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1、INTERNATIONALFINANCIALMANAGEMENTEUN / RESNICKSecond Edition4Chapter FourThe Market for Foreign ExchangeChapter Objectives:This chapter serves to introduce the student to the institutional framework within which exchange rates are determined. This chapter lays the foundation for much of the discussio
2、n throughout the remainder of the text, thus it deserves your careful attention.Chapter OutlinelFunction and Structure of the FOREX MarketlThe Spot MarketlThe Forward Market1Chapter OutlinelFunction and Structure of the FOREX MarketnFX Market ParticipantsnCorrespondent Banking RelationshipslThe Spot
3、 MarketlThe Forward Market2Chapter OutlinelFunction and Structure of the FOREX MarketlThe Spot MarketnSpot Rate QuotationsnThe Bid-Ask SpreadnSpot FX TradingnCross Exchange Rate QuotationsnTriangular ArbitragenSpot Foreign Exchange Market MicrostructurelThe Forward Market3Chapter OutlinelFunction an
4、d Structure of the FOREX MarketlThe Spot MarketlThe Forward MarketnForward Rate QuotationsnLong and Short Forward PositionsnForward Cross-Exchange RatesnSwap TransactionsnForward Premium4The Function and Structure of the FOREX MarketlFOREX Market ParticipantslCorrespondent Banking Relationships5FORE
5、X Market ParticipantslThe FOREX market is a two-tiered market:nInterbank Market (Wholesale)uAbout 700 banks worldwide stand ready to make a market in Foreign exchange.uNonbank dealers account for about 20% of the market.uThere are FX brokers who match buy and sell orders but do not carry inventory a
6、nd FX specialists.nClient Market (Retail)lMarket participants include international banks, their customers, nonbank dealers, FOREX brokers, and central banks.6Correspondent Banking RelationshipslLarge commercial banks maintain demand deposit accounts with one another which facilitates the efficient
7、functioning of the forex market.lInternational commercial banks communicate with one another with:nSWIFT: The Society for Worldwide Interbank Financial Telecommunications.nCHIPS: Clearing House Interbank Payments System nECHO Exchange Clearing House Limited, the first global clearinghouse for settli
8、ng interbank FOREX transactions.7The Spot MarketlSpot Rate QuotationslThe Bid-Ask SpreadlSpot FX tradinglCross Rates8Spot Rate QuotationslDirect quotationnthe U.S. dollar equivalentne.g. “a Japanese Yen is worth about a penny”lIndirect Quotationnthe price of a U.S. dollar in the foreign currencyne.g
9、. “you get 100 yen to the dollar”.9 The New York foreign exchange selling rates below apply to trading among banks in amounts of $1 million and more, as quoted at 4 p.m. Eastern time by Dow Jones Telerate Inc. and other sources. Retail transactions provide fewer units of foreign currency per dollar.
10、 Special Drawing Rights (SDR) are based on exchange rates for the U.S., German, British, French, and Japanese currencies. Source: International Monetary Fund. European Currency Unit (ECU) is based on a basket of community currencies. a-fixing, Moscow Interbank Currency Exchange. EXCHANGE RATESCountr
11、y Argentina (Peso) Australia (Dollar) Austria (Schilling) Bahrain (Dinar) Belgium (Franc) Brazil (Real) Britain (Pound) 30-Day Forward 90-Day Forward 180-Day Forward Canada (Dollar) 30-Day Forward 90-Day Forward 180-Day Forward Chile (Peso) China (Renminbi) Colombia (Peso) Czech. Rep (Krouna) Commer
12、cial rate Denmark (Krone) Ecuador (Sucre) Floating rate Finland (Markka) France (Franc) 30-Day Forward 90-Day Forward 180-Day Forward Germany (Mark) 30-Day Forward 90-Day Forward 180-Day Forward Greece (Drachma) Hong Kong (Dollar) Hungary (Forint) India (Rupee) Indonesia (Rupiah) Ireland (Punt) Isra
13、el (Shekel) Italy (Lira)Wed. 1.0012 .7805 .09043 2.6525 .03080 .9607 1.6880 1.6869 1.6843 1.6802 .7399 .7414 .7442 .7479 .002352 .1201 .0009985 . .03662 .1663 . .0002766 .2121 .1879 .1882 .1889 .1901 .6352 .6364 .6389 .6430 .004049 .1292 .006139 .02787 .0004233 1.6664 .3079 .0006483Tues. 1.0012 .790
14、2 .09101 2.6525 .03105 .9615 1.6946 1.6935 1.6910 1.6867 .7370 .7386 .7413 .7450 .002356 .1201 .0009985 . .03677 .1677 . .0002787 .2135 .1893 .1896 .1903 .1914 .6394 .6407 .6432 .6472 .004068 .1292 .006164 .02786 .0004233 1.6714 .3085 .0006510Wed. .9988 1.2812 11.058 .3770 32.470 1.0409 .5924 .5928
15、.5937 .5952 1.3516 1.3488 1.3437 1.3370 425.25 8.3272 1001.50 . 27.307 6.0118 . 3615.00 4.7150 5.3220 5.3126 5.2935 5.2617 1.5744 1.5714 1.5652 1.5552 246.98 7.7390 162.89 35.875 2362.15 .6001 3.2474 1542.50Tues. .9988 1.2655 10.988 .3770 32.205 1.0401 .5901 .5905 .5914 .5929 1.3568 1.3539 1.3489 1.
