chap1外汇与外汇汇率

1.外汇与外汇汇率ForeignExchange&ExchangeRate1内容提要外汇和汇率基础汇率决定与变动汇率变化的经济影响人民币汇率制度2外汇和汇率基础1.1.3外汇（ForeignExchange）动态概念：一国货币兑换成另一国货币的实践过程，用以清偿国际间的债权债务静态概念：用于国际汇兑活动的支付手段和工具常见定义：外汇是以外币表示的，用于清偿国际债权债务的一种支付手段4Dynamic:theprocesstoexchangeanation’scurrencyforanothernation’scurrencyStatic:theinstrumentusedtofinishtheexchangeactivity外汇（ForeignExchange）外汇特征外汇是以外币表示的资产，具有可偿性外汇买卖是债权的转移外汇支付是完成国际间债权债务的清偿普遍可接受性在国际经济往来中被各国普遍地接受和使用可以自由兑换能够自由地兑换成其他形式的或其他货币表示的资产6ForeignExchangeistheassetdenominatedinforeigncurrencyForeignExchangemustbeconvertiblecurrencyForeignExchange≠ForeignCurrency外汇特征外汇渊源跨国贸易活动要求不同国家货币之间相互交换，以实现购买或支付行为—最初的国际汇兑，即外汇和外汇交易在现代银行业的推动下，贸易商之间偶发的零散的汇兑发展成为由银行中介的大批量日常业务—方便迅捷的全球外汇市场8Thevalueofonecurrencyrelativetoanothercurrencyasthenumberofunitsofonecurrencyrequiredtopurchaseoneunitoftheothercurrency.ExchangerateistomeasurethevalueofonecurrencyrelativetoanotherThemarketpriceforforeignexchange汇率（ForeignExchangeRate）汇率（ForeignExchangeRate）汇率标价方法DirectQuotation:US$100=RMB¥657.70IndirectQuotation:RMB¥100＝US$15.20USDollarQuotation:US$1=HK$7.7871

US$1=J¥83.1410MarketQuotes:Direct-IndirectQuotesDirectquoteisthehomecurrencypriceofoneunitofforeigncurrency(e.g.:rmb￥/$forchina)Indirectquoteistheforeigncurrencypriceofoneunitofhomecurrency(e.g.:$/rmb￥forchina)NotethatADirect-IndirectQuotationisalwayslinkedtoaspecificcountry(inaboveexampleischina)主要间接标价货币12MarketQuotes:

American-EuropeanTermAmericantermistheothernation’scurrencypriceoftheAmericancurrency(e.g.:rmb￥/$)EuropeanTermistheAmericancurrencypriceoftheothernation’scurrency(e.g.:$/rmb￥)NotethatAAmerican-EuropeanQuotationisalwayslinkedtoUSdollar汇率种类基准汇率(basicrate)对关键货币汇率官方制定或公布套算汇率(crossrate)根据基准汇率和外汇市场行情计算得到买入价(buyingrate)和卖出价(sellingrate)买卖差价是银行经营费用和利润来源差价大小由行情、供求和经营策略决定中间价(middlerate)买卖平均价见于报刊、经济分析14ExchangerateclassificationBuyingrate(Bidrate),Sellingrate(Askrate)andmiddlerateSpotrateandforwardexchangerateBasicrateandcrossrateOfficialrateandmarketrateFixedexchangerateandfloatingexchangerateNominalexchangerateandrealexchangerateNEERREERBidrate-AskrateThebidisthepricethebankiswillingtopayforthecurrency,e.g.,1.8176$/£isthebidonthepoundintermsofthedollarTheaskiswhatthebankiswillingtosellthecurrency,e.g.1.8184$/£,istheaskonthepoundintermsofthedollarBid-AskSpread:CostofTransactingThebid-askspreadofacurrencyreflects,ingeneral,thecostoftransactinginthatcurrencyItiscalculatedasthedifference(absolutevalue)betweentheaskandthebidExample,1.8184–1.8176=0.0008Bid-AskMargin:

