行設(shè)立了獨(dú)立的貨幣政策委員會(huì)自主決定利率，并把貨幣政策改為釘住通貨膨脹目標(biāo)。此后，英國的通貨膨脹一直在低水平上游走，產(chǎn)出的波動(dòng)也很溫和。特別是失業(yè)率比從前低了很多。英鎊也逐漸走強(qiáng)，甚至超過了參加ERM時(shí)的價(jià)位。2010年后歐洲主權(quán)債務(wù)危機(jī)爆發(fā)。市場的注意力轉(zhuǎn)移到了比英國更危急的歐元體系。此后，英鎊短期內(nèi)從2008年12月的低點(diǎn)，上升了將近20%。ForeignExchangeQuotationsExchangeratedigitsandappreciation/depreciationIntheforexmarket,quotationsaregenerallygivenwithfivedigits.$/€=1.2515Anappreciationoftheforeigncurrencycoincideswithadepreciationofthedomesticcurrency.DomesticcurrencyForeigncurrencyIndirectexchangerateDirectexchangerateappreciationdepreciationincreasesdecreasesdepreciationappreciationdecreaseincreasesExample1?:$=1.80WhatisthedirectorindirectexchangerateintheU.S.?WhatisthedirectorindirectexchangerateinBritain??:$=1.90Whichcurrencyisappreciated?Whichcurrencyisdepreciated?Example1SOLUTION?:$=1.80→1GBP:1USD=1.80→1GBP=1.80USD從定義看：直接匯率指1單位的外國貨幣兌換多少本國貨幣從方向看：左邊的貨幣是被標(biāo)價(jià)貨幣，若外國貨幣被標(biāo)價(jià)則為直接標(biāo)價(jià)，若本國貨幣被標(biāo)價(jià)則為間接標(biāo)價(jià)。?:$?$/?即一英鎊兌換多少美元?每英鎊的美元價(jià)值

Example1FromU.S.perspective:Directexchangerate→?:$=1.80Indirectexchangerate→$:?=1:(?:$)=0.556FromBritainperspective:Directexchangerate→$:?=1:(?:$)=0.556Indirectexchangerate→?:$=1.80Whichisappreciated?Whichisdepreciated??:$=1.90表示1英鎊兌換的美元數(shù)量更多，因此英鎊相對(duì)于美元升值了，而美元相對(duì)于英鎊貶值了ForeignExchangeQuotationsBid-ask(offer)pricesTheforeignexchangemarketisaworldwideinter-bankmarketincludingonlymajorbanksandspecializedbrokerswhoactasmiddlemenforsomelocalmarkets,whichislinkedbytelephone.Themarketisorganizedlikeaninternationalover-the-countermarket.ForeignExchangeQuotationsTheforeignexchangedealerquotestwoprices:bidpriceandask(offer)price.Thebidpriceistheexchangerateatwhichthedealeriswillingtobuyacurrency.Theask(offer)priceistheexchangerateatwhichthedealeriswillingtosellacurrency.Themidpointpriceistheaverageofthebidandaskprice:(ask+bid)/2.ForeignExchangeQuotationsPayinga$0.9839/euroaskrateisequivalenttoacounter-partybidding1/0.9839=€1.0164perdollar.TheDC/FCdirectaskexchangerateisthereciprocaloftheindirectbidexchangerate.TheDC/FCdirectbidexchangerateisthereciprocaloftheindirectaskexchangerate.ForeignExchangeQuotationsForbothdirectandindirectquotes,thebid-askspreadcanbegivenasapercentagedefinedas100times(askprice–bidprice)/askprice.100%*(0.9839-0.9836)/0.9839=0.0305%→directrate100%*(1.0167-1.0164)/1.0167=0.0295%→indirectrateForeignExchangeQuotationsSpreadsdifferasaresultofmarketconditionsandtradingvolume.Thesizeofbid-askspreadincreaseswithexchangerateuncertaintybecauseofbank/dealerriskaversion.Spreadsarelargerforcurrenciesthathavealowtradingvolume(thinlytradedcurrencies).鏈接：

