1、1第二章第二章 國(guó)際匯率風(fēng)險(xiǎn)管理國(guó)際匯率風(fēng)險(xiǎn)管理2學(xué)習(xí)目的v掌握匯率風(fēng)險(xiǎn)的種類掌握匯率風(fēng)險(xiǎn)的種類v掌握外匯風(fēng)險(xiǎn)的管理方法掌握外匯風(fēng)險(xiǎn)的管理方法東北財(cái)經(jīng)大學(xué)金融學(xué)院3第一節(jié)第一節(jié) 匯率風(fēng)險(xiǎn)概述匯率風(fēng)險(xiǎn)概述v匯率風(fēng)險(xiǎn)的定義匯率風(fēng)險(xiǎn)的定義v匯率風(fēng)險(xiǎn)的種類匯率風(fēng)險(xiǎn)的種類東北財(cái)經(jīng)大學(xué)金融學(xué)院4一、匯率風(fēng)險(xiǎn)的定義一、匯率風(fēng)險(xiǎn)的定義v匯率風(fēng)險(xiǎn)也叫外匯風(fēng)險(xiǎn)（匯率風(fēng)險(xiǎn)也叫外匯風(fēng)險(xiǎn)（Foreign Exchange Risk），是指一國(guó)經(jīng)濟(jì)實(shí)體或企業(yè)在其國(guó)際），是指一國(guó)經(jīng)濟(jì)實(shí)體或企業(yè)在其國(guó)際經(jīng)濟(jì)、貿(mào)易、金融活動(dòng)中，以外幣計(jì)價(jià)的資經(jīng)濟(jì)、貿(mào)易、金融活動(dòng)中，以外幣計(jì)價(jià)的資產(chǎn)或負(fù)債由于外匯匯率變動(dòng)，導(dǎo)致其價(jià)值上產(chǎn)或負(fù)債由

2、于外匯匯率變動(dòng)，導(dǎo)致其價(jià)值上升或下降而產(chǎn)生風(fēng)險(xiǎn)的可能性。升或下降而產(chǎn)生風(fēng)險(xiǎn)的可能性。5二、匯率風(fēng)險(xiǎn)的種類二、匯率風(fēng)險(xiǎn)的種類v交易風(fēng)險(xiǎn)交易風(fēng)險(xiǎn)v會(huì)計(jì)風(fēng)險(xiǎn)會(huì)計(jì)風(fēng)險(xiǎn)v經(jīng)濟(jì)風(fēng)險(xiǎn)經(jīng)濟(jì)風(fēng)險(xiǎn)6（一）交易風(fēng)險(xiǎn)（一）交易風(fēng)險(xiǎn)（Transaction Exposure）v交易風(fēng)險(xiǎn)是指外匯匯率波動(dòng)使經(jīng)濟(jì)實(shí)體外匯交易風(fēng)險(xiǎn)是指外匯匯率波動(dòng)使經(jīng)濟(jì)實(shí)體外匯頭寸的實(shí)際價(jià)值發(fā)生變化而導(dǎo)致?lián)p失的可能頭寸的實(shí)際價(jià)值發(fā)生變化而導(dǎo)致?lián)p失的可能性。性。v交易風(fēng)險(xiǎn)是最常見的外匯風(fēng)險(xiǎn)。交易風(fēng)險(xiǎn)是最常見的外匯風(fēng)險(xiǎn)。7例1v我國(guó)某外貿(mào)公司向英國(guó)出口，貨款額為我國(guó)某外貿(mào)公司向英國(guó)出口，貨款額為100萬(wàn)英鎊，以英鎊計(jì)價(jià)結(jié)算。簽約日為萬(wàn)英鎊，以英鎊計(jì)

3、價(jià)結(jié)算。簽約日為2008年年9月月23日，結(jié)算日為日，結(jié)算日為12月月23日。日。v簽約時(shí)匯率：簽約時(shí)匯率：1=RMB12.6422v結(jié)算時(shí)匯率：結(jié)算時(shí)匯率： 1=RMB10.1801v則我國(guó)公司因人民幣升值少收入則我國(guó)公司因人民幣升值少收入246.21萬(wàn)人萬(wàn)人民幣。民幣。v （12.6422-10.1801）100=246.21萬(wàn)RMB8例2v我國(guó)政府于我國(guó)政府于1979年開始使用日本政府貸款，根據(jù)雙年開始使用日本政府貸款，根據(jù)雙方協(xié)議，日元貸款每年支付一次，我國(guó)還款用日元。方協(xié)議，日元貸款每年支付一次，我國(guó)還款用日元。由于我國(guó)計(jì)價(jià)結(jié)算貨幣主要是美元，即用美元兌換由于我國(guó)計(jì)價(jià)結(jié)算貨幣主要是美

4、元，即用美元兌換日元后還款，對(duì)我國(guó)日元貸款償還極為不利。日元后還款，對(duì)我國(guó)日元貸款償還極為不利。1980-1990年間，我國(guó)只償付利息不付本金，付息年間，我國(guó)只償付利息不付本金，付息額為額為1982.06億日元。億日元。v1980年匯率：年匯率：1=J￥226.69，須支付，須支付1982.06/226.69= 8.74億億v1990年匯率：年匯率： 1=J￥145.83，須支付，須支付1982.06/145.83= 13.59億億v僅利息支付上就損失僅利息支付上就損失4.85億美元。億美元。9（二）會(huì)計(jì)風(fēng)險(xiǎn)（二）會(huì)計(jì)風(fēng)險(xiǎn)(Accounting Exposure)v又稱折算風(fēng)險(xiǎn)，是指匯率變動(dòng)對(duì)

