THE FOREIGN EXCHANGE MARKET CHAPTER 3 THE FOREIGN EXCHANGE MARKET
[teaching targets and demands] To make students master the concepts such as exchange rate , arbitrage, etc, and the structure and function of the foreign exchange market, and the demand and supply for foreign exchange, and the methods to arbitrage within the spot exchange market.
[Teaching key and difficult points] The demand and supply for foreign exchange, and the methods to arbitrage within the spot exchange market.
[Content of courses ] The basics of currency trading: using the foreign exchange market, Inter-bank foreign exchange trading; Demand and supply for foreign exchange: Floating exchange rates, Fixed exchange rates, Current arrangements; Arbitrage within the spot exchange market
Foreign Exchange and Exchange Rates
我们都很熟悉国内贸易,如果我购买佛罗里达 的橘子或加利福尼亚的衬衫时,很自然地想到用美 元支付。……但如果我对进口的日本自行车感兴 趣,那么交易就会变得复杂。对于自行车制造商, 需要用日元而非美元对其支付,于是为进口日本自 行车,我必须先买日元,然后用日元付款给日本制 造商。这里所新增的一个步骤中所涉及的就是外汇 问题。 ——Samuelson.经济学(第16版中文版)p301
Gnomes of Zurich: 苏黎世地精,对瑞士大银行家的贬义称呼,地精是住在地下守卫财富的精灵 ,瑞士大银行家以其秘密的银行政策和操作手段闻名于世。 Snake in the Tunnel:洞中蛇,也称蛇形浮动,1971年布雷顿森林体系崩溃,欧共体成员国约定各国之间的汇率变动必须维持在正负2.25%以内。
Crowing peg: 爬行盯住,也称浮动盯住,在固定汇率制下,货币当局每隔一定时间对本国汇率实行一次较小幅度的升值或贬值。 Dirty float: 又称管理浮动,在浮动汇率制下,央行公开放弃对外汇市场的直接干预,但仍暗暗地维持干预。
2.1 The basics of currency treading 2.1.1 Exchange Rate exchange rate is the price of one currency in terms of another currency. · Two currencies involved · Timing of delivery 1. Spot 2. Forward
Conceptions 1 foreign exchange: the trade of one national currency for another. 2. exchange rate :the price at which two national currencies are traded 3. spot exchange rate: the price for "immediate" exchange. 4. forward exchange rate: the price for an exchange that will take place sometime in the future.
即期外汇交易 Spot Exchange Transaction:又称现汇交易,是指外汇银行与其客户或与其他银行之间的外汇买卖成交后,原则上于当日或在两个营业日内办理交割的外汇业务。 居民、旅客的零星交易,在当日成交和交割; 银行同业间的在两个营业日内交割。
远期外汇交易 Forward Exchange Transaction,也称期汇交易,指外汇买卖双方先签订远期外汇买卖合同,规定买卖外汇的币种,金额,汇率和将来交割日期,再按合同规定的币种,金额,汇率,由卖方交汇买方付款的一种预约性外汇交易。
2.1.2 The foreign exchange market The market in which national moneys are traded for other national moneys. 1. Retail part of the market 2. Interbank part of the market
2. The Retail Markets 零售市场 ———————— retail :selling of the currencies in small quantities to the customers .
The interbank Markets 银行间外汇市场 ———————— wholesale :selling of the currencies esp. in large quantities.
2.1.3 Using the foreign exchange market 2.1.4 Interbank part of the market
The Step of Foreign Exchange Deals and Quote Techniques 外汇交易的程序与报价技巧
1. The Step of the Foreign Exchange Deals 交易程序
“What is the spot rate of USD/SF ?” Step 1 :Asking Price 询价 A :Asking Bank : “What is the spot rate of USD/SF ?” A:询价行 : “美元对瑞士法郎的即期汇率是多少?”