PercentCostofTransactingThebid-askspreadcanbeconvertedintoapercenttocomparethecostoftransactingamonganumberofcurrenciesThemarginiscalculatedasthespreadasapercentoftheask(Ask-Bid)/Ask*100Example,(1.8184–1.8176)/1.8184*100=0.044%Cross-Rates:UnobservedRatesAcross-rateisanunobservedratethatiscalculatedfromtwoobservedratesForexample,thespotratefortheU.Sdollar-per–currencyfortheBritishpoundis1.8180$/£,andthespotratefortheU.Sdollar-per–currencyfortheeurois1.2145$/€.WhatistheBritishpoundpriceoftheeuro(£/€)?Notethat($/€)/($/£)=($/€)*(£/$)=£/€Inthisexample,1.2145/1.8180=0.6680£/€习题

如果当天两个市场上的银行各自买进并卖出了100万美元，计算两家银行的利润。东京外汇市场报US$110.50￥/110.60￥伦敦外汇市场报US$1.3040GBP英镑/1.3050英镑20习题根据外汇行情表1-1完成以下工作套算GBP和JPY的中间价套算JPY和HKD的买入价和卖出价套算GBP和SFR的买入价和卖出价21汇率种类（续）即期汇率(spotrate)两个工作日内办理交割远期汇率(forwardrate)约定未来某一时间实际交割以即期汇率为基础约定，二者之间通常有差价外汇升贴水主要受利率差异、供求关系、预期等因素影响22人民币外汇牌价(ICBC06-03-22)币种中间价现汇买入价现钞买入价卖出价基准价

美元

(USD)803.06801.45795.03804.67803.06

港币

(HKD)103.49103.28102.46103.70103.49

日元

(JPY)6.84686.81946.60036.87426.8427

欧元

(EUR)970.98967.10936.02974.86970.93

英镑

(GBP)1402.621397.011352.131408.23--

瑞士法郎

(CHF)616.98614.51594.77619.45--

加拿大元

(CAD)689.20686.44664.39691.96--

澳大利亚元

(AUD)575.63573.33554.91577.93--

新加坡元

(SGD)496.05494.07478.19498.03--

丹麦克朗

(DKK)130.12129.60125.44130.64--

挪威克朗

(NOK)122.13121.64117.73122.62--

瑞典克朗

(SEK)103.67103.2699.94104.08--

澳门元

(MOP)100.31100.1199.31100.51--

新西兰元

(NZD)499.10497.10481.13501.10--

韩元

(KRW)0.8272--0.78420.8702--23人民币远期外汇牌价ICBC期限RMB/US$100

2005-03-22中间价买入价卖出价起息日7天827.32825.25829.3905-03-3020天826.7824.64828.7705-04-121个月826.08824.02828.1505-04-253个月822.88820.83824.9405-06-236个月817.16815.12819.205-09-2312个月804.11800.89807.3206-03-2324汇率种类（续）名义汇率(NominalRate)官方公布或市场通行汇率实际汇率(RealRate)在名义汇率基础上剔除了通货膨胀因素用于经济分析25RealExchangeRates:

NominalandRealvariablesNominalvariables,suchasanexchangerate,donotconsiderchangesinpricesovertimeRealvariables,ontheotherhand,includepricechangesArealexchangerate,therefore,accountsforrelativepricechangesRealExchangeRates:

NominalandRealexchangerateNominalexchangerateisabilateralexchangeratethatisunadjustedforchangesinthetwonations’pricelevelsAnominalexchangerateindicatesthepurchasingpowerofonenation’scurrencyoverthecurrencyofanothernationRealexchangerateisabilateralexchangeratethathasbeenadjustedforpricechangesthatoccurredinthetwonationsRealexchangeratemeasuresthepurchasingpowerofdomesticgoodsandservicesinexchangeforforeigngoodsandservices习题1999年1月，美国CPI为107.6，巴西CPI为127.5；当时，巴西雷亚尔兑换美元名义汇率1.209Br/$。计算两种货币的实际汇率。28汇率决定与变动1.2.29金本位制度下国际金本位制度特点各国货币由黄金铸成，且铸币有重量和成色规定，有法定含金量辅币和银行券可按票面价值自由兑换为金币金币可以自由熔化、自由铸造和自由输出入黄金作为最终清偿手段，充当国际货币30铸币平价为汇率决定的基础黄金作为统一币材、统一的价值衡量标准，对比各自含金量以确定货币比价1英镑金币的含金量是1美元金币含金量的4.8665倍，所以二者铸币平价为4.8665若只考虑货币价值而舍弃其他因素，则铸币平价就是英镑与美元间的汇率31

