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1、TheMarketforForeignExchange ChapterFour Copyright 2012bytheMcGraw HillCompanies Inc Allrightsreserved 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 Copyright 2012bytheMcGraw HillCompanies Inc Allrightsreserved ChapterOutline FunctionandStructureoftheFXMarket外汇市场的功能与结构FXMarketParticipants外汇市场参与者CorrespondentBa
2、nkingRelationships代理银行关系TheSpotMarket即期市场SpotRateQuotations即期市场报价TheBid AskSpread买卖差价SpotFXTrading外汇即期市场交易CrossExchangeRateQuotations交叉汇率报价TriangularArbitrage三角套利SpotForeignExchangeMarketMicrostructure即期外汇市场的微观结构 4 3 3 ChapterOutlineContinued TheForwardMarket远期市场ForwardRateQuotations远期利率报价LongandSho
3、rtForwardPositions多头与空头ForwardCross ExchangeRates三角远期汇率SwapTransactions掉期交易ForwardPremium远期溢价Exchange TradedCurrencyFunds外汇交易货币基金 4 4 4 FXMarketParticipants远期市场参与者 TheFXmarketisatwo tieredmarket 远期市场是双重市场Interbankmarket wholesale 银行同业市场 批发 About100 200banksworldwidestandreadytomakeamarketinforeignex
4、change 造市商有100 200家Nonbankdealersaccountforabout40 ofthemarket 非银行交易商占市场的40 ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventoryandFXspecialists 经纪商只匹配交易 无有存货与专业人员 Clientmarket retail 客户端市场 零售 Marketparticipantsincludeinternationalbanks theircustomers nonbankdealers FXbrokers andcentralba
5、nks 4 5 5 CircadianRhythmsoftheFXMarket外汇市场的交易节奏 4 6 Source SamY Cross AllAbouttheForeignExchangeMarketintheUnitedStates FederalReserveBankofNewYork www newyorkfed org 6 CorrespondentBankingRelationships银行同业关系 Largecommercialbanksmaintaindemanddepositaccountswithoneanother whichfacilitatestheefficie
6、ntfunctioningoftheFXmarket 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 4 7 7 CorrespondentBankingRelationships BankAisinLondon BankBisinNewYork Thecurrentexchangerateis 1 00 2 00 AcurrencytraderemployedatBankAbuys 100mfromacurrencytraderatBankBfor 200msettledusingitscorrespondentrelationship 利用两个银行之间的同业关系 A银行的一
7、个货币交易者 从B银行的货币交易者 购买 100m 交予对方 200m BankALondon BankBNYC 4 8 一个美国人在London 一个英国人在NYC 8 Youcancheckyourwork makesurethat 1 300m 1 200 x 1 2 100 600 BankAbuys 100mfromBankBfor 200m CorrespondentBankingRelationships AssetsLiabilities depositatB 300m OtherAssets 600m B sDeposit 1 000m OtherL E 600m Total
8、Assets 1 300m TotalL E 1 300m AssetsLiabilities depositatA 1000m OtherAssets 800m A sDeposit 300m OtherL E 800m TotalAssets 2 200m TotalL E 2 200m B sDeposit 200m depositatA 200m A sDeposit 800m BankALondon BankBNYC depositatB 800m 4 9 9 PracticeProblem实际问题 BankXisinMilan米兰 BankYisinLondon伦敦 Thecurr
9、entexchangerateis 1 10 1 00 ShowthecorrectbalancesineachaccountifacurrencytraderemployedatBankXbuys 100 000 000fromacurrencytraderatBankYfor 110 000 000 Thebalancesheetsareshownonthenextslide 4 10 10 BankXbuys 100mfromYfor 110m AssetsLiabilities depositatY 300m OtherAssets 600m Y sdeposit 1 210m Oth
10、erL E 400m TotalAssets 1 700m TotalL E 1 700m AssetsLiabilities depositatX 1 210m OtherAssets 590m X sdeposit 300m OtherL E 810m TotalAssets 2 020m TotalL E 2 020m Y sdeposit 200m depositatX 200m X sdeposit 880m BankXMilano BankYLondon depositatY 880m BankX BankY 1 10 1 00 PracticeProblem 4 11 11 Co
11、rrespondentBankingRelationships Internationalcommercialbankscommunicatewithoneanotherusing 国际商业银行的联系SWIFT TheSocietyforWorldwideInterbankFinancialTelecommunications 环球银行金融电信协会CHIPS ClearingHouseInterbankPaymentsSystem 银行间支付结算系统ECHO ExchangeClearingHouseLimited thefirstglobalclearinghouseforsettlingi
12、nterbankFXtransactions 外汇结算所 首个全球外汇交易结算所 4 12 12 SpotRateQuotations即期汇率报价 Adirectquotationis 直接法TheU S dollarequivalent 本位币为计价货币 即 单位外币的本币价值 E g aJapaneseYenisworthaboutapenny Anindirectquotationis 间接法ThepriceofaU S dollarintheforeigncurrency 外币为计价货币 即 单位本币的外币价值 E g youget100yentothedollar 100元日元折合1
13、美元 SeeExhibit4 4inthetextbook 4 13 中国银行是如何外币报价的 13 SpotRateQuotations Thedirectquoteforthepoundis 1 1 9717Theindirectquoteforthepoundis 5072 1 Notethatthedirectquoteisthereciprocaloftheindirectquote 4 14 14 中国银行的外汇报价 货币名称现汇买入价现钞买入价现汇卖出价现钞卖出价中行折算价报价时间英镑9 62649 32929 70379 70379 74552013 09 1215 59 18
14、港币0 78750 78120 79050 79050 79412013 09 1215 59 18美元6 10636 05736 13076 13076 15752013 09 1215 59 18瑞士法郎6 54816 3466 60076 60076 5762013 09 1215 59 18新加坡元4 80434 6564 84294 84294 83362013 09 1215 59 18瑞典克朗0 93420 90540 94170 94170 93852013 09 1215 59 18丹麦克朗1 08731 05371 0961 0961 09212013 09 1215 59
15、 18挪威克朗1 0331 00111 04131 04131 03412013 09 1215 59 18日元0 06120 05940 06170 06170 06162013 09 1215 59 18加拿大元5 90565 72335 95315 95315 97442013 09 1215 59 18澳大利亚元5 64015 46615 67975 67975 74462013 09 1215 59 18欧元8 10937 8598 17458 17458 20092013 09 1215 59 18澳门元0 76520 73950 76810 79270 76622013 09 1
16、215 59 18菲律宾比索0 13890 13460 140 14430 142013 09 1215 59 18泰国铢0 19220 18630 19380 19970 1922013 09 1215 59 18新西兰元4 96114 8085 0015 03094 98072013 09 1215 59 18韩元0 00590 00540 00590 00590 00572013 09 1215 59 18卢布0 18660 18130 18810 19430 1872013 09 1215 59 18林吉特1 85581 86881 86881 85581 88422013 09 1215 59 18台币0 21330 19890 21330 21330 20622013 09 1215 59 18 15 TheBid AskSpread买卖差价 Thebidpriceisthepriceadealeriswillingtopayyouforsomething 交易商支付给客户的价格 银行买入 Theaskpriceistheamountadealerwantsyoutopay
