agentleintroduction國際金融香港大學wongka-展示頁
2025-01-04 09:46本頁面
【正文】 is exchanging at a rate of S(HKD/JPY)S(JPY/USD) 22 S(1/3) vs S(1/2) S(2/3) 1 = HKD。 3 = USD ?Suppose no transaction cost ?To get currency 1, a holder of currency 3 can use the rate S(1/3) ?Or, he/she can buy currency 2 at the rate S(2/3) and then use currency 2 to buy currency 1 at the rate S(1/2). In effect he/she is exchanging at a rate of S(1/2)S(2/3) 23 S(HKD/USD) vs S(HKD/JPY) S(JPY/USD) HKD JPY USD S(HKD/JPY) S(JPY/USD) S(HKD/USD) S(USD/HKD) S(USD/JPY) S(JPY/HKD) 24 S(HKD/USD) S(HKD/JPY) S(JPY/USD) HKD JPY USD S(HKD/JPY) S(JPY/USD) S(HKD/USD) USD HKD 25 The Principle of No Arbitrage ?If S(1/3) S(1/2)S(2/3) and there is no transaction cost (say, S(1/3)=3, S(1/2)=2, S(2/3)=1) ?We can sell one unit of currency 3 for currency 1 at the rate of S(1/3) ?We can sell S(1/2)S(2/3) unit of currency 1 for currency 3 ?We gain S(1/3)S(1/2)S(2/3) unit of currency 1 sure profit. 26 Cross exchange rates ?The principle of no arbitrage says sure profit cannot last long. ?If S(1/3) S(1/2)S(2/3) and there is no transaction cost, everyone will try to take the sure profit ?Thus, there will be a huge demand for currency 1 and a huge supply of currency 3 until S(1/3) = S(1/2)S(2/3) 27 Cross exchange rates ?Thus, there will be a huge demand for currency 1 and a huge supply of currency 3 until S(1/3) = S(1/2)S(2/3) ?Thus, there will be a huge demand for HKD and a huge supply of USD ?HKD appreciate relative to USD, . ?S(HKD/USD) decreases ? until S(HKD/USD) = S(HKD/JPY)S(JPY/USD) 28 The Principle of No Arbitrage S(1/3) = S(1/2)S(2/3) Given exchange rates S(1/2) and S(2/3), one can easily pute S(1/3) or Given exchange rates S(j/k) and S(k/m), one can easily pute S(j/m) 29 Nonzero Transaction Costs ?S(j/ask k) offer or ask rate is the price that must be paid to the bank to buy one unit of currency k with currency j. ?S(j/bid k) bid rate is the number of currency j received from the bank for the sale of one unit of currency k for currency j. S(j/ask k) S(j/bid k) 30 Nonzero Transaction Costs ?S(USD/ask HKD) is the amount of USD paid to the bank to buy 1 HKD. ?S(HKD/ask USD) is the amount of HKD paid to the bank to buy 1 USD. ?S(USD/bid HKD) is the amount of USD received from the bank for the sale of 1 HKD. ?S(HKD/bid USD) is the amount of HKD received from the bank for the sale of 1 USD. 31 Suppose HKD =1 USD, fixed by HKMA and you sell 1 USD to the bank for HKD S(HKD/ bid USD) 1 USD ( x) HKD x = the transaction cost the bank will charge you 32 Suppose HKD =1 USD, fixed by HKMA and you buy 1 USD from the bank using HKD S(HKD/ ask USD) (1/ y) USD 1 HKD y = the transaction cost the bank will charge you 33 Suppose HKD =1 USD, fixed by HKMA and you buy 1 USD from the bank using HKD S(HKD/ ask USD) 1 USD ( + z)
語文相關推薦
鄂ICP備17016276號-1