莫斯科各銀行提高外匯買賣價(jià)差俄新網(wǎng)莫斯科2010年5月7日電由于美元和歐元兌盧布的匯率大幅上升，莫斯科銀行紛紛在各自外匯兌換點(diǎn)提高外匯買賣價(jià)差。外匯市場的局勢穩(wěn)定的時(shí)候，外匯買賣價(jià)差一般會(huì)在10至20個(gè)戈比之間。當(dāng)匯率出現(xiàn)大幅度波動(dòng)時(shí)候，買賣價(jià)差則擴(kuò)大到1個(gè)盧布，甚至更多。本周三和周四兩天，美元匯率上升1盧布，而歐元上漲0.4盧布。周五截至11點(diǎn)30分（莫斯科時(shí)間），莫斯科銀行間外匯交易系統(tǒng)的平均匯率與周四相比再次上升42戈比，達(dá)到1美元兌30.72盧布。盧布貶值的原因是石油價(jià)格下跌和投資人打算拋售盧布資產(chǎn)。總體上，從周四開始外匯買賣價(jià)差不斷擴(kuò)大。周五早晨歐元和美元兌盧布匯率買賣價(jià)差最高達(dá)到1盧布。ForeignExchangeQuotationsThesizeofthebid-askspreaddoesnotdependonbank/dealerpositions.Themidpointofthespreadmovesinresponsetodealerpositions.Adealerwithexcesssupplyofaforeigncurrencywouldmovethemidpointofhisdirectquotedown.Adealerquotingalargespreadrelativetootherdealerswillbasicallynottrade.Position-頭寸頭寸也稱為“頭襯”就是款項(xiàng)。銀行當(dāng)日的全部收付款中收入大于支出款項(xiàng)，就稱為“多頭寸”，付出大于收入款項(xiàng)，稱為“缺頭寸”。暫時(shí)未用的款項(xiàng)大于需用量時(shí)稱為“頭寸松”，資金需求量大于閑置量時(shí)就稱為“頭寸緊”。外幣交易中，“建立頭寸”是開盤的意思。開盤也叫敞口，就是買進(jìn)一種貨幣，同時(shí)賣出另一種貨幣的行為。開盤后，長了（多頭）一種貨幣，短了（空頭）另一種貨幣。選擇適當(dāng)?shù)膮R率水平以及時(shí)機(jī)建立頭寸是盈利的前提。凈頭寸是指開盤后獲取的一種貨幣與另一種貨幣之間的交易差額。ForeignExchangeQuotations-

Example2ExchangeratequotesandFrenchbondsAU.S.portfoliomanagerwantstobuy$10millionworthofFrenchbonds.Themanagerwantstoknowhowmanyeuroscanbeobtainedtoinvestusingthe$10million.Portfoliomanemanagercallsseveralbankstogettheir€/$quotation.BankA:€/$=0.80000-0.80020BankB:€/$=0.79985-0.80005BankC:€/$=0.79995-0.80015BidpriceAsk

priceForeignExchangeQuotations-

Example2Notethattheaskforallthreequotationsadd0.00020tothebid.Howmanyeuroswilltheportfoliomanagergettoinvest?SOLUTIONThemanagerwillimmediatelychooseBankAandindicatethatshewillbuy8millioneurosfor$10million.ArbitrageArbitrageArbitragekeepsexchangeratesinlinewitheachotherandwithrisk-freeinterestrates.Triangulararbitrageandcross-ratesinvolveexchangeratesbetweenthreecurrenciesandtherisk-lessprofit-seekingmotivethatpushesexchangeratesintoalignmentwitheachother.Acrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry'sexchangeratewithathirdcountry.Arbitrage-crossratesAsimpleexamplethedollarpereuroexchangerateis0.9836($/€)thedollarperpoundrateis1.5231($/?)Theeuropoundcross-ratecanbecalculatedbymultiplyingtheeuroperdollarrate(1/0.9836)bythedollarperpoundrate:(1/0.9836)*1.5231=1.5485,or€1.5485perpoundArbitrage-crossratesWecanfindouttheequationofcrossrateswithoutthinkingofbid-askexchangerate.Giventwoexchangerates:FC1/DC=S1FC2/DC=S2FC1/FC2=(FC1/DC)/(FC2/DC)=(FC1/DC)*(FC2/DC)Anotherdemonstration:DC:FC1=S1DC:FC2=S2FC2:FC1=(DC:FC1):(DC:FC2)Arbitrage-Example3REVIEWIf€/$=$:€=0.80Y/$=$:Y=120SoY/€=€:Y=($:Y):($:€)=120:0.8Arbitrage-Example3SOLUTION(Y/€)bid=(€:Y)bid

(€:Y)bid→目標(biāo)為銀行買入€賣出Y→銀行先要買入$

賣出Y→($:Y)bid→然后銀行要買入歐元賣出美元→(€:$)bid(€:Y)bid=($:Y)bid*(€:$)bid由于(€:$)bid=1/($:€)ask