16、3422 424.40 8.3276 1001.50 . 27.194 5.9633 . 3587.50 4.6841 5.2838 5.2741 5.2558 5.2243 1.5639 1.5607 1.5547 1.5450 245.80 7.7390 162.23 35.890 2362.63 .5983 3.2412 1536.00U.S. $ equiv.per U.S. $CurrencyCountry Japan (Yen) 30-Day Forward 90-Day Forward 180-Day Forward Jordan (Dinar) Kuwait (Dinar) L
17、ebanon (Pound) Malaysia (Ringgit) Malta (Lira) Mexico (Peso) Floating rate Netherland (Guilder) New Zealand (Dollar) Norway (Krone) Pakistan (Rupee) Peru (new Sol) Philippines (Peso) Poland (Zloty) Portugal (Escudo) Russia (Ruble) (a) Saudi Arabia (Riyal) Singapore (Dollar) Slovak Rep. (Koruna) Sout
18、h Africa (Rand) South Korea (Won) Spain (Peseta) Sweden (Krona) Switzerland (Franc) 30-Day Forward 90-Day Forward 180-Day Forward Taiwan (Dollar) Thailand (Baht) Turkey (Lira) United Arab (Dirham) Uruguay (New Peso) Financial Venezuela (Bolivar) SDR ECUWed. .008639 .008676 .008750 .008865 1.4075 3.3
19、367 .0006445 .4018 2.7624 . .1278 .5655 .7072 .1540 .02529 .3814 .03800 .3460 .006307 .0001787 .2666 .7116 .03259 .2141 .001184 .007546 .1431 .7334 .7357 .7401 .7470 .03638 .03902 .00000911 .2723 . .1145 .002098 - - - 1.4315 1.2308Tues. .008681 .008718 .008791 .008907 1.4075 3.3389 .0006445 .4002 2.