$/£美国黄金输出点4.8957英国黄金输入点

4.8665铸币平价t

美国黄金输入点4.8373英国黄金输出点供求和黄金输送点影响汇率变动外汇市场供求 出口↑/资本流入↑→外汇供给↑，对本币需求↑ 进口↑/资本流出↑→本币供给↑，对外汇需求↑黄金输送点32金本位是固定汇率制度安排货币的法定含金量一经确定不会轻易改动，因此作为汇率基础的铸币平价比较稳定外汇市场上，汇率以铸币平价为中心，因外汇供求关系的作用而上下波动由于黄金输送点的制约，外汇市场汇率波动被限制在一定范围内，从而现实的汇率水平相对稳定33TheGoldStandard(1)Cameintoeffectinthemid-1870sandlasteduntil1914,whenmostofthemajoreconomiesofficiallyadoptedacommodity-backedmonetaryorderNationsunilaterallyfixedthevalueoftheircurrencyrelativetogoldviaamintparity(铸币平价)Theyalsoestablishedconvertibility,whichisaabilitytofreelyexchangeacurrencyforacommodityoranothercurrencyatagivenrateofexchangeTomaintainthemintparity,ortheexchangevaluebetweengoldandthenationalcurrency,anationmustconditionitsmoneystockonthelevelofitsgoldreservesTheGoldStandard(2)FreeexchangeofgoldforpapermoneyFreetradeingoldEachnationpegs(ties)thevalueofitscurrencytogoldunilaterallycreatesaparvalue（面值）forthecurrency(itspriceintermsofgoldormintparity)pledgestomaintainvalueofcurrencyintermsofgoldTheexchangerateoftwodifferentcurrencieswasdeterminedbyitsindividualmintparityTheGoldStandard(3)Mintparity:poundpriceperounceMintparity:

dollarpriceperounceExchangerateTheGoldStandard(4)Factorsaffectthemovementofexchangerate：demandandsupplyofthecurrencythecostofexporting(orimporting)ofgold,calledthegoldexporting(orimporting)point（黄金输出或输入点）TheGoldStandard(5):

demandandsupplyTheexchangeratewillincreaseabovetheratesetbythemintparitiesiftherearemoredemandforthecurrencythanitssupplyTheexchangeratewilldecreasebelowtheratesetbythemintparitiesiftherearelessdemandforthecurrencythanitssupplyTheGoldStandard(6):

goldexporting(orimporting)pointIsthelimitofchangesofexchangerateIsthebreak-evenpointwhenadebtorchoosestorepaytheforeigndebtbyuseofforeigncurrencyorgoldIsequalto:exchangeratesetbythemintparitythecostof（transportation+insurance+packaging+reminting）Goldexportingpointofonecurrency=goldimportingpointofanothercurrencyPositiveandNegativeAspectsof

aGoldStandardPositiveaspects:long-runstabilityofrealeconomicoutput,pricesandexchangeratesitdoesn’trequireacentralbankNegativeaspects:SignificantresourcecostsTheamountislimited信用货币制度下流通中的不兑换纸币逐渐与黄金脱钩汇率是一种货币兑换另一种货币的比例，体现货币对外兑换价值；货币对外价值由其对内价值决定，货币对内价值用购买力来衡量无论固定汇率制还是浮动汇率制，汇率都已失去了相对稳定的基础。市场汇率水平由外汇供求决定，任何能影响外汇供求关系变化的因素都会引起汇率变动41TheDemandforaCurrencyThedemandforacurrencyisaderiveddemandThatis,thedemandforthecurrencyisderivedfromthedemandforthegoods,services,andfinancialassetsthatthecurrencyisusedtopurchaseIf,forexample,foreigndemandforGermangoodsandservicesincreases,thedemandfortheeuroincreasesTheDemandCurveisDownwardSlopingIf,forexample,theeurodepreciates,Germangoods,services,andfinancialassetsbecomelessexpensivetoforeignresidents.ForeignresidentswillincreasetheirquantitydemandedoftheeurotopurchasemoreEuropeangoods,services,andfinancialassetsAdemandcurvewasusedtodescribetherelationshipbetweenthedemandquantityforacurrencyandthechangeofFXrateThedownwardslopeofthedemandcurveshowsthenegativerelationshipbetweentheexchangerateandthequantitydemandedTheDemandCurveDemandcurveS($/€)Quantity€SaQaSbQbabAnChangeinDemand

