外汇交易市场

Chapter11TheforeignexchangemarketandexchangeratesKeytermsForeignexchangemarket外汇交易市场Foreignexchangerisk外汇交易风险Euro欧元Hedging套期保值Speculation投机Exchangerate汇率Depreciation贬值Appreciation升值Stabilizingspeculation稳定性投机Destabilizingspeculation不稳定投机Crossexchangerates交叉汇率KeytermsEffectiveexchangerates有效汇率Arbitrage套利Spotrate即期汇率Forwardrate远期汇率Forwarddiscount远期贴水Forwardpremium远期升水Foreignexchangefutures外汇期货Foreignexchangeoption外汇期权Uncoveredinterestarbitrageparity无抛补的利率套利Coveredinterestarbitrage抛补的套利交易Offshoredeposits离岸存款11.1IntroductionDefinitionoftheForeignexchangemarkets:The“place”whereindividuals,firms,andbanksbuyandsellforeigncurrenciesorforeignexchange.Thesedifferentmonetarycentersareconnectedelectronicallyandareinconstantcontactwithoneanother,thusformingasingleinternationalforeignexchangemarket.://(2007年12月10日美元汇率）11.2Functionsoftheexchangeratemarkets1.TheprincipalfunctionTransferoffundsorpurchasingpowerfromonenationandcurrencytoanother.ThisisusuallyaccomplishedbyanelectronictransferandincreasinglythroughtheInternet(facilitate).2.Asecondfunctionofforeignexchangemarketsisthecreditfunction.Creditisusu.neededwhengoodsareintransitandalsotoallowthebuyers’timetoresellthegoodsandmakethepayment.Ingeneral,exportersallow90daysfortheimporterstopay.Continued:11.2Functionsoftheexchangeratemarkets3.Anotherfunctionofforeignexchangemarketsistoprovidethefacilitiesforhedgingandspeculation(discussedinsection11.9).Today,about90percentofforeignexchangetradingreflectspurelyfinancialtransactionsandonly10percenttradefinancing.Continued:11.2Functionsoftheexchangeratemarkets1.Exchangerate:Thedomesticcurrencypriceoftheforeigncurrency.Theexchangeratebetweenthedollarandtheeuro(R)isequaltothenumberofdollarsneededtopurchaseoneeuro.Thatis,R=$/€,ifR=$/€=1,thismeansthatonedollarisrequiredtopurchaseoneeuro.11.3EquilibriumexchangerateContinued:11.3Equilibriumexchangerate50100150200250300350·······0.501.001.502.00R=$/€Million€/day2.ThedeterminationoftheequilibriumrateD€S€ABHE’FGC3.Depreciationreferstoanincreaseinthedomesticpriceoftheforeigncurrency.IftheU.S.demandcurveforeurosshiftedup(e.g.,asaresultofincreasedU.S.tastesforEMUgoods)andintersectedtheU.S.supplycurveforeurosatpointG(seeFigure11.1),theequilibriumexchangeratewouldbeR=1.50,andtheequilibriumquantityofeuroswouldbe€300millionperday.Thedollaristhensaidtohavedepreciatedsinceitnowrequires$1.50(insteadoftheprevious$1)topurchaseoneeuro.Continued:11.3Equilibriumexchangerate4.Appreciationreferstoadeclineinthedomesticpriceoftheforeigncurrency.ConsiderthecaseofdownwardshiftoftheU.S.demandcurveforeuros(D€).iftheU.S.demandcurveforeurosshifteddownsoastointersecttheU.S.supplycurveforeurosatpointH(seeFigure11.1),theequilibriumexchangeratewouldfalltoR=0.5andthedollarissaidtohaveappreciated(becausefewerdollarsarenowrequiredtopurchaseoneeuro).Continued:11.3EquilibriumexchangerateSofarwehavedealtwithonlytwocurrenciesforsimplicity,inrealitytherearenumerousexchangerate,onebetweenanypairofcurrencies.Thus,besidestheexchangeratebetweentheU.S.dollarandtheeuro,thereisexchangeratebetweentheU.S.dollarandBritishpound(£),betweentheSwissfrancandtheMexicanpeso,andlikeexchangerates.11.4Crossexchangerates,effectiveexchangerates,andarbitrage1.Crossexchangerate—TheexchangeratebetweencurrencyAandcurrencyB,giventheexchangerateofcurrencyAandcurrencyBwithrespecttocurrencyC.Forexample,iftheexchangerate(R)were2betweentheU.S.dollarandtheBritishpoundand1.25betweenthedollarandtheeuro,thentheexchangeratebetweenthepoundandtheeurowouldbe1.60(i.e.,ittakes€1.6topurchase1€).Specifically,R=€/£=$valueof£/$valueof€=2/1.25=1.60Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage2.Effectiveexchangerate—Aweightedaverageoftheexchangeratesbetweenthedomesticcurrencyandthenation’smostimportanttradepartners,withweightsgivenbytherelativeimportanceofthenation’stradewitheachofthesetradepartners.CaseStudy11-4givestheeffectiveexchangerateoftheU.S.dollarfrom1972to2003.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrage3.Arbitrage—Thepurchaseofacurrencyinthemonetarycenterwhereitischeaperforimmediateresaleinthemonetarycenterwhereitismoreexpensiveinordertomakeaprofit.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageThisreferstothepurchaseofacurrencyinthemonetarycenterwhereitischeaper,forimmediateresaleinthemonetarycenterwhereitismoreexpensive,inordertomakeaprofit:Forexample,ifthedollarpriceoftheeurowas$0.99inNewYorkand$1.01inFrankfurt,anarbitrageur(usuallyaforeignexchangedealerofacommercialbank)wouldpurchaseeurosat$0.99inNewYorkandimmediatelyreselltheminFrankfurtfor$1.01,thusrealizingaprofitof$0.02pereuro.Continued:11.4Crossexchangerates,effectiveexchangerates,andarbitrageWhiletheprofitpereurotransferredseemssmall,on€1milliontheprofitwouldbe$20,000foronlyafewminutes’work.Fromthisprofitmustbedeductedthecostoftheelectronictransferandtheothercostsassociatedwitharbitrage.Sincethesecostsareverysmall,wewillignorethemhere.Continued:11.4Crossexchangerates,ef