andPolicyProblems(国际金融-香港大学,WONGKaFu

1TheGlobalCapitalMarket:PerformanceandPolicyProblemsWONGKaFu10thApril20002Thegrowinginternationalcapitalmarket1960s:Since1980s:crosscountrylendingandborrowingbecameroutinebanksdidbusinessondomesticcurrency,withdomesticcustomers3ForeignexchangemarketCurrenciesInternationalcapitalmarketCurrencies+stocks,bonds,bankdepositsindifferentcountriesInternationalcapitalmarketThemarketwhichresidentsofdifferentcountrytradesassets.4GoodsandservicesAssetsGoodsandservicesAssetsHomeForeign5GoodsandservicesGoodsandservicesHomeForeignUsehomeoutput(export)toexchangeforforeignoutput(import)6GoodsandservicesAssetsHomeForeignUsetoday’shomegoodtoexchangeforclaimsforforeignfuturegoods.I.e.,intertemporaltrade7AssetsAssetsHomeForeignUsehome’sclaimforfuturegoodstoexchangeofforeignclaimsoffuturegoodsPortfoliodiversificationIncreasenumberofitemsonmenu8Whydiversifyourportfolio?Mostpeopleareriskaverse.Gamblehalfthetimeyouwin$1000halfthetimeyoulose$1000averagepayoff=1/2*(1000)+1/2*(-1000)=0Ariskaverseagentweighsthepossibilityoflosing1000morethanthepossibilityofwinning1000andhencewillnotgamble.9PortfoliodiversificationW:wealthofatypicalinvestor,tobedividedbetweenhomeandforeignassets.:proportionofwealthallocatedtohomeassets.Twostates:state1withprobabilityq,state2withprobability(1-q)10State1(withprobabilityq)aunitofwealthinvestedinthehomeassetpaysoutH1unitsofoutput,andaunitofwealthinvestedintheforeignassetspaysoutF1unitsofoutput.C1=[H1+(1-)F1]W11State2(withprobability1-q)aunitofwealthinvestedinthehomeassetpaysoutH2unitsofoutput,andaunitofwealthinvestedintheforeignassetspaysoutF2unitsofoutput.C2=[H2+(1-)F2]W12ExpectedutilitymaximizationChoosetomaximizeqU(C1)+(1-q)U(C2)Forriskaverseagent,UisconcaveDiminishingmarginalU:theincreaseofUduetoa1000unitsofconsumptiongainislessthanthedecreaseofUduetoa1000unitsofconsumptionloss.13wealthU(C)UWW+KW-KConcaveU(I.e.,DiminishingmarginalU)theincreaseofUduetoa1000unitsofconsumptiongainislessthanthedecreaseofUduetoa1000unitsofconsumptionloss.14OptimalportfolioOptimalportfolio,,isoftenbetweenzeroandone.Thatis,arisk-averseagentwouldliketodiversifyitsassetholdingintohomeaswellasforeignassets.Investorsfromtwodifferentcountriesmaycross-holdothersassets.15IndifferencecurveoftheexpectedutilityqU(C1)+(1-q)U(C2)State2consumption,C2State1consumption,C1Budgetline16MainactorsSameasforeignexchangemarketcommercialbanks,largecorporations(particularlythosewithmultinationaloperations),nonbankfinancialinstitutions(insurancecompanies,pensionfunds,andmutualfunds)centralbanks(foreignexchangeintervention),andothergovernmentagencies17OffshorebankingOffshorebanking:thebusinessthatforeignbankordomesticbanks’foreignofficesconductoutsideofourcountry.Offshorebank:Anybankoutsidethecountryinwhichthedepositorlives.Abank“licensed”todobusinessonlyoutsidethejurisdictioninwhichitischartered&licensed.ThedepositsofaUSresidentstoaoffshorebankisnotregulatedbyUSlawsbutbythelawsofthecountrywherethebankislocated.18OffshorebankingBusinessareconductedthroughagencyofficelocatedabroad:arrangesloansandtransfersfundsbutdoesnotacceptdepositssubsidiarylocatedabroad:subjecttothesameregulationsaslocalbanksbutnottotheregulationsoftheparentbank’scountryforeignbranch:subjecttotheregulationsaslocalbanksandtotheregulationsoftheparentbank’scountry19OffshoretradingOffshoredeposit:abankdepositdenominatedinacurrencyotherthanthatofthecountryinwhichthebankresidesEurocurrencies:offshorecurrencydepositsUSDollardepositslocatedoutsidetheUnitedStates(e.g.,HongKong)arecalledEurodollars.Eurobanks:banksthatacceptdepositsdenominatedinEurocurrencies.20Thecreationofeurocurrencies21AtransactionbetweenanAmericanandanAmericancompanyAUScompanyGeneralMotorssellsacartoanAmericanfor$40,000.TheAmericanpayswithacheckonanaccountatCitibank.GeneralMotorsdepositsthecheckatChase22ThecarbuyerpayswithacheckonanaccountatCitibank.BalanceSheetofCitibank,NewYorkChangesinassetsChangesinliabilitiesReservesatFed-$40,000Customers’deposits(carbuyer’saccount)-$40,00023GeneralMotorsdepositsatChaseanydollarsitacquires.BalanceSheetofChaseManhattanBank,NewYorkChangesinassetsChangesinliabilitiesReservesatFed+$40,000Customers’deposits(GM’saccount)+$40,00024Creationofcredit???Inaggregate,thereservesattheFedandthedollardepositsintheUSbankingsystemhavenotchanged.Noadditionalcredithasbeencreated.25AtransactionbetweenanAmericanandaforeigncompanyAGermancompanyDaimler-BenzsellsacartoanAmericanfor$40,000.TheAmericanpayswithacheckonanaccountatCitibank.IftheGermancompanyexpectstouseUScurrencysoon,itmaydooneofthefollowingbuyUSTreasurybillsbuycertificatesofdepositissuedbyAmericanbanksbuyaEurodollardepositbydepositingthecheckwithaBritishbank,BarclaysBank,inLondon.26DepositingthecheckwithaBritishbank,BarclaysBank,inLondon.BalanceSheetofBarclaysBank,LondonChangesinassetsChangesinliabilitiesDepositsatChase+$40,000Customers’deposits(Daimler-Benzaccount)+$40,000Daimler-BenzbuysaEurodollardepositbydepositingthecheckwithaBritishbank,BarclaysBank,inLondon.BarclaysdepositsatChaseanydollarsitac