AtACertainFXRateConsideranincreaseinthedemandfortheeuroSupposethatinvestorsdesireeuro-denominatedfinancialassetsrelativetodollar-denominatedfinancialassetsbecauseofachangeineconomicconditionsThedemandfortheeurorisesasinvestorsdesiremoreeurostopurchasegreateramountsofEuropeanfinancialassetsThatwillcausetherightshiftofthedemandcurveAnIncreaseinDemandfortheEuroDemandcurveS($/€)Quantity€S0Q0D’Q1TheSupplyofaCurrency:upwardslopeThesupplyofacurrencyisalsoaderiveddemand,ConsiderthedemandscheduleofGermanconsumersforthedollarIfthedollardepreciatesrelativetotheeuro,USgoodsandassetsarerelativelycheaperthanGermangoodsandassets,hence,thedemandincreases,whichresultsinanincreaseinthequantitydemandedofdollarsAsmoredollarsarepurchased,thequantityofeurossuppliedintheforeignexchangemarketincreasesAsupplycurvewasusedtodescribetherelationshipbetweenthesupplyquantityofacurrencyandthechangeofFXrateTheupwardslopeofthesupplycurveshowsthepositiverelationshipbetweentheexchangerateandthequantitysuppliedinthemarketTheSupplyofaCurrencyS€S($/€)S2S1Q1Q2ABQuantity€DollardepreciationSupplycurveofeuroAchangeinSupply

ATACertainFXRateConsider:AnincreaseofGermanconsumerforUSgoodsThatwillcauseanincreaseofdemandforUS$AnincreaseofsupplyofEuroArightshiftofsupplycurveAchangeinSupply

ATACertainFXRateS€S’€Quantity€S($/€)S0Q0Q1SupplycurveTheEquilibriumExchangeRateTheforceofdemandandsupplydeterminetheequilibrium(ormarketclearing)exchangerateTheequilibriumexchangerateistherateatwhichthequantityofacurrencydemandedisequaltothequantitysuppliedThisisthemarketclearingexchangeratebecausethereisnoextrasurplusorshortageofthecurrencyEquilibriumS€S($/€)SeQeAD€Quantity€S1S2Q2Q1FXMarketInterventionS€S($/€)SeQeD€Quantity€D’€O’dVolumeofintervention汇率变动因素相对利率水平跨国资本流动相对价格变动通货膨胀(PPP)汇率超调(overshooting)经济实力贸易收支差额财政货币政策间接影响汇率预期投机资本(HotMoney)其他因素政治影响心理影响54通货膨胀与汇率各国间的通胀差异是货币波动主要原因任何影响价格总水平的事件都影响汇率变动生产成本能源价格政府管制货币扩张……S$D$¥/$55购买力平价长期里，相对价格走势是两国货币间汇率决定的根本认为汇率等于两国价格水平之比。一国价格水平可以用CPI衡量由于汇率还要受价格水平以外的其他因素影响，且各国的代表性商品篮子彼此不同，所以真实汇率水平可能长时间偏离购买力平价56PurchasingPowerParityPurchasingPowerParity:Aconditionthatstatesthatifinternationalarbitrageisunhindered,thepriceofagoodorserviceinonenationshouldbethesameastheexchange-rate-adjustedpriceofthesamegoodorserviceinanothernationPurchasingPowerParitymeansthat:Ignoringtransportationcosts,taxdifferentials,tradehomogeneousgoodsandservicesshouldhavethesamepriceintwocountriesafterconvertingtheirpricesintoacommoncurrencyPurchasingPowerParityisoftencalledthelawofoneprice汇率超调¥/$¥/$ttABCCBA58经济实力59贸易收支差额持续的巨额贸易逆差（顺差）使外汇市场上本币供给（对本币需求）增加，长期里本币必将贬值（升值）对一国商品服务需求的增加（减少）会引起该国货币升值（贬值）；对其他国家贸易品需求的变动也具有类似作用贸易品部门的劳动生产率相对于国外上升，可降低相对生产成本并提高竞争力，货币会升值60投资效率上升，吸引外国直接投资流入，进一步增大对该国货币的需求，使升值更加显著一国的国际贸易地位还受到许多无法计算的因素影响，如偏好、产品质量和设计，以及售后服务等61小结关键是价格水平和利率相对于国外变动各种经济事件和政府政策通过影响价格水平和利率，对汇率变动发挥作用多个影响汇率的因素可能同时变化，令汇率变动问题更加复杂贬值未必不利，升值未必有利自由浮动汇率可以令市场出清，调节国际收支平衡62汇率变化的经济影响1.3.63货币升值与贬值汇率变化表现为货币的升值与贬值，一种货币升值的同时，必然有另一种货币在贬值