Step 2:Quotation 报价 B :Quote Bank : “At 1.7412/22” B: 报价行: “(美元对瑞士法郎的即期汇率)是 1.7412/22”
Step 3 :Done 成交 (Nothing ,放弃) A:Asking Bank : “At 1.7412,we buy SF and sell USD 100” B: Quota Bank: “OK down . Sell SF buy USD ,at 1.7412 ” A:询价行:“按1.7412汇率买进SF,卖出USD,交易额 100” B:保价行:“好,按1.7412汇率卖出SF,买进USD” ———————— USD/SF 1.7412/22
Step 4 :Confirmation 证实
证实中不可缺少的内容: Big Figure 大数(汇率) Small Figure 小数 (汇率) Sum 交易额 Currency Name 货币名称 Value Date 起息日(交割日) Bank Account 帐户 —————— 在USD/SF 1.7412/22 中,1.74为大数,12,22为小数。
Asking Bank :Spot , USD/SF, USD1 Quota Bank : At 12/22 Notice: 询价和报价常以省略的方式进行,而证 实必须是完整的。 Asking Bank :Spot , USD/SF, USD1 Quota Bank : At 12/22 Asking Bank :Yours (卖出) Quota Bank :OK down . Mine (买进)
Step 5 : Deliver 交割 *
2. Usual Practice of Quota 报价惯例
(1)Two-way Price Quotation 采用双报价方式 买入价 卖出价 ↑ ↑ £1= $ 1.5915-----1.5925
£1= $ 1.5915/1.5925 15/25 ( 2)Only Quota Small Figure 采用省略方式 ↑ ↑ £1= $ 1.5915/1.5925 15/25
(3) Terms 交易术语 “One Dollar”:“100万美元” “Good Amount” :“大额”,指1000万美元以上的交易额。 “Small Amount ”:“小额”,指100万美元以下的交易额。 “Tiny Amount ”:“微小额 ”,指25万美元以下的交易额。 ”(6)Yours“:“卖给你(600万美元)” “(3 )Mine”:“我买进(300万美元)”
(4)Scrupulously Abide By Promise 恪守信用 *
2.2 Demand and supply for foereign exchange 2.2.1 Influential factors of foreign exchange Supply Demand
Demand and supply for foreign exchange (1)U.S exports of goods and services will create a supply of foreign currency and a demand for U.S. dollars. 美国的商品和服务的出口将造成大量的外国货币供应量和对美元的需求。 (2)U.S imports of goods and services will create a demand for foreign currency and a supply of U.S. dollars. 美国的商品和服务进口将创建一个为外国货币需求量和美元的供给需求
(3)U.S capital outflows will create a demand for foreign currency. 美国资本外流将创建一个为外国货币的需求。 (4)U.S capital inflows will create a supply of foreign currency. 美国资本流入将创造大量的外国货币供应量。 一国商品和劳务的出口形成了外币的供给,进口形成对外币的需求。 对国外金融资产的购买形成外币的需求,外国对本国金融资产的购买形成了外币的供给。
Figure 3.2
Figure 3.3
2.2.2 floating exchange rate system a system in which the exchange rate of a currency is determined in the marketplace and not by government or central bank intervention.
2.2.3 fixed exchange rate system a system in which officials try to keep the exchange rate of a currency pegged even if the rate they choose differs from the equilibrium rate.
Conceptions 1. depreciation: a fall in the market price of a floating currency (贬值) 2. appreciation: a rise in the market price of a floating currency.(升值)
3. devaluation: a discrete official reduction in the otherwise fixed par value of a currency.(法定贬值,下浮) 4. revaluation: a discrete official increase in the otherwise fixed par value of a currency.(法定升值,上浮)
appreciation and revaluation depreciation and devaluation appreciation and revaluation 含义一样吗?