5、企業(yè)或銀行又稱折算風(fēng)險(xiǎn)，是指匯率變動(dòng)對(duì)企業(yè)或銀行財(cái)務(wù)報(bào)表上項(xiàng)目?jī)r(jià)值變動(dòng)的影響。財(cái)務(wù)報(bào)表上項(xiàng)目?jī)r(jià)值變動(dòng)的影響。v會(huì)計(jì)風(fēng)險(xiǎn)產(chǎn)生于跨國(guó)公司與跨國(guó)銀行將世界會(huì)計(jì)風(fēng)險(xiǎn)產(chǎn)生于跨國(guó)公司與跨國(guó)銀行將世界各地的子公司或子銀行的報(bào)表進(jìn)行并表的過(guò)各地的子公司或子銀行的報(bào)表進(jìn)行并表的過(guò)程中產(chǎn)生的帳面風(fēng)險(xiǎn)。程中產(chǎn)生的帳面風(fēng)險(xiǎn)。10（三）經(jīng)濟(jì)風(fēng)險(xiǎn)（三）經(jīng)濟(jì)風(fēng)險(xiǎn)（Economic Exposure）v經(jīng)濟(jì)風(fēng)險(xiǎn)是指銀行或企業(yè)未來(lái)預(yù)期收益因外匯匯率經(jīng)濟(jì)風(fēng)險(xiǎn)是指銀行或企業(yè)未來(lái)預(yù)期收益因外匯匯率變化而可能遇到損失的可能性，即對(duì)銀行或企業(yè)盈變化而可能遇到損失的可能性，即對(duì)銀行或企業(yè)盈利能力或未來(lái)現(xiàn)金流的影響利能力或未來(lái)現(xiàn)金流的影響v

6、它不僅受匯率變動(dòng)的直接影響，還受利率和物價(jià)等它不僅受匯率變動(dòng)的直接影響，還受利率和物價(jià)等因素的間接影響。因此，銀行未來(lái)現(xiàn)金流是不確定因素的間接影響。因此，銀行未來(lái)現(xiàn)金流是不確定的。的。11第二節(jié)第二節(jié) 外匯風(fēng)險(xiǎn)管理外匯風(fēng)險(xiǎn)管理v主要針對(duì)交易風(fēng)險(xiǎn)管理主要針對(duì)交易風(fēng)險(xiǎn)管理v兩種方法：金融管理法和非金融管理法兩種方法：金融管理法和非金融管理法v金融管理法包括：遠(yuǎn)期外匯交易、外匯期貨金融管理法包括：遠(yuǎn)期外匯交易、外匯期貨交易、外匯期權(quán)交易、貨幣市場(chǎng)借貸法交易、外匯期權(quán)交易、貨幣市場(chǎng)借貸法（BSI法）和貨幣互換法）和貨幣互換v非金融管理法包括：選擇合同貨幣、提前或非金融管理法包括：選擇合同貨幣、提前或推

7、遲結(jié)算、推遲結(jié)算、LSI法等法等I. Spot marketvDenominating vs. “Commodity” CurrencyFor a bid-ask quote of US$/CHF 0.5921-0.5934, “US$” is denominating currency and “CHF” is “commodity” currency.vDirect vs. Indirect QuoteFor U.S. residents, direct quote: US$/CHF 0.5921-0.5934indirect quote: CHF/US$ 1.6852-1.6889 is

8、.Direct Bid = 1/Indirect Ask Direct Ask = 1/Indirect BidQuotes & TradingI. Spot marketBid-Ask SpreadPercentage of spread = (Ask price Bid price)/Ask price e.g. (0.5934-0.5921)/0.5934 = 0.22%More actively traded FX implies narrower the bid-ask spreadQuotes & TradingChanges in Currency ValuesA

9、ppreciation vs. Depreciation e.g. if we know CHF1.56/US$ (last year) and CHF1.90/US$ (today), US$ has appreciated by: (1.90-1.56)/1.56 =21.79%; CHF has depreciated by:(0.5263-0.6410)/0.6410 = -17.89%Quotes & TradingII. Forward MarketvForward contract Agreement to exchange currency at a future da

10、te. vForward contracts function as a hedge against uncertain exchange rate movement.vForward rates can be expressed in three ways:Outright quote the actual price of the forward contractSwap rate method the difference between the outright forward rate quote and the corresponding spot rateForward prem

11、ium (discount) - the forward rate is above (below) the spot rateQuotes & TradingII. Forward MarketBid/Ask spot 1-Month 2-MonthUS$/CHF 0.5921-0.5934 4-6 9-7For one-month forward contract, the swap quote is 4-6; The outright forward rate in US$/CHF bid quote: 0.5925 (=0.5921+0.0004) Ask quote: 0.5

12、940 (=0.5934+0.0006)For 2-month forward contract, the swap quote is 9-7; The outright bid quote is US$/CHFBid quote: 0.5912 (=0.5921-0.0009)Ask quote: 0.5927 (=0.5934-0.0007)Annualized Forward Premium (Discount) Ratev Forward Rate - Spot Rate 12 months (or 360 days)v = - -x -v Spot Rate Forward Cont

13、ract maturity in months (or in days) Annualized 1-month forward bid rate for the CHF is 0.8% =(0.5925 - 0.5921)/0.5921x12x100; 2-month forward discount rate for CHF for bid is0.912% =(0.5912-0.5921)/0.5921x(12/2)x100III. Settlement DatevSpot/Forward contracts are settled on the date of delivery of t

