chap1外汇与外汇汇率

单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,Economic Summits,*,1.,外汇与外汇汇率,Foreign Exchange & Exchange Rate,1,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（,Foreign Exchange,）,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,4,Dynamic: the process to exchange a nations currency for another nations currency,Static: the instrument used to finish the exchange activity,外汇（,Foreign Exchange,）,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,6,Foreign Exchange is the asset denominated in foreign currency,Foreign Exchange must be convertible currency,Foreign Exchange Foreign Currency,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,8,The value of one currency relative to another currency,as the number of units,of one currency required to purchase,one unit,of the other currency.,Exchange rate is to measure the value of one currency relative to another,The market price for foreign exchange,汇率（,Foreign Exchange Rate,）,汇率（,Foreign Exchange Rate,）,汇率标价方法,Direct Quotation: US,$,100=RMB,657.70,Indirect Quotation: RMB,100,US,$,15.20,US Dollar Quotation: US,$,1=HK$7.7871,US,$,1=J,83.14,10,Market Quotes: Direct - Indirect Quotes,Direct quote,is the home currency price of one unit of foreign currency (e.g.: rmb,￥,/$ for china),Indirect quote,is the foreign currency price of one unit of home currency (e.g.: $/ rmb,￥,for china),Note that A Direct-Indirect Quotation is always linked to a specific country (in above example is china),主要间接标价货币,12,Market Quotes: American - European Term,American term,is the other nations currency price of the American currency (e.g.: rmb,￥,/$),European Term,is the American currency price of the other nations currency (e.g.: $/ rmb,￥,),Note that A American-European Quotation is always linked to US dollar,汇率种类,基准汇率,(basic rate),对关键货币汇率,官方制定或公布,套算汇率,(cross rate),根据基准汇率和外汇市场行情计算得到,买入价,(buying rate),和卖出价,(selling rate),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,(middle rate),买卖平均价,见于报刊、经济分析,14,Exchange rate classification,Buying rate (Bid rate), Selling rate (Ask rate) and middle rate,Spot rate and forward exchange rate,Basic rate and cross rate,Official rate and market rate,Fixed exchange rate and floating exchange rate,Nominal exchange rate and real exchange rate,NEER REER,Bid rate - Ask rate,The bid is the price the bank is willing to pay for the currency, e.g., 1.8176 $/ is the bid on the pound in terms of the dollar,The ask is what the bank is willing to sell the currency, e.g. 1.8184 $/, is the ask on the pound in terms of the dollar,Bid - Ask Spread: Cost of Transacting,The bid - ask spread of a currency reflects, in general, the cost of transacting in that currency,It is calculated as the difference (absolute value) between the ask and the bid,Example, 1.8184 1.8176 = 0.0008,Bid - Ask Margin: Percent Cost of Transacting,The bid - ask spread can be converted into a percent to compare the cost of transacting among a number of currencies,The margin is calculated as,the spread as a percent of the ask,(Ask - Bid)/Ask * 100,Example,(1.8184 1.8176 )/1.8184 * 100 = 0.044%,Cross-Rates: Unobserved Rates,A cross-rate is an unobserved rate that is calculated from two observed rates,For example, the spot rate for the U.S dollar-per currency for the British pound is 1.8180 $/ , and the spot rate for the U.S dollar-per currency for the euro is 1.2145 $/. What is the British pound price of the euro (/)?,Note that ($/) / ($/) = ($/) *(/$)=/,In this example, 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$1.3040GBP,英镑,/1.3050,英镑,20,习题,根据外汇行情表,1-1,完成以下工作,套算,GBP,和,JPY,的中间价,套算,JPY,和,HKD,的买入价和卖出价,套算,GBP,和,SFR,的买入价和卖出价,21,汇率种类（续）,即期汇率,(spot rate),两个工作日内办理交割,远期汇率,(forward