图表77三角套汇triangularcurrencyarbitrage.ppt

The Foreign Exchange Market Chapter 7 The Foreign Exchange Markets I. INTRODUCTION A. The Market: the place where money denominated in one currency is bought and sold with money denominated in another currency. INTRODUCTION B. International Trade and Capital Transactions: - facilitated with the ability to transfer purchasing power between countries INTRODUCTION C. Location 1. OTC-type: no specific location 2. Most trades by phone or SWIFT* *SWIFT: Society for Worldwide Interbank Financial Telecommunications 外匯市場 外匯市場並不是一個實體的場所，而是一個連結銀行、外匯經紀商與經銷商的電子網路。 主要銀行互相交易的批發市場。 即期市場： 在交易完成後的兩個營業日內完成交割。 佔市場的33% 遠期市場佔11% 換匯交易56% 交易通常是透過電話、電報或SWIFT系統來進行的。 PART II. ORGANIZATION OF THE FOREIGN EXCHANGE MARKET I . PARTICIPANTS IN THE FOREIGN EXCHANGE MARKET A. Participants at 2 Levels 1. Wholesale Level (95%) - major commercial banks 2. Retail Level - banks dealing for business customers. ORGANIZATION OF THE FOREIGN EXCHANGE MARKET B. Two Types of Currency Markets 1. Spot Market: - immediate transaction - recorded by 2nd business day 2. Forward Market: - transactions take place at a specified future date ORGANIZATION OF THE FOREIGN EXCHANGE MARKET C. Participants by Market 1. Spot Market a. Commercial banks b. Brokers c. Customers of commercial banks d. Central banks ORGANIZATION OF THE FOREIGN EXCHANGE MARKET 2. Forward Market a. Arbitrageurs (holds currency) b. Speculators c. Hedgers 遠期市場主要參與者 套利者(arbitrageurs) 希望利用不同國家間的利率差異來賺取無風險利潤。 交易者(traders) 使用遠期合約來消除或彌補以外幣計價的進出口訂單可能產生損失的風險。 避險者(hedgers) 大多為多國籍企業 為了保護其資產負債表內以外國貨幣計價、且在遠期合約到期前不會被變賣的各種資產與負債，換算成母國貨幣後的價值。 投機者(speculators) 透過買賣遠期貨幣的方式，積極地將自己暴露於貨幣風險中，以期能從匯率的波動中獲利。 ORGANIZATION OF THE FOREIGN EXCHANGE MARKET II. SIZE OF THE CURRENCY MARKET A. Largest in the world (1999): $1.5 trillion daily B. Market Centers (1998): London = $637 billion daily