国际金融托马斯A普格尔第二章

Lecture2:Theforeignexchangemarket,Whatisforeignexchange?Dynamicconcept(tradingdifferentnationsmoneys)Staticconcept(foreigncurrencies)DemandandsupplyforforeignexchangeCurrentaccount:e.g.payforimportofgoodsFinancialaccount:e.g.investabroad,1,ThreeSignificancesoftheforeignexchangemarketTheforeign-exchangemarketisbyfarthelargestandmostliquidmarketintheworld.Itisatwenty-fourhourmarketThemarketsmostwidelytradedcurrencyisthedollar.,FXmarketturnover(BIS),2010年美国GDP为146241.8亿美元，中国GDP为403260.0亿元，$/￥=6.65,Itisatwenty-fourhourmarket,Themarketsmostwidelytradedcurrencyisthedollar,Formostpairsofcurrencies,themarketpracticeistotradeeachofthetwocurrenciesagainstacommonthirdcurrencyasavehicle,ratherthantotradethetwocurrenciesdirectlyagainsteachother.,Thevehiclecurrencyusedmostoftenisthedollar,CurrencyPairsinFXMarket,10,StructureoftheMarket,Theforeignexchangemarketisadecentralized,electronicallylinkednetworkofbanks,foreignexchangedealers,andbrokersThisnetworkbringstogetherbuyersandsellersofforeignexchangearoundtheglobeTheforeignexchangemarketconsistsoftwotiers:TheInterbankorwholesalemarketTheclientorretailmarketTwoclearingsystems:SWIFT-SocietyforWorldwideInter-bankFinancialTele-communication（环球同业银行金融电讯系统）CHIPS-ClearingHouseInternationalPaymentSystem(dollartransfersamongmembers)（国际支付结算系统）,11,MarketParticipants,Fivebroadcategoriesofparticipantsoperatewithinthesetwotiers:BanksandnonbankforeignexchangedealersForeignexchangebrokersFirmsandindividualsSpeculatorsandarbitrageursCentralbanksandtreasuries,ForeignexchangequotationDirectquotation:theamountofDCrequiredtopurchaseoneunitofFC（直接标价）Indirectquotation:theamountofFCrequiredtopurchaseoneunitofDC（间接标价）Bidprice:theexchangerateatwhichthedealeriswillingtobuyacurrencyAsk(offer)price:theexchangerateatwhichthedealeriswillingtosellacurrency,13,Thedealerneedtoearnaprofit,soshealways“buylowandsellhigh”!Bid-askspread:thedifferencebetweenthebidpriceandtheaskprice(canbeinpercentage)Factorsaffectingthebid-askspreadsMarketconditionDealerpositionLiquiditymidpointprice:theaverageofthebidpriceandtheaskprice=(bid+ask)/2basicpoint:usually0.0001(0.01forJPY)or0.01%,14,Someexamples:$/=1.65431.6547(directquoteinUS)/$=0.60430.6045(indirectquoteintheUS)NotethattheDC/FCdirectbid(ask)exchangerateisthereciprocaloftheindirectask(bid)exchangerateThebid-askspreadis0.0004(4bp,direct),or0.0002(2bp,indirect)Thepercentagebid-askspreadis0.0004/1.6547=0.0242%(2.42bp,direct),or0.0002/0.6045=0.0331%(3.31bp,indirect)Themidpointexchangerateis1.6545(direct),or0.6044(indirect),15,Cross-ratecalculationswithbid-askspreadsExample2.1:considerthefollowingquotesinvolvingthedollar,pound,andtheeuro.$/:0.9836/39/:1.5473/1.5480Computetheeffective$/bidandaskcross-rates,aswellasthe/$bidandaskcross-rates?,16,Solution1:($/)bid=($/)bid*(/)bid=0.9836*1.5473=1.5219dollarperpoundbidrate($/)ask=($/)ask*(/)ask=0.9839*1.5480=1.5231dollarperpoundaskrate(/$)bid=(/)bid*(/$)bid=1/(/)ask*1/($/)ask=(1/1.5480)*(1/0.9839)=0.6566poundperdollarbidrate(/$)ask=(/)ask*(/$)ask=1/(/)bid*1/($/)bid=(1/1.5473)*(1/0.9836)=0.6571poundperdollaraskrateSo,theeffective$/bidandaskcross-ratesis$/=1.5219/31,andtheeffective/$bidandaskcross-ratesis/$=0.6566/71,17,$/:0.9836/39/:1.5473/1.5480,Solution2:Imagingyouwanttoconvertdollarintopound:usingdollartobuyeurofirst(1$=1/0.9839),andthenusingtheeurotobuypound(1=1/1.5480).Theresultingcross-rateis1$=0.6566,or1=1.5231$Ifyouwanttoconvertpoundintodollar:usingpoundtobuyeurofirst(1=1.5473),andthenusingtheeurotobuydollar(1=0.9836$).Theresultingcross-rateis1=1.5219$,or1$=0.6571.So,theeffective$/bidandaskcross-ratesis$/=1.5219/31,andtheeffective/$bidandaskcross-ratesis/$=0.6566/71,18,$/:0.9836/39/:1.5473/1.5480,Arbitrage“Paynothingforsomething,”or“getsomethingfornoting”“thereisnotsuchthingasafreelunch”Anydeviationfrom“thelawofoneprice”willpresentanarbitragingopportunity!Basicstrategy:“buylow,sellhigh