rate),约定未来某一时间实际交割,以即期汇率为基础约定，二者之间通常有差价,外汇升贴水主要受利率差异、供求关系、预期等因素影响,22,人民币外汇牌价,(ICBC 06-03-22),币种,中间价,现汇买入价,现钞买入价,卖出价,基准价,美元,(USD),803.06,801.45,795.03,804.67,803.06,港币,(HKD),103.49,103.28,102.46,103.70,103.49,日元,(JPY),6.8468,6.8194,6.6003,6.8742,6.8427,欧元,(EUR),970.98,967.10,936.02,974.86,970.93,英镑,(GBP),1402.62,1397.01,1352.13,1408.23,-,瑞士法郎,(CHF),616.98,614.51,594.77,619.45,-,加拿大元,(CAD),689.20,686.44,664.39,691.96,-,澳大利亚元,(AUD),575.63,573.33,554.91,577.93,-,新加坡元,(SGD),496.05,494.07,478.19,498.03,-,丹麦克朗,(DKK),130.12,129.60,125.44,130.64,-,挪威克朗,(NOK),122.13,121.64,117.73,122.62,-,瑞典克朗,(SEK),103.67,103.26,99.94,104.08,-,澳门元,(MOP),100.31,100.11,99.31,100.51,-,新西兰元,(NZD),499.10,497.10,481.13,501.10,-,韩元,(KRW),0.8272,-,0.7842,0.8702,-,23,人民币远期外汇牌价,ICBC,期限,RMB/US,$,100,2005-03-22,中间价,买入价,卖出价,起息日,7,天,827.32,825.25,829.39,05-03-30,20,天,826.7,824.64,828.77,05-04-12,1,个月,826.08,824.02,828.15,05-04-25,3,个月,822.88,820.83,824.94,05-06-23,6,个月,817.16,815.12,819.2,05-09-23,12,个月,804.11,800.89,807.32,06-03-23,24,汇率种类（续）,名义汇率,(Nominal Rate),官方公布或市场通行汇率,实际汇率,(Real Rate),在名义汇率基础上剔除了通货膨胀因素,用于经济分析,25,Real Exchange Rates:Nominal and Real variables,Nominal variables, such as an exchange rate, do not consider changes in prices over time,Real variables, on the other hand, include price changes,A real exchange rate, therefore, accounts for relative price changes,Real Exchange Rates:Nominal and Real exchange rate,Nominal exchange rate is a bilateral exchange rate that is,unadjusted,for changes in the two nations price levels,A nominal exchange rate indicates the purchasing power of one nations,currency,over the currency of another nation,Real exchange rate is a bilateral exchange rate that has been,adjusted,for price changes that occurred in the two nations,Real exchange rate measures the purchasing power of domestic,goods and services,in exchange for foreign goods and services,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,1.209 Br/$,。,计算两种货币的实际汇率。,28,汇率决定与变动,1.2.,29,金本位制度下,国际金本位制度特点,各国货币由黄金铸成，且铸币有重量和成色规定，有法定含金量,辅币和银行券可按票面价值自由兑换为金币,金币可以自由熔化、自由铸造和自由输出入,黄金作为最终清偿手段，充当国际货币,30,铸币平价为汇率决定的基础,黄金作为统一币材、统一的价值衡量标准，对比各自含金量以确定货币比价,1,英镑金币的含金量是,1,美元金币含金量的,4.8665,倍，所以二者铸币平价为,4.8665,若只考虑货币价值而舍弃其他因素，则铸币平价就是英镑与美元间的汇率,31,$/,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,33,The Gold Standard (1),Came,into effect,in the mid-1870s and lasted until 1914, when most of the major economies officially adopted a commodity-backed monetary order,Nations unilaterally fixed the value of their currency relative to gold via,a mint parity (,铸币平价,),They also established,convertibility, which is a ability to freely exchange a currency for a commodity or another currency at a given rate of exchange,To maintain the mint parity, or the exchange value between gold and the national currency, a nation must condition its money stock on the level of its gold reserves,The Gold Standard (2),Free exchange of gold for paper money,Free trade in gold,Each nation pegs (ties) the value of its currency to gold unilaterally,creates a,par value,（面值）,for the currency (its price in terms of gold or mint parity),pledges to maintain value of currency in terms of gold,The exchange rate of two different currencies was,determined,by its,individual mint parity,The Gold Standard (3),Mint parity: pound price per ounce,Mint parity:,dollar price per ounce,Exchange rate,The Gold Standard (4),Factors affect the,movement,of exchange rate,：,demand and supply of the currency,the cost of exporting ( or importing) of gold, called,the gold exporting (or importing) point,（黄金输出或输入点）,The Gold Standard (5): demand and supply,The exchange rate will,increase,above the rate set by the mint parities if there are more demand for the currency than its supply,The exchange rate will,decrease,below