XII - Currency Exchange-5 Flashcards
real exchange rate
equation
FX market participants
sell / buy side
Sell side: 大型国际银行/地区性银行
1. corporate accounts
2. investment accounts (real money, leveraged-professional traders)
3. gov accounts (gov, central banks, sovereign wealth funds, SWF)
4. retail accounts
FX: direct quote/indirect quote
及进一步
direct: local currency as price CNY/USD
indirect: local as base USD/CNY
容易产生混淆，故引入currency pair货币对概念
外汇市场中：
- 最多的交易方式是
- 交易量最大的参与者是
- 交易量最高的货币对是
- 交易目的最多的是
- swap transaction
- financial clients
- USD/EUR
- 境外投资组合及投机交易（国际贸易相关交易只占少数）
外汇市场的四种工具
spot
forward
swap
option
spot transaction
2特点
- T+2 到账
- 只占外汇交易中的一小部分
forward contract
日期确定规则
eg. 3-month contract
today Oct 18 →T+2 = Oct 20
↓
Jan 20
↓
closest business day
FX swap
definition
外汇掉期
simoutaneous
offsetting spot
+
new forward
FX option
definition
外汇期权
with a premium or fee,
purchaser have the right, but not obligation
to do FX transaction in the future
FX quote convention
two-sided price
bid: price that bank buy
offer: price that the bank sell
bid always lower than offer
arbitrage/ triangular arbitrage
套汇/三角套汇
- forward premium
- forward discount
- 表现为
远期升水
远期贴水
forward points 点差
1 point = 1/10000
Interest Rate Parity (IRP)理论等式
推导、形式，及结论
推导：（1+id） = Sf/d (1+if) (1/Ff/d)
结论：the currency with the higher interest rate will always trade at a discount in the forward market
Interest Rate Parity (IRP)理论
另一种演变：
计算远期汇率增长率
约等于if - id
两国利率差
Interest Rate Parity (IRP)理论
含maturity的演变
及含义
含义：forward rate points随时间变长，绝对值变大
ideal currency regime
3原则
及推论
3原则：汇率严格钉住；货币自由兑换；国内货币政策独立
三者不可能同时实现，因此没有完美的汇率管理体制。（不可能三角）
examples of No Legal Tender
currency regime
- dollarization: a country can share dollar’s currency credibility, but doesn’t share the same credit worthiness
- EMU - Euro.
seigniorage
铸币税
9 exchange rate regimes
- no own currency: dollarization, Euro
- have own currency: currency board system, fixed peg, target zone, crawling pegs, fixed peg with crawling bands, managed float, independentlt floating
currency board
2 特点
- 央行不发钞，其他商业银行发钞
- 汇率完全钉住
fixed peg
2特点
1。正负1%
target zone特点
正负2%
crawling peg
特点
- 分为passive/ active crawling
- passive: 阶段后调整
active： 阶段前调整，因此有能力影响未来通胀预期
managed fixed peg with crawling bands
特点
usually used to transition from a fixed peg to floating rae
讨论汇率变化对trade Balance的
两种某型
elasticities approach - M-L condition - microeconomic
Absorption approach - macroeconomic
汇率影响贸易：elasticities approach
逻辑
Marshall-Lerner condition
equation
满足这一条件时， 本国货币贬值下贸易赤字可以得到修复
根据Marshall-Lerner model,
一国进出口哪种商品，货币贬值时贸易更容易改善？
- 替代品多的
- 竞争性市场商品
- 奢侈品
- 占国民支出比重大，或最终商品成本比重大的
总之：弹性大的
J-curve
in chart
货币贬值前已经签了订单
exchange rates and Trade Balance:
解释absorbtion approach
Trade Balance = Y - (C + I + G)
- 充分就业时：货币贬值-资产下跌-saving增加-wealth增加-支出增加一开始贸易有改善，后恢复到原来水平
2。 不充分就业时：货币贬值-资产下跌-saving增加-贸易改善
a target zone regime allows exchange rate to float within a band is aimed to
exercise more discretion in monetary policy
