国际财务管理之外汇市场

$ deposit at A $1000m $1200m
£deposit at A £200m £100m
Other Assets $800m
A’s Deposit £300m £400m
A’s Deposit $800m $600m
Other L&E $800m
Total Assets £1,300m Total L&E £1,300m Total Assets $2,200m Total L&E $2,200m
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
Check: £€12,70020m = €£14,0302m0mx x €££€111..10.010+00£€170700++£€480100
4-11
Correspondent Banking Relationships
• International commercial banks communicate with one another using:国际商业银行的联系
• 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
– SWIFT: The Society for Worldwide Interbank
Financial Telecommunications.环球银行金融电信 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
4-10
Bank X buys £10P0mractice Problem
from Y for €110m
€1.10 = £1.00
Bank X
€110m
Bank Y
Milano
£100m
London
Bank X
Assets
Liabilities
Bank Y
AAsssseettss
LLiaiabbiliiltitieiess
£deposit at Y £300m Y’s deposit €1,210m
£400m
€1,320m
€ deposit at Y €880m Y’s deposit £200m
€770m
£100m
Other Assets £600m Other L&E £400m
€ deposit at X€1,210m X’s deposit £300m
1-mTohs eforiwnadrdirect qu.9o9t8e6 for t1h.0e014
3-mpoostufnordwairsd: £.507.9298=8 $1 1.0012
6-mos forward
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$200m。
一个美国人 在London
4-12
Spot Rate Quotations 即期汇率报价
• A direct quotation is: 直接法
– The U.S. dollar equivalent. 本位币为计价货币（即： 单位外币的本币价值）
– E.g., “a Japanese Yen is worth about a penny.”
• There are FX brokers who match buy and sell orders but do not carry inventory and FX specialists.
经纪商只匹配交易，无有存货与专业人员。
– Client market (retail) 客户端市场（零售）
--------Friday-------
The direct quote for the
Country/currency in US$ per US$
Capnaoduiannddoilsla:r £1 = .$9918.497171.0016
CCoouunntrtryy/c/cuurrerennccyy EEuuroroaarereaaeeuuroro
汇市场的微观结构
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
.
4-6
Correspondent Banking Relationships 银行同业关系
• 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。
Electronic Conversations per Hour
average
peak
45000 40000 35000 30000 25000 20000 15000 10000 5000
0
1:00 3:00 5:00 7:00 9:00 11:00 1:00 15:00 5:00 19:00 9:00 11:00
Bank A
$200
Bank B
一个英国 人在NYC
London
£100
NYC
4-8
Correspondent Banking Relationships
Bank A buys £100m from Bank B for $200m
Bank A
$200
Bank B
London
£100
NYC
Assets
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
10 amin Lunch Europe
Asia Lunch Americas
London
New 6 pmin
Tokyo hour in coming in
going out hour in coming in
going out
Zealand NY
Tokyo
London
coming in
Source: Sam Y. Cross, All About the Foreign Exchange Market in the United States, Federal Reserve Bank of New York,
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.)
ห้องสมุดไป่ตู้
Liabilities Assets
Liabilities
£deposit at B £300m B’s Deposit $1,000m
£400m
$1,200m
$ deposit at B $800m B’s Deposit £200m
$600m
£100m
Other Assets £600m Other L&E £600m
• 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%
• Exchange-Traded Currency Funds外汇交 易货币基金
4-4
FX Market Participants
远期市场参与者