the rate set by the mint parities if there are less demand for the currency than its supply,The Gold Standard (6): gold exporting (or importing) point,Is the,limit,of changes of exchange rate,Is the,break-even point,when a debtor chooses to repay the foreign debt by use of foreign currency or gold,Is equal to: exchange rate set by the mint parity,the cost of,（,transportation + insurance + packaging + reminting,）,Gold exporting point of one currency = gold importing point of another currency,Positive and Negative Aspects of a Gold Standard,Positive aspects:,long-run stability of real economic output, prices and exchange rates,it doesnt require a central bank,Negative aspects:,Significant resource costs,The amount is limited,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,41,The Demand for a Currency,The demand for a currency is a,derived demand,That is, the demand for the currency is derived from the demand for the goods, services, and financial assets that the currency is used to purchase,If, for example, foreign demand for German goods and services increases, the demand for the euro increases,The Demand Curve is Downward Sloping,If, for example, the euro depreciates, German goods, services, and financial assets become less expensive to foreign residents. Foreign residents will increase their quantity demanded of the euro to purchase more European goods, services, and financial assets,A,demand curve,was used to describe the relationship between the demand quantity for a currency and the change of FX rate,The downward slope of the demand curve shows,the negative relationship,between the exchange rate and the quantity demanded,The Demand Curve,Demand curve,S ($/,),Quantity,S,a,Q,a,S,b,Q,b,a,b,An Change in DemandAt A Certain FX Rate,Consider an increase in the demand for the euro,Suppose that investors desire euro-denominated financial assets relative to dollar-denominated financial assets because of a change in economic conditions,The demand for the euro rises as investors desire more euros to purchase greater amounts of European financial assets,That will cause the,right shift,of the demand curve,An Increase in Demand for the Euro,Demand curve,S ($/,),Quantity,S,0,Q,0,D,Q,1,The Supply of a Currency: upward slope,The supply of a currency is also a,derived demand, Consider the demand schedule of German consumers for the dollar,If the dollar depreciates relative to the euro, US goods and assets are relatively cheaper than German goods and assets, hence, the demand increases, which results in an increase in the quantity demanded of dollars,As more dollars are purchased, the quantity of euros supplied in the foreign exchange market increases,A supply curve,was used to describe the relationship between the supply quantity of a currency and the change of FX rate,The upward slope of the supply curve shows,the positive relationship,between the exchange rate and the quantity supplied in the market,The Supply of a Currency,S,S ($/),S2,S1,Q1,Q2,A,B,Quantity,Dollar depreciation,Supply curve of euro,A change in SupplyAT A Certain FX Rate,Consider:,An increase of German consumer for US goods,That will cause an increase of demand for US$,An increase of supply of Euro,A,right shift,of supply curve,A change in SupplyAT A Certain FX Rate,S,S,Quantity,S ($/),S0,Q0,Q1,Supply curve,The Equilibrium Exchange Rate,The force of demand and supply determine the equilibrium (or market clearing) exchange rate,The,equilibrium exchange rate,is the rate at which the quantity of a currency demanded is equal to the quantity supplied,This is the market clearing exchange rate because there is no,extra surplus or shortage,of the currency,Equilibrium,S,S ($/),Se,Qe,A,D,Quantity,S1,S2,Q2,Q1,FX