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Chapter 6The foreign exchange marketDec.13,2005I promise to pay_at an interest rate of _%within _ days._ Douglas CloudOne Thousand Dollars and no/100 6 90 T.WooduMost international financial transactions sooner or later involve an exchange of one currency for another the exchange rate and exchange rate determination play an important role in international financial theory.绝大多数的国际金融交易活动都绝大多数的国际金融交易活动都或多或少地涉及到外汇交易。因或多或少地涉及到外汇交易。因此说汇率及其决定因素分析在国此说汇率及其决定因素分析在国际金融理论中占有重要的地位。际金融理论中占有重要的地位。uThe efficiency of the international financial system and its degree of integration with the individual national financial systems depends to a large extent on how cheaply and quickly foreign exchange transactions can be effected.Dec.13,2005I promise to pay_at an interest rate of _%within _ days._ Douglas CloudOne Thousand Dollars and no/100 6 90 T.Wood国际金融系统的效率，及其同各国国际金融系统的效率，及其同各国金融系统的联系程度在很大程度上金融系统的联系程度在很大程度上取决于外汇交易的成本和效率取决于外汇交易的成本和效率uThe foreign exchange market is where currencies are bought and sold.In this chapter we look at the foreign exchange market from a technical point of view,examining how the market is organized,how exchange rates are quoted and how trades are actually made.外汇市场外汇市场是进行外汇交易的场所。本章将是进行外汇交易的场所。本章将从技术的角度来分析外汇市场、研究市场从技术的角度来分析外汇市场、研究市场是如何构成、汇率是如何标价，以及实际是如何构成、汇率是如何标价，以及实际的外汇交易是如何操作的。的外汇交易是如何操作的。We will also see how delivery and settlement is achieved between agents in different countries.An important element in the discussion is the link between the foreign exchange market and the Eurocurrency market.还将涉及到不同国家的银还将涉及到不同国家的银行之间是如何进行移交和行之间是如何进行移交和结算的等问题。其中我们结算的等问题。其中我们将重点讨论外汇市场和欧将重点讨论外汇市场和欧洲货币市场间的联系。洲货币市场间的联系。1.Organization of the foreign exchange spot market (即期外汇市场的组织结构即期外汇市场的组织结构）1.1The interbank marketForeign exchange transactionsForeign exchange transactions involve buying and selling one currency for another.外汇交易外汇交易是指用一种货币兑换另外一是指用一种货币兑换另外一种货币的交易活动。种货币的交易活动。实际的外汇交易实际的外汇交易一般都不是双方直接进行货币交易的一般都不是双方直接进行货币交易的，而是以一种货币的，而是以一种货币的活期存款活期存款兑换另兑换另一种货币的活期存款。一种货币的活期存款。Dec.13,2005I promise to pay_at an interest rate of _%within _ days._ Douglas CloudOne Thousand Dollars and no/100 6 90 T.WooduThe transaction can be made for immediate delivery on the spot market uFuture delivery on the future delivery即期市场中的外汇交易即期市场中的外汇交易是立即进行是立即进行交割的外汇交易，而交割的外汇交易，而远期外汇交易远期外汇交易是指按照约定的时间在未来进行交是指按照约定的时间在未来进行交割的交易。割的交易。The core of the foreign exchange market is the interbank market.It is an informal,over-the-counter,arounnd-the-clock market that includes the major commercial banks and some specialized brokers located in the principal financial special satellite communications network called SWIFT.银行同业市场是外汇市场的重要组成部分银行同业市场是外汇市场的重要组成部分，银行同业市场银行同业市场是一种非正式的、场外的是一种非正式的、场外的、全天候外汇交易市场，其业务范围涉及、全天候外汇交易市场，其业务范围涉及到世界各主要金融中心的大型商业银行和到世界各主要金融中心的大型商业银行和专业经纪公司。他们之间通过电话、电报专业经纪公司。他们之间通过电话、电报，而现在更多的是通过称为，而现在更多的是通过称为 SWIFT的专用的专用通讯卫星网络来传输交易。通讯卫星网络来传输交易。