国际金融英文版CH3

Chapter3ForeignExchangeMarketandForeignExchangeRateForeignExchangeMarketForeignexchangeisanothercountry’smoney.Thedynamicmeaningoftheforeignexchangereferstotheactoftradingdifferentcountry’scurrencies.Convertibilitymeansacurrencycanbefreelyexchangedforanothercurrency.Thisisthemostimportantcharacteristicoftheforeignexchange.Foreignexchangerateisthepriceofonecurrencyintermsofanother.Foreignexchangemarketistheplacewherecurrenciesareboughtandsold.Theforeignexchangemarketisbyfarthelargestfinancialmarketintheworld.Foreignexchangemarkethastwofunctions:thefirstistoconvertonecurrencyintoanother(thespotexchangemarket);thesecondistoprovideinsuranceagainstforeignexchangerisk(theforwardexchangemarket).Theforeignexchangemarketisaninformal,over-the-counterandaround-the-clockmarket.Ithasnocentralizedmeeting-placeandnoformalrequirementsforparticipation.Themarketneversleeps.Tokyo,London,andNewYorkareallshutforonly3hoursoutofevery24.Duringthesethreehours,tradingcontinuesinanumberofminorcenters,particularlySanFranciscoandSydney.Measuringforeignexchangemarketactivity:AverageelectronicconversionsperhourAsof2009,morethan$3trillionaretradedinthismarketonadailybasis.Thiswasamassiveincreaseofnearly70%overthe2004survey’sestimateof$1.9trillion.TheU.S.dollarwasinvolvedinmorethan90%ofallforeignexchangetransactions,followedbytheeuro(38%),yen(23%),andBritishpoundsterling(13%).Londonisthelargestworldforeignexchangemarket,followedbyNewYorkandTokyo.Londonaccountsfor34.1%ofdailyworldexchange.NewYorkisabout16%.Globalforeignexchangemarketturnover,1998-2010(dailyaveragesinApril,billionsofU.S.dollar)$0$200$400$600$800$1,000$1,200$1,400$1,600$1,800$2,00019982001200420072010SpotForwardsSwapsTop10geographictradingcenterintheforeignexchangemarket,1992-2007(dailyaveragesinApril,billionsof$)ForeignexchangemarketstructureCustomersbuy$with￥Customersbuy￥with$LocalbanksLocalbanksMajorbanksInterbankmarketsForeignexchangebrokersMNCs&OthersParticipantsintheforeignexchangemarketRetailcustomersaremadeupofindividuals,internationalinvestors,smallbusinesses,speculatorsorthelikewhoneedforeignexchange.Commercialbanks(marketdealers)carryoutbuy/sellordersfromtheirretailclientsandbuy/sellcurrenciesontheirownaccount.Dealersoftenfunctionasmarketmakerswhostandsreadytobuyandsellatquotedexchangerates,earningtheirprofitbythedifferenceofthebidandaskprice.Small-tomedium-sizebanksarenotmarketmakersintheinterbankmarket.Theybuyfromandselltolargerbankstooffsetretailtransactionswiththeirowncustomers.Foreignexchangebrokersdonotputtheirownmoneyatrisk.Theyservethreepurposesinthemarket.First,theyarethesourcesofinformation.Second,theybringbuyersandsellerstogetherandcontributestomarketefficiency.Third,theymakeitpossiblefortraderstoremainanonymous.BusinessessuchasMNCsarethemajornon-bankparticipantsinthemarket.Centralbanksbuyandsellcurrenciesinabidtoinfluencetheexchangerate.SpotExchangeMarketandExchangeRateQuotationsThespotexchangemarketisamarketthatdealsinforeignexchangeforimmediatedelivery.Immediatedeliveryinforeigncurrenciesusuallymeanswithintwobusinessdays.Aspotexchangerateisthecurrentmarketprice,therateatwhichaforeignexchangedealerconvertsonecurrencyintoanothercurrencyonaparticularday.ForeignexchangeratequotationsontheU.S.Dollar/BritishPoundintheFinancialPressAnexchangeofcurrenciesinvolvestwocurrencies.Eitherofwhichmaybeplacedinthedenominator.Thequotationoftheexchangeratesfollowsconventions.Directquoteistheamountofdomesticcurrencyperunitofforeigncurrency.InJapan￥115=€1InCanadaC$1.50=₤1Indirectquoteistheamountofforeigncurrencyperunitofdomesticcurrency.InEngland$1.60=₤1Americanquoteisthedollarpercurrencyquote,i.e.thepriceofothercurrenciesintermsofthedollar.Example:US$1.57=￡1US$1.35=€1Europeanquoteisthecurrenciesperdollarquote,i.e.thepriceofthedollarintermsoftheothercurrencies.Example:A$1.02=US$1€0.74=US$1Bidandaskquotesarethepricesatwhichabanklikestobuyandsellstandardamountsofforeigncurrency.Example:$1.0206/SFrBid$1.0217/SFrAskWhenbidislowerthanask,thebankisbuyingorsellingthecurrencyinthedenominatorofthequote.Whenbidishigherthanask,thebankisbuyingorsellingthecurrencyinthenumeratorofthequote.Example:SFr0.9798/$BidSFr0.9787/$AskThebankspendsonedollartobuySFr0.9798;ItsellsSFr0.9787foronedollar.Bid-askspreadisthedifferencebetweenthebidandaskprice.Itisusuallyexpressedby“point”.Example:SFr1.0206/$BidSFr1.0217/$AskHerebid-askspreadisSFr0.0011/$or11basispoints.onebasispoint=1%of1%=0.0001Whenthespreadisexpressedasapercentoftheaskprice,itiscalledbid–askmargin.Bid–askmargin=(ask–bid)/askx100Example:SFr1.0206/$BidSFr1.0217/$AskBid–askmargin=[(1.0217–1.0216)/1.0217]x100=0.1077%Acrossrateistheratewhichiscalculatedfromtwootherbilateralexchangerate.S(x/y)=S(x/z)/S(y/z)Example:Suppose￥/$6.6766andSFr/$0.9644,applyingtheaboveformula,￥/SFr=6.6766/0.9644=6.9230Thefollowingformulaisavailablewhenboththebidandaskpricesarecalculated:Sa(x/y)=Sa(x/z)/Sb(y/z)Sb(x/y)=Sb(x/z)/Sa(y/z)Examples:IfJ￥/$=85.01–08andSFr/$=0.9855–65J￥/SFr(bid)=85.01/0.9865=86.17J￥/SFr(ask)=85.08/0.985