14、he funds promised in the contract.vSpot contracts are usually settled two business days (or less) after the agreement is reached.vThe settlement date is also called the value date.Suppose a 1-month forward contract is entered into on July 7 (Wednesday). Since the spot value date, which is two busine

15、ss days after the contract, is July 9, the settlement day for, the forward contract will be August 9. For 2-month forward contracts, the settlement day will be September 9.19（一）遠(yuǎn)期外匯交易的計(jì)算（一）遠(yuǎn)期外匯交易的計(jì)算1、用匯水?dāng)?shù)計(jì)算遠(yuǎn)期匯率用匯水?dāng)?shù)計(jì)算遠(yuǎn)期匯率（1）直接標(biāo)出外匯的遠(yuǎn)期匯率，瑞士與日本）直接標(biāo)出外匯的遠(yuǎn)期匯率，瑞士與日本采用此方法。采用此方法。v如東京外匯市場(chǎng)，即期匯率如東京外匯市場(chǎng)，即期匯率1=J￥1

16、07，v3個(gè)月遠(yuǎn)期市場(chǎng)個(gè)月遠(yuǎn)期市場(chǎng)1=J￥11020（2）用匯水?dāng)?shù)計(jì)算遠(yuǎn)期匯率）用匯水?dāng)?shù)計(jì)算遠(yuǎn)期匯率v原則：按照前小后大往上加，前大后小往小減原則原則：按照前小后大往上加，前大后小往小減原則v如：如：Spot Rate $1=SF1.42351.4245v 3個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 4060v則：則：3個(gè)月遠(yuǎn)期匯率個(gè)月遠(yuǎn)期匯率$1=SF1.42751.4305v又如：又如： Spot Rate $1=SF1.42351.4245v 3個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 10080v則：則：3個(gè)月遠(yuǎn)期匯率個(gè)月遠(yuǎn)期匯率$1=SF1.41351.4165212、遠(yuǎn)期匯率升貼水的原因、遠(yuǎn)期匯率升貼水的原因v（1）兩國(guó)

17、貨幣短期利率的差異）兩國(guó)貨幣短期利率的差異v例如：倫敦市場(chǎng)年利率為例如：倫敦市場(chǎng)年利率為9.5%v 紐約市場(chǎng)年利率為紐約市場(chǎng)年利率為7%v倫敦市場(chǎng)即期匯率：倫敦市場(chǎng)即期匯率：1= $1.9600v 求：求：3個(gè)月的遠(yuǎn)期匯率和個(gè)月的遠(yuǎn)期匯率和$的遠(yuǎn)期匯率？的遠(yuǎn)期匯率？v原理：如倫敦銀行賣出原理：如倫敦銀行賣出3個(gè)月遠(yuǎn)期美元，必須買進(jìn)美元即期，個(gè)月遠(yuǎn)期美元，必須買進(jìn)美元即期，以備以備3個(gè)月后交割。而買進(jìn)即期美元必須賣出即期英鎊，將個(gè)月后交割。而買進(jìn)即期美元必須賣出即期英鎊，將9.5%利率調(diào)成利率調(diào)成7%，則倫敦銀行將利息損失轉(zhuǎn)嫁到，則倫敦銀行將利息損失轉(zhuǎn)嫁到3個(gè)月美個(gè)月美元買主身上，則賣出元買主身

18、上，則賣出3個(gè)月美元的遠(yuǎn)期匯率應(yīng)高于美元的即個(gè)月美元的遠(yuǎn)期匯率應(yīng)高于美元的即期匯率，這為期匯率，這為3個(gè)月美元升水（或個(gè)月美元升水（或3個(gè)月英鎊貼水）。個(gè)月英鎊貼水）。v結(jié)論：利率低的貨幣其遠(yuǎn)期匯率一般表現(xiàn)為升水，利率高的結(jié)論：利率低的貨幣其遠(yuǎn)期匯率一般表現(xiàn)為升水，利率高的貨幣其遠(yuǎn)期匯率一般表現(xiàn)為貼水。貨幣其遠(yuǎn)期匯率一般表現(xiàn)為貼水。22v計(jì)算公式：計(jì)算公式：v升（貼）水?dāng)?shù)升（貼）水?dāng)?shù)=即期匯率即期匯率兩國(guó)利差兩國(guó)利差月數(shù)月數(shù)/12v如上面例子：如上面例子：v 3個(gè)月個(gè)月貼水?dāng)?shù)貼水?dāng)?shù)=1.96 2.5% 3/12v =0.0122v3個(gè)月個(gè)月遠(yuǎn)期匯率遠(yuǎn)期匯率=1.96-0.0122= 1.947

19、8v同樣求出同樣求出3個(gè)月美元的升水?dāng)?shù)個(gè)月美元的升水?dāng)?shù)v =1/1.96 2.5% 3/12v = 0.0031v3個(gè)月遠(yuǎn)期匯率個(gè)月遠(yuǎn)期匯率= 0.5102+ 0.0031v = 0.5133v 或：或： 1/1.9478= 0.513323（2）兩國(guó)貨幣遠(yuǎn)期外匯市場(chǎng)的供求關(guān)系）兩國(guó)貨幣遠(yuǎn)期外匯市場(chǎng)的供求關(guān)系v遠(yuǎn)期外匯市場(chǎng)的遠(yuǎn)期匯率升貼水?dāng)?shù)要圍繞兩遠(yuǎn)期外匯市場(chǎng)的遠(yuǎn)期匯率升貼水?dāng)?shù)要圍繞兩國(guó)貨幣短期利率決定的升貼水?dāng)?shù)上下波動(dòng)，國(guó)貨幣短期利率決定的升貼水?dāng)?shù)上下波動(dòng)，在供求均衡情況下，兩者才會(huì)一致。在供求均衡情況下，兩者才會(huì)一致。v升貼水折年率升貼水折年率=升水（或貼水）數(shù)升水（或貼水）數(shù)12/即期匯

