Lecture5_ForeignExchange
银行英语会话第3课-兑换外币 Foreign Exchange
银行英语会话第3课:兑换外币Foreign Exchange导读：本文银行英语会话第3课:兑换外币Foreign Exchange，仅供参考，如果觉得很不错，欢迎点评和分享。
Lesson 3 Foreign Exchange兑换外币Key Sentences重点句型Today's exchange rate of RMB to USD is 812 RMB yuan equal to 100 US dollars.今天的汇率是812元人民币兑100美元.What kind of foreign currency have you got?What's the exchange rate today?您持有什么外币?今天的汇率是多少?What kind of currency do you want to change?您想换哪一种外币?Please keep check the money and keep the exchange memo.Sorry you've filled a wrong account number Please refill it.请点清钞票,保存好水单.抱歉，您的账户不对，请重新填写.What is the equivalent of five dollars in RMB yuan?五美元相当于人民币多少元?We list the exchange rate issued by the People's Bank of China every morning.我们是根据每天早上中国银行发布的汇率挂牌的.What are you going to convert,bank notes or traveller's checks?你要兑换什么,是现钞还是旅行支票?Dialogue 1 A:Excuse me.B:Can I help you?对话1 劳驾.您要什么服务?A:I want to change some US dollars into RMB.我想把美元换成人民币.B:Of course.当然行.We are an authorized foreign exchange bank and can change them for you.我们是指定经营外汇业务的银行.可以为您兑换.How much do you want to change?您要换多少?A:Let me see.Fifty US dollars.B:Very well,sir.让我想想,五十美金.好的,先生.Notes I want to change some US dollars into RMB.我想把美元换成人民币.动词change译为兑换或换成零钱，例如Where can I change my dollars for pounds?请问我可在哪儿将美元兑换成英镑。
Part 3.The Foreign Exchange System of China
currencies.
Foreign exchange is the assets that denominated in foreign currencies and can be used to pay off foreign debts.
FOREIGN EXCHANGE DEFINITION
RMB ?
Free Foreign Exchange Exchange of Account
Current Account Transactions Capital Account Transactions
CURRENT ACCOUNT TRANSACTION
① Foreign trade ② Non-trade exchanges ③ Voluntary exchanges To repatriate foreign exchange receipts home and no allowing to deposit them abroad.
IV. International Reserve
该PPT仅供GMI内部培训使用。PPT中所涉及的案例仅用作教学目的，不具有任何交易投资的指导意义。
FOREIGN EXCHANGE DEFINITION
I. FOREIGN EXCHANGE AND EXCHANGE RATE
Foreign exchange
• All kinds of settlement methods presented by foreign currency common used in the countries around world for international settlement of claims and debts. • Consisting of funds held (in foreign currency) with banks abroad, or bills or cheques. • Three traits/Characteristics: • Affordability ( Assets presented by foreign currency ) • Availability (liabilities that can be compensated in foreign country) • Exchangeability/Convertibility (foreign currency assets that can be freely changed into other instrument of payment / The currencies must be convertible )
Foreign exchange rate exposure
J.of Multi.Fin.Manag.18(2008)165–179Available online at Foreign exchange rate exposure and risk premium in international investments:Evidence fromAmerican depositary receiptsSung C.Bae a,∗,Taek Ho Kwon b,Mingsheng Li aa Department of Finance,Bowling Green State University,Bowling Green,OH43403,USAb Department of International Commerce,Chonnam National University,Yosu,Chonnam,Republic of KoreaReceived15May2006;accepted2July2007Available online12July2007AbstractWe examine how exchange rate changes affect the security returns and how economic and translation exposure components of exchange rate risk are priced across countries.Employing ADRs of four countries, we document four mainfindings.First,exchange rate changes are negatively related to underlying share returns of ADRs,but positively to ADR returns observed in the U.S.markets.Second,ADR returns are more closely related to local market returns than U.S.market returns,indicating that the local market environment plays a bigger role in determining ADR returns.Third,U.S.and local investors require different risk premiums for exchange rate risk present in ADR investments.Fourth,both the source(economic or translation exposure) and magnitude(high or low)of the exchange risk premium vary across countries.We obtain robust empirical findings for both country ADR portfolios and individual ADRs.©2007Elsevier B.V.All rights reserved.JEL classification:F31;G15Keywords:Foreign exchange rate exposure;Foreign exchange risk premium;American depositary receipts∗Corresponding author.Tel.:+14193728714;fax:+14193722527.E-mail addresses:bae@(S.C.Bae),thk5556@chonnam.ac.kr(T.H.Kwon),mli@(M.Li).1042-444X/$–see front matter©2007Elsevier B.V.All rights reserved.doi:10.1016/j.mulfin.2007.07.001166S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–1791.IntroductionThe surge in investments in American depositary receipts(ADRs)has instigated considerable research on this subject.1Existing literature on ADR can be classified into four broad areas:(1) arbitrage opportunities between the prices of ADRs and their underlying securities.Kato et al. (1991)and Wahab et al.(1992)find that few profitable opportunities exist after transaction costs;(2)factors affecting ADR prices.Studies by Jiang(1998)and Kim et al.(2000)suggest that the variation in ADR returns can be explained by three factors:U.S.market returns,local market returns,and exchange rate changes;(3)price transmission dynamics between ADRs and their underlying securities.While Jiang(1998)shows that ADRs and their local shares influence each other,Kim et al.(2000)observe that most responses of ADRs to the unexpected price movements of underlying shares occur on the same calendar day;and(4)diversification gains from ADRs. Alaganar and Bhar(2005)indicate that ADRs have a low correlation with the U.S.stock market and thus provide an effective tool for U.S.investors to achieve portfolio diversification.Given the large body of literature on ADR,several important issues still need to be addressed. Although it is well known that afirm’s exchange rate risk consists of three components of eco-nomic exposure,translation exposure,and transaction exposure,2limited evidence exists on how exchange risk exposure in general and its components in particular affect the pricing of ADRs. Furthermore,it is not clear how the U.S.investors’risk attitude toward exchange risk affects their pricing of ADRs from different countries.In this study,we extend the existing literature on ADRs in several ways.First,unlike previous studies,we examine not only how exchange rate changes affect ADR returns in the U.S.market but also the underlying share returns of ADRs in the local markets.This analysis is important because it would provide relevant information on the exchange risk premium required by U.S. investors relative to local shareholders.Second,we take a further step to investigate how each of the two exchange risk components, economic exposure and translation exposure,affects ADR returns.In ADR investments,the economic exposure represents the changes in the underlying share returns of ADRs to changes in exchange rates,and the translation exposure represents the exchange risk associated with translating the underlying share returns in local currency into the returns in the U.S.dollar. Disentangling the effects of the two exchange risk components would enable investors to better understand the sources of ADR returns and the related risk,which,in turn,helps ADR investors construct better investment portfolios.3Third,we examine the effects of exchange rate changes and exchange risk components on the ADR returns of four countries including Australia,France,Japan,and the U.K.The cross-1According to Bank of New York,the annual trading volume of ADRs and other depositary receipts listed on U.S. exchanges increased from US$75billion in1990to US$1185billion in2000,implying an annual growth rate of31.8% (see the Bank of New York2000Year End Market