必讲外汇市场

INTERNATIONALFINANCIALMANAGEMENTINTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFourthEditionChapterObjectives:Thischapterservestointroducethestudenttotheinstitutionalframeworkwithinwhichexchangeratesaredetermined.Thischapterlaysthefoundationformuchofthediscussionthroughouttheremainderofthetext,thusitdeservesyourcarefulattention.5ChapterFiveTheMarketforForeignExchange货币代表的是购置力，如果要购置其他国家的产品或效劳，一般需要先购置该国的货币。就是用本国货币去购置外汇，这样就能将本国购置力转化为外汇国家的购置力。外汇市场是世界最大的金融市场。伦敦目前是世界最大的外汇交易中心。

国财6版page94图；最新数据见下页ppt；国财5版page89图;EXHIBIT5.1SharesofReportedGlobalForeignExchangeTurnoverbycountryorregion,2023〔Source：BankforInternationalSettlements，:///statistics/index.htm)FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarketFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSwapTransactionsForwardPremiumFunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketChapterOutlineTheFunctionandStructureof

theFXMarket即期和远期外汇市场都属于场外交易市场〔OTC)，买卖双方通过、计算机终端和自动处理系统形成交易网络，将全球范围的货币交易银行、非银行交易商和外汇经纪人联系在一起。路透社和电子经纪效劳公司是外汇交易报价显示器的最大销售商。外汇市场通信系统堪称首屈一指，绝不亚于政府、国防和情报部门的通信系统。外汇市场一天24小时都在进行着交易。分为三个主要市场：亚洲-澳洲市场、欧洲市场和北美市场。亚洲-澳洲市场包括东京、新加坡、香港、悉尼和巴林等交易中心；欧洲市场包括伦敦、苏黎世、巴黎、法兰克福、布鲁塞尔和阿姆斯特丹交易中心；北美市场包括纽约、芝加哥、旧金山、洛杉矶、蒙特利尔和多伦多交易中心。绝大多数交易所每天营业9至12个小时。EXHIBIT5.2TheCircadianRhythmsoftheFXMarket〔Source：FederalReserveBankofNewYork，〕TheFunctionandStructureof

theFXMarketFXMarketParticipantsCorrespondentBankingRelationships〔通汇关系〕FXMarketParticipantsTheFXmarketisatwo-tieredmarket〔双层市场〕:InterbankMarket〔Wholesale，批发市场或银行间同业市场〕ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventory.ClientMarket〔Retail，零售市场〕Marketparticipantsincludeinternationalbanks,theircustomers,nonbankdealers〔非银行交易商〕,FXbrokers,andcentralbanks.国际银行是外汇市场的核心。银行客户包括跨国公司、理财经理和私人投资者。2023年BIS的统计数据，零售或银行客户交易量约占外汇交易总量的14%〔2007该数据为17%〕，其余86%为国际银行或非银行交易商间的银行同业交易。非银行交易商指大型的非银行金融机构，如投资银行、共同基金、养老基金、对冲基金等。2023年，非银行交易商的交易量占银行同业市场交易量的47%〔2007年该数据为40%〕。大局部银行同业交易属于投机性或套利性交易。其参与者试图通过判断汇率走势或通过相互竞争的交易商间的临时性价格偏差来获利。外汇经纪人为交易商的外汇买卖进行撮合并从中收取费用，但他们自身并不持有头寸。银行同业交易的大量业务都是通过路透社和EBS平台来完成的。中央银行干预外汇市场主要指运用外汇储藏购置本国货币、使本币供给量减少，使本币升值；出售本币购置外汇，使本币供给量增大，使本币贬值。干预外汇市场中央银行通常损失外汇储藏，但无证据说明大规模干预外汇市场能实质性的影响汇率走势。FXMarketParticipantsCorrespondentBanking〔代理行〕RelationshipsLargecommercialbanksmaintaindemanddeposit(活期存款〕accountswithoneanotherwhichfacilitatestheefficientfunctioningoftheFXmarket〔有利于外汇市场的有效运作〕.