升值与贬值(1) “升值”和“贬值”是描述汇率变动的两个基本 概念。 升值表示用比较少量本币就能换得一定数量外币, 或者一定数量外币只能换得较少数额本币。升值 使本国货币兑换价值提高,又称本国货币变强了。 贬值表示需要用较多数额本币才能换得一定数量 外币,或者一定数量外币能换得较多数额本币。 贬值使本国货币兑换价值下降,因而本国货币变 弱了。依据升值和贬值发生机制不同,又分为法 定升值贬值与市场升值贬值两类情况
升值与贬值(2) 法定升值(revaluation)指政府当局和规定宣布 提高本国货币对外币兑换价值,如战后德国马克 曾被法定升值。法定贬值(devaluation)指政府 当局规定和宣布降低本国货币对外币兑换价值, 如我国1994年汇率改革,官方汇率与市场调剂汇 率并轨,人民币实际发生法定贬值。市场升值 (appreciation)指由于外汇市场供求关系变动 造成的某国货币对外币兑换价值上升;市场贬值 (depreciation)指由于外汇市场供求关系变动 造成的某国货币对外币兑换价值下降。
升值与贬值(3) 采用不同汇价标示方法,标价变化与汇率变动关系不同。 如采用直接标价法,汇价数值上升表示本国货币贬值和外 国货币升值,汇价数值下降则表示本币升值和外币贬值。 例如,人民币汇价从8元升为9元表示人民币贬值,因为这 时兑换1美元需要用比先前更多的人民币;反之,如下降 到7元,则表示人民币升值,因为这时兑换1美元仅需用比 先前较少的人民币。如采用间接标价法,汇价数额上升表 示本国货币升值和外币贬值;汇价数额下降则表示本币贬 值和外币升值。因而,首先需要确定采用什么标价法,然 后才能判断汇价标价额变动与汇率升值或贬值的关系。
☆自由浮动(Free Floating)又称“清洁浮动”(Clean Floating),意指货币当局对外汇市场不加任何干预,完全听任汇率随市场供求状况的变动而自由涨落。 ☆ 管理浮动(Managed Floating)又称“肮脏浮动”(Dirty Floating),指货币当局对外汇市场进行干预,以使市场汇率朝有利于己的方向浮动。
☆单独浮动(Independent Floating),又译独立浮动,指本国货币不与外国任何货币发生固定联系,其汇率根据外汇市场的供求状况单独浮动。例如美元、澳大利亚元、日元、加拿大元和少数发展中国家的货币。 ☆联合浮动(Joint Floating) 指原欧洲货币体系各成员国货币之间保持固定汇率,而对非成员国货币则采取共同浮动的作法。例如欧元与暂且未加入欧元的原欧洲货币体系各成员国货币(如英镑)。
2.2.3 Current Arrangement(各国汇率制度安排) 1、most major currencies have floating exchange rates to each other. 2、dirty floating exchange rate. (Large number) 3、fixed exchange rate pegged to USD. 4、 fixed exchange rate pegged to euro.
2.3 Arbitrage within the spot exchange market 1. arbitrage: the process of buying and selling to make a (nearly) risk-less pure profit. Buying a currency in one market (e.g. New York market or spot market )where price is low ,and selling in another market (London market or forward market)where the price is higher .
Arbitrage “Pay nothing for something,” or “get something for noting” “there is not such thing as a free lunch” Any deviation from “the law of one price” will present an arbitraging opportunity! Basic strategy: “buy low, sell high”! An arbitraging strategy is risk-free. In contrast, a speculative strategy is always associated with some degree of risk 48
Arbitrageur A person or company who undertake a set of transactions involving buying in one market and selling in another , where the price are known simultaneously . Thus , although a profit can be made if the prices are different , an arbitrageur takes very little risk .
2 triangular arbitrage: the process of making a risk-less profit by arbitraging through three exchange rates.