Review:/dr pub statistics.jsp).2Economic exposure represents the sensitivity of afirm’s competitiveness to the changes in exchange rates,translation exposure represents the uncertain gains or losses when foreign currency assets are converted to home currency,and transaction exposure represents the sensitivity of afirm’s realized domestic currency value from thefirm’s contractual foreign cashflow.3For example,a depreciated foreign currency will improve a foreign exportingfirm’s competitiveness in the world market and thus increase thefirm’s underlying value through increased cashflows.For U.S.ADR investors,however, the same depreciated foreign currency becomes less valuable.Thus,the translation loss to ADR investors could offset or overweigh the gain in the localfirm’s underlying value;consequently,the underlying security could be a good investment for local investors but not for U.S.investors.S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179167 country comparison helps enhance our understanding of how the U.S.investors’risk attitude(or sentiment)toward foreign exchange risk differs across different countries.Finally,the research methodology and sample period in our study are distinguished from those in many of prior studies.The two-step method used in this paper has a distinctive advantage of examining the process of pricing foreign exchange risk in a clear manner without directly resorting to the multi-factor CAPM.Furthermore,our sample period covers1999–2001,during which the increase of U.S.investment in ADRs reached the peak point,reflecting U.S.investors’growing optimism and confidence in ADRs.Thus,the results based on this sample period will provide renewed information regarding U.S.investors’risk attitude toward ADR investments.Our study has important implications.For foreignfirms that seekfinancing in the U.S.capital market,the exchange risk premium required by U.S.ADR investors directly affects their cost of capital.For U.S.investors,understanding of the effect of exchange rates on ADR returns in addition to the prices of underlying shares and U.S.market returns will help them better design their global investment portfolios.Our results show that underlying share returns of ADRs are significantly negatively exposed to exchange rate changes for France,Japan,and the U.K.,but significantly positively for Australia. The negative effect in general suggests that the underlyingfirm value is adversely affected by the appreciation of local currency against the U.S.dollar.On the contrary,ADR returns are significantly positively related to exchange rate changes for all four countries,implying that a foreign currency appreciation against the U.S.dollar benefits the U.S.ADR investors because of the translation gains.As for risk premium,wefind that the source and magnitude of foreign exchange risk pre-mium vary significantly across countries.The significant differences in exchange risk pricing for Australian and French ADRs are closely related to the economic exposure component of the exchange rate risk,but the significant pricing differences for Japanese ADRs are closely related to the translation exposure of the exchange rate risk.2.Development of testable hypothesesAs the economic globalization continues and the world markets become more integrated,the price of the underlying share(P SHARE)of an ADR is formally determined as:P SHARE=f1(local market conditions,economic exposure)(1) If markets were perfectly efficient and internationally integrated with no divergent expectation on information among investors,the ADR price(P ADR)should be equal to the price of the respective underlying stock(P SHARE)adjusted for exchange rates(S),i.e.,P ADR=P SHARE×S,assuming that transaction cost is minimal.However,the world markets may not be perfectly integrated,and information asymmetry could possibly exist between local investors and U.S. ADR investors.Hence,the relative optimism or pessimism of local versus U.S.investors may contribute to the difference between the two prices.In addition,different sources of foreign exchange risk investors face will also lead to a different pricing of the exchange risk associated with ADRs.In ADR investments,changes in exchange rates affect both the return-generating process of the underlying shares(economic exposure)and the return translation of local currency into U.S.dollars(translation exposure).The translation exposure is additional exchange risk borne by U.S.investors.168S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179Following the literature(e.g.,Jiang,1998;Kim et al.,2000),the price of the ADR(P ADR)can be expressed as:P ADR=f2(P SHARE,U.S.market conditions,translation exposure)(2a) Of the three pricing factors for ADRs,the underlying share price(P SHARE)and translation exposure are obvious since an ADR represent a certain number of the underlying shares,which are translated into U.S.dollar for the U.S.investors.Although less obvious,U.S.market conditions also affect the ADR price.For example,Kim et al.(2000)note that U.S.market conditions affect ADR prices in two possible ways.First,U.S.investors evaluate the systematic risk of ADRs with reference to the U.S.market conditions.Second,the non-synchronous trading of ADRs(in the U.S.market)and their underlying shares(in foreign markets)could also make the U.S.and foreign markets correlated.Several empirical studies provide evidence in support of this argument(e.g., Jiang,1998;Suh,2003).As discussed above,exchange rate movements affect ADR prices in two ways via the eco-nomic exposure and the translation exposure components.This relation can be easily shown by substituting P SHARE in Eq.(2a)with f1in Eq.(1)and rearranging it as:P ADR=f2(local and U.S.market conditions,economic exposure,translation exposure)(2b) Based on above discussions,we posit Hypothesis1as follows:Hypothesis1.After controlling for the local and U.S.market conditions,the difference between an ADR price and its underlying share price adjusted for exchange rate changes reflects U.S. investors’required risk premium on the economic exposure and translation exposure components.To the extent that different countries are at different stages of economic andfinancial develop-ments and have different political environments,we conjecture that U.S.investors’risk attitude (or sentiment)toward investing in ADRs also varies across different countries.Hence,we posit our second hypothesis as follows:Hypothesis2.U.S.investors price differently the exchange rate risk of ADRs from different countries.The differences reflect the U.S.investors’different risk attitude(or sentiment).3.DataThe preliminary sample of our study consists of all foreignfirms that issued Level II(listing) or Level III(offering)ADRs on the NYSE over the four-year period of1998–2001.Level I ADRs are excluded since they are traded in the OTC market.In addition,ADRs traded on the AMEX or NASDAQ are excluded due to their substantially smaller sample size and low liquidity.4Since Australia,France,Japan,and the United Kingdom offer the largest number of ADRs on the NYSE, we focus on ADRs from these four countries.The number of ADRs(Levels II and III)listed for the four countries during the entire sample period are11,10,11and41for Australia,France, Japan,and the U.K.,respectively.After excluding ADRs without relevant data,thefinal sample includes10ADRs for Australia,9ADRs for France,10ADRs for Japan,and25ADRs for the U.K.Price data are