國際金融英文版課件概要1

CHAPTER3THEFOREIGNEXCHANGEMARKET1ForeignExchangeForeignexchangeistheactoftradingdifferentnations’moneys.DemanddepositsinbanksPapermoneysCoinsForeignexchangerateisthepriceofonenation’smoneyintermsofanothernation’smoney.√2ForeignExchangeMarketTheforeignexchangemarketisthemarketinwhichnationalmoneysaretradedforothernationalmoneys.24-hourmarket/geographicdispersionEnormoustradingvolumes($3.2trilliononForexvs.$100billiononNYStockMarketperday,2007)MosttradinginvolvesU.S.dollarsRetailvs.Interbankpartofthemarket324-HourMarketSidney7:00-12:00Tokyo8:00-14:00HongKong/Singapore

9:00-16:00FrankfurtSummer14:00-23:00Winter15:00-0:00LondonSummer

15:00-23:30Winter

16:00-0:30NewYorkSummer20:30-3:00Winter

21:30-4:00WestCoastSummer21:30-4:00Winter

22:30-5:00InBeijingTime,thefollowingmarketsaremostactiveinFXtrading4GeographicalDispersion5MarketSizeMainFXmarketaveragedailyturnover,1988-2007,

inbillionsofUSDSource:BankforInternationalSettlements(December2007)6MarketSizeAsofApr.2021,averagedailyturnoverisestimatedat$3.98trillion.7MarketSizeSource:BankforInternationalSettlements,20218Mosttradedcurrencies

RankCurrencyISO4217code

(Symbol)

%dailyshare

(April2010)

%dailyshare

(April2007)1

U.S.dollarUSD($)84.90%86.3%2

EuroEUR(€)39.10%37.0%3

JapaneseyenJPY(￥)19.00%16.5%4

PoundsterlingGBP(￡)12.90%15.0%5

SwissfrancCHF(Fr)6.40%6.8%6

AustraliandollarAUD($)7.60%6.7%7

CanadiandollarCAD($)5.30%4.2%8-9

SwedishkronaSEK(kr)2.20%2.8%8-9

HongKongdollarHKD($)2.40%2.8%10

NorwegiankroneNOK(kr)1.3%2.2%11

NewZealanddollarNZD($)1.60%1.9%Other11.3%18.1%Total200%200%Source:BankforInternationalSettlements9Mosttradedcurrencies

Source:BankforInternationalSettlements,202110Top10currencytradersRank:2008NameVolume:2011Volume:20081DeutscheBank15.64%21.70%2UBSAG10.59%15.80%3BarclaysCapital10.75%9.12%4Citibank8.88%7.49%5RoyalBankofScotland6.20%7.30%6JPMorgan6.43%4.19%7HSBC6.26%4.10%8LehmanBrothers---3.58%9GoldmanSachs4.13%3.47%10MorganStanley3.64%2.86%CreditSuisse4.80%

N.A.Source:EuromoneyFXsurveyFXPoll.Itisthelargestglobalpollofforeignexchangeserviceproviders.11LevelsofAccessStockmarketvs.Forexmarket:Nocentralexchange:OTCmarketForexmarketisdividedintolevelsofaccess.Retailpartsvs.InterbankpartsTradingvolumeDifferenceinspreads:differencebetweenbidandaskpriceEUR/USD：0.7150/0.7153forinterbankmarket0.7100/0.7200forbanknotesortravelers'checks12RetailMarketsBritishfirmU.S.producerAjetplaneBankinLondonAskitsbanktoconvertpoundsintodollarsBankinNewYorkInstructtotakedollarsfromitsdemanddepositaccountandpaytotheU.S.producerTransferdollarstoitsaccount13Inter-bankMarketSupposethatbankinLondonmaybeunwillingtocontinueholdingthepounds…

Theinter-bankmarketaccountsformorethan40%ofalltransactions.Participantsininter-bankmarket:commercialbanksandinvestmentbanksActiveparticipantsinretailpartofthemarket:

smallerinvestmentbanks,multi-nationalcorporations,hedgefunds,pensionfunds,insurancecompanies,mutualfunds,otherinstitutionalinvestors14ExchangeRatesAnexchangerateisthepriceofonecurrencyintermsofanothercurrency.·

Twocurrenciesinvolved·

Timingofdelivery1.

Spot2.

Forward(Anotherrateisthefuturespotrate.)√15ExchangeRatesAsaU.S.dollarpriceoftheothercurrency.$1.7621/￡$0.1462/rmbAsthepriceoftheU.S.dollarinunitsoftheothercurrency.￡0.5675/$rmb6.8406/$Thereciprocalsofeachother.√16Directvs.IndirectQuotationDirectQuotation:Ratesquotedintermsofavariablenumberofhomecurrencyperfixedforeigncurrencyunit.rmb6.8406/$ViceVersa$0.1462/rmb17SpotExchangeRateDate:2008/09/10CurrencyNameBuyingRateCashBuyingRateSellingRateMiddleRateGBP1200.461175.151210.11203.84HKD87.5386.8387.8687.7USD682.69677.22685.43684.06CHF603.48590.75608.32n.a.JPY6.35686.22286.40796.3853CAD638624.55643.13n.a.

AUD549.56537.97553.97n.a.

EUR962.95942.65970.68965.07Source:BankofChina,ThepriceoftheothercurrencyinunitsofRMB18SpotExchangeRateDate:2010/10/15CurrencyNameBuyingRateCashBuyingRateSellingRateMiddleRateGBP↓1039.271007.181047.621048.25HKD↓85.6184.9285.9385.98USD↓664.47659.14667.13667.59CHF

↑678.16657.22683.61n.a.JPY

↑8.14817.89668.21368.2185CAD

↑645.58625.65650.76n.a.

AUD

↑650.01629.94655.23n.a.

EUR

↓924.01895.49931.44928.82Source:BankofChina,19CrossRatesinSpotMarketMajorCurrencyCrossRatesSep.09,2008CurrencyU.S.$YenEuroCan$GBPAU$CHFLast

TradeN/A2:00pmET2:12pmET11:49amET2:12pmET2:14pmET2:01pmET

1

U.S.$=1107.260.70731.06780.56751.24021.12961Yen=0.00932310.0065940.0099560.0052910.0115620.0105311Euro=1.4138151.644111.50970.80241.75331.5971Can$=0.9365100.44480.662410.53151.16141.05781U.K.Pound=1.762188.99741.24631.881612.18521.99041AU$=0.806386.48910.57030.86110.457610.91091CHF=0.885394.9540.62620.94530.50241.09791Source:√20

DollarEuroPoundSFrancPesoYenCADCanada1.02711.43071.61061.04850.08320.0126....Japan81.36113.33127.5883.0536.5869....79.212Mexico12.35217.20519.36912.609....0.151812.026Switzerland0.97961.36451.5361....0.07930.0120.9538U.K.0.63770.8883....0.6510.05160.00780.6209Euro0.7179....1.12580.73290.05810.00880.699U.S.....1.39291.56811.02080.0810.01230.9736

TheNewYorkforeignexchangesellingratesbelowapplytotradingamongbanksinamountsof$1millionandmore,asquotedat4p.m.EasterntimebyDowJonesandothersources.Retailtransactionsprovidefewerunitsofforeigncurrencyperdollar.ForLateNewYorkTradingFriday,October22,2021KeyCurrencyCrossRatesSource:WallStreetJournal21WhatmakestheERriseorfall?Allthetransactionscreatesupplyanddemandforforeigncurrencies,whichdeterminetheexchangerate,withincertainforeignexchangesystem.√22Demand&SupplyImportsofgoodsandservicesandcapitaloutflows(aswellasincomepaymentstoforeigners)createademandforforeigncurrency.Exportsofgoodsandservicesandcapitalinflows(aswellasincomereceivedfromforeignsources)createasupplyofforeigncurrency.√23DemandandSupplyCurves24WhyDoesDemandCurveSlopeDownward?Whenthepounddeclinesfrom$1.98to$1.6,theAmericanswillfindmoreuseofit.￡50$1.98/￡×￡50=$99$1.60/￡×￡50=$80MadeinBritain25WhyDoesSupplyCurveSlopeUpward?Whenthepounddeclinesfrom$1.98to$1.6,theBritishwillbereluctanttobuyAmericangoods.$99$99÷$1.98/￡=￡50$99÷

$1.60/￡=￡61.8726WhyDoesDemandCurveShift？Thefollowingwilldriveittotheright:IncreaseindemandforU.K.products.(causedbyforcesotherthanchangesintheexchangerate)AriseinU.S.residents’willingnesstoinvestinpound-denominatedfinancialassets27WhyDoesSupplyCurveShift？Thefollowingwilldriveittotheright:IncreaseinU.K.residents’demandforU.S.products(causedbyforcesotherthanchangesintheexchangerate).AriseinU.K.residents’willingnesstoinvestinU.S.dollar-denominatedfinancialassets.28FloatingExchangeRatesThesimplestsystemTheformationofexchangeratesismarket-driven,purelybytheinteractionofprivatedemandandsupplyforthatcurrency.Nointerventionbygovernmentorcurrencyauthority.√29Figure3.230Figure3.3Consider:

Ademand-sideforceotherthanchangesinexchangeratesdrivesthedemandcurveupwards.31FixedExchangeRatesHeavyinterventionbygovernmentorcurrencyauthority.Afixedexchangerateismaintainedevenifthisratethegovernmentchoosesdiffersfromthecurrentequilibriumrate.32Figure3.2AInthiscase,Britishofficialsareforcedtointerveneinthemarket,buying50bnPoundtofillthegapAB.2.002.02Parvalue33Figure3.2BNow,Swissgovernmentmustsell100bnSFrtodefendthefixedexchangerateof0.505.34ChangesinExchangeRatesAppreciationvs.depreciationunderfloatingexchangerateregimeRevaluationvs.devaluationunderfixedexchangerateregime.Case2InApril21,2021,Rmb/Dollar=7.00InApril22,2021,Rmb/Dollar=6.89Case1In1994,Rmb/Dollar=5.70wentto:Rmb/Dollar=8.30√35Canthesehappen?$1.7/￡inNewYorkwhile$1.6/￡inLondon$1.7/￡,SFr3/Pound&$0.50/SFrexistatapointintime?√36ArbitrageinthespotmarketArbitrageisaprocessofbuyingandsellingtomakea(nearly)risklesspureprofit,whichensurestheratesindifferentlocationsessentiallythesame.London$1.70/Pound$1.60/PoundNewYork√37ArbitrageintheSpotMarket

CitibankHSBC

BidPriceforHKD$0.1288$0.1298AskPriceforHKD