20、率即期匯率月數(shù)月數(shù)v如英鎊升水如英鎊升水0.0062，則美元，則美元3個(gè)月期賣主升水?dāng)?shù)折年率個(gè)月期賣主升水?dāng)?shù)折年率v =0.0062 12/0.5102 3=5%v這不僅彌補(bǔ)這不僅彌補(bǔ)2.5%利息損失，而且增加利息損失，而且增加2.5%利息收益，則賣利息收益，則賣主增加，需求減少，美元升水開始減少，直到供求均衡。主增加，需求減少，美元升水開始減少，直到供求均衡。v如美元升水從如美元升水從0.0031英鎊減少到英鎊減少到0.0015英鎊，則美元升水折英鎊，則美元升水折年率僅為年率僅為1.25%，則，則3個(gè)月美元賣主減少，需求增加，美元個(gè)月美元賣主減少，需求增加，美元升水開始增加，直到供求均衡。升

21、水開始增加，直到供求均衡。24計(jì)算練習(xí)計(jì)算練習(xí)1、已知：紐約市場(chǎng)、已知：紐約市場(chǎng)v 即期匯率即期匯率$1=SF1.52101.5220v 1個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 80100v 3個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 140160v求：紐約市場(chǎng)求：紐約市場(chǎng)1個(gè)月和個(gè)月和3個(gè)月美元對(duì)瑞士法郎的遠(yuǎn)期匯率？個(gè)月美元對(duì)瑞士法郎的遠(yuǎn)期匯率？ 2、已知：即期匯率、已知：即期匯率$1=SF1.42301.4240v 3個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 8060v 6個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 16080v 求：求：3個(gè)月和個(gè)月和6個(gè)月美元的遠(yuǎn)期匯率，并計(jì)算個(gè)月美元的遠(yuǎn)期匯率，并計(jì)算3個(gè)月和個(gè)月和6個(gè)個(gè)月美元匯率升貼水折年率（用中間價(jià)）？月美元

22、匯率升貼水折年率（用中間價(jià)）？25計(jì)算練習(xí)計(jì)算練習(xí)3、我國(guó)某公司從瑞士進(jìn)口成套設(shè)備，預(yù)計(jì)、我國(guó)某公司從瑞士進(jìn)口成套設(shè)備，預(yù)計(jì)3個(gè)月后用美元存款個(gè)月后用美元存款兌付兌付1572萬(wàn)瑞士法郎進(jìn)口貨款，擔(dān)心瑞士法郎升值，做遠(yuǎn)萬(wàn)瑞士法郎進(jìn)口貨款，擔(dān)心瑞士法郎升值，做遠(yuǎn)期外匯交易進(jìn)行保值。期外匯交易進(jìn)行保值。v已知：即期匯率已知：即期匯率$1=SF1.34551.3465v 3個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 120140v求：該公司求：該公司3個(gè)月后應(yīng)付多少美元？個(gè)月后應(yīng)付多少美元？ 4、我國(guó)某公司計(jì)劃、我國(guó)某公司計(jì)劃3個(gè)月后用美元兌付個(gè)月后用美元兌付700萬(wàn)瑞士法郎進(jìn)口萬(wàn)瑞士法郎進(jìn)口貨款，為防止瑞士法郎升值，做遠(yuǎn)

23、期交易。貨款，為防止瑞士法郎升值，做遠(yuǎn)期交易。v已知：即期匯率已知：即期匯率$1=SF1.27601.2770v 3個(gè)月匯水?dāng)?shù)個(gè)月匯水?dāng)?shù) 150170v求：若求：若3個(gè)月后個(gè)月后$1=RMB7.12357.1280v 則該公司應(yīng)支付多少人民幣進(jìn)口貨款？則該公司應(yīng)支付多少人民幣進(jìn)口貨款？26計(jì)算練習(xí)計(jì)算練習(xí)5、已知：美元年利率、已知：美元年利率5%，瑞士法郎年利率，瑞士法郎年利率8%v 即期匯率即期匯率$1=SF1.4256v求：理論上求：理論上3個(gè)月美元的遠(yuǎn)期匯率？理論上個(gè)月美元的遠(yuǎn)期匯率？理論上3個(gè)月瑞士法郎的遠(yuǎn)期匯率？個(gè)月瑞士法郎的遠(yuǎn)期匯率？273、遠(yuǎn)期外匯交易的作用、遠(yuǎn)期外匯交易的作用v

24、為進(jìn)出口商和對(duì)外投資者防范匯率風(fēng)險(xiǎn)為進(jìn)出口商和對(duì)外投資者防范匯率風(fēng)險(xiǎn)v保持銀行遠(yuǎn)期外匯頭寸的平衡保持銀行遠(yuǎn)期外匯頭寸的平衡v遠(yuǎn)期外匯投機(jī)遠(yuǎn)期外匯投機(jī) “多頭多頭”先買后賣，買空先買后賣，買空 “空頭空頭”先賣后買，賣空先賣后買，賣空Theories of FX MarketI. Interest Rate Parity (IRP)Example: Suppose a bank, facing the decision of investing excess funds for 3 months, has obtained the following information:vAnnualize