所以(€:Y)bid=($:Y)bid*(€:$)bid=($:Y)bid/($:€)ask(€:Y)bid=120.00/0.80020=149.96Exercise:calculate(Y/€)askArbitrage-Example3Toverifythatthecalculationshavebeenmadecorrectly,therearetwochecks.RightdirectionMaximizingbid-askspreadArbitrage-Example3Lookatthesymbols.TogetY/€,wedividetheY/$by€/$rate.Observethatthe$symboldisappears:Y/€=Y/$/€/$ORY/€=Y/$*$/€Maximizethebid-askspreadTogetthebidcross-rate,whichisthesmallerrate,putthesmallerfigure(thebid-Y/$)inthenumeratorandthelargerfigure(theask-€/$)inthedenominator.Togettheaskcross-rate,dothereverse.Arbitrage(FC1/FC2)ask=(FC1/DC)ask*(DC/FC2)ask(FC1/FC2)bid=(FC1/DC)bid*(DC/FC2)bid(FC2/FC1)ask=(DC/FC1)ask*(FC2/DC)ask(FC2/FC1)bid=(DC/FC1)bid*(FC2/DC)bid(FC2/FC1)ask=1/(FC1/FC2)bid

(FC2/FC1)bid=1/(FC1/FC2)ask

Arbitrage-ThelawofonepriceHowdoesanarbitrageopportunityoccur?Arbitragealignsexchangeratequotationsthroughouttheworld.Thequotationforoneexchangeratemustbethesameatagiveninstantworldwide.Ifquotationsweretodeviatebymorethanthespread,asimplephonecalwouldallowatradertomakeenormousprofits.Arbitrage-ThelawofonepriceWhatisthelawofoneprice?Thelawofonepriceindicatesthattheexchangeratequotesintwocountriesshouldbethesamewithinatransactioncostband.Arbitrage-ThelawofonepriceWithexchangeratebetweentwocountries,thebid-askspreadinonecountryshouldbealignedwiththeother,orabilateralarbitrageopportunitywouldbepresent.Atriangulararbitrageopportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.鏈接：一價(jià)定律一戰(zhàn)以前，各國貨幣都規(guī)定黃金含量，持有貨幣可以自由兌換黃金。兩國貨幣的匯率，就是貨幣的含金量之比，稱為鑄幣平價(jià)。比如，1英鎊含黃金113.0格令，1美元含黃金23.3格令，兩國貨幣的鑄幣平價(jià)就是4.9，因而英鎊兌美元的匯率就是1:4.9。受市場行情的影響，匯率也會(huì)有所波動(dòng)，但由于有黃金作保證，匯率波動(dòng)的幅度很小，故此時(shí)的匯率稱為固定匯率。鏈接：一價(jià)定律一戰(zhàn)期間，各國大量發(fā)行紙幣，紙幣含金量無法保證，不能兌換黃金，鑄幣平價(jià)隨之瓦解。戰(zhàn)爭結(jié)束后，1922年瑞典學(xué)者卡塞爾出版了《1914年以后的貨幣和外匯》一書，提出購買力平價(jià)說，認(rèn)為應(yīng)根據(jù)各國貨幣的購買力來確定它們之間的匯率。此說一出，各國政府按圖索驥，紛紛重定匯率。鏈接：一價(jià)定律購買力平價(jià)說的前提是，兩國之間貿(mào)易自由，商品、勞務(wù)交流，不受關(guān)稅、配額限制，即便有限制，雙方外貿(mào)政策對(duì)等，沒有相互歧視。同時(shí)，假設(shè)兩國商品的運(yùn)輸成本也大致相同?？ㄈ麪柕耐普撌?，同樣貨物無論在哪里銷售，其價(jià)格必然相等。即若世界上只有一種貨幣，那么在任何地方購買同質(zhì)的商品，花費(fèi)都應(yīng)該一樣。此推論被稱為“一價(jià)定律”。鏈接：一價(jià)定律各國貨幣不可能相同，由“一價(jià)定律”可推出的含義是，兩種貨幣匯率等于它們的購買力之比。比如一個(gè)漢堡包在美國賣1美元，在日本賣150日元，即1美元相當(dāng)于150日元的購買力，美元兌日元的匯率是1:150。如果一國的貨幣購買力下降，商品的國內(nèi)價(jià)格上升，該貨幣就會(huì)對(duì)外等比例貶值；反之，購買力上升，貨幣則會(huì)相應(yīng)升值。Arbitrage-TriangulararbitrageStepsincalculatingtheprofitofatriangulararbitragePickthecross-ratecurrency.Determinewhetherthecross-ratebid-askquotesareinlinewiththedirectquotes.Determinewhetheritischeapertobuyforeigncurrencydirectlyorindirectly(throughthecross-quotedcurrency).Arbitrage–Example5Thedirectexchangerateis2DCunitsfor1FC1unit,and3DCunitsfor1FC2unit.Thequotedcross-rateis1.48FC1for1FC2unit.Isthereanarbitrageopportunity?Arbitrage–Example5Thequotedcross-rateislessthanthecross-rate.with1DCunit,buy0.5FC1units;convertto0.5/1.48=0.33784FC2units;andthenconvertto0.33784*3=1.0135DCunits.1DC=0.5FC1→0.5/1.48=0.33784FC2→0.33784*3=1.0135DCInvestorsgot(1.0135-1)DCunitsForwardQuotesSpotexchangerateSpotexchangeratesarequotedforimmediatecurrencytransactionsinpracticethesettlementtakesplace48hourslaterSpottransactionsareusedextensivelytosettlecommercialpurchasesofgoods,aswellasforinvestment.ForwardQuotesForwardexchangerateForwardexchangeratesarecontractedtodaybutwithdeliveryandsettlementinthefuture,usually30or90dayshence.Abankmayquotetheone-month€/$exchangerateas0.80200-0.80250.Thismeansthebankiswillingtocommititselftodaytobuydollarsfor0.80200euroortosellthemfor0.80250euroinonemonth.ForwardQuotesInaforward,orfutures,contractwhichisacommitmentisirrevocablymadeonthetransactiondate.butdelivery,thatis,theexchangeofcurrency,takesplacelater,onadatesetinthecontract.Liquiditydecreaseswiththeincreasingmaturityoftheforwardcontract.Bid-askspreadsincreaseswiththeincreasingmaturityofthecontract.ForwardQuotes–

