【正文】 ket Trade at a prespecified price and on a prespecified future date ? Volume $ trillion average daily volume during 2021 75% of trade is in the interbank market（ 75%的交易是銀行之間的外匯交易，其日均交易額達 美元） S w i s s f r a n c , 6 %C a n a d i a n $ , 5 %A u s t r a l i a n $ , 4 %S w e d i s h k r o n a , 3 %H o n g K o n g $ , 2 %S i n g a p o r e $ , 1 %O t h e r , 1 0 %E u r o , 3 8 %U . S . $ , 9 0 %J a p a n e s e Y e n , 2 3 %B r i t i s h P o u n d , 1 3 %E m e r g i n g m k t s , 5 % FX turnover by currency Source: Bank for International Settlements (), March 2021. Percentages sum to 200 because two currencies are involved in each transaction. Participants in the fx market ? Wholesale market Dealers (or market makers) Buy and sell at quoted bid and offer prices Brokers Serve as matchmakers, without putting their own money at risk ? Retail market Governments Corporations Smaller financial institutions Individuals Two rules for multinational finance ? Rule 1 Keep track of your units （注意貨幣單位） ? Rule 2 Always buy or sell the currency in the denominator of a foreign exchange quote（買賣的貨幣是指外匯標(biāo)價中處于分母的貨幣） Rule 1 Keep track of your units A bottle of Gees de Bouef merlot Buy 1 bottle of wine P€ = €40/btl Spot exchange rate S$/€ = $€ ??? S€/$ = 1/S$/€ = €$ How much is this in dollars? P$ = P€S$/€ = (€40/btl) ($€) = $32/btl = P€/S€/$ = (€40/btl) / (€$) = $32/btl How much is this in dollars? P$ = P€ S€/$ = (€40/btl) (€$) = €250 / (btl $) 這是什么 ??? 因此， Keep track of your currency units Rule 2 Think of buying or selling the asset in the denominator 先從商品買賣說起， Buying and selling a bottle of wine Buy a bottle at €40/btl and sell at €50/btl ? ??€10/btl profit。 . €$ –American quotes are convenient for an American because they place the foreign currency (the €) in the denominator美式標(biāo)價法對美國人很方便。 . 165。 投機的關(guān)鍵內(nèi)容是低價買入、高價賣出，或者是高價賣出、低價買入。 ? RPPP states that the expected appreciation or depreciation of the spot rate is determined by the expected inflation differential. ? If inflation is a known constant in each currency, then RPPP can be stated as E[Std/f]= S0d/f[(1+pd/(1+pf]t Arbitrage ? If PPP does not hold, then there is an opportunity to lock in a riskless arbitrage profit. 有些書上將 arbitrage 指為 speculative positions，但是， arbitrage is more strictly defined as a profitable position obtained with: No investment and No risk 因此，套利利潤是指無凈投資和無風(fēng)險情況下的利潤。Offer A$€ 套利者可以從 X銀行買進歐元，與此同時，再賣給 Y銀行，即可賺取無風(fēng)險利潤。163。 2 5 0 . 2 5 mi l l i o n t o b u y 1 mi l l i o n o z f r o m A S e l l 1 mi l l i o n o z t o B f o r € 4 0 1 mi l l i o n B u y 163。 = $165。/Rbl = 165。 S165。 S165。檢驗過程：根據(jù)匯率折算方式，有下式成立： （ SRbl/$ S$/165。 S165。 PPP的圖示 : Which way do you go? Inflation Rate Differential (%) home inflation rate – foreign inflation rate % D in the foreign currency‘s spot rate 2 4 2 4 1 3 1 3 PPP line 外國商品的購買力上升 外國商品的購買力下降 C D ? 例如 ,D點 ,表示國內(nèi)通貨膨脹比國外低 3%,但是 ,外幣只貶值了 2%,因此 ,出現(xiàn)了購買力差別 ,外國商品的購買力低于本國商品的購買力 . ? PPP理論表明在這個例子中外幣應(yīng)該貶值 3%,以便完全抵銷 3%的通貨膨脹差額 . ? 由于外幣沒有疲軟到這種程度 ,本國消費者不再繼續(xù)購買外國的商品 ,外幣需求下降 ,使外幣疲軟到 PPP理論所預(yù)計的水平 ,因此 ,D點應(yīng)移向 PPP線 ? PPP線右邊或下面的所有點表示對本國商品的購買力大于對外國商品的購買力 ? 例如 ,C點 ,表示國內(nèi)通貨膨脹比國外高 4%,但是 ,外幣只升值了1%,因此 ,出現(xiàn)了購買力差別 ,外國商品的購買力高于本國商品的購買力 . ? PPP理論表明在這個例子中外幣應(yīng)該升值 4%,以便完全抵銷4%的通貨膨脹差額 . ? 由于外幣沒有堅挺到這種程度 ,本國消費者不再繼續(xù)購買本國的商品 ,而是轉(zhuǎn)而購買外國商品 ,外幣需求上升 ,使外幣堅挺到PPP理論所預(yù)計的水平 ,因此 ,C點應(yīng)移向 PPP線 ? PPP線左邊或上面的所有點表示對外國商品的購買力大于對本國商品的購買力 . 四、 Interest Rate Parity, or IRP Covered Interest Arbitrage Unconered Interest Arbitrage Forward premiums and discounts are entirely determined by interest rate differentials.(遠期升貼水幾乎完全由利率差異所決定 ) tfdfdfdt iiSF )]1/()1[(//0/ ???tfdfdfdt iiSSE )]1/()1[(/][/0/ ???Exchange rate Time t 2 t 3 t 4 t 1 S1 S2 S3 S4 F1 F2 F3 Error Error Error t 2 t 3 t 4 t 1 Forward Rate as an Unbiased Predictor for Future Spot Rate tfdfdfdtfdfdt iiSSESF )]1/()1[(/][//0//0/ ????Forward rates as predictors of future spot rates ? Ftd/f = E[Std/f] that is :Forward rates are unbiased estimates of future spot rates. ? Ftd/f / S0d/f = E[Std/f] / S0d/f that is: forward premiums reflect the expected change in the spot exchange rate. ? Forward rates are not good predictors of future spot rates over short forecasting horizons. ? At the very least, the long time holds. Interest rate parity: Which way do you go? Which currency do we borrow and which currency do we lend in order to take advantage of a market disequilibrium? If Ftd/f/S0d/f [(1+id)/(1+if)]t then so... Ftd/f must fall Sell f at Ftd/f S0d/f must rise Buy f at S0d/f id must rise Borrow at id if must fall Lend at if If Ftd/f/S0d/f [(1+id)/(1+if)]t