1990年11月17日，人民币官方汇率为US$100＝RMB¥522.21，1994年1月1日开始实行US$100=RMB¥870为起点的浮动汇率。计算人民币与美元的升贬值幅度。64习题计算两种货币名义汇率和实际汇率的变动幅度，并解释存在差异的原因。

1999年1月，巴西雷亚尔兑美元的汇率为1.209Br/$，至2000年6月变为1.800Br/$。已知1999年1月巴西CPI为127.5，美国CPI为107.6；2000年6月巴西CPI为141.5，美国CPI为112.4。65对贸易收支的影响影响进出口数量

→扩大出口本币贬值→→限制进口出口品外币价格下降→需求增加(或)出口商利润增加→供给增加进口品本币价格上升进口商利润减少→需求下降66dx>1，贸易收支改善dx=1，dm>0，改善

dm=0，不变dx<1，仅当dm>0且|dx+dm|>1时，改善改善贸易逆差的马歇尔－勒纳条件：dx+dm＞167外汇倾销占领海外市场的低价策略，意在扩大出口，增加外汇收入，改善贸易差额特征：使本币对外贬值，且超过对内贬值程度制约因素6－9个月的收效期收效期内存在来自国内外的干扰68J曲线效应即使满足马-勒条件，现实中贬值对贸易收支差额的正效应可能延迟贸易逆差可能暂时性扩大理论收效期限为9－12个月O时间贸易差额69汇率影响贸易收支的约束条件贸易对手国的相应产品进行价格调整贸易竞争国货币显著贬值跨国公司内部交易往往不受汇率变动影响70对资本流动的影响本币贬值→利于资本流入，不利于资本流出本币升值→预期本币贬值→抛本币、抢外汇－资本外逃预期本币升值→抛外汇、抢本币－资本流入影响资本流动汇率敏感性的其他因素资本管制程度投资期限安全性71对价格水平的影响对贸易品价格的影响本币贬值→进出口商品国内价格↑→物价上涨压力对非贸易品价格的影响潜在出口商品（价格敏感性产品）潜在进口替代品（价格敏感性产品）纯粹的非贸易品通货膨胀→本币贬值→更高的通货膨胀→进一步贬值72人民币汇率制度

EXCHANGERATEOFRMB1.4.73人民币兑美元汇率走势1981 1994 2005 2011/3/674人民币汇率30年沿革汇率双轨制公布牌价与贸易内部结算价并存(1981-1984)官方汇率与外汇调剂市场汇率并存(1985-1993)以市场为基础的、有管理的单一浮动汇率1994外汇管理体制改革——实行汇率并轨和银行结售汇制，建立银行间外汇交易市场，改进汇率形成机制由国际收支状况形成的外汇市场供求关系是决定汇率的主要依据751981.1.1

~1984.12.31RMBexchangeratewasusedasaninstrumentinstimulatingexportandhasnomorerelationswithpriceRMBexchangeratewasquotedpubliclyfromtheJanuary1st1981andwasusedinthesettlementofnotradetransactionsAnotherinternalRMBexchangeratewasusedinthesettlementoftradetransactions1985.1.1

~1993.12.31RMBinternalsettlementpriceandpublicquotationwasconvergedRMBexchangeratewasadjustedgraduallyfromUS$1=RMB￥2