国际金融托马斯A普格尔第二章

•Whatisforeignexchange?Dynamicconcept(tradingdifferentnations’moneys)Staticconcept(foreigncurrencies)•DemandandsupplyforforeignexchangeCurrentaccount:e.g.payforimportofgoodsFinancialaccount:e.g.investabroad1•ThreeSignificancesoftheforeignexchangemarketTheforeign-exchangemarketisbyfarthelargestandmostliquidmarketintheworld.Itisatwenty-fourhourmarketThemarket’smostwidelytradedcurrencyisthedollar.FXmarketturnover(BIS)2010年美国GDP为146241.8亿美元，中国GDP为403260.0亿元，$/￥=6.65Itisatwenty-fourhourmarketThemarket’smostwidelytradedcurrencyisthedollarFormostpairsofcurrencies,themarketpracticeistotradeeachofthetwocurrenciesagainstacommonthirdcurrencyasavehicle,ratherthantotradethetwocurrenciesdirectlyagainsteachother.ThevehiclecurrencyusedmostoftenisthedollarCurrencyPairsinFXMarket10StructureoftheMarket•Theforeignexchangemarketisadecentralized,electronicallylinkednetworkofbanks,foreignexchangedealers,andbrokers•Thisnetworkbringstogetherbuyersandsellersofforeignexchangearoundtheglobe•Theforeignexchangemarketconsistsoftwotiers:–TheInterbankorwholesalemarket–Theclientorretailmarket•Twoclearingsystems:SWIFT-SocietyforWorldwideInter-bankFinancialTele-communication（环球同业银行金融电讯系统）CHIPS-ClearingHouseInternationalPaymentSystem(dollartransfersamongmembers)（国际支付结算系统）11MarketParticipants•Fivebroadcategoriesofparticipantsoperatewithinthesetwotiers:–Banksandnonbankforeignexchangedealers–Foreignexchangebrokers–Firmsandindividuals–Speculatorsandarbitrageurs–Centralbanksandtreasuries•ForeignexchangequotationDirectquotation:theamountofDCrequiredtopurchaseoneunitofFC（直接标价）Indirectquotation:theamountofFCrequiredtopurchaseoneunitofDC（间接标价）Bidprice:theexchangerateatwhichthedealeriswillingtobuyacurrencyAsk(offer)price:theexchangerateatwhichthedealeriswillingtosellacurrency13Thedealerneedtoearnaprofit,soshealways“buylowandsellhigh”!Bid-askspread:thedifferencebetweenthebidpriceandtheaskprice(canbeinpercentage)Factorsaffectingthebid-askspreadsMarketconditionDealerpositionLiquiditymidpointprice:theaverageofthebidpriceandtheaskprice=(bid+ask)/2basicpoint:usually0.0001(0.01forJPY)or0.01%14•Someexamples:$/£=1.6543–1.6547(directquoteinUS)£/$=0.6043–0.6045(indirectquoteintheUS)NotethattheDC/FCdirectbid(ask)exchangerateisthereciprocaloftheindirectask(bid)exchangerateThebid-askspreadis0.0004(4bp,direct),or0.0002(2bp,indirect)Thepercentagebid-askspreadis0.0004/1.6547=0.0242%(2.42bp,direct),or0.0002/0.6045=0.0331%(3.31bp,indirect)Themidpointexchangerateis1.6545(direct),or0.6044(indirect)15Cross-ratecalculationswithbid-askspreads•Example2.1:considerthefollowingquotesinvolvingthedollar,pound,andtheeuro.$/€:0.9836/39€/£:1.5473/1.5480Computetheeffective$/£bidandaskcross-rates,aswellasthe£/$bidandaskcross-rates?16•Solution1:($/£)bid=($/€)bid*(€/£)bid=0.9836*1.5473=1.5219dollarperpoundbidrate($/£)ask=($/€)ask*(€/£)ask=0.9839*1.5480=1.5231dollarperpoundaskrate(£/$)bid=(£/€)bid*(€/$)bid=[1/(€/£)ask]*[1/($/€)ask]=(1/1.5480)*(1/0.9839)=0.6566poundperdollarbidrate(£/$)ask=(£/€)ask*(€/$)ask=[1/(€/£)bid]*[1/($/€)bid]=(1/1.5473)*(1/0.9836)=0.6571poundperdollaraskrateSo,theeffective$/£bidandaskcross-ratesis$/£=1.5219/31,andtheeffective£/$bidandaskcross-ratesis£/$=0.6566/7117$/€:0.9836/39€/£:1.5473/1.5480Solution2:Imagingyouwanttoconvertdollarintopound:usingdollartobuyeurofirst(1$=1/0.9839€),andthenusingtheeurotobuypound(1€=1/1.5480£).Theresultingcross-rateis1$=0.6566£,or1£=1.5231$Ifyouwanttoconvertpoundintodollar:usingpoundtobuyeurofirst(1£=1.5473€),andthenusingtheeurotobuydollar(1€=0.9836$).Theresultingcross-rateis1£=1.5219$,or1$=0.6571£.So,theeffective$/£bidandaskcross-ratesis$/£=1.5219/31,andtheeffective£/$bidandaskcross-ratesis£/$=0.6566/7118$/€:0.9836/39€/£:1.5473/1.5480•Arbitrage“Paynothingforsomething,”or“getsomethingfornoting”“thereisnotsuchthingasafreelunch”Anydeviationfrom“thelawofoneprice”willpresentanarbitragingopportunity!Basicstrategy:“buylow,sellhigh”!Anarbitragingstrategyisrisk-free.Incontrast,aspeculativestrategyisalwaysassociatedwithsomedegreeofrisk19•Bilateralarbitragewithbid-askspreadsNo-arbitragecondition:(FC/DC)bid*(DC/FC)bid≤1,or(FC/DC)ask*(DC/FC)ask≥1,Example2.2:DC/FC=0.8025/0.8041,FC/DC=1.2498/1.2503;Isthereanarbitrageopportunity?Ifso,whatisthearbitragingstrategy?WhataboutDC/FC=0.8003/0.8005,andFC/DC=1.2484/1.2490?Whentheratesaremisquoted,thedirectbid(ask)ofonecurrencyisnotthereciprocalofitsindirectask(bid).20•DC/FC=0.8025/0.8041,FC/DC=1.2498/1.2503FC/DC=1.2436/1.2461use1.2461FCbuy1unitDC,sellDC,receive1.2498FC•DC/FC=0.8003/0.8005,FC/DC=1.2484/1.2490FC/DC=1.2492/1.2495use1.2490FCbuy1unitDC,sellDC,receive1.2492FC•Triangulararbitragewithbid-askspreadsNo-arbitragecondition:theimpliedcross-rateisconsistentwiththeactualcross-rateExample2.3:FC1/DC=0.9836/39;FC1/FC2=1.5373/80;DC/FC2=1.5219/31;Isthereanarbitrageopportunity?Ifso,whatisthearbitragingstrategy?22FC1/DC=0.9836/39;FC1/DC=0.9836/39;FC1/FC2=1.5373/80;DC/FC2=1.5219/31DC/FC2=1.5219/31;FC2/FC1=0.6502/05(FC1/DC)bid*(DC/FC2)bid*(FC2/FC1)bid1(FC1/DC)ask*(DC/FC2)ask*(FC2/FC1)a