国际投资导论及前两章课件chapter foreign exchange

Chapter1ForeignExchangeForeignExchangeQuotationsWhatisExchangeRates?ExchangeratesrelatetopriceslevelsintwocountriesPricelevelofasinglecountrydependsonthesupplyanddemandformoneyinthecountryValueofmoneyisdeterminedbysupplyanddemandinthedomesticeconomy.ItsvalueinrelationtoforeigncurrenciesisalsodeterminedbysupplyanddemandForeignExchangeQuotationsForeignExchangeQuotationsBasicprinciplesandtheforexquotationconventionMostcurrenciesinworldwideforeignexchange(forex)markets,alltradestakeplaceusingoneconventionSomesymbols:a:b=S€:$=1.25and$:€=0.80$:€definedasthenumberofeurosperdollar€:$definedasthenumberofdollarspereuroForeignExchangeQuotationsTheForexconventionspecifiesratesforallcurrenciesperdollar(asinY/$),exceptforthepound($/₤)andtheeuro($/€).Differentiation:$/€→

€:$

FromthetwocurrenciesagainstU.S.dollar,wecanderivethecross-exchangeratebetweenthetwocurrencies.ForeignExchangeQuotationsForeignExchangeQuotationsForeignExchangeQuotationsForeignExchangeQuotations货币名称货币简称货币名称货币简称人民币CNY美元USD日元JPY欧元EUR英镑GBP澳大利亚元AUD瑞士法郎CHF加拿大元CAD港币HKD新西兰元NZD韩国元KRW马来西亚林吉特MYR新加坡元SGD菲律宾比索PHP俄罗斯卢布SUR泰铢THBForeignExchangeQuotationsDirectandindirectexchangerateQuotationsaregenerallymadeintermsoftheamountofdomesticcurrency(DC)requiredtopurchaseoneunitofforeigncurrency(FC)iscalleddirectexchangerateAmountofforeigncurrencyrequiredtopurchaseoneunitofdomesticcurrencyiscalledindirectexchangerate1USD=6.68RMBdirectexchangerate(inChina)1RMB=0.149USDindirectexchangerate(inChina)ForeignExchangeQuotationsInNewYorkandLondon,tradersuseindirectquotations.TheJapanesequotethedollarexchangerateas120Y/$($:Y)(120yenperdollar),adirectrateinJapan.BecauseofthecentralroleplayedbytheU.S.dollar,incountriesotherthantheUnitedStates,allexchangerateswiththedollarareusuallygivenasdirectrates,thedomesticcurrencyvalueofonedollar.ForeignExchangeQuotationsSomeexceptionsTheBritishpoundplayedahistoricalroleontheinternationalscene,ithasalwaysbeenquotedasthedollarpriceofonepound.Whentheeurowasintroducedin1999,itisquotedtheforeigncurrencyvalueofoneeuro,includingthedollar.链接：英镑的兴衰英国在1816