1.2 Spot quotationsuDirect dollar quotes(European terms)Exchange rates can be quoted in two ways:The number of units of domestic currency for one unit of foreign currency(incertain,direct quotations);The number of units of foreign currency for one unit of domestic currency().汇率的表示方法有两种：汇率的表示方法有两种：（）以本国货币表示的一单位外国货币的数量；（）以本国货币表示的一单位外国货币的数量；（）以外国货币表示的一单位本国货币的数量。（）以外国货币表示的一单位本国货币的数量。Dec.13,2005I promise to pay_at an interest rate of _%within _ days._ Douglas CloudOne Thousand Dollars and no/100 6 90 T.Wood目前世界绝大多数国家都采用直接目前世界绝大多数国家都采用直接标价法，而英国和美国则采用间接标价法，而英国和美国则采用间接标价法。标价法。uThe difference is the spread(gain)uThe spread at less than 0.04%bid/ask spread =ask rate bid rateask rateExampleSuppose bid price for =$1.52,ask price=$1.60.Spread=(1.60 1.52)=.05 or 5%1.60Dec.13,2005I promise to pay_at an interest rate of _%within _ days._ Douglas CloudOne Thousand Dollars and no/100 6 90 T.WooduRemember that foreign exchange quotes are symmetrical.uBuying one is the same as selling the other.切记汇率的标价是完全对称的。切记汇率的标价是完全对称的。即买入一种货币就相当于卖出另即买入一种货币就相当于卖出另外一种货币。外一种货币。Indirect quotation=1 Direct quotation1.3 Cross ratesA cross exchange rate reflects the amount of one foreign currency per unit of another foreign currency.以非美元标价的、不同外币间的汇率以非美元标价的、不同外币间的汇率就叫做就叫做套算汇率套算汇率。ExampleDirect quote:$1.50/,$.009/Indirect quote:.67/$,111.11/$Value of in =value of in$value of in$=$1.50/$.009/Triangular arbitrage-三角套汇三角套汇2.The forward foreign exchange market（远期外汇市场（远期外汇市场）2.1 Forward quotesSpot exchange rates are quoted for delivery two business days after the transaction is concluded Forward contracts are foreign exchange traders quote exchange rates for delivery further than two days in the future.即期汇率即期汇率是外汇交易完成后的两个营业是外汇交易完成后的两个营业日内进行外汇交割的汇率。日内进行外汇交割的汇率。银行同业拆借市场中外汇交易者也可以银行同业拆借市场中外汇交易者也可以在两个营业日之后的未来某个约定日期在两个营业日之后的未来某个约定日期进行交割，并以当日的汇率作为交易汇进行交割，并以当日的汇率作为交易汇率率-远期外汇交易远期外汇交易。Contracts can be negotiated for just about any maturity but most banks supply regular quotes on maturities of 30,60,90 and 180 days.远期外汇交易合同规定，可以在未来的远期外汇交易合同规定，可以在未来的任何时间进行交割，但大多数银行规定任何时间进行交割，但大多数银行规定的一般期限为的一般期限为30天、天、60天、天、90天或者天或者180天。天。1.1 Forward quotes Discounts and premiumsF0,t t年内交割的远期汇率年内交割的远期汇率S0 即期汇率即期汇率Represented the forward premium or the forward discount.Forward premiumForward premiumThe forward rate is higher than the spot rate.Forward discountThe forward rate had been lower than the spot rate.升水升水就是指外汇的远期汇率高于即期汇率就是指外汇的远期汇率高于即期汇率的部分。如果远期汇率低于即期汇率，我的部分。如果远期汇率低于即期汇率，我们就称之为们就称之为远期贴水。远期贴水。Closing mid-pointTaking the sum of the bid and the ask and dividing by two gives the closing mid-point.中间价中间价是指汇率的买入价与卖出价总是指汇率的买入价与卖出价总和的平均值和的平均值The premium on the yen vis-vis the dollar is 6.2%The discount on the dollar is approximately equal to the premium on the yen.1.2 Conventions in forward quotationsQuote the rate“outright”Swap rate It involves giving the number of units of one currency that it takes to buy one unit of another currency for delivery in the future.It presents the forward rate as a discount or premium on the spot rate.一种是一种是直接标出汇率直接标出汇率，类似于即期汇率标价法。，类似于即期汇率标价法。即标出未来购买一单位外国货币所需的某种货币即标出未来购买一单位外国货币所需的某种货币的数量。另一种方法是通过升水或贴水的方法来的数量。