MarketforForeignExchange(国际财务管理,英文版).pptx
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MarketforForeignExchange(国际财务管理,英文版).pptx
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,INTERNATIONALFINANCIALMANAGEMENT,EUN/RESNICK,SecondEdition,4,ChapterFour,TheMarketforForeignExchange,ChapterObjectives:
Thischapterservestointroducethestudenttotheinstitutionalframeworkwithinwhichexchangeratesaredetermined.Thischapterlaysthefoundationformuchofthediscussionthroughouttheremainderofthetext,thusitdeservesyourcarefulattention.,ChapterOutline,FunctionandStructureoftheFOREXMarketTheSpotMarketTheForwardMarket,1,ChapterOutline,FunctionandStructureoftheFOREXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarket,2,ChapterOutline,FunctionandStructureoftheFOREXMarketTheSpotMarketSpotRateQuotationsTheBid-AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarket,3,ChapterOutline,FunctionandStructureoftheFOREXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross-ExchangeRatesSwapTransactionsForwardPremium,4,TheFunctionandStructureoftheFOREXMarket,FOREXMarketParticipantsCorrespondentBankingRelationships,5,FOREXMarketParticipants,TheFOREXmarketisatwo-tieredmarket:
InterbankMarket(Wholesale)About700banksworldwidestandreadytomakeamarketinForeignexchange.Nonbankdealersaccountforabout20%ofthemarket.ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventoryandFXspecialists.ClientMarket(Retail)Marketparticipantsincludeinternationalbanks,theircustomers,nonbankdealers,FOREXbrokers,andcentralbanks.,6,CorrespondentBankingRelationships,Largecommercialbanksmaintaindemanddepositaccountswithoneanotherwhichfacilitatestheefficientfunctioningoftheforexmarket.Internationalcommercialbankscommunicatewithoneanotherwith:
SWIFT:
TheSocietyforWorldwideInterbankFinancialTelecommunications.CHIPS:
ClearingHouseInterbankPaymentsSystemECHOExchangeClearingHouseLimited,thefirstglobalclearinghouseforsettlinginterbankFOREXtransactions.,7,TheSpotMarket,SpotRateQuotationsTheBid-AskSpreadSpotFXtradingCrossRates,8,SpotRateQuotations,DirectquotationtheU.S.dollarequivalente.g.“aJapaneseYenisworthaboutapenny”IndirectQuotationthepriceofaU.S.dollarintheforeigncurrencye.g.“youget100yentothedollar”.,9,SpotRateQuotations,ThedirectquoteforBritishpoundis:
1=$1.688,10,SpotRateQuotations,TheindirectquoteforBritishpoundis:
.5924=$1,11,SpotRateQuotations,Notethatthedirectquoteisthereciprocaloftheindirectquote:
12,TheBid-AskSpread,Thebidpriceisthepriceadealeriswillingtopayyouforsomething.Theaskpriceistheamountthedealerwantsyoutopayforthething.Thebid-askspreadisthedifferencebetweenthebidandaskprices.,13,SpotFXtrading,Intheinterbankmarket,thestandardsizetradeisaboutU.S.$10million.Abanktradingroomisanoisy,activeplace.Thestakesarehigh.The“longterm”isabout10minutes.,14,CrossRates,SupposethatS($/DM)=.50i.e.$1=2DMandthatS(/DM)=50i.e.DM1=50Whatmustthe$/crossratebe?
15,TriangularArbitrage,$,CreditLyonnaisS(/$)=1.50,CreditAgricoleS(/)=85,BarclaysS(/$)=120,Supposeweobservethesebankspostingtheseexchangerates.,Firstcalculatetheimpliedcrossratestoseeifanarbitrageexists.,16,TriangularArbitrage,$,CreditLyonnaisS(/$)=1.50,CreditAgricoleS(/)=85,BarclaysS(/$)=120,TheimpliedS(/)crossrateisS(/)=80,CreditAgricolehaspostedaquoteofS(/)=85sothereisanarbitrageopportunity.,So,howcanwemakemoney?
17,TriangularArbitrage,$,CreditLyonnaisS(/$)=1.50,CreditAgricoleS(/)=85,BarclaysS(/$)=120,Aseasyas123:
1.Sellour$for,2.Sellourfor,3.Sellthosefor$.,18,TriangularArbitrage,Sell$100,000foratS(/$)=1.50receive150,000,Sellour150,000foratS(/)=85receive12,750,000,Sell12,750,000for$atS(/$)=120,receive$106,250,profitperroundtrip=$106,250-$100,000=$6,250,19,SpotForeignExchangeMicrostructure,MarketMicrostructurereferstothemechanicsofhowamarketplaceoperates.Bid-AskspreadsinthespotFXmarket:
increasewithFXexchangeratevolatilityanddecreasewithdealercompetition.Privateinformationisanimportantdeterminantofspotexchangerates.,20,TheForwardMarket,ForwardRateQuotationsLongandShortForwardPositionsForwardCrossExchangeRatesSwapTransactionsForwardPremium,21,TheForwardMarket,Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday.Ifyouhaveeverhadtoorderanout-of-stocktextbook,thenyouhaveenteredintoaforwardcontract.,22,ForwardRateQuotations,TheforwardmarketforFOREXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday.Bankquotesfor1,3,6,9,and12monthmaturitiesarereadilyavailableforforwardcontracts.Longer-termswapsareavailable.,23,ForwardRateQuotations,Considertheexamplefromabove:
forJapaneseyen,thespotrateis115.75=$1.00Whilethe180-dayforwardrateis112.80=$1.00Whatsupwiththat?