collected from the DataStream and are checked using the CRSP Daily Return 4In2001alone,1558DR programs were offered globally,of which623DR programs were listed on U.S.exchanges with annual trading volume of US$752billion(see /adr).S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179169 File.Exchange rates,Euro rates,and market rates of return in local markets are also collected from the DataStream.We choose the sample period from1998to avoid or minimize at least the effect of the Asian financial crisis of1997.For empirical analysis in our study,we use weekly price data in order to mitigate the potential non-synchronous trading problem associated with daily price data.We collect Friday’s closing prices to construct a weekly data series for all variables except for the daily exchange rates and underlying share returns that are used to estimate covariance risk of exchange rates and share returns.5Furthermore,as a way to alleviate any potential idiosyncratic problem and focus on country characteristics,we construct equally-weighted portfolios of underlying shares and ADRs for each of the four countries.4.Empirical methods and results4.1.Summary statisticsTable1reports means and standard deviations of several variables of interest for each country computed with weekly data.The local market index return is the rate of return of each country’s selected stock market index:All Ordinary index for Australia,CAC40index for France,Nikkei 225index for Japan,and FTSE100index for the U.K.For comparison purpose,the S&P500 index is used for the U.S.Exchange rate changes are weekly changes of U.S.dollars per unit of each country’s currency.Three-month Eurocurrency interest rates are used as risk free interest rate for each country.For consistency,Eurodollar rates are used as risk free interest rate for the U.S.As shown in Table1,the local market index return,underlying share return,and ADR return are on average positive for Australia and France over the1998–2001period,but the local market index and ADRs for the UK produce a negative mean return.Both Japanese ADRs and their underlying stocks experience relatively large negative returns,consistent with the sluggish Japanese economy during the four-year period.Thefindings on exchange rate changes show that during the four-year period,the value of all currencies except for Japanese yen depreciates against the U.S.dollar.4.2.Estimation of foreign exchange rate exposureFollowing Jorion(1990),we estimate foreign exchange rate exposure of underlying shares in the local markets using the following time-series regression model for each country: UNDR t=a0+a1LMR t+a2EXR t+e t(3) where UNDR is the rate of return of underlying stock;LMR is the rate of return of local stock market;and EXR is the rate of exchange rate changes expressed in U.S.dollars per local currency unit.In Eq.(3),the coefficient of EXR,a2,measures exchange rate exposure of an underlying share,that is,the economic exposure component.Similarly,we estimate foreign exchange rate exposure of ADRs in the U.S.market by:ADRR t=b0+b1LMR t+b2USMR t+b3EXR t+u t(4)5Several studies employ weekly data in investigating premiums present in country funds(e.g.,Bodurtha et al.,1995; Chandar and Patro,2000).One may doubt that the results based on Friday’s closing prices could be biased due to the end-of-week effect.To check this issue,we also conducted our empirical analyses using Wednesday’s closing prices and found results qualitatively similar to those reported in our study with slightly lower adjusted R2.170S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179Table 1Mean and standard deviation of variables by countryCountry Local market index return (%)Underlying stock return (%)ADR return (%)Exchange rate change (%)Risk-free interest rate (%)No.of ADRsAustralia 0.1290(1.8619)0.1906(2.6094)0.0387(3.2313)−0.1170(1.6779)0.0993(0.0118)10France 0.2017(3.3132)0.1597(3.9151)0.0617(3.9354)−0.1005(1.4193)0.0729(0.0139)9Japan −0.1778(3.1124)−0.0658(3.6157)−0.0965(3.8101)0.0041(2.0638)0.0054(0.0044)10U.K.−0.0045(2.5816)0.0181(2.4936)−0.0553(2.4772)−0.0599(1.0589)0.1148(0.0187)25U.S.0.0839(2.8780)0.1015(0.0226)N.A.Mean and standard deviations are on a weekly basis measured using weekly data from January 1998to December 2001with a total of 208return data observations;standard deviations are in parentheses.S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179171 Table2Exchange rate exposure of underlying share returns of ADRs by countryDependent variable Australia France Japan United Kingdom Panel A:Exchange rate exposure without orthogonalization procedureConstant0.0004(0.43)−0.0007(−0.66)0.0010(0.62)0.0001(0.08)LMR 1.2331(26.59)*** 1.0598(30.17)***0.9040(18.14)***0.8004(21.40)***EXR0.0434(0.84)−0.1449(1.77)*−0.3005(−4.02)***−0.1129(1.24) Adjusted R20.7830.8360.6200.702Durbin–Watson statistic 2.259 2.131 2.202 1.793Panel B:Exchange rate exposure with orthogonalization procedureConstant0.0023(2.79)**0.0007(0.60)−0.0006(−0.42)−0.0001(−0.12)LMRO 1.2331(26.59)*** 1.0598(30.17)***0.9040(18.14)***0.8004(21.40)***EXR0.3240(6.43)***−0.9363(−12.05)***−0.2427(−3.23)***−0.4959(−5.55)*** Adjusted R20.7830.8360.6200.702Durbin–Watson statistic 2.259 2.131 2.202 1.793The sample consists of54ADRs and their underlying stocks in the local markets;the regression equations are estimatedusing weekly data from January1998to December2001with a total of208return data observations;LMR:local marketindex return;EXR:exchange rate changes;LMRO:local market index return orthogonalized against exchange ratechanges;t-statistics are in parentheses.*Denote significance at the10%level.**Denote significance at the5%level.***Denote significance at the1%level.where ADRR is the rate of return of an ADR,and USMR is the U.S.market return proxied by the S&P500stock index return and used to control the U.S.market condition(see Jiang,1998; Kim et al.,2000).The coefficient of EXR,b3,measures exchange rate exposure of an ADR, which represents both economic and translation exposure components of exchange rate risk as we discussed in Eq.(2).The regression results based on Eq.(3)are reported in Panel A of Table2for underlying share returns.The significant positive coefficients on LMR are as expected and suggest that the underlying share returns are positively related to local market conditions.The coefficients on EXR are negative and significant only for France and Japan.It is possible,however,that the foreign exchange exposure estimated by Eq.(3)(and Eq.(4),too)is biased downward if the local market return is also exposed to exchange rate changes.As a way to correct this problem,we adopt an orthogonalization procedure byfirst estimating a regression model of the local market index returns(LMR)with an explanatory variable of exchange rate changes(EXR).We then replace LMR in Eqs.