银行同业市场就是代理行关系网络，其中大型商业银行彼此间都设立存款账户，即所谓代理行账户。

CorrespondentBankingRelationshipsBankAisinLondon,BankBisinNewYork.Thecurrentexchangerateis£1.00=$2.00.AcurrencytraderemployedatBankAbuys£100mfromacurrencytraderatBankBfor$200msettledusingitscorrespondentrelationship(代理行关系〕.〔注：A银行在B银行有英镑和美元两个存款账户，A银行记录在自己的资产账户下，同时B银行在A银行也有英镑和美元两个存款账户，A银行记录在自己的负债账户下，这样涉及到A银行四个账户，两个资产账户和两个负债账户；同理B银行也是，这样共涉及八个账户。〕BankALondonBankBNYC$200m£100mCorrespondentBankingRelationshipsAssets Liabilities£depositatB£300mOtherAssets£600mB’sDeposit$1,000mOtherL&E£600mTotalAssets£1,300mTotalL&E£1,300mAssets Liabilities$depositatA$1000mOtherAssets$800mA’sDeposit£300mOtherL&E$800mTotalAssets$2,200mTotalL&E$2,200m£400m$1,200m$1200m£400m$600mB’sDeposit£200m$600m£depositatA£200m£100mA’sDeposit$800mBankALondonBankBNYC$200m£100m$depositatB$800m£100m银行A的记账货币为英镑，因为A在英国；银行B的记账货币为美元，因为B在美国。Thecurrentexchangerateis£1.00=$2.00.BankALondon$200mCorrespondentBankingRelationshipsInternationalcommercialbankscommunicatewithoneanotherwith〔以下的通信系统用于全球结算〕:SWIFT:TheSocietyforWorldwideInterbankFinancialTelecommunications.CHIPS:ClearingHouseInterbankPaymentsSystemECHO:ExchangeClearingHouseLimited,thefirstglobalclearinghouseforsettlinginterbankFXtransactions.TheSpotMarket〔即期外汇市场〕SpotRateQuotations〔即期汇率报价〕TheBid-AskSpread〔买卖差价〕SpotFXtrading〔即期外汇交易〕CrossRates〔套算汇率〕Spot〔Forward〕RateQuotationsCountryUSDequiv

FridayUSDequiv

ThursdayCurrencyperUSD

FridayCurrencyper

USDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364SpotRateQuotationsNotethatthedirectquoteisthereciprocal〔倒数的〕oftheindirectquote:5242.19077.1=CountryUSDequivFridayUSDequivThursdayCurrencyper

USDFridayCurrencyperUSDThursdayArgentina(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)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364TheBid-AskSpreadThebidpriceisthepriceadealeriswillingtopayyouforsomething.Theaskpriceistheamountthedealerwantsyoutopayforthething.Thebid-askspreadisthedifference〔差额〕betweenthebidandaskprices.TheBid-AskSpreadAdealercouldofferbidpriceof$1.25per€askpriceof$1.26per€Thebid-askspreadrepresentsthedealer’sexpectedprofit.哪种货币更贵〔2023年6月2日〕，见下页ppt，国财6版104表，最新资料查询见以下链接Source：TheWallStreetJournal，June3，2023，p.C.2.Source：TheWallStreetJournal，June3，2023，p.C.2.TheBid-AskSpreadAdealerwouldlikelyquotethesepricesas72-77.Itispresumedthatanyonetradingalreadyknowsthe“bigfigure〞.BidAsk1.9072.5242S($/£)S(£/$)1.9077.5243bigfiguresmallfigureSpotFXtradingIntheinterbankmarket〔银行同业拆借市场〕,thestandardsizetradeisaboutU.S.$10million.Thestakes〔赌注〕arehigh.The“longterm〞isabout10minutes.CrossRatesSupposethatS($/€)=1.50

