国际财务管理之外汇市场

Practice Problem 实际问题
Bank X is in Milan米兰. Bank Y is in London伦敦. The current exchange rate is €1.10 = £1.00. Show the correct balances in each account if a currency trader employed at Bank X buys £100,000,000 from a currency trader at Bank Y for €110,000,000. (The balance sheets are shown on the next slide.)
€ deposit at X€1,210m X’s deposit £ 300m €1,320m £ 400m £deposit at X £ 200m X’s deposit €880m €770m £ 100m Other Assets €590m Other L&E €810m Total L&E €2,020m
The Market for Foreign Exchange
Chapter Four
现在，你觉得有没有进行交叉汇率套利的 机会？ 描述一下你的结论是如何形成的。
Chapter Outline
Function and Structure of the FX Market 外汇市 场的功能与结构
Electronic Conversations per Hour
average peak
45000 40000 35000 30000 25000 20000 15000 10000 5000 0 1:00 3:00 5:00 7:00 10 am in Lunch Europe Tokyo hour in coming in Tokyo 9:00 11:00 1:00 15:00 5:00 19:00 9:00 11:00 Asia Lunch Americas London New 6 pm in going out hour in coming in going out Zealand NY London coming in
4-10
Bank X buys £ 100m from Y for €110m Bank X Milano
Practice Problem
€110m £ 100m
€1.10 = £ 1.00 Bank Y
London
Bank Y Assets Assets Liabilities Liabilities
Market participants include international banks, their customers, nonbank dealers, FX brokers, and 4-5 central banks.
Circadian Rhythms of the FX Market 外汇市场的交易节奏
$200 £ 100
Liabilities Assets
Bank B NYC
Liabilities
A’s Deposit £ 300m £ 400m A’s Deposit $800m $600m Other L&E $800m Total L&E $2,200m
4-9
£deposit at B £ 300m B’s Deposit $1,000m £ 400m $1,200m $ deposit at B $800m B’s Deposit £ 200m $600m Other Assets £ 600m Other L&E £ 100m £ 600m
协会
– CHIPS: Clearing House Interbank Payments System. 银行间支付结算系统 – ECHO: Exchange Clearing House Limited, the first global clearinghouse for settling interbank FX transactions. 外汇结算所，首个全球外汇交易结算所
See Exhibit 4.4 in the textbook.
中国银行是如 何外币报价的？
4-13
Spot Rate Quotations
Currencies Currencies
U.S.-dollar foreign-exchange rates inin late New York trading. U.S.-dollar foreign-exchange rates late New York trading.
– FX Market Participants 外汇市场参与者 – Correspondent Banking Relationships 代理银行关系
The Spot Market 即期市场
– – – – – – Spot Rate Quotations 即期市场报价 The Bid-Ask Spread 买卖差价 Spot FX Trading 外汇即期市场交易 Cross Exchange Rate Quotations 交叉汇率报价 Triangular Arbitrage 三角套利 Spot Foreign Exchange Market Microstructure 即期 外汇市场的微观结构
4-11
€ 1.10 £ 1.00 €2,020m 400m x x +€ 770 €810 Check: £ 1,700m = £ €1,320m +£ 100 ++ £ 400 £ 1.00 €1.10
Total Assets €2,020m
Correspondent Banking Relationships
4-6
Source: Sam Y. Cross, All About the Foreign Exchange Market in the United States, Federal Reserve Bank of New York, .
Correspondent Banking Relationships 银行同业关系
.5072 = 1.9717
1
The direct quote for the in US$ per US$ pound is: £ 1 = .9984 $1.97171.0016 Canadian dollar
Country/currency
--------Friday-------
An indirect quotation is: 间接法
– The price of a U.S. dollar in the foreign currency. 外币 为计价货币（即：单位本币的外币价值） – E.g., “you get 100 yen to the dollar.” （100元日元折合 1美元）
4-12
Spot Rate Quotations 即期汇率报价
A direct quotation is: 直接法
– The U.S. dollar equivalent. 本位币为计价货币（即： 单位外币的本币价值） – E.g., “a Japanese Yen is worth about a penny.”
4-3
Chapter Outline Continued
The Forward Market 远期市场
– – – – – Forward Rate Quotations 远期利率报价 Long and Short Forward Positions 多头与空头 Forward Cross-Exchange Rates 三角远期汇率 Swap Transactions 掉期交易 Forward Premium 远期溢价
Bank X Assets Liabilities
£deposit at Y £ 300m Y’s deposit €1,210m £ 400m €1,320m € deposit at Y €880m Y’s deposit £ 200m €770m £ 100m Other Assets £ 400m 600m Other L&E £ Total Assets £ 1,700m Total L&E £ 1,700m
4-7
Correspondent Banking Relationships
Bank A is in London. Bank B is in New York. The current exchange rate is £1.00 = $2.00. A currency trader employed at Bank A buys £100m from a currency trader at Bank B for $200m settled using its correspondent relationship.利用两个银行之间的同业关系， A银行的一个货币交易者，从B银行的货币交易者，购买 £100m，交予对方$200m。
一个美国人 在London 一个英国 人在NYC
Bank A London
$200
Bank B NYC
4-8
£ 100
Correspondent Banking Relationships
Bank A buys £ 100m from Bank B for $200m
Bank A London
Assets
Hale Waihona Puke Exchange-Traded Currency Funds外汇交 易货币基金
4-4
FX Market Participants 远期市场参与者
The FX market is a two-tiered market: 远期市场是 双重市场
– Interbank market (wholesale) 银行同业市场（批发） • About 100-200 banks worldwide stand ready to make a market in foreign exchange. 造市商有100-200家 • Nonbank dealers account for about 40% of the market. 非银行交易商占市场的40% • There are FX brokers who match buy and sell orders but do not carry inventory and FX specialists. 经纪商只匹配交易，无有存货与专业人员。 – Client market (retail) 客户端市场（零售）
International commercial banks communicate with one another using:国际商业银行的联系
– SWIFT: The Society for Worldwide Interbank Financial Telecommunications.环球银行金融电信
Large commercial banks maintain demand deposit accounts with one another, which facilitates the efficient functioning of the FX market. 大型商业银行之间要求对方保 持存款账户，有利于外汇市场的有效运行。
$ deposit at A $1000m $1200m £deposit at A £ 200m £ 100m Other Assets $800m Total Assets $2,200m
Total Assets £ 1,300m Total L&E £ 1,300m
You can check your work: make sure that £ 1,300m = $1,200x(£ 1/$2) +£ 100 + £ 600