(3)and(4)with the regression residual(LMRO)and estimate exchange rate exposure.6Regression results using the orthogonalization procedure for the underlying share returns are reported in Panel B of Table2.The key difference between the results in Panels A and B is that the coefficients on EXR vary across countries.The results suggest that after controlling for the local market effect,underlying share returns are adversely affected by exchange rate changes for France,Japan,and the U.K.For Australia,however,the appreciation of Australian dollar against U.S.dollar results in higher underlying share returns.6Several studies on foreign exchange risk exposure use similar orthogonalization procedures to avoid any estimation bias due to multicollinearity problem between independent variables and isolate exchange rate exposure from other risk and market factors(e.g.,Jorion,1990;Choi and Prasad,1995;Kiymaz,2003).172S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179Table3Exchange rate exposure of ADR returns by countryDependent variable Australia France Japan United Kingdom Panel A:Exchange rate exposure of ADR returns without orthogonalization procedureConstant0.0002(0.37)−0.0004(−0.31)0.0001(−0.03)−0.0004(−0.44) LMR0.7533(11.92)***0.6815(10.85)***0.7197(14.48)***0.4709(7.88)*** USR0.3622(8.93)***0.5309(7.69)***0.4009(7.39)***0.2974(5.64)*** EXR0.9281(15.50)***0.7543(7.10)***0.7562(10.46)***0.7132(6.87)*** Adjusted R20.8090.7340.6920.610Durbin–Watson statistic 2.536 2.415 2.244 2.093Panel B:Exchange rate exposure of ADR returns with orthogonalization procedureConstant0.0014(0.39)0.0004(0.30)−0.0013(−0.91)−0.0005(−0.48) LMRO0.7533(11.92)***0.6815(10.85)***0.7197(14.48)***0.4709(7.88)*** USR0.3622(8.93)***0.5309(7.69)***0.4009(7.39)***0.2974(5.64)*** EXR 1.0995(18.46)***0.2454(2.43)**0.8034(11.15)***0.4878(4.78)*** Adjusted R20.8090.7340.6920.610Durbin–Watson statistic 2.536 2.415 2.244 2.093The sample consists of54ADRs and their underlying stocks in the local markets;the regression equations are estimated using weekly data from January1998to December2001with a total of208return data observations;LMR:local market index return;EXR:exchange rate changes;LMRO:local market index return orthogonalized against exchange rate changes;USR:U.S.market index measured by the S&P500index returns;t-statistics are in parentheses.**Denote significance at the5%level.***Denote significance at the1%level.The regression results based on Eq.(4)are reported in Table3for ADR returns.The positive and significant relation between ADR returns and exchange rate changes for all four countries indicates that when a local currency appreciates against U.S.dollar,the returns of ADRs from the corresponding country increase.In addition,consistent with thefindings of Kim et al.(2000),the results indicate that although ADRs are traded in the U.S.market and affected by the U.S.mar-ket environment,the local market environment plays a bigger role in determining ADR returns. To correct the possible estimation bias,we also use an orthogonalization procedure and replace LMR with regression residual(LMRO)in Eq.(4).As reported in Panel B of Table3,the regres-sion results on the three explanatory variables are qualitatively identical to those reported in Panel A.4.3.Measuring abnormal returns on ADR investmentsWhen market participants regard changes in foreign exchange rates as non-diversifiable sys-tematic risk,they will price the foreign exchange risk and require an additional return on the share exposed to exchange risk by discounting the share price.In this paper,we employ a two-step method to test the difference in pricing foreign exchange risk without directly resting on the multivariate CAPM.U.S.investors who have an interest in an underlying share traded in the local stock market can invest in its respective ADR without taking additional risk.Therefore,any discrepancy between the realized(observed)rate of return for an ADR and its expected(equilibrium)rate of return (which can be estimated by the rate of return of the underlying share and exchange rate changes) can be explained by differences in market conditions.We postulate that if the conditions of the U.S.market and the local market are controlled for,one will be able to extract the difference ofS.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179173 pricing exchange risk from the difference between the realized and expected rates of return of an ADR.For expositional convenience,we call this difference as“abnormal return(AR)”and measure it as follows:AR t=ADRR t−(UNDR t+EXR t)(5) where ADRR is the observed rate of return on an ADR,UNDR the rate of return on the underlying share,and EXR is the change in exchange rates expressed in the U.S.dollar per local currency unit.The expected rate of return in parentheses represents the return in the U.S.dollar that U.S. investors would have received if they had invested directly in the underlying shares in the local market.Based on Eq.(5),we compute the average AR of ADRs in each country:−0.04%for Australia;0.02%for France;−0.02%for Japan;and−0.008%for U.K.The low average absolute values of AR seem to indicate that the possibility of arbitrage transactions between ADR and the underlying shares would leave little room for a systematic relation between the two.To gain further insights into whether the magnitude of ARs can be fully explained by arbitrage transaction costs,we examine ARs of sample ADRfirms both within a coun-try and between two countries.The results that are not reported for brevity’s sake indicate that arbitrage transaction costs may not fully account for the difference between the returns of underlying shares of ADRs and ADR returns adjusted by the currency rates.Rather,the return differences of ADRfirms are more highly correlated within a country than between countries.4.4.Determinants of foreign exchange risk premiumsThe results so far provide evidence supporting that returns of underlying shares and ADRs are significantly exposed to changes in exchange rates.To test the difference in exchange risk pricing between local and U.S.markets by relating AR measured in Eq.(5)to exchange rate covariance risk,we estimate the following regression model:AR t=c0+c1MD t+c2COV t+ηt(6) where MD is the difference in market risk premium(market return minus risk free rate)of the two markets—the U.S.and a local market.COV is the exchange rate covariance risk,capturing the difference in exchange risk pricing between the U.S.and the local markets.Total exchange risk of U.S.investors who invest in an ADR,which we denote as COV-ADR,can be measured by the covariance between the underlying share returns adjusted for exchange rate changes and exchange rate changes.This can be seen from:COV(ADRR, EXR)=COV(UNDR+EXR,EXR)=COV(UNDR,EXR)+V AR(EXR),where COV(ADRR, EXR)or COV(UNDR+EXR,EXR)represents the exchange rate covariance risk that ADR investors bear,and COV(UNDR,EXR),the exchange rate covariance risk of underlying share returns,is the exchange risk present in underlying share returns.Note also that COV(UNDR, EXR)represents the economic exposure component of exchange rate risk.As COV ADR contains both COVUND and V AR(EXR),the latter is the variance of exchange rate changes,COV ADR represents both the economic and translation exposure components of the exchange rate risk.If U.S.investors consider the total exchange risk as a pricing factor,and their pricing is different from that of local investors,then the exchange rate covariance risk of ADR returns(COV ADR) would explain the ADR’s abnormal return(AR)over the underlying share return adjusted for174S.C.Bae et al./J.of Multi.Fin.Manag.18(2008)165–179exchange rate changes.If foreign investors consider only the basic exchange risk(i.e.,economic exposure)as a pricing factor,however,then the exchange rate covariance risk of underlying share returns(COVUND)would explain ADR’s abnormal return,but COV ADR would not add any explanatory power.Putting all together,we measure the difference in pricing foreign exchange risk between foreign and local investors by estimating the following autoregressive