宣布金本位制，1821年正式实行。此后，很多国家采用了金本位制，成为一种世界性的制度。英镑是这一国际货币体系的中心。首先，英国经济是世界最强。1860年时，世界的出口有三分之一涌向英国。同时，英国也大量向世界各地出口机器制成品和服务。其次，英国金融业十分发达。伦敦当时执世界金融业的牛耳，银行林立，国际金融客户纷至沓来。链接：英镑的兴衰英国是“世界的银行家”。英国的对外投资，占世界全部投资的40%。世界贸易的60%以英镑定价、结算和融资。许多国家把国际储备存放在伦敦。1899年，世界外汇储备的64%是英镑。英镑当时风靡世界。很多国家如澳大利亚、新西兰和南非等，直接就以英镑为货币。其他如加拿大等，英镑则是平行于其本国货币的法偿货币。更多的国家将其货币钉住英镑。这些国家和地区后来构成庞大的英镑区，涵盖70多个国家和地区。链接：英镑的兴衰第一次世界大战是英镑命运的转折点。英国由投资国逆转为负债国。1971年，英镑实施自由浮动，英镑区解体。1985年3月曾一度跌至1英镑兑换1.03美元的历史低点。以后英镑改为“尾随马克”，英国利率政策听命于德国。导致先是因追随德国低利率而使国内通胀迅速上涨。尔后德国利率上升，英国随之提高利率，而刚好与国内经济形势背道而驰。链接：英镑的兴衰英国在1990年10月又匆匆按1英镑兑2.95马克的汇率参加了欧洲汇率机制（ERM），这一汇率过高但是不能变动。导致利率汇率双双过高，无法维持固定汇率。1992年9月16日英镑经历“黑色星期三”，索罗斯单挑英格兰银行，从卖空英镑中获利将近10亿美元。英国政府共投入270亿英镑，结果惨败。英国政府期间共损失34亿英镑。英国就此退出欧洲汇率机制。链接：英镑的兴衰退出ERM后，英格兰银行设立了独立的货币政策委员会自主决定利率，并把货币政策改为钉住通货膨胀目标。此后，英国的通货膨胀一直在低水平上游走，产出的波动也很温和。特别是失业率比从前低了很多。英镑也逐渐走强，甚至超过了参加ERM时的价位。2010年后欧洲主权债务危机爆发。市场的注意力转移到了比英国更危急的欧元体系。此后，英镑短期内从2008年12月的低点，上升了将近20%。ForeignExchangeQuotationsExchangeratedigitsandappreciation/depreciationIntheforexmarket,quotationsaregenerallygivenwithfivedigits.$/€=1.2515Anappreciationoftheforeigncurrencycoincideswithadepreciationofthedomesticcurrency.DomesticcurrencyForeigncurrencyIndirectexchangerateDirectexchangerateappreciationdepreciationincreasesdecreasesdepreciationappreciationdecreaseincreasesExample1₤:$=1.80WhatisthedirectorindirectexchangerateintheU.S.?WhatisthedirectorindirectexchangerateinBritain?₤:$=1.90Whichcurrencyisappreciated?Whichcurrencyisdepreciated?Example1SOLUTION₤:$=1.80→1GBP:1USD=1.80→1GBP=1.80USD从定义看：直接汇率指1单位的外国货币兑换多少本国货币从方向看：左边的货币是被标价货币，若外国货币被标价则为直接标价，若本国货币被标价则为间接标价。₤:$↔$/₤即一英镑兑换多少美元↔每英镑的美元价值

Example1FromU.S.perspective:Directexchangerate→₤:$=1.80Indirectexchangerate→$:₤=1:(₤:$)=0.556FromBritainperspective:Directexchangerate→$:₤=1:(₤:$)=0.556Indirectexchangerate→₤:$=1.80Whichisappreciated?Whichisdepreciated?₤:$=1.90表示1英镑兑换的美元数量更多，因此英镑相对于美元升值了，而美元相对于英镑贬值了ForeignExchangeQuotationsBid-ask(offer)pricesTheforeignexchangemarketisaworldwideinter-bankmarketincludingonlymajorbanksandspecializedbrokerswhoactasmiddlemenforsomelocalmarkets,whichislinkedbytelephone.Themarketisorganizedlikeaninternationalover-the-countermarket.ForeignExchangeQuotationsTheforeignexchangedealerquotestwoprices:bidpriceandask(offer)price.Thebidpriceistheexchangerateatwhichthedealeriswillingtobuyacurrency.Theask(offer)priceistheexchangerateatwhichthedealeriswillingtosellacurrency.Themidpointpriceistheaverageofthebidandaskprice:(ask+bid)/2.ForeignExchangeQuotationsPayinga$0.9839/euroaskrateisequivalenttoacounter-partybidding1/0.9839=€1.0164perdollar.TheDC/FCdirectaskexchangerateisthereciprocaloftheindirectbidexchangerate.TheDC/FCdirectbidexchangerateisthereciprocaloftheindirectaskexchangerate.ForeignExchangeQuotationsForbothdirectandindirectquotes,thebid-askspreadcanbegivenasapercentagedefinedas100times(askprice–bidprice)/askprice.100%*(0.9839-0.9836)/0.9839=0.0305%→directrate100%*(1.0167-1.0164)/1.0167=0.0295%→indirectrateForeignExchangeQuotationsSpreadsdifferasaresultofmarketconditionsandtradingvolume.Thesizeofbid-askspreadincreaseswithexchangerateuncertaintybecauseofbank/dealerriskaversion.Spreadsarelargerforcurrenciesthathavealowtradingvolume(thinlytradedcurrencies).链接：

