必講外匯市場

INTERNATIONALFINANCIALMANAGEMENTINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEditionChapterObjectives:Thischapterservestointroducethestudenttotheinstitutionalframeworkwithinwhichexchangeratesaredetermined.Thischapterlaysthefoundationformuchofthediscussionthroughouttheremainderofthetext,thusitdeservesyourcarefulattention.5ChapterFiveTheMarketforForeignExchange貨幣代表的是購置力，如果要購置其他國家的產(chǎn)品或效勞，一般需要先購置該國的貨幣。就是用本國貨幣去購置外匯，這樣就能將本國購置力轉(zhuǎn)化為外匯國家的購置力。外匯市場是世界最大的金融市場。倫敦目前是世界最大的外匯交易中心。

國財6版page94圖；最新數(shù)據(jù)見下頁ppt；國財5版page89圖;EXHIBIT5.1SharesofReportedGlobalForeignExchangeTurnoverbycountryorregion,2023〔Source：BankforInternationalSettlements，:///statistics/index.htm)FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSwapTransactionsForwardPremiumFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketChapterOutlineTheFunctionandStructureof

theFXMarket即期和遠期外匯市場都屬于場外交易市場〔OTC)，買賣雙方通過、計算機終端和自動處理系統(tǒng)形成交易網(wǎng)絡(luò)，將全球范圍的貨幣交易銀行、非銀行交易商和外匯經(jīng)紀人聯(lián)系在一起。路透社和電子經(jīng)紀效勞公司是外匯交易報價顯示器的最大銷售商。外匯市場通信系統(tǒng)堪稱首屈一指，絕不亞于政府、國防和情報部門的通信系統(tǒng)。外匯市場一天24小時都在進行著交易。分為三個主要市場：亞洲-澳洲市場、歐洲市場和北美市場。亞洲-澳洲市場包括東京、新加坡、香港、悉尼和巴林等交易中心；歐洲市場包括倫敦、蘇黎世、巴黎、法蘭克福、布魯塞爾和阿姆斯特丹交易中心；北美市場包括紐約、芝加哥、舊金山、洛杉磯、蒙特利爾和多倫多交易中心。絕大多數(shù)交易所每天營業(yè)9至12個小時。EXHIBIT5.2TheCircadianRhythmsoftheFXMarket〔Source：FederalReserveBankofNewYork，〕TheFunctionandStructureof

theFXMarketFXMarketParticipantsCorrespondentBankingRelationships〔通匯關(guān)系〕FXMarketParticipantsTheFXmarketisatwo-tieredmarket〔雙層市場〕:InterbankMarket〔Wholesale，批發(fā)市場或銀行間同業(yè)市場〕ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventory.ClientMarket〔Retail，零售市場〕Marketparticipantsincludeinternationalbanks,theircustomers,nonbankdealers〔非銀行交易商〕,FXbrokers,andcentralbanks.國際銀行是外匯市場的核心。銀行客戶包括跨國公司、理財經(jīng)理和私人投資者。2023年BIS的統(tǒng)計數(shù)據(jù)，零售或銀行客戶交易量約占外匯交易總量的14%〔2007該數(shù)據(jù)為17%〕，其余86%為國際銀行或非銀行交易商間的銀行同業(yè)交易。非銀行交易商指大型的非銀行金融機構(gòu)，如投資銀行、共同基金、養(yǎng)老基金、對沖基金等。2023年，非銀行交易商的交易量占銀行同業(yè)市場交易量的47%〔2007年該數(shù)據(jù)為40%〕。大局部銀行同業(yè)交易屬于投機性或套利性交易。其參與者試圖通過判斷匯率走勢或通過相互競爭的交易商間的臨時性價格偏差來獲利。外匯經(jīng)紀人為交易商的外匯買賣進行撮合并從中收取費用，但他們自身并不持有頭寸。銀行同業(yè)交易的大量業(yè)務(wù)都是通過路透社和EBS平臺來完成的。中央銀行干預(yù)外匯市場主要指運用外匯儲藏購置本國貨幣、使本幣供給量減少，使本幣升值；出售本幣購置外匯，使本幣供給量增大，使本幣貶值。干預(yù)外匯市場中央銀行通常損失外匯儲藏，但無證據(jù)說明大規(guī)模干預(yù)外匯市場能實質(zhì)性的影響匯率走勢。FXMarketParticipantsCorrespondentBanking〔代理行〕RelationshipsLargecommercialbanksmaintaindemanddeposit(活期存款〕accountswithoneanotherwhichfacilitatestheefficientfunctioningoftheFXmarket〔有利于外匯市場的有效運作〕.

