chap1外汇与外汇汇率

中国人民大学财政金融学院1.外汇与外汇汇率ForeignExchange&ExchangeRate中国人民大学财政金融学院内容提要外汇和汇率基础汇率决定与变动汇率变化的经济影响人民币汇率制度外汇和汇率基础1.1.中国人民大学财政金融学院中国人民大学财政金融学院外汇（ForeignExchange）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SpotMarketDanielsandVanHoose5Dynamic:theprocesstoexchangeanation’scurrencyforanothernation’scurrencyStatic:theinstrumentusedtofinishtheexchangeactivity外汇（ForeignExchange）中国人民大学财政金融学院外汇特征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SpotMarketDanielsandVanHoose7ForeignExchangeistheassetdenominatedinforeigncurrencyForeignExchangemustbeconvertiblecurrencyForeignExchange≠ForeignCurrency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中国人民大学财政金融学院SpotMarketDanielsandVanHoose9Thevalueofonecurrencyrelativetoanothercurrencyasthenumberofunitsofonecurrencyrequiredtopurchaseoneunitoftheothercurrency.ExchangerateistomeasurethevalueofonecurrencyrelativetoanotherThemarketpriceforforeignexchange汇率（ForeignExchangeRate）中国人民大学财政金融学院汇率（ForeignExchangeRate）汇率标价方法DirectQuotation:US$100=RMB¥657.70IndirectQuotation:RMB¥100＝US$15.20USDollarQuotation:US$1=HK$7.7871US$1=J¥83.14SpotMarketDanielsandVanHoose11MarketQuotes:Direct-IndirectQuotesDirectquoteisthehomecurrencypriceofoneunitofforeigncurrency(e.g.:rmb￥/$forchina)Indirectquoteistheforeigncurrencypriceofoneunitofhomecurrency(e.g.:$/rmb￥forchina)NotethatADirect-IndirectQuotationisalwayslinkedtoaspecificcountry(inaboveexampleischina)主要间接标价货币中国人民大学财政金融学院SpotMarketDanielsandVanHoose13MarketQuotes:American-EuropeanTermAmericantermistheothernation’scurrencypriceoftheAmericancurrency(e.g.:rmb￥/$)EuropeanTermistheAmericancurrencypriceoftheothernation’scurrency(e.g.:$/rmb￥)NotethatAAmerican-EuropeanQuotationisalwayslinkedtoUSdollar汇率种类基准汇率(basicrate)对关键货币汇率官方制定或公布套算汇率(crossrate)根据基准汇率和外汇市场行情计算得到买入价(buyingrate)和卖出价(sellingrate)买卖差价是银行经营费用和利润来源差价大小由行情、供求和经营策略决定中间价(middlerate)买卖平均价见于报刊、经济分析中国人民大学财政金融学院SpotMarketDanielsandVanHoose15ExchangerateclassificationBuyingrate(Bidrate),Sellingrate(Askrate)andmiddlerateSpotrateandforwardexchangerateBasicrateandcrossrateOfficialrateandmarketrateFixedexchangerateandfloatingexchangerateNominalexchangerateandrealexchangerateNEERREERSpotMarketDanielsandVanHoose16Bidrate-AskrateThebidisthepricethebankiswillingtopayforthecurrency,e.g.,1.8176$/£isthebidonthepoundintermsofthedollarTheaskiswhatthebankiswillingtosellthecurrency,e.g.1.8184$/£,istheaskonthepoundintermsofthedollarSpotMarketDanielsandVanHoose17Bid-AskSpread:CostofTransactingThebid-askspreadofacurrencyreflects,ingeneral,thecostoftransactinginthatcurrencyItiscalculatedasthedifference(absolutevalue)betweentheaskandthebidExample,1.8184–1.8176=0.0008SpotMarketDanielsandVanHoose18Bid-AskMargin:PercentCostofTransactingThebid-askspreadcanbeconvertedintoapercenttocomparethecostoftransactingamonganumberofcurrenciesThemarginiscalculatedasthespreadasapercentoftheask(Ask-Bid)/Ask*100Example,(1.8184–1.8176)/1.8184*100=0.044%SpotMarketDanielsandVanHoose19Cross-Rates:UnobservedRatesAcross-rateisanunobservedratethatiscalculatedfromtwoobservedratesForexample,thespotratefortheU.Sdollar-per–currencyfortheBritishpoundis1.8180$/£,andthespotratefortheU.Sdollar-per–currencyfortheeurois1.2145$/€.WhatistheBritishpoundpriceoftheeuro(£/€)?Notethat($/€)/($/£)=($/€)*(£/$)=£/€Inthisexample,1.2145/1.8180=0.6680£/€中国人民大学财政金融学院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英镑中国人民大学财政金融学院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的买入价和卖出价汇率种类（续）即期汇率(spotrate)两个工作日内办理交割远期汇率(forwardrate)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、预期等因素影响中国人民大学财政金融学院中国人民大学财政金融学院人民币外汇牌价(ICBC06-03-22)币种中间价现汇买入价现钞买入价卖出价基准价美元(USD)803.06801.45795.03804.67803.06港币(HKD)103.49103.28102.46103.70103.49日元(JPY)6.84686.81946.60036.87426.8427欧元(EUR)970.98967.10936.02974.86970.93英镑(GBP)1402.621397.011352.131408.23--瑞士法郎(CHF)616.98614.51594.77619.45--加拿大元(CAD)689.20686.44664.39691.96--澳大利亚元(AUD)575.63573.33554.91577.93--新加坡元(SGD)496.05494.07478.19498.03--丹麦克朗(DKK)130.12129.60125.44130.64--挪威克朗(NOK)122.13121.64117.73122.62--瑞典克朗(SEK)103.67103.2699.94104.08--澳门元(MOP)100.31100.1199.31100.51--新西兰元(NZD)499.10497.10481.13501.10--韩元(KRW)0.8272--0.78420.8702--中国人民大学财政金融学院人民币远期外汇牌价ICBC期限RMB/US$1002005-03-22中间价买入价卖出价起息日7天827.32825.25829.3905-03-3020天826.7824.64828.7705-04-121个月826.08824.02828.1505-04-253个月822.88820.83824.9405-06-236个月817.16815.12819.205-09-2312个月804.11800.89807.3206-03-23中国人民大学财政金融学院汇率种类（续）名义汇率(NominalRate)官方公布或市场通行汇率实际汇率(RealRate)在名义汇率基础上剔除了通货膨胀因素用于经济分析SpotMarketDanielsandVanHoose26RealExchangeRates:NominalandRealvariablesNominalvariables,suchasanexchangerate,donotconsiderchangesinpricesovertimeRealvariables,ontheotherhand,includepricechangesArealexchangerate,therefore,accountsforrelativepricechangesSpotMarketDanielsandVanHoose27RealExchangeRates:NominalandRealexchangerateN