i.e.€1.00=$1.50andthatS(¥/€)=50

i.e.€1.00=¥50Whatmustthe$/¥crossratebe?$1.50¥50=$1.50€1.00€1.00¥50×$1.00=¥33.33$0.0300=¥1TriangularArbitrage$CreditLyonnaisS(€/$)=1.50CreditAgricoleS(¥/€)=85BarclaysS(¥/$)=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=$6,250TriangularArbitrage$CreditLyonnaisS(€/$)=1.50CreditAgricoleS(¥/€)=85BarclaysS(¥/$)=120Herewehavetogo“clockwise〞tomakemoney—butitdoesn’tmatterwherewestart.¥€123$Ifwewent“counterclockwise〞wewouldbethesourceofarbitrageprofits,nottherecipient!开始有85日元，换1欧元，换2/3美元，换80日元，比开始少了5日元SpotForeignExchangeMicrostructureMarketMicrostructurereferstothemechanics[mɪkænɪks]ofhowamarketplaceoperates.Bid-AskspreadsinthespotFXmarket:increasewithFXexchangeratevolatility.〔需要风险补偿〕decreasewithdealercompetition.〔竞争加剧，利润变小〕Privateinformationisanimportantdeterminantofspotexchangerates.实证发现，中央银行对外汇市场的干预似乎对汇率没有实质性影响，却提高了市场的波动性，这会增加交易者的交易本钱。TheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCrossExchangeRatesSwapTransactionsForwardPremiumTheForwardMarketAforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.Ifyouhaveeverhadtoorderanout-of-stock〔缺货〕textbook〔教科书〕,thenyouhaveenteredintoaforwardcontract.ForwardRateQuotationsTheforwardmarketforFXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday.Bankquotesfor1,3,6,9,and12monthmaturitiesarereadilyavailable〔容易获得〕forforwardcontracts.Longer-termswapsareavailable.ForwardRateQuotationsConsidertheexamplefromabove:forBritishpounds,thespotrateis$1.9077=£1.00Whilethe180-dayforwardrateis$1.8904=£1.00What’supwiththat?ForwardRateQuotationsClearlythemarketparticipantsexpect〔预期〕thatthepoundwillbeworthlessindollarsinsixmonths.CountryUSDequivFridayUSDequivThursdayCurrencyperUSDFridayCurrencyperUSDThursdayArgentina(Peso)0.33090.32923.02213.0377Australia(Dollar)0.78300.78361.27711.2762Brazil(Real)0.37350.37912.67742.6378Britain(Pound)1.90771.91350.52420.52261MonthForward1.90441.91010.52510.52353MonthsForward1.89831.90380.52680.52536MonthsForward1.89041.89590.52900.5275Canada(Dollar)0.80370.80681.24421.23951MonthForward0.80370.80691.24421.23933MonthsForward0.80430.80741.24331.23856MonthsForward0.80570.80881.24121.2364ForwardRateQuotationsConsiderthe(dollar)holdingperiodreturnofadollar-basedinvestorwhobuys£1millionatthespotandsellsthemforward〔6MonthsForward〕:$HPR=gainpay$1,890,400–$1,907,700$1,907,700=–$17,300$1,907,700=$HPR=–0.0091AnnualizeddollarHPR=–0.0091×2=–1.82%ForwardPremium〔远期升水〕Theinterestratedifferentialimpliedbyforwardpremiumordiscount.Forexample,supposethe€isappreciatingfromS($/€)=1.25toF180($/€)=1.30The180-dayforwardpremiumisgivenby:=0.081.30–1.251.25×2=f180,€v$F180($/€)–S($/€)S($/€)=×360180LongandShortForwardPositionsIfyouhaveagreedtosellanything(spotorforward),youare“short〞.Ifyouhaveagreedtobuyanything(spotorforward),youare“long〞.IfyouhaveagreedtosellFXforward,youareshort.IfyouhaveagreedtobuyFXforward,youarelong.PayoffProfiles0S180($/¥)F180($/¥)=.009524ShortpositionlossprofitIfyouagreetosellanything〔此图为卖出日元〕inthefutureatasetpriceandthespotpricelaterfallsthenyougain.Ifyouagreetosell