20、7701 . .1277 .5699 .7106 .1548 .02529 .3840 .03802 .3475 .006369 .0001788 .2667 .7124 .03259 .2142 .001184 .007603 .1435 .7387 .7411 .7454 .7523 .03637 .03906 .00000915 .2723 . .1145 .002096 1.4326 1.2404Wed. 115.75 115.26 114.28 112.80 .7105 .2997 1551.50 2.4885 .3620 . 7.8220 1.7685 1.4140 6.4926
21、39.540 2.6218 26.318 2.8900 158.55 5595.00 3.7503 1.4053 30.688 4.6705 844.75 132.52 6.9865 1.3635 1.3593 1.3511 1.3386 27.489 25.625 109755.00 3.6720 . 8.7300 476.70 .6986 .Tues. 115.20 114.71 113.76 112.28 .7105 .2995 1551.50 2.4990 .3610 . 7.8330 1.7547 1.4073 6.4599 39.540 2.6039 26.300 2.8780 1
22、57.02 5594.00 3.7502 1.4037 30.688 4.6690 844.65 131.53 6.9697 1.3537 1.3494 1.3416 1.3293 27.493 25.605 109235.00 3.6720 . 8.7300 477.12 .6980 . U.S. $ equiv.Currencyper U.S. $Wednesday, January 8, 1997Spot Rate QuotationsThe direct quote for British pound is: 1 = $1.68810 The New York foreign exch
23、ange selling rates below apply to trading among banks in amounts of $1 million and more, as quoted at 4 p.m. Eastern time by Dow Jones Telerate Inc. and other sources. Retail transactions provide fewer units of foreign currency per dollar. Special Drawing Rights (SDR) are based on exchange rates for
24、 the U.S., German, British, French, and Japanese currencies. Source: International Monetary Fund. European Currency Unit (ECU) is based on a basket of community currencies. a-fixing, Moscow Interbank Currency Exchange. EXCHANGE RATESCountry Argentina (Peso) Australia (Dollar) Austria (Schilling) Bah
25、rain (Dinar) Belgium (Franc) Brazil (Real) Britain (Pound) 30-Day Forward 90-Day Forward 180-Day Forward Canada (Dollar) 30-Day Forward 90-Day Forward 180-Day Forward Chile (Peso) China (Renminbi) Colombia (Peso) Czech. Rep (Krouna) Commercial rate Denmark (Krone) Ecuador (Sucre) Floating rate Finla
26、nd (Markka) France (Franc) 30-Day Forward 90-Day Forward 180-Day Forward Germany (Mark) 30-Day Forward 90-Day Forward 180-Day Forward Greece (Drachma) Hong Kong (Dollar) Hungary (Forint) India (Rupee) Indonesia (Rupiah) Ireland (Punt) Israel (Shekel) Italy (Lira)Wed. 1.0012 .7805 .09043 2.6525 .0308
27、0 .9607 1.6880 1.6869 1.6843 1.6802 .7399 .7414 .7442 .7479 .002352 .1201 .0009985 . .03662 .1663 . .0002766 .2121 .1879 .1882 .1889 .1901 .6352 .6364 .6389 .6430 .004049 .1292 .006139 .02787 .0004233 1.6664 .3079 .0006483Tues. 1.0012 .7902 .09101 2.6525 .03105 .9615 1.6946 1.6935 1.6910 1.6867 .737
28、0 .7386 .7413 .7450 .002356 .1201 .0009985 . .03677 .1677 . .0002787 .2135 .1893 .1896 .1903 .1914 .6394 .6407 .6432 .6472 .004068 .1292 .006164 .02786 .0004233 1.6714 .3085 .0006510Wed. .9988 1.2812 11.058 .3770 32.470 1.0409 .5924 .5928 .5937 .5952 1.3516 1.3488 1.3437 1.3370 425.25 8.3272 1001.50
29、 . 27.307 6.0118 . 3615.00 4.7150 5.3220 5.3126 5.2935 5.2617 1.5744 1.5714 1.5652 1.5552 246.98 7.7390 162.89 35.875 2362.15 .6001 3.2474 1542.50Tues. .9988 1.2655 10.988 .3770 32.205 1.0401 .5901 .5905 .5914 .5929 1.3568 1.3539 1.3489 1.3422 424.40 8.3276 1001.50 . 27.194 5.9633 . 3587.50 4.6841 5
30、.2838 5.2741 5.2558 5.2243 1.5639 1.5607 1.5547 1.5450 245.80 7.7390 162.23 35.890 2362.63 .5983 3.2412 1536.00U.S. $ equiv.per U.S. $CurrencyCountry Japan (Yen) 30-Day Forward 90-Day Forward 180-Day Forward Jordan (Dinar) Kuwait (Dinar) Lebanon (Pound) Malaysia (Ringgit) Malta (Lira) Mexico (Peso)