另一种方法是通过升水或贴水的方法来表示远期汇率，或者称为表示远期汇率，或者称为互换汇率互换汇率Dec.13,2005I promise to pay_at an interest rate of _%within _ days._ Douglas CloudOne Thousand Dollars and no/100 6 90 T.WoodWhen forward rate are quoted as a swap instead of outright,the spot rate is given and then the forward rate is given as a number of points that must be added or subtracted from the spot rate.如果是采用互换式远期汇率标注如果是采用互换式远期汇率标注法，要先给定即期汇率，再在此法，要先给定即期汇率，再在此基础上加减一定的数额得出远期基础上加减一定的数额得出远期汇率。汇率。8078 and 213210,this tells us that the pound is selling at a discount and that to obtain the outright forward rate we must subtract the bid-ask points from the spot rate.如美元对英镑的汇率，买入汇率高于卖出汇率（如美元对英镑的汇率，买入汇率高于卖出汇率（，）。这意味着英镑正在贬值出售，应，）。这意味着英镑正在贬值出售，应该从即期汇率中减去买入卖出汇率的差价以获得相应的该从即期汇率中减去买入卖出汇率的差价以获得相应的远期汇率。远期汇率。2731and 8388,this tells us that the US dollar is at a forward premium and that the points should be added to the spot rate to obtain the outright forward quote.同理可得加拿大元美元的汇率，差别只在于汇同理可得加拿大元美元的汇率，差别只在于汇率的买入价低于卖出价（，率的买入价低于卖出价（，）。这说明了美元是远期升值的，所以增加的）。这说明了美元是远期升值的，所以增加的差价应该被加到相应的即期汇率上，以得出远期差价应该被加到相应的即期汇率上，以得出远期汇率。汇率。1.In Belgium,the certain is:A.The number of units of foreign currency for one Belgian franc B.The number of Belgian francs for one unit of foreign currency C.The number of dollars for one French franc D.The number of Belgian francs for one French franc Key:A2.CHAPS is an international clearing system for which of the following types of funds:A.Dollar funds B.Italian lira funds C.Sterling funds D.Yen funds Key:C3.The cross rate is:A.The exchange rate between the dollar and a non-European currency B.The exchange rate between the dollar and an European currency C.The exchange rate between two countries that do not involve dollars D.The forward exchange rate on a currency other than dollars Key:C4.Which of the following statements is true:A.A trader is a market maker B.A trader operates in a foreign exchange trading room C.A trader is also a broker D.None of the above three statementsKey:A5.Fill in the missing exchange rates in the following table.EuroUS dollarYenBritish poundEuro11.3 euro0.013 euro2 euroUS dollar Yen British pound EuroUS dollarYenBritish poundEuro11.3 euro0.013 euro2 euroUS dollar$0.771$0.01$1.54YenYen 76.92Yen 1001Yen 153.85British pound0.50.650.006516.Suppose the price of silver is 15 euro per ounce and the price of silver is also$11 per ounce.i)What do you expect the exchange rate between euro and dollar to be?ii)If the exchange rate is 0.7 dollar for 1 euro,is there any arbitrage opportunity?Explain an example.15 euro=11$,therefore 1$=1.36euroii)if 1$=1/0.7 euro=1.43euro then there is a difference between the expected exchange rate and the observed exchange rate.With$100 we buy 143 euro which will buy 9.524ounces of silver for$104.76.If the transaction costs are less than$4.76 then we have a real arbitrage opportunity.Assignment1.Explain with an example what is triangular arbitrage.2.How are the forward exchange rates quoted?The End
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