A. Direct Arbitrage /Two Points Arbitrage 直接套汇/两地套汇 (即期+即期)
[ 例 ] 某日 伦敦外汇市场:£1= $1.8250 纽约外汇市场:£1= $1.8280 套汇者套汇如下: 第1步 在伦敦市场卖出美元,买进英镑,1.8250 ; 第2步 在纽约市场卖出英镑,买进美元,1.8280 。 如果不考虑交易费用,每1英镑可获得0.0030的 套汇收入。
B . Indirect Arbitrage /Three Points Arbitrage 间接套汇/三地套汇 (即期+即期+即期)
[ 例 ] 某日同一时间 香港市场:$1=HK$7.8223~7.8514 纽约市场:£1=$1.7320~1.7387 伦敦市场:£1=HK$13.8146~13.9211 第1步 计算有无汇率差异,如有 第2步 套汇。
计算方法常见的是连乘法。如上例,假设套汇 者用港元作为套算货币,先在香港市场卖出港元买 进美元,再在纽约市场卖出美元买进英镑,再在伦 敦市场卖出英镑买进港元。这样可以得到一个连乘 算式: 1×(1÷7.8514) ×(1÷1.7387) ×13.8146=1.011 =1, 汇率没有差异,没有套汇必要 >1 ,可以套汇,而且可以按连乘算式顺序进行 <1, 也可以套汇,但不能按连乘算式顺序进行
上例中,连乘结果大于1,套汇线路如 下: 第1步:香港市场:$1=HK$7.8223~7.8514 (卖出港元买进美元) 第2步:纽约市场:£1=$1.7320~1.7387 (卖出美元买进英镑) 第3步:伦敦市场:£1=HK$13.8146~13.9211 (卖出英镑买进港元)
汇率及其表示方法 The Quotations of Exchange Rate 汇率(exchange rate)又称汇价 (exchange price),是一国货币折合成 另一国货币的比率或比价。可以把汇率理 解为外汇这一特殊资产的价格。
Direct Quotation , Indirect Quotation There are two basic methods of xchange rate quotation .one is a direct quotation , which means one unit of a foreign currency is worth a given number of currency of the home currency . 以一定单位的外国货币为标准,计算应折合 若干单位的本国货币。(应付法)
The other is indirect quotation , which means one unit of a home currency is equal to a given number of a foreign currency. 以一定单位的本国货币为 标准,计算应折合若干单位的外国货币。(应收法)
两种标价方式:一种是以一定数额外币为 标准,折为相应数额本币表示汇率,称为 “应付市价标价法”或“直接标价法”。 例如,2000年人民币对美元汇率为8.27元 (人民币)/1(美元),对日元汇率为7.6 元(人民币)/100(日元)。第二种标价 法是用一定数额本币作为标准,折为相应 数额外币表示汇率,称为“应收市价标价 法”或“间接标价法”。只有美元和英镑 采用这种“以我为中心”的标价法。
补 充 汇率的种类 Categories of Exchange Rate
1. Buying Rate ,Selling Rate Buying Price , Bid Rate : the bid rate for currency A in terms of B is the rate at which Dealers buy currency A (sell currency B ). 买入价与卖出价 买入价: 就是用B货币计算的A货币的价格,也 就是交易商(银行)用B货币买入A货币的价格。 A 货币= B货币
Selling Price ,Offer Rate: is the rate at which dealers sell currency A (buy currency B ). 卖出价: 就是银行卖出A货币(买入B货币) 的汇率。 A 货币= B货币
That is ,they are in fact two prices . One is the price at which he will buy and the other is the price at which he will sell . 换言之,他们实际上是两个汇率,一个是交易者 要购买的汇率, 另一个是他要出售的汇率。
A Swiss Bank quotation : $ 1 = SF 1.3278-----1.3290 For example : A Swiss Bank quotation : $ 1 = SF 1.3278-----1.3290 In the example above , the small rate is the buying rate or the bid price while the higher rate is the selling rate or offer price . 举例,一家瑞士银行的报价如下: $1=SF1.3278----- 1.3290 。在上例中, 较低的汇率是买入价,较高的汇率是卖出 价。
Banks bid to buy foreign exchange at a lower rate and ask to sell it at a higher rate . The difference between buy and sell rate is called the spread or margin,which gives banks their profit from dealing in foreign exchange transactions. ———————— 差价可用百分比表示,计算公式是:(卖价- 买价)/买价×100 银行以比较低的价格买进外汇,再以比较高的价格卖出 外汇,从中获取差价。
Notice: 1.买入价与卖出价是银行的买入价与卖出 价。
课 堂 回 答 1.张先生要从银行买美元,以便支付考试 费用。问用买入价?卖出价? 2. A公司把出口换汇日元卖给了银行,问 用买入价?卖出价? 3. 李女士因出国旅游需要从银行兑换外 币,问用买入价?卖出价?
2.买入价与卖出价的区分 在直接标价法下(以瑞士某银行为例): (买入价)(卖出价) ↑ ↑ USD1=SF1.1230—1.1240 ↑ ↑ USD1=SF1.1230—1.1240 在间接标价法下(以英国某银行为例): (卖出价)(买入价) GBP1=USD1.1426—1.1431
如果是第三国货币,则是买卖基础货币 的报价。 以日本某银行为例: ↑ ↑ USD1=SF1.1230—1.1240 (买入美元的报价) (卖出美元的报价 ) ↑ ↑ USD1=SF1.1230—1.1240
2. Basic Rate ,Cross Rate : 基础汇率与套算汇率 Basic rate is an exchange rate of key currency (usual is US dollar) in terms of national currency.
Cross exchange rate is an exchange rate between two currencies ,A and B , neither of which is the USD. It can be calculated as ratio of exchange rate of A to the Dollar.,divided by the exchange rate of B to the Dollar. 套算汇率就是两个非美元之间的汇率,可以 通过美元汇率计算出来。
1. 在两个汇率中,基础货币相同,报价货币不同,求报 价货币之间的比价,用交叉相除法。即用两个汇率的买入价 与卖出价分别交叉相除。 计算方法: 1. 在两个汇率中,基础货币相同,报价货币不同,求报 价货币之间的比价,用交叉相除法。即用两个汇率的买入价 与卖出价分别交叉相除。 A/B 买入价——卖出价 A/C买入价——卖出价 计算方法见《国际金融实务>>133页-136.
已知:A/B汇率买入价-卖出价 A/B 买入价——卖出价 A/C买入价——卖出价 A/C汇率买入价-卖出价 求: B/C汇率买入价-卖出价 B/C买入价=A/C买入价÷A/B卖出价 B/C卖出价=A/C卖出价÷A/B买入价 A/B 买入价——卖出价 A/C买入价——卖出价
例. 已知:中国银行报价(1美元)如下: USD/HKD:7.7918—7.7958 USD/JPY: 111.59—111.89 求:HKD/JPY =? HKD买入价=111.59 ÷7.7958=15.3403 HKD卖出价=111.89 ÷7.7918=15.3867 HKD/JPY=15.3403—15.3867
3. Fixed Exchange Rate ,Floating 固定汇率与浮动汇率
Fixed Exchange Rate:a rate of exchange between one currency and another that is fixed by government and maintained by that government buying or selling its currency to support or depress its currency. 固定汇率: 一种货币对另一种由政府固定货 币的汇率。政府通过买卖该种货币保持币值的稳定 或低估。
Floating Exchange Rate :an exchange rate between one currency and others that is permitted to float accounting to market forces with no government or central bank action to keep it stable . This is also known as a flexible exchange rate . 浮动汇率: 一种根据市场浮动而没有政府或中 央银行干预的汇率。又称之为有弹性的汇率。
4. Spot Exchange Rate ,Forward Exchange Rate 即期汇率与远期汇率 5. Official Exchange Rate ,Market Exchange Rate 官方汇率与市场汇率 6. Opening Rate ,Closing Rate 开盘价和收盘价 Forward Rate :the fixed price at which a given amount of a currency at a specified time in the future. 远期汇率:一种事先确定的在未来的时间交易一定量货币的价格。 Opening Rate:Rate in a currency exchange at the beginning of a day‘s trading . 是指在一个营业日开始时交易的汇率。 Closing Rate : Rate in a currency exchange at the end of a day‘s trading . 是指一个营业日结束时交易的汇价。 Effective Exchange Rate : A country’s exchange rate , taking weighted average of its bilateral normal exchange rates against other currencies . 有效汇率: 是各种双边汇率的加权平均
Notice: 第1,凡是外汇必须是以外币表示的各 种支付工具。 First , FX must be the means of payments in terms of foreign currencies.
第2,凡是外汇,必须是可自由兑换货 币 。 Second ,FX must be a convertible currency .
1.“凡是外国货币就是外汇”这句话对不对?为 思 考 与 回 答 1.“凡是外国货币就是外汇”这句话对不对?为 什么? 2.“美元就是外汇”这句话对不对?为什么?