model for each of the four countries: AR t=d0+d1AR t−1+d2AR t−2+d3MD t+d4COVUND t(or COV ADR t)+εt(7) Two lagged variables of AR(AR t−1and AR t−2)and the difference in market risk premium between the local market and the U.S.market(MD)are entered into the regressions as control variables.7We use the seemingly unrelated regression(SUR)analysis to take into account the cross-correlations among country estimation equations and to increase model efficiency(Zeller, 1962).8COVUND and COV ADR are measured using the covariance estimation model(see Chang et al.,1999).In Panel A of Table4,the four-variable regression model explains as low as35.2%of the variance of AR for Japan and as high as54.0%for France.The regression coefficient of MD is also positive and significant for all four countries.Hence,the difference in market risk premium of two markets is a significant factor in determining ADR abnormal returns.Our primary focus is on the estimated coefficients of COVUND,which are all negative but significant at least at the5%level only for Australia and France.Hence,exchange rate covariance risk of underlying share returns explains ADR abnormal returns for Australia and France but not for Japan or the bined with the results reported in Table2,the regression results indicate that as foreign exchange covariance risk associated with underlying share returns increases,foreign investors require a greater abnormal return for exchange risk of underlying share than local investors in France but a smaller abnormal return in Australia.For Japan and the U.K.,there is little difference in pricing exchange risk of underlying share returns between local investors and foreign investors.Panel B of Table4shows the SUR results of AR using COV ADR as an independent variable, where COV ADR is the covariance risk measure of expected ADR returns and exchange rate changes.The significantly positive coefficients of MD indicate that(1)the difference in the environment of local versus foreign markets is a key determinant of ADR abnormal returns for all countries,and(2)the abnormal return of ADRs tends to move in the same direction as the U.S. market.The results on the estimated coefficients of COV ADR are,however,noticeably different from those of COVUND.COV ADR carries a negative sign for Australia,France,and the U.K., and a positive sign for Japan.Thesefindings support the notion that foreign investors price foreign exchange risk of international investment portfolios differently than local investors.To examine further how different the effect of the exchange rate covariance risk is relative to that of underlying share returns on ADR abnormal returns,we include both COVUND and COV ADR as independent variables along with MD and two lagged variables of AR in the SUR model.Given that COVUND is a part of COV ADR,wefirst use an orthogonalization procedure (i.e.,COV ADR is orthogonalized on COVUND)to separate the effect of COVUND from the effect of COV ADR on AR,and then use the residual of the orthogonalization procedure(COV ADRO)7The number of autoregressive lags is determined through analyses offirst-order autocorrelation of residuals in each regression equation and the significance level of autocorrelation coefficients of AR t−i.8The cross-correlations among country estimation equations range from0.11to0.59,which are relatively high.。
金融英语口语听力教程第5课
金融英语口语听力教程第5课The International Monetary Situation (2)国际货币制度（二）Situation 5情景 5Ms.Johnson and Mr.Black continue their discussion of the International Monetary System .约翰逊小姐和布莱克先生继续讨论国际货币制度。
Black ：Is that when the Smithsonian Agreement wassigned ?布莱克：史密森协定就是在那时签订的吧？Johnson：Yes,in December 1971.Under that and subsequent agreements ,the fixed rate exchange system has been changedto a floating exchange rate system in which the value of various currencies fluctuate to restore balance-of-payments equilibrium .约翰逊：对，是在1971年12月签订的。
在史密森协定和随后的一些协定的指导下，固定的外汇汇率制度转变为浮动汇变幻无率制度。
在这个制度中，以各种货币价值的波动来恢复国际收支差额的平衡。
B：So you mean that foreign exchange rates are new freeto change according to the laws of supply and demand?布莱克：那么，您是说，现在外汇汇率是按照供需规律自由是变化？J：Not quite .Actually ,we now have a managed floating exchange rate system,or what many people call a dirty float system .约翰逊：也不完全是这样。
Lecture 5
McGraw-Hill/Irwin
Copyright © 2001 by The
4-12
The Bid-Ask Spread
• Banks provide foreign exchange services for a fee: the bank’s bid (buy) quote for a foreign currency will be less than its ask (sell) quote. This is the bid/ask spread. • bid/ask % spread = ask rate – bid rate ask rate • Example:Suppose bid price for £ = $1.52, ask price = $1.60. bid/ask % spread = (1.60–1.52)/1.60 = 5%
McGraw-Hill/Irwin
Copyright © 2001 by The
4-17
• A cross exchange rate reflects the amount of one foreign currency per unit of another foreign currency. • Value of 1 unit of currency A in units of currency B = value of currency A in $ value of currency B in $
Copyright © 2001 by The
4-3
The Function and Structure of the FOREX Market
• How is Foreign Exchange Market like? • Who are the FOREX Market Participants?
第1章 外汇与外汇汇率PPT课件
外汇
外汇的渊源： 为清偿国际贸易中引起的债权债务关系。
日本
汽车出口商
3. 按照约 定将日元 兑换100 万欧元
1. 对法出口价值100万欧元汽车
2. 面值为100万欧元的汇票、 支票或其他支付工具
法国 汽车进口商
香水进口商
4. 对日出口价值100万欧元香水
5. 面值为100万欧元的汇票、支 票或其他支付工具
《》 第1章 外汇与外汇汇率
第1章 外汇与外汇汇率 Foreign Exchange & Exchange Rate
1 了解外汇、汇率等基本概念
2
掌握汇率的几种分类
3
学会解读外汇行情表
4
理解汇率变动的因素
外汇
外汇的涵义（foreign exchange)
动态外汇：指人们为了清偿国际间的债权债 务关系，将一种货币兑换成另外 一种货币的行为。
香水出口商
外汇汇率
外汇汇率 （外汇汇价）
定义：不同货币之间兑换的比率或比价，即以一 种货币表示的另外一种货币的价格。
特点：可用本币表示外币价格；可用外币表示本 币价格。
外汇汇率
汇率标价方法：
1.直接标价法 （ Direct Quotation） 定义：以一定单位的外国货币作为标准，折成若干数量的本国货币
静态外汇：泛指可以清偿对外债务的一切以 外国货币表示的资产或是债券。
主要货币-美元
主要外币-英镑
5
主要货币-日元
6
主要货币-欧元
7
外汇
外汇的特点： （1）以外币表示的资产，具有可偿性。 （2）能自由兑换成其他形式。 （3）普遍可接受性。
外汇的形式： （1）纸币、硬辅币。 （2）外币有价证劵、外汇支付凭证、外
chapter01外汇与外汇汇率
重要概念： 重要概念： 远期汇率与即期汇率的差额叫作远期汇水 远期汇率与即期汇率的差额叫作远期汇水 Margin），有升水、 ），有升水 （Forward Margin），有升水、贴水和平价三 种情况。 种情况。 若远期汇率大于即期汇率，其差额为“升水” 若远期汇率大于即期汇率，其差额为“升水”； 远期汇率小于即期汇率，其差额为“贴水” 远期汇率小于即期汇率，其差额为“贴水”； 两者汇率相等，则为“平价” 两者汇率相等，则为“平价”。
2011年9月7日7时2分
延边大学国际金融课程
17
100000美元的标准手合约为例： 100000美元的标准手合约为例： 美元的标准手合约为例
USD/JPY汇率为119.80， USD/JPY汇率为119.80，则该货币 汇率为119.80 对一标准手的点值为： 对一标准手的点值为： （0.01/119.80）x$100000=$8.34 0.01/119.80）
2011年9月7日7时2分
延边大学国际金融课程
11
在直接标价法中， 在直接标价法中，较低的价格为买入 较高的价格为卖出价。 价，较高的价格为卖出价。 在间接标价法中， 在间接标价法中，较低的价格为卖出 较高的价格为买入价。 价，较高的价格为买入价。
2011年9月7日7时2分
延边大学国际金融课程
12
2011年9月7日7时2分
延边大学国际金融课程
22
0.0001/1.4550x$100000x20点 =$6.87x20点 =$137.40
2011年9月7日7时2分
延边大学国际金融课程
23
2.按照外汇成交后交割时间划分 2.按照外汇成交后交割时间划分
Lecture_5
More Key Words
• Exchange • Transaction • Relationships and networks • Marketing channels • Supply chain • Threshold • Parity • Marketing environment • Marketing program • Medium • trial • Sales • Sales force • Sales reps
Interpretation
• Statistical packages/ computer programmes • Close cooperation among technical specialists, the researchers and the management is often required, avoiding misunderstanding • Help from local researchers of foreign segment market can avoid making mistakes
Implementing the Research Plan • Getting the specific information • Including existing and potential problems in the market, the data planned to get and they way of collecting them • The estimated costs Classifying and analyzing data • Make the data analytical and rational with the purpose to interpret marketing problems
国际交流英语视听说B2U5
many plants can grow in such a cold climate, so people
there can’t raise crops such as rice or wheat. Therefore,
the Inuit people have a special relationship with animals.