”!Anarbitragingstrategyisrisk-free.Incontrast,aspeculativestrategyisalwaysassociatedwithsomedegreeofrisk,19,Bilateralarbitragewithbid-askspreadsNo-arbitragecondition:(FC/DC)bid*(DC/FC)bid1,or(FC/DC)ask*(DC/FC)ask1,Example2.2:DC/FC=0.8025/0.8041,FC/DC=1.2498/1.2503;Isthereanarbitrageopportunity?Ifso,whatisthearbitragingstrategy?WhataboutDC/FC=0.8003/0.8005,andFC/DC=1.2484/1.2490?Whentheratesaremisquoted,thedirectbid(ask)ofonecurrencyisnotthereciprocalofitsindirectask(bid).,20,DC/FC=0.8025/0.8041,FC/DC=1.2498/1.2503FC/DC=1.2436/1.2461use1.2461FCbuy1unitDC,sellDC,receive1.2498FCDC/FC=0.8003/0.8005,FC/DC=1.2484/1.2490FC/DC=1.2492/1.2495use1.2490FCbuy1unitDC,sellDC,receive1.2492FC,Triangulararbitragewithbid-askspreadsNo-arbitragecondition:theimpliedcross-rateisconsistentwiththeactualcross-rateExample2.3:FC1/DC=0.9836/39;FC1/FC2=1.5373/80;DC/FC2=1.5219/31;Isthereanarbitrageopportunity?Ifso,whatisthearbitragingstrategy?,22,FC1/DC=0.9836/39;FC1/DC=0.9836/39;FC1/FC2=1.5373/80;DC/FC2=1.5219/31DC/FC2=1.5219/31;FC2/FC1=0.6502/05(FC1/DC)bid*(DC/FC2)bid*(FC2/FC1)bid1(FC1/DC)ask*(DC/FC2)ask*(FC2/FC1)ask1Use0.9839FC1buy1unitDC,SellDC,receive1/1.5231FC2SellFC2,receive1.5373/1.5231FC1,ForwardforeignexchangerateAforwardforexcontractisanagreementtoexchangeonecurrencyforanotheronaspecifieddateinthefutureataratesetnow(theforwardexchangerate)AspotrateistheprevailingrateinthemarketTheforwardrateisnotthesameasthefuturespotrate!,24,TradinginvolvingforwardexchangerateOpenpositionLongpositionShortpositionHedging:offsettingalong(short)positioninaforeigncurrency,orcoveringtheopenpositionSpeculating:deliberatelyestablishinganetposition(longorshort)inaforeigncurrencyHedgingeliminatesriskexposure,whereasspeculationincreasesriskexposure,25,Someexamples:AUSexportersignsacontractwithaFrenchimporterfor1millioneuroofgoods,tobedeliveredinthreemonths.Thecurrentspotrateis/$=0.7125,andthe3-monthsforwardrateis/$=0.7225TheUSexporterhasanopen(long)positionof1millioneuroIftheUSexporteralsosignsaforwardcontracttosell1millioneurointhreemonths,sheeliminatesherexposuretoexchangeraterisk(hedging)If,instead,theUSexporterexpectstheeurowillappreciateagainstthedollar,shesignsaforwardcontracttobuy1millioneuroin3months.Sheincreasesherexposuretoexchangeraterisk(speculation),26,spotrate:/$=0.71253-monthsforwardrate:/$=0.7225,US,1millioneuro,Forwardcontracttosell1millioneurointhreemonths,get1/0.7225milliondollar.,Forwardcontracttobuy1millioneuroin3months,spend1/0.7225milliondollar.Supposethespotrateafter3monthsis0.7100(euroappreciate).Sell1millioneuro,receive1/0.7100milliondollar.Earn(1/0.7100-1/0.7225)milliondollar.,DepreciationandappreciationSupposethatinthebaseyear,1$=0.6and1$=120JPY.Afewyearslater,1$=0.75and1$=90JPY.Isthedollardepreciatedorappreciated?Thenominaleffectiveexchangerate(NEER)isthetrading-volume-weightedcurrencyindex,28,Anothermeasureofacountrysinternationalcompetivenessisrealexchangerate(RER),whichincludesnotonlytheeffectofnominalexchangerate,butalsopricelevels.RER=ePf/Pde:nominalexchangerate(directquotation)Pf:foreignpricePd:domesticprice,29,AssumethatJPY/$=94.06in1995,andJPY/$=110.22in2005.Basedonthepricelevelsin1995,TheUSpricelevelin2005is128.14,andtheJapanesepricelevelis98.17.Therealexchangeratein2005is:110.22*(128.14/98.17)=143.87.Inotherword,therealappreciationof$againstJPYfrom1995to2005isabout53%(143.87-94.06)/94.06,Ifwereplacerealexchangerate(RER)withnominalexchangerateinthecalculationofnominaleffectiveexchangerate(NEER),wehaveourthirdmeasureofchangeinexchangerate,namelyrealeffectiveexchangerate(REER).,31,FloatingexchangeratesDownward-slopingdemandcurveEquilibriumexchangerateShiftindemandandsupplycurvesFixedexchangeratesParvalueandthenarrowbandSupplyanddemandgapGovernmentintervention,32,Whatmakesthedemandcurveslopedownward?,Fixedtheprice$1.98/TheBritishgovernmentmustbuy(320-270)millionpounds,equaltothegapAB,Fixedtheprice$0