PremiumanddiscountForwardexchangeratesareoftenquotedasapremium,ordiscount,tothespotexchangerate.Withaquoteshowingthecurrencypriceofonedollar,thereisapremiumonthedollarwhentheforwardexchangerateishigherthanthespotrateandadiscountotherwise.Thedollaris“strong”relativetotheothercurrency,asitsforwardvalueishigherthanitsspotvalue.ForwardQuotes–

PremiumanddiscountAsimpleexampleIftheonemonthforwardexchangerateis€/$=0.80200andthespotrateis€/$=0.80000.thedollarquoteswithapremiumof0.0020europerdollar.ForwardQuotes–

PremiumanddiscountIfacurrencyquotesatadiscount,thediscountshouldbesubtractedtoobtaintheforwardrate.AsimpleexampleSpotexchangerate$:Y=120.5Three-monthdiscount0.5Y/$Three-monthforwardexchangerate120.5-0.5=120ForwardQuotes–

PremiumanddiscountAnnualizedforwardpremium:ForwardQuotes–

PremiumanddiscountAsimpleexampleSpotrate:€/$=0.80000One-monthforwardexchangerate:€/$=0.80200AnnualizedforwardpremiumonthedollarInterestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity(IRP)isarelationshiplinkingspotexchangerates,forwardexchangerates,andinterestrates.Fortwocurrencies,theinterestrateparityrelationshipisthattheforwarddiscount(premium)equalstheinterestratedifferentialbetweenthetwocurrencies.Theproductoftheforwardrateandoneplusthedomesticrisk-freerateequalstheproductofthespotratemultipliedbyoneplustheforeignrisk-freerate.(indirectrates)Interestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity:theforwarddiscountandtheinterestratedifferentialSpotexchangerate$:€=0.8One-yearinterestrates€:14%$:10%Totakeadvantageoftheinterestratedifferential,aspeculatorcouldborrow$units(at10%),convertthemimmediatelyinto€units,andinvest€(at14%).Attheendoftheperiod,attime1,thespeculatormustconvert€into$atanunknownratetohonortheclaimin$borrowed.Interestrateparity:theforwarddiscountandtheinterestratedifferentialThispositionmaybetransformedintoacovered(risk-less)interestratearbitragebysimultaneouslybuyingaforwardexchangeratecontracttorepatriate€into$inoneyearataknownforwardexchangerateof0.808€/$.theinvestorstillbenefitsontheinterestratedifferential(againof4%),butlosesontherepatriationof€into$ontheforwardcontract.Interestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity:theforwarddiscountandtheinterestratedifferentialInoneyear,theexchangeratelosswillbeequalto:Per$

borrowed,thenetgainonthepositionis3%.Thisgainiscertainattime0,becauseallinterestratesandexchangeratesarefixedatthattime.Nocapitalisinvestedintheposition,whichisapureswapwithsimultaneousborrowingandlending.Interestrateparity:theforwarddiscountandtheinterestratedifferentialIfsuchrateswerequotedinreality,bankswouldarbitragetoexploitthisrisk-lessprofitopportunity.Enormousswapscouldoccur,