國際金融課件第3章(4課時).ppt

CHAPTER3 THEFOREIGNEXCHANGEMARKET 3 2 ForeignExchange Foreignexchangeistheactoftradingdifferentnations moneys DemanddepositsinbanksPapermoneysCoinsForeignexchangerateisthepriceofonenation smoneyintermsofanothernation smoney 3 3 ForeignExchangeMarket Theforeignexchangemarketisthemarketinwhichnationalmoneysaretradedforothernationalmoneys 24 hourmarket geographicdispersionEnormoustradingvolumes 1 2trilliononForexvs 42billiononNYStockMarketperday 2001 MosttradinginvolvesU S dollarsRetailvs Interbankpartofthemarket 3 4 24 HourMarket Sidney7 00 12 00Tokyo8 00 14 00HongKong Singapore9 00 16 00FrankfurtSummer14 00 23 00Winter15 00 0 00LondonSummer15 00 23 30Winter16 00 0 30NewYorkSummer20 30 3 00Winter21 30 4 00WestCoastSummer21 30 4 00Winter22 30 5 00 InBeijingTime thefollowingmarketsaremostactiveinFXtrading 3 5 MarketSize MainFXmarketaveragedailyturnover 1988 2007 inbillionsofUSD Source BankforInternationalSettlements December2007 3 6 Mosttradedcurrencies Source BankforInternationalSettlements 2007 3 7 Top10currencytraders Source EuromoneyFXsurveyFXPoll2008 TheEuromoneyFXsurveyisthelargestglobalpollofforeignexchangeserviceproviders 3 8 LevelsofAccess Stockmarketvs Forexmarket Nocentralexchangeorclearinghouse OTCmarketForexmarketisdividedintolevelsofaccess Retailpartsvs InterbankpartsTradingvolumeDifferenceinspreads differencebetweenbidandaskprice EUR USD 0 7070 0 7073forinterbankmarket0 7000 0 7100forbanknotesortravelers checks 3 9 RetailMarkets Britishfirm U S producer Ajetplane BankinLondon Askitsbanktoconvertpoundsintodollars BankinNewYork InstructtotakedollarsfromitsdemanddepositaccountandpaytotheU S producer Transferdollarstoitsaccount 3 10 Inter bankMarket SupposethatbankinLondonmaybeunwillingtocontinueholdingthepounds Thetop tierinter bankmarketaccountsformorethan50 ofalltransactions Participantsininter bankmarket commercialbanksandinvestmentbanksActiveparticipantsinretailpartofthemarket smallerinvestmentbanks multi nationalcorporations hedgefunds pensionfunds insurancecompanies mutualfunds otherinstitutionalinvestors 3 11 ExchangeRates Anexchangerateisthepriceofonecurrencyintermsofanothercurrency Twocurrenciesinvolved Timingofdelivery1 Spot2 Forward Anotherrateisthefuturespotrate 3 12 ExchangeRates AsaU S dollarpriceoftheothercurrency 1 7621 0 1462 rmbAsthepriceoftheU S dollarinunitsoftheothercurrency 0 5675 rmb6 8406 Thereciprocalsofeachother 3 13 Directvs IndirectQuotation DirectQuotation Ratesquotedintermsofavariablenumberofhomecurrencyperfixedforeigncurrencyunit rmb6 8406 ViceVersa 0 1462 rmb 3 14 SpotExchangeRate Source BankofChina ThepriceoftheothercurrencyinunitsofRMB 3 15 SpotExchangeRate Source BankofChina 3 16 CrossRatesinSpotMarket Source 3 17 TheNewYorkforeignexchangesellingratesbelowapplytotradingamongbanksinamountsof 1millionandmore asquotedat4p m EasterntimebyDowJonesandothersources Retailtransactionsprovidefewerunitsofforeigncurrencyperdollar ForLateNewYorkTradingFriday October9 2009 KeyCurrencyCrossRates Source WallStreetJournal 3 18 ForeignExchangeTrading SWIFT linked8 332financialinstitutionsin208countries asofDecember2007CHIPS hasaround46members asattheendof2006 3 19 WhatmakestheERriseorfall Allthetransactionscreatesupplyanddemandforforeigncurrencies whichdeterminetheexchangerate withincertainforeignexchangesystem 3 20 Demand Supply Importsofgoodsandservicesandcapitaloutflows aswellasincomepaymentstoforeigners createademandforforeigncurrency Exportsofgoodsandservicesandcapitalinflows aswellasincomereceivedfromforeignsources createasupplyofforeigncurrency 3 21 DemandandSupplyCurves 3 22 WhyDoesDemandCurveSlopeDownward Whenthepounddeclinesfrom 1 98to 1 6 theAmericanswillfindmoreuseofit 50 1 98 50 99 1 60 50 80 MadeinBritain 3 23 WhyDoesSupplyCurveSlopeUpward Whenthepounddeclinesfrom 1 98to 1 6 theBritishwillbereluctanttobuyAmericangoods 99 99 1 98 50 99 1 60 61 87 MadeinU S A 3 24 WhyDoesDemandCurveShift Thefollowingwilldriveittotheright IncreaseindemandforU K products causedbyforcesotherthanchangesintheexchangerate AriseinU S residents willingnesstoinvestinpound denominatedfinancialassets 3 25 WhyDoesSupplyCurveShift Thefollowingwilldriveittotheright IncreaseinU K residents demandforU S products causedbyforcesotherthanchangesintheexchangerate AriseinU K residents willingnesstoinvestinU S dollar denominatedfinancialassets 3 26 FloatingExchangeRates ThesimplestsystemTheformationofexchangeratesismarket driven purelybytheinteractionofprivatedemandandsupplyforthatcurrency Nointerventionbygovernmentorcurrencyauthority 3 27 Figure3 2 3 28 Figure3 3 Consider Ademand sideforceotherthanchangesinexchangeratesdrivesthedemandcurveupwards 3 29 FixedExchangeRates Heavyinterventionbygovernmentorcurrencyauthority Afixedexchangerateismaintainedevenifthisratethegovernmentchoosesdiffersfromthecurrentequilibriumrate 3 30 Figure3 2A Inthiscase Britishofficialsareforcedtointerveneinthemarket buying50bnPoundtofillthegapAB 2 00 2 02 Parvalue 3 31 Figure3 2B Now Swissgovernmentmustsell100bnSFrtodefendthefixedexchangerateof0 505 3 32 ChangesinExchangeRates Appreciationvs depreciationunderfloatingexchangerateregimeRevaluationvs devaluationunderfixedexchangerateregime Case2InApril21 2008 Rmb Dollar 7 00InApril22 2008 Rmb Dollar 6 89 Case1In1994 Rmb Dollar 5 70wentto Rmb Dollar 8 30 3 33 Canthesehappen 1 7 inNewYorkwhile 1 6 inLondon 1 7 SFr3 Pound 0 50 SFrexistatapointintime 3 34 Arbitrageinthespotmarket Arbitrageisaprocessofbuyingandsellingtomakea nearly risklesspureprofit whichensurestheratesindifferentlocationsessentiallythesame 3 35 ArbitrageintheSpotMarket CitibankHSBCBidPriceforHK 0 1288 0 1298AskPriceforHK 0 1293 0 1303 IfyouhaveHKD10 000inhandandwouldexchangeth