銀行同業(yè)市場就是代理行關(guān)系網(wǎng)絡(luò)，其中大型商業(yè)銀行彼此間都設(shè)立存款賬戶，即所謂代理行賬戶。

CorrespondentBankingRelationshipsBankAisinLondon,BankBisinNewYork.Thecurrentexchangerateis￡1.00=$2.00.AcurrencytraderemployedatBankAbuys￡100mfromacurrencytraderatBankBfor$200msettledusingitscorrespondentrelationship(代理行關(guān)系〕.〔注：A銀行在B銀行有英鎊和美元兩個存款賬戶，A銀行記錄在自己的資產(chǎn)賬戶下，同時B銀行在A銀行也有英鎊和美元兩個存款賬戶，A銀行記錄在自己的負債賬戶下，這樣涉及到A銀行四個賬戶，兩個資產(chǎn)賬戶和兩個負債賬戶；同理B銀行也是，這樣共涉及八個賬戶?！矪ankALondonBankBNYC$200m￡100mCorrespondentBankingRelationshipsAssets Liabilities￡depositatB￡300mOtherAssets￡600mB’sDeposit$1,000mOtherL&E￡600mTotalAssets￡1,300mTotalL&E￡1,300mAssets Liabilities$depositatA$1000mOtherAssets$800mA’sDeposit￡300mOtherL&E$800mTotalAssets$2,200mTotalL&E$2,200m￡400m$1,200m$1200m￡400m$600mB’sDeposit￡200m$600m￡depositatA￡200m￡100mA’sDeposit$800mBankALondonBankBNYC$200m￡100m$depositatB$800m￡100m銀行A的記賬貨幣為英鎊，因為A在英國；銀行B的記賬貨幣為美元，因為B在美國。Thecurrentexchangerateis￡1.00=$2.00.BankALondon$200mCorrespondentBankingRelationshipsInternationalcommercialbankscommunicatewithoneanotherwith〔以下的通信系統(tǒng)用于全球結(jié)算〕:SWIFT:TheSocietyforWorldwideInterbankFinancialTelecommunications.CHIPS:ClearingHouseInterbankPaymentsSystemECHO:ExchangeClearingHouseLimited,thefirstglobalclearinghouseforsettlinginterbankFXtransactions.TheSpotMarket〔即期外匯市場〕SpotRateQuotations〔即期匯率報價〕TheBid-AskSpread〔買賣差價〕SpotFXtrading〔即期外匯交易〕CrossRates〔套算匯率〕Spot〔Forward〕RateQuotationsCountryUSDequiv

FridayUSDequiv

ThursdayCurrencyperUSD

FridayCurrencyper

USDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsNotethatthedirectquoteisthereciprocal〔倒數(shù)的〕oftheindirectquote:5242.19077.1=CountryUSDequivFridayUSDequivThursdayCurrencyper

USDFridayCurrencyperUSDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364TheBid-AskSpreadThebidpriceisthepriceadealeriswillingtopayyouforsomething.Theaskpriceistheamountthedealerwantsyoutopayforthething.Thebid-askspreadisthedifference〔差額〕betweenthebidandaskprices.TheBid-AskSpreadAdealercouldofferbidpriceof$1.25per€askpriceof$1.26per€Thebid-askspreadrepresentsthedealer’sexpectedprofit.哪種貨幣更貴〔2023年6月2日〕，見下頁ppt，國財6版104表，最新資料查詢見以下鏈接Source：TheWallStreetJournal，June3，2023，p.C.2.Source：TheWallStreetJournal，June3，2023，p.C.2.TheBid-AskSpreadAdealerwouldlikelyquotethesepricesas72-77.Itispresumedthatanyonetradingalreadyknowsthe“bigfigure〞.BidAsk1.9072.5242S($/￡)S(￡/$)1.9077.5243bigfiguresmallfigureSpotFXtradingIntheinterbankmarket〔銀行同業(yè)拆借市場〕,thestandardsizetradeisaboutU.S.$10million.Thestakes〔賭注〕arehigh.The“l(fā)ongterm〞isabout10minutes.CrossRatesSupposethatS($/€)=1.50

i.e.€1.00=$1.50andthatS(￥/€)=50

i.e.€1.00=￥50Whatmustthe$/￥crossratebe?$1.50￥50=$1.50€1.00€1.00￥50×$1.00=￥33.33$0.0300=￥1TriangularArbitrage$CreditLyonnaisS(€/$)=1.50CreditAgricoleS(￥/€)=85BarclaysS(￥/$)=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=$6,250TriangularArbitrage$CreditLyonnaisS(€/$)=1.50CreditAgricoleS(￥/€)=85BarclaysS(￥/$)=120Herewehavetogo“clockwise〞tomakemoney—butitdoesn’tmatterwherewestart.￥€123$Ifwewent“counterclockwise〞wewouldbethesourceofarbitrageprofits,nottherecipient!開始有85日元，換1歐元，換2/3美元，換80日元，比開始少了5日元SpotForeignExchangeMicrostructureMarketMicrostructurereferstothemechanics[m?k?n?ks]ofhowamarketplaceoperates.Bid-AskspreadsinthespotFXmarket:increasewithFXexchangeratevolatility.〔需要風(fēng)險補償〕decreasewithdealercompetition.〔競爭加劇，利潤變小〕Privateinformationisanimportantdeterminantofspotexchangerates.實證發(fā)現(xiàn)，中央銀行對外匯市場的干預(yù)似乎對匯率沒有實質(zhì)性影響，卻提高了市場的波動性，這會增加交易者的交易本錢。TheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCrossExchangeRatesSwapTransactionsForwardPremiumTheForwardMarketAforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.Ifyouhaveeverhadtoorderanout-of-stock〔缺貨〕textbook〔教科書〕,thenyouhaveenteredintoaforwardcontract.ForwardRateQuotationsTheforwardmarketforFXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday.Bankquotesfor1,3,6,9,and12monthmaturitiesarereadilyavailable〔容易獲得〕forforwardcontracts.Longer-termswapsareavailable.ForwardRateQuotationsConsidertheexamplefromabove:forBritishpounds,thespotrateis$1.9077=￡1.00Whilethe180-dayforwardrateis$1.8904=￡1.00What’supwiththat?ForwardRateQuotationsClearlythemarketparticipantsexpect〔預(yù)期〕thatthepoundwillbeworthlessindollarsinsixmonths.CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364ForwardRateQuotationsConsiderthe(dollar)holdingperiodreturnofadollar-basedinvestorwhobuys￡1millionatthespotandsellsthemforward〔6MonthsForward〕:$HPR=gainpay$1,890,400–$1,907,700$1,907,700=–$17,300$1,907,700=$HPR=–0.0091AnnualizeddollarHPR=–0.0091×2=–1.82%ForwardPremium〔遠期升水〕Theinterestratedifferentialimpliedbyforwardpremiumordiscount.Forexample,supposethe€isappreciatingfromS($/€)=1.25toF180($/€)=1.30The180-dayforwardpremiumisgivenby:=0.081.30–1.251.25×2=f180,€v$F180($/€)–S($/€)S($/€)=×360180LongandShortForwardPositionsIfyouhaveagreedtosellanything(spotorforward),youare“short〞.Ifyouhaveagreedtobuyanything(spotorforward),youare“l(fā)ong〞.IfyouhaveagreedtosellFXforward,youareshort.IfyouhaveagreedtobuyFXforward,youarelong.PayoffProfiles0S180($/￥)F180($/￥)=.009524ShortpositionlossprofitIfyouagreetosellanything〔此圖為賣出日元〕inthefutureatasetpriceandthespotpricelaterfallsthenyougain.Ifyouagreetosell

anythinginthefutureatasetpriceandthespotpricelaterrisesthenyoulose.PayoffProfilesloss0S180(￥/$)F180(￥/$)=105-F180(￥/$)profitWhetherthepayoffprofileslopesupordowndependsuponwhetheryouusethedirectorindirectquote:F180(￥/$)=105orF180($/￥)=.009524.圖為給出日元換入美元shortposition在與縱軸交點上，美元變得一文不值，按照105日元兌換1美元的遠期合約兌換，每換得一文不值的1美元就損失105日元。Whentheshortenteredintothisforwardcontract,heagreedtosell￥in180daysatF180(￥/$)=105PayoffProfilesloss0S180(￥/$)F180(￥/$)=105-F180(￥/$)120If,in180days,S180(￥/$)=120,theshortwillmakeaprofitbybuying￥atS180(￥/$)=120anddelivering￥atF180(￥/$)=105.〔在現(xiàn)貨市場上買入日元用于遠期市場上交割〕15￥profitshortpositionPayoffProfilesloss0S180(￥/$)F180(￥/$)=105Longposition〔買入日元〕-F180(￥/$)F180(￥/$)shortposition〔賣出日元〕profitSincethisisazero-sumgame,thelongpositionpayoffistheoppositeoftheshort.PayoffProfilesloss0S180(￥/$)F180(￥/$)=105Longposition-F180(￥/$)profitThelonginthisforwardcontractagreedtoBUY￥in180daysatF180(￥/$)=105If,in180days,S180(￥/$)=120,thelongwilllosebyhavingtobuy$atS180(￥/$)=120anddelivering$atF180(￥/$)=105.120–15￥ForwardCrossExchangeRatesIt’sjustan“delayed〞exampleofthespotcrossratediscussedabove.IngenerictermsNoticethatthe“$〞iscancel.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)0.80370.80681.24421MonthForward0.80370.80691.24423MonthsForward0.80430.80741.24336MonthsForward0.80570.80881.2412ForwardCrossExchangeRatesGBP1.00CAD2.3464=GBP1.00USD1.00USD1.8904CAD1.2412×pound-CanadiandollarcrossrateGPB1=USD1.8904CAD1.2412=USD1TheforwardCurrencySymbolsInadditiontothefamiliarcurrencysymbols(e.g.￡,￥,€,$)therearethree-lettercodesforallcurrencies. Itisalonglist,butselectedcodesinclude: NZD新西蘭元SEK瑞典克朗NOK挪威克朗SGD新加坡元ZAR SouthAfricanrand〔南非蘭特〕USD美元EUR歐元GBPBritishpoundCHF SwissfrancsJPYJapaneseyen CAD CanadiandollarAUD澳大利亞元March15th，2023七種主要貨幣套算匯率數(shù)據(jù)見下頁pptMarch15th，2023，資料來源：SWAPSAswapisanagreementtoprovideacounterpartywithsomethinghewantsinexchangeforsomethingthatyouwant.Swaptransactionsaccountforapproximately47%percent〔5版數(shù)據(jù)為56%〕ofinterbankFXtrading,whereasoutrightforwardtradesare13percent〔5版數(shù)據(jù)為11%〕.最新數(shù)據(jù)見下頁ppt表；國財6版Page102表5-2；國財5版Page102表5-1；〔資料來源：TriennialCentralBankSurveyofforeignexchangeandderivativesmarketactivityin2023，BankforInternationalSettlements，〕Swapsarecoveredfullyinchapter14.GlobalforeignexchangemarketturnoverbyinstrumentdailyaveragesinApril,inbillionsofUSdollarsandpercentagesInstrument200720102013Amount%Amount%Amount%Spottransactions

1,005

30.2

1,488

37.5

2,046

38.3Outrightforwards

362

10.9

475

11.9

680

12.7Foreignexchangeswaps

1,714

51.6

1,759

44.3

2,228

41.7Currencyswaps

31

0.9

43

1.1

54

1.0FXoptionsandotherproducts

212

6.4

207