国际财务管理第六版中文版第五章

国际财务管理EUN/RESNICKSixthEditionINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEdition引言：目标：这一章向学生介绍汇率决定的制度框架。本章是本书后续各章的基础。5ChapterFive外汇市场外汇市场交易时间（北京时间）地区城市开市时间收市时间大洋洲悉尼7:0015:00亚洲东京8:0016:00香港9:0017:00新加坡9:0017:00巴林14:0022:00欧洲法兰克福16:000:00苏黎世16:000:00巴黎17:001:00伦敦18:002:00北美洲纽约20:004:00洛杉矶21:005:00FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSForwardPremium外汇市场的功能和结构外汇即期市场外汇远期市场ChapterOutline外汇市场的功能和结构将全球范围的协助交易的货币交易银行、非银行交易商和外汇经纪人联系在一起。外汇市场的参与者FXMarketParticipants外汇市场可分为两个层级:银行同业市场(Wholesale)客户市场(Retail)据2010年国际清算银行统计，14%为零售交易量，86%为银行同业交易。市场参与者包括：国际银行internationalbanks银行客户bank’scustomers非银行交易商nobankdealers外汇经纪人FXbrokers俗称中介中央银行centralbanks通汇关系国际银行间的外汇交易如何结算的？Theinterbankmarketisanetworkofcorrespondentbankingrelationships画图中国进口商从荷兰进口一批商品，采用欧元结算。进口商出口商国际银行国际银行通汇账户即期外汇市场

TheSpotMarket即期汇率标价套算汇率标价汇率买卖价差即期外汇交易三角套利即期外汇标价直接标价DirectquotationtheU.S.dollarequivalente.g.“aJapaneseYenisworthaboutapenny”间接标价IndirectQuotationthepriceofaU.S.dollarintheforeigncurrencye.g.“youget100yentothedollar”见表5-3SpotRateQuotationsCountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsThedirectquoteforBritishpoundis: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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsTheindirectquoteforBritishpoundis:£.5242=$1CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsNotethatthedirectquoteisthereciprocaloftheindirectquote:5242.19077.1=CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364请解释以下外汇标价含义S（€/$）=0.8171,S（$/￥）S（£/$）套算汇率标价SupposethatS.$1.4655=1£andthatS.$1.1975=€1.0Whatmustthe€/£crossratebe美式标价法欧式标价法一个美式与一个欧式标价汇率P117计算题1汇率买卖价差

TheBid-AskSpread买价：Thebidpriceisthepriceadealeriswillingtopayyouforsomething.

卖价：Theaskpriceistheamountthedealerwantsyoutopayforthething.

买卖价差：Thebid-askspreadisthedifferencebetweenthebidandaskprices.思考：Sa（$/£）和Sa（£/$）以及Sb（$/£）和Sb（£/$）含义、关系.写出公式。TheBid-AskSpreadAdealercouldofferbidpriceof$1.25per€askpriceof$1.26per€ask

price大于bidpriceThebid-askspreadrepresentsthedealer’sexpectedprofit.TheBid-AskSpreadAdealerwouldlikelyquotethesepricesas50-55.Itispresumedthatanyonetrading$10malreadyknowsthe“bigfigure”.BidAsk1.4650.6824S($/£)S(£/$)1.4655.6826bigfiguresmallfigure买卖价差回答P107表中的含义。套算汇率买卖价差的计算以表5-6为例，辅以板书计算题P118第8和第9题。三角套利$£¥CreditLyonnaisSCreditAgricoleS(¥/£)=85BarclaysS(¥/$)=120£1.00¥80=£1.50$1.00$1.00¥120×书上的例子5-3TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(¥/£)=85BarclaysS(¥/$)=120TheimpliedS(¥/£)crossrateisCreditAgricolehaspostedaquoteofS(¥/£)=85sothereisanarbitrageopportunity.So,howcanwemakemoney¥£¥80=¥120×Thentradeyenforyourpreferredcurrency.Buythe£@¥80;sell@¥85.TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(¥/£)=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=$6,250TriangularArbitrage$CreditLyonnaisSCreditAgricoleS(¥/£)=85BarclaysS(¥/$)=120Herewehavetogo“clockwise”tomakemoney—butitdoesn’tmatterwherewestart.¥£123$Ifwewent“counterclockwise”wewouldbethesourceofarbitrageprofits,nottherecipient!即期外汇市场的微观结构市场的围观结构是指市场运作的基本机制。即期外汇市场的买卖价差随着：外汇汇率波动程度的上升而增加；随着交易商竞争的家去而下降。私有信息（Privateinformation）是影响即期汇率的重要因素。isanimportantdeterminantofspotexchangerates.远期外汇市场远期汇率标价远期多头和空头远期套算汇率远期升水互换交易远期外汇市场Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.远期合约的例子，比如你订购一件畅销品的衣服。外汇远期市场涉及为了买入、卖出外汇而在现在签订合约。远期合约中，常见的到期期限分别为1,3,6,9,and12monthLonger-termswapsareavailable.远期汇率标价Considertheexample:forBritishpounds,thespotrateisWhilethe180-dayforwardrateis远期外汇汇率如何标价？（ForwardRateQuotations）。SpotRateQuotationsCountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotrateForwardrateislessthanspotrate远期汇率标价美式标价和欧式标价S($/SF)=0.8662,F1($/SF)=0.8671,F3($/SF)=0.8686,F6($/SF)=0.8715,称为瑞士法郎对美元的远期升水。那么，远期升水的幅度是多少？远期多头与空头比如F3（$/SF）若3个月后的即期汇率为或者为0.8616.黑板上画图例5-4，预期瑞士法郎会贬值，持有空头，卖出远期外汇合约。远期多头与空头Ifyouhaveagreedtosellanything(spotorforward),youare“short”.Ifyouhaveagreedtobuyanything(forwardorspot),youare“long”.IfyouhaveagreedtosellFXforward,youareshort.IfyouhaveagreedtobuyFXforward,youarelong.远期套算汇率FN(j/k)=FN(j/$)*FN($/k)采用美式标价套算采用欧式标价套算ForwardCrossExchangeRatesIngenerictermsNoticethatthe“$”scancel.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)0.80370.80681.24421MonthForward0.80370.80691.24423MonthsForward0.80430.80741.24336MonthsForward0.80570.80881.2412ForwardCrossExchangeRatesF6(CAD/£)=F6(CAD/$)*F6($/£)=1.2412*1,8904远期升水或贴水远期升水或贴水的计算例5-5Forexample,supposethe€isappreciatingfromS($/€)=1.25toF180The180-dayforwardpremiumisgivenby:=0.081.30–1.251.25×2=f180,€v$F180($/€)–S($/€)S($/€)=×360180互换交易S：买入（或卖出）远期外汇的同时，卖出（或买入）大约等量的即期外汇。比如，sohu公司要在墨西哥投资一子公司，需要100万比索，1年后子公司将会归还100万比索，sohu公司如何避免汇率波动风险。远期点数标价即期1.1545-1.15481个月12-103个月32-386个月71-65即期1.2365-1.23681个月2-43个月9-126个月10-20CurrencySymbolsInadditiontothefamiliarcurrencysymbols(e.g.£,¥,€,$)therearethree-lettercodesforallcurrencies. Itisalonglist,butselectedcodesinclude: CHF Swissfrancs GBP Britishpound ZAR SouthAfricanrand CAD Canadiandollar JPY JapaneseyenSummarySpotratequotationsDirectandindirectquotes Bidandaskpri