Market Intervention,S,S ($/),S,e,Q,e,D,Quantity,D,O,d,Volume of intervention,汇率变动因素,相对利率水平,跨国资本流动,相对价格变动,通货膨胀,(PPP),汇率超调,(overshooting),经济实力,贸易收支差额,财政货币政策,间接影响汇率,预期,投机资本,(Hot Money),其他因素,政治影响,心理影响,54,通货膨胀与汇率,各国间的通胀差异是货币波动主要原因,任何影响价格总水平的事件都影响汇率变动,生产成本,能源价格,政府管制,货币扩张,S,$,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,56,Purchasing Power Parity,Purchasing Power Parity:,A condition that states that if international arbitrage is unhindered, the price of a good or service in one nation should be the same as the exchange-rate-adjusted price of the same good or service in another nation,Purchasing Power Parity means that:,Ignoring transportation costs, tax differentials, trade homogeneous goods and services should have the same price in two countries after converting their prices into a common currency,Purchasing Power Parity is often called the law of one price,汇率超调,/$,/$,t,t,A,B,C,C,B,A,58,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,RMB522.21,，,1994,年,1,月,1,日开,始实行,US$100= RMB 870,为起点的浮动,汇率。计算人民币与美元的升贬值幅度。,64,习题,计算两种货币名义汇率和实际汇率的变动幅度，,并解释存在差异的原因。,1999,年,1,月，巴西雷亚尔兑美元的汇率为,1.209 Br/$,，至,2000,年,6,月变为,1.800 Br/$,。,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,66,d,x,1,，贸易收支改善,d,x,=1,，,d,m,0,，改善,d,m,=0,，不变,d,x,0,且,|d,x,+d,m,|1,时，改善,改善贸易逆差的马歇尔勒纳条件：,d,x,+d,m,1,67,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,68,J,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,EXCHANGE RATE OF RMB,1.4.,73,人民币兑美元汇率走势,1981 1994 20052011/3/6,74,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,75,1981.1.1, 1984.12.31,RMB exchange rate was used as an instrument in stimulating export and has no more relations with price,RMB exchange rate was quoted publicly from the January 1st 1981 and was used in the settlement of no trade transactions,Another internal RMB exchange rate was used in the settlement of trade transactions,1985.1.1, 1993.12.31,RMB internal settlement price and public quotation was converged,RMB exchange rate was adjusted gradually from US$1= RMB,￥,2.80, 3.20, 3.70, 4.72, 5.22, 5.80,FX s ware set up for foreign funded companies,An official setting quotation existed for domestic companies,Another market setting price existed in s,1994.1.1, 2005.7.21,Official setting price and market setting price ware converged,An inter-bank FX market was set up,The managed floating FX rate system was introduced,FX retention and purchasing system was introduced,RMB was convertible under current account,The exchange rate between RMB and US$ was set as the base rate, and the new exchange rate was set as US$1= RMB,￥,8.70,PBC was responsible in setting the daily base rates for financial institutions,Financial institutions ware delegated to set up its own rates for transactions of its client based on the official settling rate and within some margins, say 0.25%,The maximum bid-offer differential was set to 0.5%,2005,年起实行,以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度,以市场供求为基础的汇率浮动，发挥汇率的价格信号作用,根据经常项目主要是贸易平衡状况动态调节汇率浮动幅度，发挥“有管理”的优势,参考一篮子货币，即从一篮子货币的角度看汇率，不片面地关注人民币与某个单一货币的双边汇率,79,2010,年,中国人民银行决定进一步推进人民币汇率形成机制改革，增强人民币汇率弹性,以市场供求为基础,参考一篮子货币,对主要货币日均波幅千分之五的管理浮动,80,对人民币汇率的官方表述,汇率制度改革要以我为主，有序推进,按照,主动性、可控性、渐进性,的原则，完善有管理的浮动汇率制度,更大程度发挥市场供求作用，增强人民币汇率弹性，保持其在,合理均衡水平上的基本稳定,81,Mechanism,Market based: based on market supply and demand of FX,With reference to a basket of currencies,Managed floating or dirty floating,Maximum daily change for US$: previous days closing rate 0.3%,Basket currencies and their weight: undeclared,需要注意的问题,人民币汇率改革人民币升值,改的是汇率形成机制，不是单纯的汇率水平,对于一种货币而言，定价权比价格本身更重要,人民币汇率争端既是经济摩擦也有政治考虑,汇率政策最具外部性和政治性,中国要避免“情绪化”，在与其他主要货币的合作与竞争中推动人民币国际化,人民币汇率涉及制度变迁，不能只是就汇率而论汇率,83,本章主要知识点,汇率套算,金本位制度下的汇率决定与变动,信用货币制度下影响汇率变动的长期因素和短期因素,汇率变化对贸易收支、资本流动、价格水平的影响,了解人民币汇率制度,84,