25、d U.S. 3-month CD rate is 10%;vUK rate (r*), 12%vSpot exchange rate (SR) is US$1.50/, and v3-month forward rate (FR) is US$ 1.51/. Option A : The bank will invest domestically, i.e., in the U.S. CD market. $1(1+10%/4)= $1.025Theories of FX MarketOption B: The bank willConvert the US$ in , 0.6667(= U

26、S$1/1.50US$/)Invest in the U.K. CD market, 0.6667(1+12%/4)= 0.6867, andSell the investment proceeds in for US$ in the 3-month forward market US$1.0369(= 0.6867*1.51 US$/)Return under Option B exceeds the return under OptionA, the foreign market alternative is preferred.I. Interest Rate Parity (IRP)v

27、 SR= spot rate for foreign currencies in terms of US$, i.e., US$ / FR= forward rate for foreign currencies in terms of US$ r = interest rate for US$ in U.S. r* = interest rate for foreign currencies in their countries FR= SR(1+r)/(1+r*) or (FR-SR)/SR=(r-r*)/(1+r*) II. Purchasing Power Parity (PPP)vT

28、here are two versions of PPP: absolute PPP and relative PPPvAbsolute PPP states that the exchange rate-adjusted price for any good (or a basket of goods) is the same everywhere. P* and P are the foreign price and domestic price of the good, eP*= P II. Relative PPP suggests that the change in the exc

29、hange rate over time between two countries will reflect relative changes in the price levels (or the difference in the inflation rates) of the two countries. or SR1 and SR0 are the exchange rates at time 1 and 0 respectively. Further, SR1 is the expected rate one period from today (date=0). INF and

30、INF* are the expected domestic and foreign inflation rates.e1/e0 = (1 + INF)/(1 + INF*) (SR1 - SR0 )/SR0= ( INF - INF*)/(1 + INF*)III. Open Fisher ParityvOpen Fisher parity assumes constant, real interest rates (or the difference in real interest rates in countries are constant) as: or vex ante rela

31、tionship.v It implies that there is no unique risk premium in the forward rates quoted in foreign exchange markets. SR1/SR0 = (1 + r)/(1 + r*) (SR1-SR0)/SR0 = ( r - r*) /(1+ r*)III. Open Fisher ParityU.S. nominal interest rate is 8% while Japan is 12%. Given the current exchange rate, SR0, of US$0.0

32、1/, the expected exchange rate will be:SR1 = SR0 (1 + r)/(1 + r*) = US$0.01/ (1.08)/(1.12) = US$0.00964/vThe Japanese nominal interest rate is higher than the U.S., its currency is expected to depreciate. Why?IV. Unbiased Forward Market HypothesisvEquating the two equations (1) and (4) - because the

33、ir right sides are identical, we obtain:vThe forward price is an unbiased predictor for the future spot price. This is the unbiased forward market hypothesis, or speculative efficient market (SEM) hypothesis. FR = SR1 (5)Motivations of Participants in FX MarketvForeign exchange market has three type

34、s of activities: arbitrage, hedging and speculation.vHedging allows of importers, exporters and multinational corporations to avoid currency exposure, i.e., volatility in profits due to FX volatility.1. Hedging Risk: Diversifiable or Systematic?vDiversifiable risk for both the Customer and the Bankv

35、Systematic for the customer but diversifiable for the bankvSystematic for both the customer and the bank2. Hedge RatioMotivations of Participants in FX MarketExample Given the following: Spot rate: 1.50/US$ or US$0.6667/ Forward Rate: 1.59/US$ or US$0.6289/ German interest rate:12% per annumU.S. int

36、erest Rate:10% per annum A payment of 10 million is required in three months. Which market (forward or Money Market) should be used for hedging?Motivations of Participants in FX MarketExamplevCost in forward market in three months US$ 0.6289/ x 10 million = US$6.289 millionvCost in Money MarketFind

37、the present value of the foreign currency at the foreign market rate. We invest in the German money market that will yield 100 in three months, the amount of German marks required today is the present value of 100 at 12%, i.e.,10 million/ (1 + 12%/4) = 9.709 millionMotivations of Participants in FX

38、MarketConvert this amount to US$ at the prevailing spot rate to determine the borrowing amount in the US$. 9.709 million x US$0.6667/ = US$6.473 millionFind the future payment in US$ to pay off the loan in the money market at 10%. That is,US$ 6.473 million x ( 1 + 10%/4) = US$6.635 millionvThe outfl

39、ow in the money market (US$6.635 million) is higher than the outflow in the forward market (US$6.289 million). The forward market is preferred.Motivations of Participants in FX MarketvWe can reach the same conclusion by computing FRc:FRc = SR0 (1+0.10/4)/(1+0.12/4) =US$0.6635 / vBecause the actual f

40、orward is undervalued (US$0.6635 US$0.6289, actual), obtaining the foreign currency through the forward market is desirable.41（二）外匯期貨交易（二）外匯期貨交易 （Future Transaction）v外匯期貨交易是指在有組織的交易市場(chǎng)以公開競(jìng)價(jià)外匯期貨交易是指在有組織的交易市場(chǎng)以公開競(jìng)價(jià)的方式，買賣在未來(lái)某一標(biāo)準(zhǔn)交割日期，根據(jù)合約的方式，買賣在未來(lái)某一標(biāo)準(zhǔn)交割日期，根據(jù)合約價(jià)格交割標(biāo)準(zhǔn)數(shù)量外匯合約的交易。價(jià)格交割標(biāo)準(zhǔn)數(shù)量外匯合約的交易。v世界上第一個(gè)外匯期貨交易所