anythinginthefutureatasetpriceandthespotpricelaterrisesthenyoulose.PayoffProfilesloss0S180(¥/$)F180(¥/$)=105-F180(¥/$)profitWhetherthepayoffprofileslopesupordowndependsuponwhetheryouusethedirectorindirectquote:F180(¥/$)=105orF180($/¥)=.009524.图为给出日元换入美元shortposition在与纵轴交点上，美元变得一文不值，按照105日元兑换1美元的远期合约兑换，每换得一文不值的1美元就损失105日元。Whentheshortenteredintothisforwardcontract,heagreedtosell¥in180daysatF180(¥/$)=105PayoffProfilesloss0S180(¥/$)F180(¥/$)=105-F180(¥/$)120If,in180days,S180(¥/$)=120,theshortwillmakeaprofitbybuying¥atS180(¥/$)=120anddelivering¥atF180(¥/$)=105.〔在现货市场上买入日元用于远期市场上交割〕15¥profitshortpositionPayoffProfilesloss0S180(¥/$)F180(¥/$)=105Longposition〔买入日元〕-F180(¥/$)F180(¥/$)shortposition〔卖出日元〕profitSincethisisazero-sumgame,thelongpositionpayoffistheoppositeoftheshort.PayoffProfilesloss0S180(¥/$)F180(¥/$)=105Longposition-F180(¥/$)profitThelonginthisforwardcontractagreedtoBUY¥in180daysatF180(¥/$)=105If,in180days,S180(¥/$)=120,thelongwilllosebyhavingtobuy$atS180(¥/$)=120anddelivering$atF180(¥/$)=105.120–15¥ForwardCrossExchangeRatesIt’sjustan“delayed〞exampleofthespotcrossratediscussedabove.IngenerictermsNoticethatthe“$〞iscancel.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)0.80370.80681.24421MonthForward0.80370.80691.24423MonthsForward0.80430.80741.24336MonthsForward0.80570.80881.2412ForwardCrossExchangeRatesGBP1.00CAD2.3464=GBP1.00USD1.00USD1.8904CAD1.2412×pound-CanadiandollarcrossrateGPB1=USD1.8904CAD1.2412=USD1TheforwardCurrencySymbolsInadditiontothefamiliarcurrencysymbols(e.g.£,¥,€,$)therearethree-lettercodesforallcurrencies. Itisalonglist,butselectedcodesinclude: NZD新西兰元SEK瑞典克朗NOK挪威克朗SGD新加坡元ZAR SouthAfricanrand〔南非兰特〕USD美元EUR欧元GBPBritishpoundCHF SwissfrancsJPYJapaneseyen CAD CanadiandollarAUD澳大利亚元March15th，2023七种主要货币套算汇率数据见下页pptMarch15th，2023，资料来源：SWAPSAswapisanagreementtoprovideacounterpartywithsomethinghewantsinexchangeforsomethingthatyouwant.Swaptransactionsaccountforapproximately47%percent〔5版数据为56%〕ofinterbankFXtrading,whereasoutrightforwardtradesare13percent〔5版数据为11%〕.最新数据见下页ppt表；国财6版Page102表5-2；国财5版Page102表5-1；〔资料来源：TriennialCentralBankSurveyofforeignexchangeandderivativesmarketactivityin2023，BankforInternationalSettlements，〕Swapsarecoveredfullyinchapter14.GlobalforeignexchangemarketturnoverbyinstrumentdailyaveragesinApril,inbillionsofUSdollarsandpercentagesInstrument200720102013Amount%Amount%Amount%Spottransactions

1,005

30.2

1,488

37.5

2,046

38.3Outrightforwards

362

10.9

475

11.9

680

12.7Foreignexchangeswaps

1,714

51.6

1,759

44.3

2,228

41.7Currencyswaps

31

0.9

43

1.1

54

1.0FXoptionsandotherproducts

212

6.4

207