24,SpotRateQuotations,ClearlythemarketparticipantsexpectthattheyenwillbeworthMOREindollarsinsixmonths.,25,LongandShortForwardPositions,Ifyouhaveagreedtosellanything(spotorforward),youare“short”.Ifyouhaveagreedtobuyanything(forwardorspot),youare“long”.Ifyouhaveagreedtosellforexforward,youareshort.Ifyouhaveagreedtobuyforexforward,youarelong.,26,PayoffProfiles,0,S180($/),F180($/)=.009524,Shortposition,loss,profit,Ifyouagreetosellanythinginthefutureatasetpriceandthespotpricelaterfallsthenyougain.,Ifyouagreetosellanythinginthefutureatasetpriceandthespotpricelaterrisesthenyoulose.,27,PayoffProfiles,loss,0,S180(/$),F180(/$)=105,-F180(/$),profit,Whetherthepayoffprofileslopesupordowndependsuponwhetheryouusethedirectorindirectquote:
F180(/$)=105orF180($/)=.009524.,shortposition,28,PayoffProfiles,loss,0,S180(/$),F180(/$)=105,-F180(/$),Whentheshortenteredintothisforwardcontract,heagreedtosellin180daysatF180(/$)=105,profit,shortposition,29,PayoffProfiles,loss,0,S180(/$),F180(/$)=105,-F180(/$),120,If,in180days,S180(/$)=120,theshortwillmakeaprofitbybuyingatS180(/$)=120anddeliveringatF180(/$)=105.,15,profit,shortposition,30,PayoffProfiles,loss,0,S180(/$),F180(/$)=105,Longposition,-F180(/$),F180(/$),shortposition,profit,Sincethisisazero-sumgame,thelongpositionpayoffistheoppositeoftheshort.,31,PayoffProfiles,loss,0,S180(/$),F180(/$)=105,Longposition,-F180(/$),profit,ThelonginthisforwardcontractagreedtoBUYin180daysatF180(/$)=105,If,in180days,S180(/$)=120,thelongwilllosebyhavingtobuyatS180(/$)=120anddeliveringatF180(/$)=105.,120,15,32,ForwardCrossExchangeRates,Itsjustan“delayed”exampleofthespotcrossratediscussedabove.Ingenericterms,33,SWAPS,Aswapisanagreementtoprovideacounterpartywithsomethinghewantsinexchangeforsomethingthatyouwant.Swaptransactionsaccountforapproximately51percentofinterbankFXtrading,whereasoutrighttradesarelessthan9percent.,34,ComparativeAdvantageastheBasisforSwaps,ConsidertwofirmsAandB:
firmAisaU.S.basedmultinationalandfirmBisaU.K.basedmultinational.Bothfirmswishtofinanceaprojectineachotherscountryofthesamesize.Theirborrowingopportunitiesaregiveninthetablebelow.,35,Aisthemorecredit-worthyofthetwofirms.Apays2%lesstoborrowindollarsthanBandApays.4%lesstoborrowinpoundsthanB:
ComparativeAdvantageastheBasisforSwaps,AhasacomparativeadvantageinborrowingindollarsBhasacomparativeadvantageinborrowinginpounds.,36,OneFeasibleSwap:
CompanyA,SwapBank,$8%,12%,$8%,11%,12%,$9.4%,CompanyB,37,$8%,12%,$8%,11%,12%,$9.4%,Asnetpositionistoborrowat11%,OneFeasibleSwap:
CompanyA,SwapBank,CompanyB,38,$8%,12%,$8%,11%,12%,$9.4%,Bsnetpositionistoborrowat$9.4%,OneFeasibleSwap:
CompanyA,SwapBank,CompanyB,39,$8%,12%,$8%,11%,12%,$9.4%,OneFeasibleSwap:
CompanyA,SwapBank,CompanyB,Asaves.6%,40,$8%,12%,$8%,11%,12%,$9.4%,Bsaves$.6%,OneFeasibleSwap:
CompanyA,SwapBank,CompanyB,Asaves.6%,41,$8%,12%,$8%,11%,12%,$9.4%,Bsaves$.6%,OneFeasibleSwap:
CompanyA,SwapBank,CompanyB,Asaves.6%,Theswapbankmakesmoneytoo.,42,SWAPS,Aswapcanbeviewedasaportfolioofspotandforwardpositions.Intheaboveexample,firmAwouldborrowindollarsandthenswapforpoundswiththebankandsimultaneouslyenterintoaseriesofforwardcontractswiththebanktoexchangedollarsforpounds.,43,ForwardPremium,Itsjusttheinterestratedifferentialimpliedbyforwardpremiumordiscount.Forexample,exhibit4.4showstheDMappreciatingfromS($/DM)=.5235toF180($/DM)=.5307Theforwardpremiumisgivenby:
44,EndChapterFour,45,
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