XII - Currency Exchange-5

Question 1

real exchange rate

equation

Answer 1

Question 2

FX market participants

sell / buy side

Answer 2

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

Question 3

FX: direct quote/indirect quote

及进一步

Answer 3

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

Question 4

Answer 4

Question 5

外汇市场中：

1. 最多的交易方式是
2. 交易量最大的参与者是
3. 交易量最高的货币对是
4. 交易目的最多的是

Answer 5

1. swap transaction
2. financial clients
3. USD/EUR
4. 境外投资组合及投机交易（国际贸易相关交易只占少数）

Question 6

外汇市场的四种工具

Answer 6

spot

forward

swap

option

Question 7

spot transaction

2特点

Answer 7

1. T+2 到账
2. 只占外汇交易中的一小部分

Question 8

forward contract

日期确定规则

Answer 8

eg. 3-month contract

today Oct 18 →T+2 = Oct 20

↓

Jan 20

↓

closest business day

Question 9

FX swap

definition

Answer 9

外汇掉期

simoutaneous

offsetting spot

+

new forward

Question 10

FX option

definition

Answer 10

外汇期权

with a premium or fee,

purchaser have the right, but not obligation

to do FX transaction in the future

Question 11

FX quote convention

two-sided price

Answer 11

bid: price that bank buy
offer: price that the bank sell

bid always lower than offer

Question 12

arbitrage/ triangular arbitrage

Answer 12

套汇/三角套汇

Question 13

1. forward premium
2. forward discount
3. 表现为

Answer 13

远期升水

远期贴水

forward points 点差

1 point = 1/10000

Question 14

Interest Rate Parity (IRP)理论等式

推导、形式，及结论

Answer 14

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

Question 15

Interest Rate Parity (IRP)理论

另一种演变：

计算远期汇率增长率

Answer 15

约等于i_f - i_d

两国利率差

Question 16

Interest Rate Parity (IRP)理论

含maturity的演变

及含义

Answer 16

含义：forward rate points随时间变长，绝对值变大

Question 17

ideal currency regime

3原则

及推论

Answer 17

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）

Question 18

examples of No Legal Tender

currency regime

Answer 18

1. dollarization: a country can share dollar’s currency credibility, but doesn’t share the same credit worthiness
2. EMU - Euro.

Question 19

seigniorage

Answer 19

铸币税

Question 20

9 exchange rate regimes

Answer 20

1. no own currency: dollarization, Euro
2. have own currency: currency board system, fixed peg, target zone, crawling pegs, fixed peg with crawling bands, managed float, independentlt floating

Question 21

currency board

2 特点

Answer 21

1. 央行不发钞，其他商业银行发钞
2. 汇率完全钉住

Question 22

fixed peg

2特点

Answer 22

1。正负1%

Question 23

target zone特点

Answer 23

正负2%

Question 24

crawling peg

特点

Answer 24

1. 分为passive/ active crawling
2. 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

Question 25

managed fixed peg with crawling bands 特点

Answer 25

usually used to transition from a fixed peg to floating rae

Question 26

讨论汇率变化对trade Balance的 两种某型

Answer 26

elasticities approach - M-L condition - microeconomic Absorption approach - macroeconomic

Question 27

汇率影响贸易：elasticities approach 逻辑

Answer 27

Question 28

Marshall-Lerner condition equation

Answer 28

满足这一条件时， 本国货币贬值下贸易赤字可以得到修复

Question 29

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？

Answer 29

1. 替代品多的 2. 竞争性市场商品 3. 奢侈品 4. 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

Question 30

J-curve in chart

Answer 30

货币贬值前已经签了订单

Question 31

exchange rates and Trade Balance: 解释absorbtion approach

Answer 31

Trade Balance = Y - (C + I + G) 1. 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

Question 32

Answer 32

Question 33

a target zone regime allows exchange rate to float within a band is aimed to

Answer 33

exercise more discretion in monetary policy