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CHAPTER 3

CHAPTER 3. THE FOREIGN EXCHANGE MARKET. [teaching targets and demands]

odette-sheppard
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CHAPTER 3

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  1. CHAPTER 3 THE FOREIGN EXCHANGE MARKET

  2. [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.

  3. [Teaching key and difficult points] • The demand and supply for foreign exchange, and the methods to arbitrage within the spot exchange market.

  4. [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

  5. Foreign Exchange and Exchange Rates

  6. 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

  7. 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。

  8. 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。

  9. 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

  10. Conceptions 1foreign 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.

  11. 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。

  12. 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。

  13. 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

  14. 2. The Retail Markets 零售市场 ———————— retail ：selling of the currencies in small quantities to the customers .

  15. The interbank Markets 银行间外汇市场 ———————— wholesale ：selling of the currencies esp. in large quantities.

  16. 2.1.3 Using the foreign exchange market 2.1.4 Interbank part of the market

  17. The Step of Foreign Exchange Deals and Quote Techniques 外汇交易的程序与报价技巧

  18. 1. The Step of the Foreign Exchange Deals 交易程序

  19. 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？”

  20. 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”

  21. 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

  22. Step 4 ：Confirmation 证实

  23. 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。

  24. 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)

  25. Step 5 ： Deliver 交割 *

  26. 2. Usual Practice of Quota 报价惯例

  27. （1）Two-way Price Quotation 采用双报价方式 买入价 卖出价 ↑ ↑ ￡1= $ 1.5915-----1.5925

  28. （ 2）Only Quota Small Figure 采用省略方式 small figure ↑ ↑ ￡1= $ 1.5915/1.5925 15/25

  29. （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）”

  30. （4）Scrupulously Abide By Promise 恪守信用 *

  31. 2.2 Demand and supply for foereign exchange 2.2.1Influential factors of foreign exchange • Supply • Demand

  32. 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

  33. (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。

  34. Figure 3.2

  35. Figure 3.3

  36. 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.

  37. 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.

  38. 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）

  39. 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）

  40. depreciation and devaluation appreciation and revaluation 含义一样吗？

  41. 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

  42. 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。

  43. 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。

  44. ☆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。

  45. ☆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）。

  46. 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.

  47. 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 .

  48. 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

  49. 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 .

  50. 2 triangular arbitrage: the process of making a risk-less profit by arbitraging through three exchange rates.

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