41、成立于世界上第一個(gè)外匯期貨交易所成立于1972年年5月月16日的美國(guó)芝加哥，稱為日的美國(guó)芝加哥，稱為“國(guó)際貨幣市場(chǎng)國(guó)際貨幣市場(chǎng)”（International Monetary Market-IMM），它是芝），它是芝加哥商品交易所（加哥商品交易所（Chicago Mercantile Exchange-CME）的一個(gè)分支。）的一個(gè)分支。v1982年成立了倫敦國(guó)際金融期貨交易所（年成立了倫敦國(guó)際金融期貨交易所（London International Financial Future Exchange-LIFFE），還有新加坡商品期貨交易所等。），還有新加坡商品期貨交易所等。Forward an

42、d Futures ContractsvA futures contract a standardized agreement between an individual entity and a clearing house of an organized exchange pertaining to future exchange of a good (commodity, currency, or a financial asset) at an agreed price. Features of futures/forward contractsFutures contracts tr

43、aded on an organized exchange;Futures contracts have standardized contract terms while forward contracts are tailor-made to the customers;Given the well-capitalized clearing house, the risk of a future default by the clearing house is smallBuyerClearing HouseSellervClearing Houseno middleman for for

44、ward clearing house for futures contractvDeposit Requirementno deposit: forwardmargin requirement for futuresIn the futures market, the number of contracts bought must equal the number of contracts sold. Thus, if all outstanding long and short futures market positions are considered, the total alway

45、s equals zero;Futures contract is marked-to-market;TimeActionInvestors Cash Flow_Monday MorningInvestor buys one CHF futures(a) $1,755 (initial margin)contract maturing in threedays. Price is $0.65/CHF.Monday CloseFutures price drops to (b) Investor pays:$0.649. Position is marked-125,000 x(0.65-0.6

46、49)to-market.=$125.(c) Margin a/c balance$1,755 - $125 =$1,630Tuesday CloseFutures price drops to(a) Investor pays:$0.645/CHF. Position is125,000 x(0.649-0.645)marked-to-market.=$500(b) Margin a/c balance$1,630-$500= $1,130 (below maintenance margin of $1,300).(c) Investor suppliesvariation margin o

47、f $ 625 to make up $1,755.Wed CloseFutures price rises to(a) Investor receives $0.646/CHF. Settlement125,000 x($0.646-$0.645)takes place.=$125(b)Margin a/c balance:$1,755 + $125 =$1,880.(c) Investor pays125,000 x $0.646/CHF=$80,750 (to close out)Net Cost of Hedging in FuturesNet Cost= closing Cost $

48、80,750 - fund amount returned 1,880 +variation margin 625 +initial margin paid 1,755= total Cost $81,250Unit Price:=$81,250/CHF 125,000= $0.65/CHF -same as the initial contract priceFunctions of Currency FuturesvPricingThe model to price currency futures is the same as the currency forward price, i.

49、e., via the Interest Rate Parity Theory (IRPT). It is also called the carrying cost model. If there is a sizable difference between currency forward and futures prices, arbitrage opportunities may exist.vRisk ManagementFutures contracts are commonly used as tools for risk management because the futu

50、res price movements are similar to the spot price movements.49外匯期貨合約外匯期貨合約v貨幣種類與報(bào)價(jià)。僅限于美元與另一種可自由兌換貨幣種類與報(bào)價(jià)。僅限于美元與另一種可自由兌換貨幣的交易。，包括：英鎊、加元、日元、瑞士法貨幣的交易。，包括：英鎊、加元、日元、瑞士法郎、歐元郎、歐元v合約金額標(biāo)準(zhǔn)化。合約金額標(biāo)準(zhǔn)化。IMM中規(guī)定，加元中規(guī)定，加元10萬(wàn)、日元萬(wàn)、日元1250萬(wàn)、瑞士法郎萬(wàn)、瑞士法郎12.5萬(wàn)、英鎊萬(wàn)、英鎊2.5萬(wàn)等。萬(wàn)等。v最小價(jià)格波動(dòng)和最高限價(jià)。最小價(jià)格波動(dòng)和最高限價(jià)。v交割月份與交割日期。交割月份與交割日期。 IMM

51、中規(guī)定，交割月份為每中規(guī)定，交割月份為每年年3.6.9.12月份。交割日期為到期月的第三個(gè)星期月份。交割日期為到期月的第三個(gè)星期的星期三。的星期三。50外匯期貨市場(chǎng)的組成外匯期貨市場(chǎng)的組成v交易所。制定交易規(guī)則，監(jiān)督管理交易活動(dòng)及發(fā)布交易所。制定交易規(guī)則，監(jiān)督管理交易活動(dòng)及發(fā)布信息，提供交易場(chǎng)所與設(shè)施，以維持期貨市場(chǎng)的正信息，提供交易場(chǎng)所與設(shè)施，以維持期貨市場(chǎng)的正常運(yùn)轉(zhuǎn)。常運(yùn)轉(zhuǎn)。v清算所。負(fù)責(zé)期貨合同的交易與登記。清算所是期清算所。負(fù)責(zé)期貨合同的交易與登記。清算所是期貨合同買賣的中價(jià)，既是賣方又是買方，清算所承貨合同買賣的中價(jià)，既是賣方又是買方，清算所承擔(dān)信用風(fēng)險(xiǎn)。擔(dān)信用風(fēng)險(xiǎn)。v期貨傭金商。必