莫斯科各银行提高外汇买卖价差俄新网莫斯科2010年5月7日电由于美元和欧元兑卢布的汇率大幅上升，莫斯科银行纷纷在各自外汇兑换点提高外汇买卖价差。外汇市场的局势稳定的时候，外汇买卖价差一般会在10至20个戈比之间。当汇率出现大幅度波动时候，买卖价差则扩大到1个卢布，甚至更多。本周三和周四两天，美元汇率上升1卢布，而欧元上涨0.4卢布。周五截至11点30分（莫斯科时间），莫斯科银行间外汇交易系统的平均汇率与周四相比再次上升42戈比，达到1美元兑30.72卢布。卢布贬值的原因是石油价格下跌和投资人打算抛售卢布资产。总体上，从周四开始外汇买卖价差不断扩大。周五早晨欧元和美元兑卢布汇率买卖价差最高达到1卢布。ForeignExchangeQuotationsThesizeofthebid-askspreaddoesnotdependonbank/dealerpositions.Themidpointofthespreadmovesinresponsetodealerpositions.Adealerwithexcesssupplyofaforeigncurrencywouldmovethemidpointofhisdirectquotedown.Adealerquotingalargespreadrelativetootherdealerswillbasicallynottrade.Position-头寸头寸也称为“头衬”就是款项。银行当日的全部收付款中收入大于支出款项，就称为“多头寸”，付出大于收入款项，称为“缺头寸”。暂时未用的款项大于需用量时称为“头寸松”，资金需求量大于闲置量时就称为“头寸紧”。外币交易中，“建立头寸”是开盘的意思。开盘也叫敞口，就是买进一种货币，同时卖出另一种货币的行为。开盘后，长了（多头）一种货币，短了（空头）另一种货币。选择适当的汇率水平以及时机建立头寸是盈利的前提。净头寸是指开盘后获取的一种货币与另一种货币之间的交易差额。ForeignExchangeQuotations-

Example2ExchangeratequotesandFrenchbondsAU.S.portfoliomanagerwantstobuy$10millionworthofFrenchbonds.Themanagerwantstoknowhowmanyeuroscanbeobtainedtoinvestusingthe$10million.Portfoliomanemanagercallsseveralbankstogettheir€/$quotation.BankA:€/$=0.80000-0.80020BankB:€/$=0.79985-0.80005BankC:€/$=0.79995-0.80015BidpriceAsk

priceForeignExchangeQuotations-

Example2Notethattheaskforallthreequotationsadd0.00020tothebid.Howmanyeuroswilltheportfoliomanagergettoinvest?SOLUTIONThemanagerwillimmediatelychooseBankAandindicatethatshewillbuy8millioneurosfor$10million.ArbitrageArbitrageArbitragekeepsexchangeratesinlinewitheachotherandwithrisk-freeinterestrates.Triangulararbitrageandcross-ratesinvolveexchangeratesbetweenthreecurrenciesandtherisk-lessprofit-seekingmotivethatpushesexchangeratesintoalignmentwitheachother.Acrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry'sexchangeratewithathirdcountry.Arbitrage-crossratesAsimpleexamplethedollarpereuroexchangerateis0.9836($/€)thedollarperpoundrateis1.5231($/₤)Theeuropoundcross-ratecanbecalculatedbymultiplyingtheeuroperdollarrate(1/0.9836)bythedollarperpoundrate:(1/0.9836)*1.5231=1.5485,or€1.5485perpoundArbitrage-crossratesWecanfindouttheequationofcrossrateswithoutthinkingofbid-askexchangerate.Giventwoexchangerates:FC1/DC=S1FC2/DC=S2FC1/FC2=(FC1/DC)/(FC2/DC)=(FC1/DC)*(FC2/DC)Anotherdemonstration:DC:FC1=S1DC:FC2=S2FC2:FC1=(DC:FC1):(DC:FC2)Arbitrage-Example3REVIEWIf€/$=$:€=0.80Y/$=$:Y=120SoY/€=€:Y=($:Y):($:€)=120:0.8Arbitrage-Example3SOLUTION(Y/€)bid=(€:Y)bid

(€:Y)bid→目标为银行买入€卖出Y→银行先要买入$

卖出Y→($:Y)bid→然后银行要买入欧元卖出美元→(€:$)bid(€:Y)bid=($:Y)bid*(€:$)bid由于(€:$)bid=1/($:€)ask