31、Floating rate Netherland (Guilder) New Zealand (Dollar) Norway (Krone) Pakistan (Rupee) Peru (new Sol) Philippines (Peso) Poland (Zloty) Portugal (Escudo) Russia (Ruble) (a) Saudi Arabia (Riyal) Singapore (Dollar) Slovak Rep. (Koruna) South Africa (Rand) South Korea (Won) Spain (Peseta) Sweden (Kron
32、a) Switzerland (Franc) 30-Day Forward 90-Day Forward 180-Day Forward Taiwan (Dollar) Thailand (Baht) Turkey (Lira) United Arab (Dirham) Uruguay (New Peso) Financial Venezuela (Bolivar) SDR ECUWed. .008639 .008676 .008750 .008865 1.4075 3.3367 .0006445 .4018 2.7624 . .1278 .5655 .7072 .1540 .02529 .3
33、814 .03800 .3460 .006307 .0001787 .2666 .7116 .03259 .2141 .001184 .007546 .1431 .7334 .7357 .7401 .7470 .03638 .03902 .00000911 .2723 . .1145 .002098 - - - 1.4315 1.2308Tues. .008681 .008718 .008791 .008907 1.4075 3.3389 .0006445 .4002 2.7701 . .1277 .5699 .7106 .1548 .02529 .3840 .03802 .3475 .006
34、369 .0001788 .2667 .7124 .03259 .2142 .001184 .007603 .1435 .7387 .7411 .7454 .7523 .03637 .03906 .00000915 .2723 . .1145 .002096 1.4326 1.2404Wed. 115.75 115.26 114.28 112.80 .7105 .2997 1551.50 2.4885 .3620 . 7.8220 1.7685 1.4140 6.4926 39.540 2.6218 26.318 2.8900 158.55 5595.00 3.7503 1.4053 30.6
35、88 4.6705 844.75 132.52 6.9865 1.3635 1.3593 1.3511 1.3386 27.489 25.625 109755.00 3.6720 . 8.7300 476.70 .6986 .Tues. 115.20 114.71 113.76 112.28 .7105 .2995 1551.50 2.4990 .3610 . 7.8330 1.7547 1.4073 6.4599 39.540 2.6039 26.300 2.8780 157.02 5594.00 3.7502 1.4037 30.688 4.6690 844.65 131.53 6.969
36、7 1.3537 1.3494 1.3416 1.3293 27.493 25.605 109235.00 3.6720 . 8.7300 477.12 .6980 . U.S. $ equiv.Currencyper U.S. $Wednesday, January 8, 1997Spot Rate QuotationsThe indirect quote for British pound is: .5924 = $111 The New York foreign exchange selling rates below apply to trading among banks in am
37、ounts of $1 million and more, as quoted at 4 p.m. Eastern time by Dow Jones Telerate Inc. and other sources. Retail transactions provide fewer units of foreign currency per dollar. Special Drawing Rights (SDR) are based on exchange rates for the U.S., German, British, French, and Japanese currencies
38、. Source: International Monetary Fund. European Currency Unit (ECU) is based on a basket of community currencies. a-fixing, Moscow Interbank Currency Exchange. EXCHANGE RATESCountry Argentina (Peso) Australia (Dollar) Austria (Schilling) Bahrain (Dinar) Belgium (Franc) Brazil (Real) Britain (Pound)
39、30-Day Forward 90-Day Forward 180-Day Forward Canada (Dollar) 30-Day Forward 90-Day Forward 180-Day Forward Chile (Peso) China (Renminbi) Colombia (Peso) Czech. Rep (Krouna) Commercial rate Denmark (Krone) Ecuador (Sucre) Floating rate Finland (Markka) France (Franc) 30-Day Forward 90-Day Forward 18
40、0-Day Forward Germany (Mark) 30-Day Forward 90-Day Forward 180-Day Forward Greece (Drachma) Hong Kong (Dollar) Hungary (Forint) India (Rupee) Indonesia (Rupiah) Ireland (Punt) Israel (Shekel) Italy (Lira)Wed. 1.0012 .7805 .09043 2.6525 .03080 .9607 1.6880 1.6869 1.6843 1.6802 .7399 .7414 .7442 .7479
41、 .002352 .1201 .0009985 . .03662 .1663 . .0002766 .2121 .1879 .1882 .1889 .1901 .6352 .6364 .6389 .6430 .004049 .1292 .006139 .02787 .0004233 1.6664 .3079 .0006483Tues. 1.0012 .7902 .09101 2.6525 .03105 .9615 1.6946 1.6935 1.6910 1.6867 .7370 .7386 .7413 .7450 .002356 .1201 .0009985 . .03677 .1677 .