52、須是經(jīng)注冊(cè)登記的期貨交易所會(huì)員。期貨傭金商。必須是經(jīng)注冊(cè)登記的期貨交易所會(huì)員。收取傭金。收取傭金。v市場(chǎng)參加者。包括套期保值者（市場(chǎng)參加者。包括套期保值者（Hedger）和投機(jī)）和投機(jī)者（者（Speculator）兩種。）兩種。51外匯期貨交易與遠(yuǎn)期外匯交易的區(qū)別外匯期貨交易與遠(yuǎn)期外匯交易的區(qū)別v交易市場(chǎng)不同。外匯期貨交易是在有形市場(chǎng)；遠(yuǎn)期外匯交易是在無(wú)形市交易市場(chǎng)不同。外匯期貨交易是在有形市場(chǎng)；遠(yuǎn)期外匯交易是在無(wú)形市場(chǎng)。場(chǎng)。v合同標(biāo)準(zhǔn)不同。外匯期貨交易合約是標(biāo)準(zhǔn)化的；遠(yuǎn)期外匯交易合約由雙合同標(biāo)準(zhǔn)不同。外匯期貨交易合約是標(biāo)準(zhǔn)化的；遠(yuǎn)期外匯交易合約由雙方協(xié)商確定。方協(xié)商確定。v市場(chǎng)參與者不同。外

53、匯期貨交易參與者可以是金融機(jī)構(gòu)、企業(yè)、公司和市場(chǎng)參與者不同。外匯期貨交易參與者可以是金融機(jī)構(gòu)、企業(yè)、公司和個(gè)人；遠(yuǎn)期外匯交易一般是大公司。個(gè)人；遠(yuǎn)期外匯交易一般是大公司。v保證金不同。外匯期貨交易必須交足保證金；遠(yuǎn)期外匯交易一般不收保保證金不同。外匯期貨交易必須交足保證金；遠(yuǎn)期外匯交易一般不收保證金。證金。v結(jié)算制度不同。外匯期貨交易采取每日結(jié)算制度；遠(yuǎn)期外匯交易在到期結(jié)算制度不同。外匯期貨交易采取每日結(jié)算制度；遠(yuǎn)期外匯交易在到期日進(jìn)行結(jié)算。日進(jìn)行結(jié)算。v信用風(fēng)險(xiǎn)不同。外匯期貨交易信用風(fēng)險(xiǎn)小、價(jià)格風(fēng)險(xiǎn)大；遠(yuǎn)期外匯交易信用風(fēng)險(xiǎn)不同。外匯期貨交易信用風(fēng)險(xiǎn)小、價(jià)格風(fēng)險(xiǎn)大；遠(yuǎn)期外匯交易信用風(fēng)險(xiǎn)大、價(jià)格

54、風(fēng)險(xiǎn)也大。信用風(fēng)險(xiǎn)大、價(jià)格風(fēng)險(xiǎn)也大。v交割義務(wù)不同。外匯期貨交易絕大部分（交割義務(wù)不同。外匯期貨交易絕大部分（95%左右）每日結(jié)算，左右）每日結(jié)算，5%左左右通過(guò)買賣平倉(cāng)終止交割義務(wù)；遠(yuǎn)期外匯交易大多數(shù)在交割日用現(xiàn)匯交右通過(guò)買賣平倉(cāng)終止交割義務(wù)；遠(yuǎn)期外匯交易大多數(shù)在交割日用現(xiàn)匯交割。割。52外匯期貨交易與遠(yuǎn)期外匯交易的聯(lián)系外匯期貨交易與遠(yuǎn)期外匯交易的聯(lián)系v交易目的相同。為了防范風(fēng)險(xiǎn)或投機(jī)。交易目的相同。為了防范風(fēng)險(xiǎn)或投機(jī)。v交易市場(chǎng)相互依賴。兩個(gè)市場(chǎng)價(jià)格互相影響、交易市場(chǎng)相互依賴。兩個(gè)市場(chǎng)價(jià)格互相影響、相互依賴相互依賴53外匯期貨市場(chǎng)套期保值交易外匯期貨市場(chǎng)套期保值交易v外匯期貨市場(chǎng)套期保值交

55、易原理是利用現(xiàn)貨外匯期貨市場(chǎng)套期保值交易原理是利用現(xiàn)貨市場(chǎng)價(jià)格與期貨市場(chǎng)價(jià)格同方向、同幅度變市場(chǎng)價(jià)格與期貨市場(chǎng)價(jià)格同方向、同幅度變動(dòng)的特點(diǎn)，在外匯現(xiàn)貨市場(chǎng)與期貨市場(chǎng)做方動(dòng)的特點(diǎn)，在外匯現(xiàn)貨市場(chǎng)與期貨市場(chǎng)做方向相反、金額相等的對(duì)沖交易，以便對(duì)持有向相反、金額相等的對(duì)沖交易，以便對(duì)持有的外匯債券或債務(wù)進(jìn)行保值。的外匯債券或債務(wù)進(jìn)行保值。v外匯期貨市場(chǎng)套期保值分為賣方保值和買方外匯期貨市場(chǎng)套期保值分為賣方保值和買方保值兩種。保值兩種。54外匯期貨賣方保值外匯期貨賣方保值v例如：我國(guó)某出口公司例如：我國(guó)某出口公司8月月2日發(fā)貨，收到日發(fā)貨，收到9月月1日到期的日到期的100萬(wàn)英鎊遠(yuǎn)期匯票，該公司擔(dān)心英