To be continued >>>
Analytical Listening
Listening 1
Student 2: I’m wondering what’s ahead for the Inuit people—you know, what will their future be like? I mean, they can’t control the laws in Europe, right?
and beautiful scenery. Dakarai: Yes, and there are jobs there—mostly in tourism and
fishing. Jasmine: Sure—there must be a lot of fish in Lake Kariba. Dakarai: That’s right, Jasmine—a lot of fish, and it’s a great place
Analytical Listening
Listening1
Professor:Allright,todaywe’regoingtocontinueourdiscussiononet hics.We’lldiscussthequestion,“ShouldtheInuitpeopleof NorthAmericabeallowedtohuntseals?”It’sanimportant question,andinrecentyears,theEuropeanUnionmadeitil legaltotradesealproducts.SoinEurope,youcan’tbuyorse llsealskins,orsealoil,oranythingmadefromseals.Now,yo uprobablydon’twearsealskinclothingorusealotofsealoil,right?Andthelawispopu larwithmostpeopleinEurope.Why?Becausetheyseepict uresofcutebabyseals,andthentheyseepicturesofthesealh unt.Peoplekillthesealswithagun,orinthemoreoldfashionedway,byhittingthemonthehead.
lecture 5
返回章重点 退出
理清主次-找到主干
有个年轻人，名叫颜回，家里很穷， 有个年轻人，名叫颜回，家里很穷，缺吃少 住的房子又小又破。 穿，住的房子又小又破。 There was a young man named Yanhui, who was so poor that his family lived in a small, dilapidated house with insufficient food and clothing.
返回章重点 退出
汉语重前饰（heavy-headed）
汉语句子的语序一般以思维程 序展开,而中国人的思维方式多 是先考虑事物的环境和外围因 素,再考虑具体事物和中心事件. 反映到句式上,就是状语总放在 谓语或句子主体的前边,定语无 论长短,都要置于中心词之前.这 样就使得单句的状语部分长,主 谓部分短;主语部分长,谓语部分 短;修饰成分长,中心词短.整体上 形成头大尾小的狮子头形状.
汉语重前饰，英语重后饰
他去年为完成一个项目在实验室用计算机努力地干了十个月. Last year in order to complete a project, in the lab with computers he worked hard for ten months. ? He worked hard with computers in the lab for ten months in order to complete a project last year. 那个饥饿的,疲倦的,瞌睡的卖火柴的小女孩 that hungry, tired and sleepy little march girl ? that little match girl who was so hungry, tired and sleepy.
托福综合口语TASK5考点及评分标准介绍
托福综合口语TASK5考点及评分标准介绍托福口语分为独立口语和综合口语，前者自由度较高有很大发挥空间，今日我给大家带来托福综合口语TASK5考点及评分标准介绍，盼望可以关心到大家，下面我就和大家共享，来观赏一下吧。
托福综合口语TASK5考点及评分标准介绍托福综合口语TASK5考点分析从某种程度上来说，Task 5是综合型题目里比较好拿分数的一个部分。
新托福口语考试第五题属于校内场景，要求考生就高校生遇到的问题提出解决方法。
在这个部分中，考生将听到一段发生于两名同学，或者同学与教授，或同学与在校职工之间的对话，时长约为60-90秒，没有阅读内容。
在对话中，通常涉及其中一位同学遇到的问题，两人会就此问题进行争论，进而得出两个解决方法，但是有问题的那一方没有方法确定哪一种解决方案比较有效。
和第三题一样，对话双方为一男一女。
考生要精确把握男女双方毕竟谁遇到了麻烦。
有时，遇到麻烦的同学会倾听另一名同学提出的两种解决方法。
也有些时候，遇到问题的同学会自己想出两种解决方法，另一人给出反馈。
但是不管是哪种情形，考生都将听到两种解决问题的方法及其各自的利弊。
对话结束后，考生将听到一个问题，该问题同时也会消失在电脑屏幕上。
题目通常会要求考生简要总结问题并快速列举出两种解决方法。
而不同于综合型题目中的其他三个完全复述的题目，第五题口语题是唯一一道需要考生供应自己观点的部分，因此，题目要求中还需要考生选择自己认为比较好的一种解决方法并就自己的选择给出缘由。
由于从第五题开头考题中没有了阅读部分，考生的预备时间从前面的30秒削减到20秒，答题时间照旧为60秒。
而第五题的提问形式也是大同小异的，常见问法如下：1. The students discuss two possible solutions to the woman’s problem. Describe the problem. Then state which of the two solutions you prefer and explain why.2. Briefly summarize the problem the speakers are discussing. Then say which solution you would recommend. Explain the reasons for your recommendation不难看出，全部问题模式的目的都是全都的：要求考生总结听力里的问题及解决方案，但是都需要考生做出自己的选择并给出做此选择的缘由。
国际金融第6章the foreign exchange market课件
2021/6/29
• 在签订合同时，3个月远期汇率$ 1=¥120 • 进口成本可固定为500万/120=41666美圆 • 结论：利用远期外汇交易套期保值可以：
①固定成本或收益②避免汇率波动带来的 风险
2021/6/29
投机Speculation
• 预测某外汇汇率上升，先买入该种货币远
圆=142日圆，则可赚取1000万日圆。
• 情况二：到交割日即期美圆汇率下浮至1美
圆=122日圆，则损失1000万日圆。
2021/6/29
3.3 套汇交易 (arbitrage)
（一）地点套汇space arbitrage(P330) 直接套汇（两地套汇） 间接套汇（三角套汇）
2021/6/29
1、直接套汇举例：设伦敦和纽约 同时出现如下行情：
日圆计价支付，3个月后结算。签订合同时即期汇 率为$ 1=¥125
• (情况一)3个月后汇率不变仍为$ 1=¥125，进口商
需支付4万美圆（500／125）
• (情况一)3个月后美圆贬值， 为$ 1=¥110，进口
商需支付4.5454万美圆（500／110）
• (情况一)3个月后美圆贬值， 为$ 1=¥130，进口
2021/6/29
外汇市场 套汇 零售汇率
银行间批
银行间交易 增值 贬值 套期保值
Key terms
• Speculation
投机
• Space arbitrage
地点套汇
• Time arbitrage
时间套汇
• Interest arbitrage
利息套汇
• Spot against forward
国际交流英语视听说B4U5
Public Debt Per Person
Exploring the Theme
Money in Our Lives
Discuss the questions.