42、 .0002787 .2135 .1893 .1896 .1903 .1914 .6394 .6407 .6432 .6472 .004068 .1292 .006164 .02786 .0004233 1.6714 .3085 .0006510Wed. .9988 1.2812 11.058 .3770 32.470 1.0409 .5924 .5928 .5937 .5952 1.3516 1.3488 1.3437 1.3370 425.25 8.3272 1001.50 . 27.307 6.0118 . 3615.00 4.7150 5.3220 5.3126 5.2935 5.26
43、17 1.5744 1.5714 1.5652 1.5552 246.98 7.7390 162.89 35.875 2362.15 .6001 3.2474 1542.50Tues. .9988 1.2655 10.988 .3770 32.205 1.0401 .5901 .5905 .5914 .5929 1.3568 1.3539 1.3489 1.3422 424.40 8.3276 1001.50 . 27.194 5.9633 . 3587.50 4.6841 5.2838 5.2741 5.2558 5.2243 1.5639 1.5607 1.5547 1.5450 245.
44、80 7.7390 162.23 35.890 2362.63 .5983 3.2412 1536.00U.S. $ equiv.per U.S. $CurrencyCountry Japan (Yen) 30-Day Forward 90-Day Forward 180-Day Forward Jordan (Dinar) Kuwait (Dinar) Lebanon (Pound) Malaysia (Ringgit) Malta (Lira) Mexico (Peso) Floating rate Netherland (Guilder) New Zealand (Dollar) Nor
45、way (Krone) Pakistan (Rupee) Peru (new Sol) Philippines (Peso) Poland (Zloty) Portugal (Escudo) Russia (Ruble) (a) Saudi Arabia (Riyal) Singapore (Dollar) Slovak Rep. (Koruna) South Africa (Rand) South Korea (Won) Spain (Peseta) Sweden (Krona) Switzerland (Franc) 30-Day Forward 90-Day Forward 180-Da
46、y Forward Taiwan (Dollar) Thailand (Baht) Turkey (Lira) United Arab (Dirham) Uruguay (New Peso) Financial Venezuela (Bolivar) SDR ECUWed. .008639 .008676 .008750 .008865 1.4075 3.3367 .0006445 .4018 2.7624 . .1278 .5655 .7072 .1540 .02529 .3814 .03800 .3460 .006307 .0001787 .2666 .7116 .03259 .2141
47、.001184 .007546 .1431 .7334 .7357 .7401 .7470 .03638 .03902 .00000911 .2723 . .1145 .002098 - - - 1.4315 1.2308Tues. .008681 .008718 .008791 .008907 1.4075 3.3389 .0006445 .4002 2.7701 . .1277 .5699 .7106 .1548 .02529 .3840 .03802 .3475 .006369 .0001788 .2667 .7124 .03259 .2142 .001184 .007603 .1435
48、 .7387 .7411 .7454 .7523 .03637 .03906 .00000915 .2723 . .1145 .002096 1.4326 1.2404Wed. 115.75 115.26 114.28 112.80 .7105 .2997 1551.50 2.4885 .3620 . 7.8220 1.7685 1.4140 6.4926 39.540 2.6218 26.318 2.8900 158.55 5595.00 3.7503 1.4053 30.688 4.6705 844.75 132.52 6.9865 1.3635 1.3593 1.3511 1.3386
49、27.489 25.625 109755.00 3.6720 . 8.7300 476.70 .6986 .Tues. 115.20 114.71 113.76 112.28 .7105 .2995 1551.50 2.4990 .3610 . 7.8330 1.7547 1.4073 6.4599 39.540 2.6039 26.300 2.8780 157.02 5594.00 3.7502 1.4037 30.688 4.6690 844.65 131.53 6.9697 1.3537 1.3494 1.3416 1.3293 27.493 25.605 109235.00 3.672
50、0 . 8.7300 477.12 .6980 . U.S. $ equiv.Currencyper U.S. $Wednesday, January 8, 1997Spot Rate QuotationsNote that the direct quote is the reciprocal of the indirect quote:5924.1688. 112The Bid-Ask SpreadlThe bid price is the price a dealer is willing to pay you for something.lThe ask price is the amo