六講 外匯市場

Chapter6TheforeignexchangemarketDec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________

DouglasCloudOneThousandDollarsandno/100690T.WoodMostinternationalfinancialtransactionssoonerorlaterinvolveanexchangeofonecurrencyforanothertheexchangerateandexchangeratedeterminationplayanimportantroleininternationalfinancialtheory.絕大多數(shù)的國際金融交易活動都或多或少地涉及到外匯交易。因此說匯率及其決定因素分析在國際金融理論中占有重要的地位。Theefficiencyoftheinternationalfinancialsystemanditsdegreeofintegrationwiththeindividualnationalfinancialsystemsdependstoalargeextentonhowcheaplyandquicklyforeignexchangetransactionscanbeeffected.Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________

DouglasCloudOneThousandDollarsandno/100690T.Wood國際金融系統(tǒng)的效率，及其同各國金融系統(tǒng)的聯(lián)系程度在很大程度上取決于外匯交易的成本和效率Theforeignexchangemarketiswherecurrenciesareboughtandsold.Inthischapterwelookattheforeignexchangemarketfromatechnicalpointofview,examininghowthemarketisorganized,howexchangeratesarequotedandhowtradesareactuallymade.外匯市場是進行外匯交易的場所。本章將從技術(shù)的角度來分析外匯市場、研究市場是如何構(gòu)成、匯率是如何標(biāo)價，以及實際的外匯交易是如何操作的。Wewillalsoseehowdeliveryandsettlementisachievedbetweenagentsindifferentcountries.AnimportantelementinthediscussionisthelinkbetweentheforeignexchangemarketandtheEurocurrencymarket.還將涉及到不同國家的銀行之間是如何進行移交和結(jié)算的等問題。其中我們將重點討論外匯市場和歐洲貨幣市場間的聯(lián)系。Organizationoftheforeign

exchangespotmarket

(即期外匯市場的組織結(jié)構(gòu)）1.1TheinterbankmarketForeignexchangetransactionsForeignexchangetransactionsinvolvebuyingandsellingonecurrencyforanother.外匯交易是指用一種貨幣兌換另外一種貨幣的交易活動。實際的外匯交易一般都不是雙方直接進行貨幣交易的，而是以一種貨幣的活期存款兌換另一種貨幣的活期存款。Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________

DouglasCloudOneThousandDollarsandno/100690T.WoodThetransactioncanbemadeforimmediatedeliveryonthespotmarketFuturedeliveryonthefuturedelivery即期市場中的外匯交易是立即進行交割的外匯交易，而遠期外匯交易是指按照約定的時間在未來進行交割的交易。Thecoreoftheforeignexchangemarketistheinterbankmarket.Itisaninformal,over-the-counter,arounnd-the-clockmarketthatincludesthemajorcommercialbanksandsomespecializedbrokerslocatedintheprincipalfinancialspecialsatellitecommunicationsnetworkcalledSWIFT.銀行同業(yè)市場是外匯市場的重要組成部分，銀行同業(yè)市場是一種非正式的、場外的、全天候外匯交易市場，其業(yè)務(wù)范圍涉及到世界各主要金融中心的大型商業(yè)銀行和專業(yè)經(jīng)紀(jì)公司。他們之間通過電話、電報，而現(xiàn)在更多的是通過稱為SWIFT的專用通訊衛(wèi)星網(wǎng)絡(luò)來傳輸交易。1.2SpotquotationsDirectdollarquotes(Europeanterms)Exchangeratescanbequotedintwoways:Thenumberofunitsofdomesticcurrencyforoneunitofforeigncurrency(incertain,directquotations

);Thenumberofunitsofforeigncurrencyforoneunitofdomesticcurrency(√).匯率的表示方法有兩種：（１）以本國貨幣表示的一單位外國貨幣的數(shù)量；（２）以外國貨幣表示的一單位本國貨幣的數(shù)量。Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________

DouglasCloudOneThousandDollarsandno/100690T.Wood目前世界絕大多數(shù)國家都采用直接標(biāo)價法，而英國和美國則采用間接標(biāo)價法。Thedifferenceisthespread(gain)Thespreadatlessthan0.04%bid/askspread=askrate–bidrate askrateExample Supposebidpricefor￡=$1.52, askprice=$1.60. Spread=(1.60–1.52)=.05or5% 1.60Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________

DouglasCloudOneThousandDollarsandno/100690T.WoodRememberthatforeignexchangequotesaresymmetrical.Buyingoneisthesameassellingtheother.切記匯率的標(biāo)價是完全對稱的。即買入一種貨幣就相當(dāng)于賣出另外一種貨幣。Indirectquotation=1 Directquotation1.3CrossratesAcrossexchangeratereflectstheamountofoneforeigncurrencyperunitofanotherforeigncurrency.以非美元標(biāo)價的、不同外幣間的匯率就叫做套算匯率。Example

Directquote:$1.50/￡,$.009/￥Indirectquote:.67￡/$,111.11￥/$Valueof￡in￥= valueof￡in$ valueof￥in$ = $1.50/￡ $.009/￥Triangulararbitrage------三角套匯2.Theforwardforeignexchangemarket（遠期外匯市場）2.1ForwardquotesSpotexchangeratesarequotedfordeliverytwobusinessdaysafterthetransactionisconcludedForwardcontractsareforeignexchangetradersquoteexchangeratesfordeliveryfurtherthantwodaysinthefuture.即期匯率是外匯交易完成后的兩個營業(yè)日內(nèi)進行外匯交割的匯率。銀行同業(yè)拆借市場中外匯交易者也可以在兩個營業(yè)日之后的未來某個約定日期進行交割，并以當(dāng)日的匯率作為交易匯率-----遠期外匯交易。Contractscanbenegotiatedforjustaboutanymaturitybutmostbankssupplyregularquotesonmaturitiesof30,60,90and180days.遠期外匯交易合同規(guī)定，可以在未來的任何時間進行交割，但大多數(shù)銀行規(guī)定的一般期限為30天、60天、90天或者180天。1.1ForwardquotesDiscountsandpremiumsF0,t——t年內(nèi)交割的遠期匯率S0——即期匯率Representedtheforwardpremiumortheforwarddiscount.ForwardpremiumForwardpremiumTheforwardrateishigherthanthespotrate.ForwarddiscountTheforwardratehadbeenlowerthanthespotrate.升水就是指外匯的遠期匯率高于即期匯率的部分。如果遠期匯率低于即期匯率，我們就稱之為遠期貼水。Closingmid-pointTakingthesumofthebidandtheaskanddividingbytwogivestheclosingmid-point.中間價是指匯率的買入價與賣出價總和的平均值Thepremiumontheyenvis-à-visthedollaris6.2%Thediscountonthedollarisapproximatelyequaltothepremiumontheyen.1.2ConventionsinforwardquotationsQuotetherate“outright”SwaprateItinvolvesgivingthenumberofunitsofonecurrencythatittakestobuyoneunitofanothercurrencyfordeliveryinthefuture.Itpresentstheforwardrateasadiscountorpremiumonthespotrate.一種是直接標(biāo)出匯率，類似于即期匯率標(biāo)價法。即標(biāo)出未來購買一單位外國貨幣所需的某種貨幣的數(shù)量。另一種方法是通過升水或貼水的方法來表示遠期匯率，或者稱為互換匯率Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________

DouglasCloudOneThousandDollarsandno/100690T.WoodWhenforwardratearequotedasaswapinsteadofoutright,thespotrateisgivenandthentheforwardrateisgivenasanumberofpointsthatmustbeaddedorsubtractedfromthespotrate.如果是采用互換式遠期匯率標(biāo)注法，要先給定即期匯率，再在此基礎(chǔ)上加減一定的數(shù)額得出遠期匯率。80>78and213>210,thistellsusthatthepoundissellingatadiscountandthattoobtaintheoutrightforwardratewemustsubtractthebid-askpointsfromthespotrate.如美元對英鎊的匯率，買入?yún)R率高于賣出匯率（８０＞７８，２１３＞２１０）。這意味著英鎊正在貶值出售，應(yīng)該從即期匯率中減去買入／賣出匯率的差價以獲得相應(yīng)的遠期匯率。27<31and83<88,thistellsusthattheUSdollarisataforwardpremiumandthatthepointsshouldbeaddedtothespotratetoobtaintheoutrightforwardquote.同理可得加拿大元／美元的匯率，差別只在于匯率的買入價低于賣出價（２７＜３１，８３＜８８）。這說明了美元是遠期升值的，所以增加的差價應(yīng)該被加到相應(yīng)的即期匯率上，以得出遠期匯率。例題解析1.InBelgium,the"certain''is:

ThenumberofunitsofforeigncurrencyforoneBelgianfranc

ThenumberofBelgianfrancsforoneunitofforeigncurrency

ThenumberofdollarsforoneFrenchfranc

ThenumberofBelgianfrancsforoneFrenchfranc

Key:A2.CHAPSisaninternationalclearingsystemforwhichofthefollowingtypesoffunds:DollarfundsItalianlirafundsSterlingfundsYenfundsKey:C3.Thecrossrateis:A.Theexchangeratebetweenthedollarandanon-EuropeancurrencyB.TheexchangeratebetweenthedollarandanEuropeancurrencyC.TheexchangeratebetweentwocountriesthatdonotinvolvedollarsD.TheforwardexchangerateonacurrencyotherthandollarsKey:C4.Whichofthefollowingstatementsistrue:AtraderisamarketmakerAtraderoperatesinaforeignexchangetradingroomAtraderisalsoabrokerNoneoftheabovethreestatementsKey:A5.Fillinthemissingexchangeratesinthefollowingtable.

EuroUSdollarYenBritishpoundE