1. Twenty years from now, how do you imagine you will pay for most things?
国际交流英语视听说 Book 4
5 Unit
Money in Our Lives
国际交流英语视听说
Content
Think and Discuss Exploring the Theme Analytical Listening Sharing Your Ideas Viewing the World Engaging Further Listening
Questions
1. What is happening in this photo? Read the caption. Does this activity surprise you?
2. The desire for money is the root of all evil. Does this seem true to you? Why or why not?
commit crimes for money. • The saying doesn’t seem true to me because there is nothing
wrong with wanting money as long as we don’t hurt anyone in order to get the money. There are also many people who commit crimes for other things, for example, love.
商务英语-Foreign Exchange
WTO: (the
highest authority of WTO is Ministerial
Conference) — promote world trade by reducing tariff and eliminating quotas
World Bank: 1945 ( International Bank of Reconstruction and Development ) — World Bank Group — to grant
Spot Exchange: ( delivery within 2 days )
Telegraphic Transfer ( T/T ) －by telegram for T/T Application with Test Key Mail Transfer ( M/T ) －by air mail for M/T Application with Signature of applicant Demand Draft ( D/D ) －by applicant himself for Bank Draft －It can be transferred with endorsement (背书 )
created in 1969 with the equivalent par value as US dollar. In 1974, its par value was changed to a packing currency of 16 currencies. And from 1981, its par value has been facilitated to a packing currency of 5 currencies: USD、DM、FF、J￥、B￡.
PartFiveInternationalExchangeandMethodsofRemittance培训课件.ppt
Parties in remittance
1 Remitter（汇款人） who requests his bank to remit funds to a beneficiary in a foreign country, always is importer or debtor
2 Payee or Beneficiary（收款人） who is addressed to receive the remittance, always is the exporter or creditor
3 Remitting Bank（汇出行） who is entrusted to remit the funds outward
4 Paying Bank（汇入行也称解付行） who is entrusted by the remitting bank to make payment to the payee
Characteristics of D/D
4 The paying bank do not have to advise the payee, conversely the payee present for payment.
5 Control Documents: counterfoil（票根）
Part Five
International Exchange and Methods of Remittance
Chapter One Outline of International Exchange
• Specified method and condition • Transfer funds from one part to another • Avoid trouble of delivering cashes, accelerate
国际学术交流英语 Unit 5
Unit 5 presentation of SpeechesTask 1Ceremony ['serɪmənɪ] n. 典礼，仪式；礼节Participant [pɑː'tɪsɪp(ə)nt] n. 参与者；关系者Uniqueness [jʊ'niknɪs] n. 独特性；独一无二Learning aidsSponsor ['spɑnsɚ] n. 赞助者；主办者Indicate ['ɪndɪket] vt. 表明；指出；预示Stimulate ['stɪmjə'let] v. 刺激；鼓舞，激励Announce [ə'naʊns] v. 宣布；述说；预示Accomplish [ə'kɑmplɪʃ] vt. 完成；实现；达到Goodwill n. [贸易] 商誉；友好；好意Remark n. 注意；言辞v. 评论；觉察Convene [kən'vi:n]vt. 召集;聚集;传唤Delegate ['dɛlɪɡət] vt. 委派…为代表n. 代表Municipal [mju'nɪsɪpl] adj. 市政的，市的；地方自治的Hearty adj. 衷心的；丰盛的；健壮的；精神饱满的Congress ['kɒŋgres]n. 国会；代表大会；会议Atomic [ə'tɒmɪk] adj. 原子的，原子能的Cordial ['kɔːdɪəl] adj. 热忱的，诚恳的Symposium [sɪm'pəʊzɪəm] n. 讨论会，座谈会；专题论文集Systemic [sɪ'stɛmɪk] adj. 系统的；全身的；体系的Desirable [dɪ'zaɪərəbl] adj. 令人满意的；值得要的Mushrooming adj. 迅速增长的Divergent [daɪ'vɝdʒənt] adj. 相异的，分歧的；散开的Ample adj. 丰富的；足够的；宽敞的Highlight ['haɪlaɪt] vt. 突出；强调；使显著n. 最精彩的部分；加亮区Non-sinusoidal [ˌsɪnə'sɔɪdl] adj. 非正弦的Tackle n. 滑车；装备；用具；扭倒v. 处理；抓住；Pharmaceutics [ˌfɑ:mə'sju:tɪks]n. 制药学；配药学Rehabilitation [ˌriːəˌbɪlɪ'teʃn] n. 复原Forum n. 论坛，讨论会；法庭Disseminate [dɪ'sɛmɪnet] v. 宣传，传播；散布Hemisphere [ˌhemɪsfɪə(r)]n. 半球Initiative [ɪ'nɪʃətɪv] n. 主动权；首创精神adj. 主动的；自发的Derive [dɪ'raɪv] v. 源于；得自Innovate ['ɪnəvet] v. 创新；改革；革新Ever-lasting adj. 持久的Memorable ['mɛmərəbl] adj. 显著的，难忘的Dedication [dedɪ'keɪʃ(ə)n] n. 奉献；献身Task 2Conduct [kən'dʌkt] vi. 导电；带领vt. 管理；引导；表现n. 进行；行为；实施Gratitude ['ɡrætɪtud] n. 感谢的心情Competent ['kɒmpɪt(ə)nt] adj. 胜任的；有能力的；能干的Doubtless ['daʊtləs] adv. adj.无疑地；确定地；大概，多半Immense [ɪ'mɛns] adj. 巨大的，广大的Tremendous [trə'mɛndəs] adj. 极大的，巨大的；惊人的Thermodynamics [ˌθɝmodaɪ'næmɪks] n. 热力学Concrete ['kɑŋkrit]adj. 混凝土的；实在的Biochemistry [ˌbaɪəʊ'kemɪstrɪ] n. 生物化学Paramount ['pærəmaʊnt] adj. 最重要的，主要的Tangible ['tændʒəbl] adj. 有形的；切实的Privilege ['prɪvlɪdʒ] n. 特权；优待Biomaterial [ˌ baɪomə'tɪriəl] n. 生物材料Forthcoming [ˌ fɔrθ'kʌmɪŋ]adj. 即将来临的n. 来临Task 3Toasts n. 干杯；烤面包vt. 烤；敬酒Sentiment ['sɛntɪmənt] n. 感情，情绪；情操Propose [prə'pəʊz] v. 建议；打算，计划；求婚Learning aidsRigid ['rɪdʒɪd] adj. 严格的；僵硬的，Toothpick ['tuθpɪk] n. 牙签Intrude [ɪn'trʊd] vt. 把…强加；把…硬挤vi. 闯入；侵入；侵扰Stain vt. 沾污；败坏；给…着色vi. 污染；被沾污；被染污Gaudy ['gɔdi] adj. 华而不实的；俗丽的n. 盛大宴会Delegation [ˌ dɛlɪ'ɡeʃən] n. 代表团；授权；Earnest ['ɜːnɪst] adj.n. 认真的，热心的Gracious ['greɪʃəs] adj. 亲切的；高尚的Banquet ['bæŋkwɪt] n. 宴会，盛宴Incomparable [ɪn'kɑmprəbl] adj. 无比的；无可匹敌的Tribute ['trɪbjuːt] n. 礼物；贡物；颂词Magnificent [mæg'nɪfəsnt] adj. 高尚的；壮丽的；华丽的Superlative [su'pɝlətɪv] adj. 最高的；最高级的Hallmark n. 特点；品质证明vt. 给…盖上品质证明印记；Reciprocate [rɪ'sɪprəket] v. 报答；互换；互给Fishery ['fɪʃəri] n. 渔业；渔场；水产业Prospect ['prɒspekt] n. 前途；预期；景色v. 勘探，找矿。
《外汇交易》课程教学大纲
《外汇交易》课程教学大纲一、课程基本信息课程代码：16050502课程名称：外汇交易英文名称：Foreign Exchange Trading课程类别：专业选修课学时：32学分：2适用对象：金融专业、经济学专业、工商管理专业考核方式：考试先修课程：金融学、国际金融二、课程简介外汇交易是金融学专业一门主要的专业必修课，是国际金融领域的一个分支。
它所涉及的知识极为广泛，涵盖各种外汇交易理论及相关的外汇管理知识。
外汇交易主要研究外汇市场中货币间兑换行为及其内在机理，它所涉及的知识包括外汇市场结构、传统外汇金融产品、外汇金融衍生产品、技术面分析、基本面分析及外汇风险管理等内容。