56、鎊到期時(shí)匯率下降，帶來(lái)外萬(wàn)英鎊遠(yuǎn)期匯票，該公司擔(dān)心英鎊到期時(shí)匯率下降，帶來(lái)外匯風(fēng)險(xiǎn)，于匯風(fēng)險(xiǎn)，于8月月2日作外匯期貨交易保值。日作外匯期貨交易保值。v 現(xiàn)貨市場(chǎng)現(xiàn)貨市場(chǎng) 期貨市場(chǎng)期貨市場(chǎng)v8月月2日收入（買入）日收入（買入）100萬(wàn)英鎊萬(wàn)英鎊 同日賣出同日賣出40份英鎊期貨合約份英鎊期貨合約v匯票匯票 v 1=1.4900 1=1.4840v9月月1日收入英鎊現(xiàn)匯折成美元日收入英鎊現(xiàn)匯折成美元 同日買入同日買入40份英鎊合約份英鎊合約v 1=1.4600 1=1.4540 虧損虧損100（1.49-1.46）=3萬(wàn)美元萬(wàn)美元 盈利盈利100（1.4840-1.4540)=3萬(wàn)萬(wàn)55外匯期貨買方

57、保值外匯期貨買方保值v例如：我國(guó)某進(jìn)口公司例如：我國(guó)某進(jìn)口公司12月月10日預(yù)計(jì)日預(yù)計(jì)3月月10日以美元存款兌付日以美元存款兌付200萬(wàn)瑞士法郎萬(wàn)瑞士法郎進(jìn)口貨款，由于擔(dān)心瑞士法郎升值帶來(lái)外匯風(fēng)險(xiǎn)，做外匯期貨交易保值。進(jìn)口貨款，由于擔(dān)心瑞士法郎升值帶來(lái)外匯風(fēng)險(xiǎn)，做外匯期貨交易保值。v 現(xiàn)貨市場(chǎng)現(xiàn)貨市場(chǎng) 期貨市場(chǎng)期貨市場(chǎng)v12月月10日預(yù)計(jì)日預(yù)計(jì)3個(gè)月后支付個(gè)月后支付200 同日買進(jìn)同日買進(jìn)16份瑞士法郎期貨合約份瑞士法郎期貨合約v萬(wàn)瑞士法郎萬(wàn)瑞士法郎 （200/12.5）v 1=SF1.8640 v （SF1=0.5370） SF1=0.5340 3月月10日用美元買進(jìn)日用美元買進(jìn)200萬(wàn)瑞士

58、法郎萬(wàn)瑞士法郎 同日賣出同日賣出16份瑞士法郎期貨合約份瑞士法郎期貨合約v 1=SF1.8462v （SF1=0.5416） SF1=0.5386 虧損虧損200（0.5416-0.5370）=9200 盈利盈利200（0.5386-0.5340)=920056（三）外匯期權(quán)交易（三）外匯期權(quán)交易 （Option Trading）v期權(quán)交易又稱選擇權(quán)交易，是指交易者通過(guò)付出一筆較小的期權(quán)交易又稱選擇權(quán)交易，是指交易者通過(guò)付出一筆較小的費(fèi)用，便能得到一種權(quán)利，在預(yù)先商定的日期或該日期前，費(fèi)用，便能得到一種權(quán)利，在預(yù)先商定的日期或該日期前，按照預(yù)先商定的價(jià)格和數(shù)量買賣某一特定商品或金融資產(chǎn)的按照預(yù)

59、先商定的價(jià)格和數(shù)量買賣某一特定商品或金融資產(chǎn)的權(quán)利。權(quán)利。v外匯期權(quán)交易是指合同買方付出保險(xiǎn)費(fèi)或期權(quán)費(fèi)，獲得以協(xié)外匯期權(quán)交易是指合同買方付出保險(xiǎn)費(fèi)或期權(quán)費(fèi)，獲得以協(xié)定價(jià)格買賣約定數(shù)量的貨幣或放棄這種買賣的權(quán)利，合同的定價(jià)格買賣約定數(shù)量的貨幣或放棄這種買賣的權(quán)利，合同的賣方獲得期權(quán)費(fèi)并且承擔(dān)匯率波動(dòng)風(fēng)險(xiǎn)的交易。賣方獲得期權(quán)費(fèi)并且承擔(dān)匯率波動(dòng)風(fēng)險(xiǎn)的交易。v外匯期權(quán)合同的買方是有權(quán)無(wú)責(zé)，賣方是有責(zé)無(wú)權(quán)。外匯期權(quán)合同的買方是有權(quán)無(wú)責(zé)，賣方是有責(zé)無(wú)權(quán)。v外匯期權(quán)合同內(nèi)容與外匯期貨合同內(nèi)容大致相同。但有履約外匯期權(quán)合同內(nèi)容與外匯期貨合同內(nèi)容大致相同。但有履約價(jià)格、期權(quán)費(fèi)的特殊規(guī)定。價(jià)格、期權(quán)費(fèi)的特殊規(guī)定。

60、Option Markets Call and PutvCall option the right (not obligation) to buy a fixed number of underlying securities (instruments) at a specified price, called the strike price or exercise price, for a specified period of time.Call Option Payoff diagramPayoffLong call0.650.010.66 (Break-even point)Spot priceFigure 1