所以(€:Y)bid=($:Y)bid*(€:$)bid=($:Y)bid/($:€)ask(€:Y)bid=120.00/0.80020=149.96Exercise:calculate(Y/€)askArbitrage-Example3Toverifythatthecalculationshavebeenmadecorrectly,therearetwochecks.RightdirectionMaximizingbid-askspreadArbitrage-Example3Lookatthesymbols.TogetY/€,wedividetheY/$by€/$rate.Observethatthe$symboldisappears:Y/€=Y/$/€/$ORY/€=Y/$*$/€Maximizethebid-askspreadTogetthebidcross-rate,whichisthesmallerrate,putthesmallerfigure(thebid-Y/$)inthenumeratorandthelargerfigure(theask-€/$)inthedenominator.Togettheaskcross-rate,dothereverse.Arbitrage(FC1/FC2)ask=(FC1/DC)ask*(DC/FC2)ask(FC1/FC2)bid=(FC1/DC)bid*(DC/FC2)bid(FC2/FC1)ask=(DC/FC1)ask*(FC2/DC)ask(FC2/FC1)bid=(DC/FC1)bid*(FC2/DC)bid(FC2/FC1)ask=1/(FC1/FC2)bid

(FC2/FC1)bid=1/(FC1/FC2)ask

Arbitrage-ThelawofonepriceHowdoesanarbitrageopportunityoccur?Arbitragealignsexchangeratequotationsthroughouttheworld.Thequotationforoneexchangeratemustbethesameatagiveninstantworldwide.Ifquotationsweretodeviatebymorethanthespread,asimplephonecalwouldallowatradertomakeenormousprofits.Arbitrage-ThelawofonepriceWhatisthelawofoneprice?Thelawofonepriceindicatesthattheexchangeratequotesintwocountriesshouldbethesamewithinatransactioncostband.Arbitrage-ThelawofonepriceWithexchangeratebetweentwocountries,thebid-askspreadinonecountryshouldbealignedwiththeother,orabilateralarbitrageopportunitywouldbepresent.Atriangulararbitrageopportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.链接：一价定律一战以前，各国货币都规定黄金含量，持有货币可以自由兑换黄金。两国货币的汇率，就是货币的含金量之比，称为铸币平价。比如，1英镑含黄金113.0格令，1美元含黄金23.3格令，两国货币的铸币平价就是4.9，因而英镑兑美元的汇率就是1:4.9。受市场行情的影响，汇率也会有所波动，但由于有黄金作保证，汇率波动的幅度很小，故此时的汇率称为固定汇率。链接：一价定律一战期间，各国大量发行纸币，纸币含金量无法保证，不能兑换黄金，铸币平价随之瓦解。战争结束后，1922年瑞典学者卡塞尔出版了《1914年以后的货币和外汇》一书，提出购买力平价说，认为应根据各国货币的购买力来确定它们之间的汇率。此说一出，各国政府按图索骥，纷纷重定汇率。链接：一价定律购买力平价说的前提是，两国之间贸易自由，商品、劳务交流，不受关税、配额限制，即便有限制，双方外贸政策对等，没有相互歧视。同时，假设两国商品的运输成本也大致相同。卡塞尔的推论是，同样货物无论在哪里销售，其价格必然相等。即若世界上只有一种货币，那么在任何地方购买同质的商品，花费都应该一样。此推论被称为“一价定律”。链接：一价定律各国货币不可能相同，由“一价定律”可推出的含义是，两种货币汇率等于它们的购买力之比。比如一个汉堡包在美国卖1美元，在日本卖150日元，即1美元相当于150日元的购买力，美元兑日元的汇率是1:150。如果一国的货币购买力下降，商品的国内价格上升，该货币就会对外等比例贬值；反之，购买力上升，货币则会相应升值。Arbitrage-TriangulararbitrageStepsincalculatingtheprofitofatriangulararbitragePickthecross-ratecurrency.Determinewhetherthecross-ratebid-askquotesareinlinewiththedirectquotes.Determinewhetheritischeapertobuyforeigncurrencydirectlyorindirectly(throughthecross-quotedcurrency).Arbitrage–Example5Thedirectexchangerateis2DCunitsfor1FC1unit,and3DCunitsfor1FC2unit.Thequotedcross-rateis1.48FC1for1FC2unit.Isthereanarbitrageopportunity?Arbitrage–Example5Thequotedcross-rateislessthanthecross-rate.with1DCunit,buy0.5FC1units;convertto0.5/1.48=0.33784FC2units;andthenconvertto0.33784*3=1.0135DCunits.1DC=0.5FC1→0.5/1.48=0.33784FC2→0.33784*3=1.0135DCInvestorsgot(1.0135-1)DCunitsForwardQuotesSpotexchangerateSpotexchangeratesarequotedforimmediatecurrencytransactionsinpracticethesettlementtakesplace48hourslaterSpottransactionsareusedextensivelytosettlecommercialpurchasesofgoods,aswellasforinvestment.ForwardQuotesForwardexchangerateForwardexchangeratesarecontractedtodaybutwithdeliveryandsettlementinthefuture,usually30or90dayshence.Abankmayquotetheone-month€/$exchangerateas0.80200-0.80250.Thismeansthebankiswillingtocommititselftodaytobuydollarsfor0.80200euroortosellthemfor0.80250euroinonemonth.ForwardQuotesInaforward,orfutures,contractwhichisacommitmentisirrevocablymadeonthetransactiondate.butdelivery,thatis,theexchangeofcurrency,takesplacelater,onadatesetinthecontract.Liquiditydecreaseswiththeincreasingmaturityoftheforwardcontract.Bid-askspreadsincreaseswiththeincreasingmaturityofthecontract.ForwardQuotes–

PremiumanddiscountForwardexchangeratesareoftenquotedasapremium,ordiscount,tothespotexchangerate.Withaquoteshowingthecurrencypriceofonedollar,thereisapremiumonthedollarwhentheforwardexchangerateishigherthanthespotrateandadiscountotherwise.Thedollaris“strong”relativetotheothercurrency,asitsforwardvalueishigherthanitsspotvalue.ForwardQuotes–

PremiumanddiscountAsimpleexampleIftheonemonthforwardexchangerateis€/$=0.80200andthespotrateis€/$=0.80000.thedollarquoteswithapremiumof0.0020europerdollar.ForwardQuotes–

PremiumanddiscountIfacurrencyquotesatadiscount,thediscountshouldbesubtractedtoobtaintheforwardrate.AsimpleexampleSpotexchangerate$:Y=120.5Three-monthdiscount0.5Y/$Three-monthforwardexchangerate120.5-0.5=120ForwardQuotes–

PremiumanddiscountAnnualizedforwardpremium:ForwardQuotes–

PremiumanddiscountAsimpleexampleSpotrate:€/$=0.80000One-monthforwardexchangerate:€/$=0.80200AnnualizedforwardpremiumonthedollarInterestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity(IRP)isarelationshiplinkingspotexchangerates,forwardexchangerates,andinterestrates.Fortwocurrencies,theinterestrateparityrelationshipisthattheforwarddiscount(premium)equalstheinterestratedifferentialbetweenthetwocurrencies.Theproductoftheforwardrateandoneplusthedomesticrisk-freerateequalstheproductofthespotratemultipliedbyoneplustheforeignrisk-freerate.(indirectrates)Interestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity:theforwarddiscountandtheinterestratedifferentialSpotexchangerate$:€=0.8One-yearinterestrates€:14%$:10%Totakeadvantageoftheinterestratedifferential,aspeculatorcouldborrow$units(at10%),convertthemimmediatelyinto€units,andinvest€(at14%).Attheendoftheperiod,attime1,thespeculatormustconvert€into$atanunknownratetohonortheclaimin$borrowed.Interestrateparity:theforwarddiscountandtheinterestratedifferentialThispositionmaybetransformedintoacovered(risk-less)interestratearbitragebysimultaneouslybuyingaforwardexchangeratecontracttorepatriate€into$inoneyearataknownforwardexchangerateof0.808€/$.theinvestorstillbenefitsontheinterestratedifferential(againof4%),butlosesontherepatriationof€into$ontheforwardcontract.Interestrateparity:theforwarddiscountandtheinterestratedifferentialInterestrateparity:theforwarddiscountandtheinterestratedifferentialInoneyear,theexchangeratelosswillbeequalto:Per$

borrowed,thenetgainonthepositionis3%.Thisgainiscertainattime0,becauseallinterestratesandexchangeratesarefixedatthattime.Nocapitalisinvestedintheposition,whichisapureswapwithsimultaneousborrowingandlending.Interestrateparity:theforwarddiscountandtheinterestratedifferentialIfsuchrateswerequotedinreality,bankswouldarbitragetoexploitthisrisk-lessprofitopportunity.Enormousswapscouldoccur,