Foreign exchange trading is one of the principal major courses for those who are specializing in finance. Its main contents are to learn various theories and practices on foreign exchange and the relevant knowledge about foreign exchange management. It aims to make students systematically master the types, principles and practices of different foreign exchange dealing, meanwhile, have a good command of the theories and practices of foreign exchange management and apply the above theories and practice to manage the risks resulting from foreign exchange. Students are not only required to master traditional foreign exchange products, e.g. spot, outright forward, but foreign exchange derivatives, e.g. future, option and swap etc aswell.三、课程性质与教学目的外汇交易是理论性和实践性较强的一门学科。
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AUD / USD
BID Base (Unit) Term ASK
1.0417 - 1.0421
Dealer: Buys 1 Unit of base currency / Sells 1 unit of base currency Sells term currency / Buys term currency Customer: Sells 1 Unit of base currency Buys term currency / Buys 1 unit of base currency / Sells term currency
Lecture Outline
Part A – The FX Market 5.1 An overview of the FX market
Spot transactions Forward transactions
5.2 Exchange rate regimes 5.3 FX market participants
Source: BIS
5.1 An overview of the FX market
Spot market quotations
The price of a currency is expressed in terms of another currency – you are exchanging one currency for another The first currency mentioned is the price being sought (also called the base currency or the unit of quotation) The second currency is the term currency
5.1 An overview of the FX market
5.1 An overview of the FX market
FX market instruments are typically:
Spot transactions – maturity date 2 business days after the FX contract is entered into (USD/CAD is 1 business day) Forward transactions – maturity date more than 2 days after FX contract is entered into Dealers may also provide short-dated transactions if necessary ‘Tod’ – same-day settlement or ‘Tom’ – settlement tomorrow
5.1 An overview of the FX market
Forward points and forward exchange rates
The forward exchange rate is the FX bid/offer rates applicable at a specified date beyond spot value date The forward exchange rate varies from the spot rate owing to interest rate parity
5.1 An overview of the FX market
Spot market quotations
Bid-Ask Spread – The difference between the buy (bid) and sell (ask) price is the spread. This is often represented in percentage terms
1.6270 x 1.3292 = 2.1626
1.6275 x 1.3297 = 2.1641 GBP/NZD 2.1626-41
Example - Crossing two indirect FX quotation:
AUD/USD 0.9262-69 GBP/USD 1.6270-75 To determine the AUD/GBP cross-rate: 0.9262/1.6275 = 0.5691 0.9269/1.6270 = 0.5697 AUD/GBP 0.5691-97
Foreign Exchange
(Finance) Instruments & Markets – Lecture5
Learning objectives
Understand the nature of global FX markets Discuss participants in the FX markets Explain conventions for quotation and calculation of exchange rates and forward exchange rates, and complicating factors Explain how supply and demand issues determine an equilibrium exchange rate Consider mechanisms and relationships of factors influencing the exchange rate, including: Relative rates of inflation, national income growth, interest and exchange rate expectations and central bank or government intervention
Spot market quotations
Example - Crossing a direct and indirect FX quotation:
GBP/USD 1.6270-75 USD/NZD 1.3292-97 To determine the GBP/NZD cross-rate:
Transposing quotations – Sometimes a client will request a quotation with the base and term currencies ‘flipped’. Example: Given a quotation of EUR/AUD 1.3755-1.3765, the AUD/EUR quotation can be determined by transposing the quotation Reverse and invert Reverse the bid and offer prices: 1.3765 - 1.3755 Then take the inverse (divide both numbers into 1): 1/1.3765 – 1/1.3755 AUD/EUR 0.7265 – 0.7270
Interest rate parity is the principle that exchange rates will adjust to reflect interest rate differentials between countries
Forward exchange rates are quoted as forward points, either above or below the spot rate
Forward points represent the forward exchange rate variation to a spot rate base If the forward points are rising, add them to the spot rate (i.e. the base currency is at a forward premium; interest rate of the base currency is lower) If the forward points are falling, subtract them from the spot rate (i.e. the base currency is at a forward discount; interest rate of the base currency is higher)
USD/EUR 0.7250-55
USD/JPY 81.40-50 The EUR/JPY cross-rate is: 81.40/0.7255 = 112.20 81.50/0.7250 = 112.41 EUR/JPY = 112.20-41
5.1 An overview of the FX market
5.1 An overview of the FX market
Spot market quotations
All currencies are quoted against the USD, there are two ways this happens: Direct quote – the USD is the base currency Indirect quote – the USD is the term currency, the other currency is the base currency When FX transactions occur between two currencies, when neither currency is the USD, the cross-rate needs to be calculated Method of cross-rate calculation depends on whether the quote is direct or indirect Example - Crossing two direct FX quotations: