学习提纲：
开放经济下的宏观经济学+ 国际金融市场+ 跨国公司财务管理
国际货币体系外汇市场国际直接投资
国际收支平衡货币市场外汇风险管理
金融危机资本市场跨国公司资产负债管理
金融衍生工具市场
国际银行业
考试题型：名词解释5×4=20
简答题6×10=60
论述题1×20=20（二选一）
Lecture 2 The International Monetary System （国际货币体系）
Readings P25-33 P39-45 P53-54
考点：国际货币体系的演变过程格雷欣法则金本位制的优缺点布雷顿森林体系内容3种汇率制度特里芬难题牙买加协议广场协议罗浮宫协议三元悖论
International Monetary System
●International monetary system can be defined as the institutional framework
in which international payments are made, movements of capital are accommodated , and exchange rates among currencies are determined.
●It is a complex whole of arrangements, rules, institutions, mechanisms, and
policies regarding exchange rates, international payments, and the flow of capital.
Evolution of the International Monetary System（演变过程）
●Bimetallism （复本位）: Before 1875
●Classical Gold Standard（金本位）: 1875-1914
●Interwar Period: 1915-1944 （两次世界大战期间，没有固定货币体系）
●Bretton Woods System（布雷顿森林体系）: 1945-1972
●The Flexible Exchange Rate Regime（浮动汇率制度）: 1973-Present
Bimetallism: Before 1875
●Grasham’law phenomenon(格雷欣法则) has only made the less valuable metal to
circulate.
Classical Gold Standard: 1875-1914
●During this period in most major countries:
⏹Gold alone was assured of unrestricted coinage
⏹There was two-way convertibility between gold and national currencies at a
stable ratio.
⏹Gold could be freely exported or imported.
●The exchange rate between t wo country’s currencies would be determined by their
relative gold contents.
Classic Gold Standard
●For Example:
●If 1 ounce gold=12Francs
● 1 ounce gold=6pounds
●Then 1pound=2Francs
Advantages of the Gold Standard:（优点）
●Highly stable exchange rates under the classical gold standard provided an
environment that was conducive to international trade and investment.（没有外汇风险，有利于国际投资和国际贸易）
●Misalignment of exchange rates and international imbalances of payment were
automatically corrected by the price-specie-flow mechanism.
●There are shortcomings:（缺点）
●The supply of newly minted gold is so restricted that the growth of world trade
and investment can be hampered for the lack of sufficient monetary reserves.
货币价值与黄金挂钩，而世界的黄金储存量是有限的，黄金的供给不足，严
重阻碍了国际投资和贸易，最终导致了金本位的崩溃。
）
●金本位制通行了约100年，其崩溃的主要原因有：
●第一，黄金生产量的增长幅度远远低于商品生产增长的幅度，黄金不能满
足日益扩大的商品流通需要，这就极大地削弱了金铸币流通的基础。
●第二，黄金存量在各国的分配不平衡。
1913年末，美、英、德、法、俄
五国占有世界黄金存量的三分之二。
黄金存量大部分为少数强国所掌握，必然导致金币的自由铸造和自由流通受到破坏，削弱其他国家金币流通的基础。
●第三，第一次世界大战爆发，黄金被参战国集中用于购买军火，并停止自
由输出和银行券兑现，从而最终导致金本位制的崩溃。
Bretton Woods System: 1945-1972（以美元为基础的金本位制）
●Under the Bretton Woods system, the U.S. dollar was pegged to gold at $35 per ounce
and other currencies were pegged to the U.S. dollar.
●Each country was responsible for maintaining its exchange rate within ±1% to ±
2.25% of the adopted par value by buying or selling foreign reserves as necessary.
●The Bretton Woods system was a dollar-based gold exchange standard.
●Collapse of the System
⏹Triffin Paradox（特里芬难题）
⏹The rapid development of Germany, France and Japan
The Flexible Exchange Rate Regime: 1973-Present.各国自主决定本国的汇率制度（协议要关注）
●The flexible exchange rate regime was ratified after the settlement of the Jamaica
Agreement（牙买加协议）in 1976.
⏹Flexible exchange rate were declared to IMF members, and central banks were
allowed to intervene in the exchange market.
⏹Gold was officially abandoned as an international reserve.
⏹Non-oil-exporting countries and less developed countries were given great
access to IMF funds
●Jamaica Agreement牙买加协议
●内容：
●（1）浮动汇率合法化
●（2）黄金非货币化
●（3）提高特别提款权的国际储备地位
●（4）扩大对发展中国家的资金融通
●（5）增加会员国的基金份额
●Plaza Accord（广场协议）: In Sept.1985, the so-called G5 countries reached Plaza
Accord. They agreed that it would be desirable for the dollar to depreciate against most major currencies to solve the US trade deficit.
●Louvre Accord:（卢浮宫协议）To address the problem of exchange rate volatility , the
G-7 countries signed the Louvre Accord.This marked the inception of the managed-float system .
●该协议的主要约定是：
●1、日本和西德等实施刺激内需计划，美国进一步削减财政赤字。
●2、G7国家加强外汇市场“干预协调”，秘密保持美元对日元和马克汇率的非正
式浮动区，如果汇率波动超出预期目标5％，各国要加强合作干预。
●该协议的主要精神是：
●1、七大工业国应共同合作来稳定汇率。
●2、七大工业国建立共同磋商机制，协调各国的宏观经济政策。
●该协议的结果：
●卢浮宫协议后，国际主要货币汇率在近两年多的时间里保持基本稳定，没有发
生太大动荡。
Current Exchange Rate Arrangements （汇率制度包括：固定汇率制度，浮动汇率制度，钉住汇率制度）
●The Fixed （固定汇率）
●The floating（浮动汇率）
⏹Free floating（完全自由浮动汇率）
⏹Managed floating（有管理的浮动汇率）
●The Pegged System（钉住汇率制度）
⏹Currency Board
⏹Pegged within crawling bands（爬行钉住汇率）
⏹Pegged within horizontal bands（钉住幅度汇率制）
⏹…..
●The Trilemma by Mundell:（蒙代尔三角形，三元悖论）
⏹When money can move freely across borders, policy markers must choose
between exchange-rate stability and an independent monetary policy. They
can’t have both.
●根据蒙代尔的三元悖论，一国的经济目标有三种：：①各国货币政策的独立性；
②汇率的稳定性；③资本的完全流动性。
这三者，一国只能三选其二，而不
可能三者兼得。
例如，在1944年至1973年的“布雷顿森林体系”中，各国“货
币政策的独立性”和“汇率的稳定性”得到实现，但“资本流动”受到严格限制。
而1973年以后，“货币政策独立性”和“资本自由流动”得以实现，但“汇率稳定”
不复存在。
“永恒的三角形”的妙处，在于它提供了一个一目了然地划分国际经济体系各形态的方法。
●【三者之间的选择关系】
●根据三元悖论，在资本流动，货币政策的有效性和汇率制度三者之间只能
进行以下三种选择：
●(1)保持本国货币政策的独立性和资本的完全流动性，必须牺牲汇率的稳
定性，实行浮动汇率制。
这是由于在资本完全流动条件下，频繁出入的国内外资金带来了国际收支状况的不稳定，如果本国的货币当局部进行干预，亦即保持货币政策的独立性，那么本币汇率必然会随着资金供求的变化而频繁的波
动。
利用汇率调节将汇率调整到真实反映经济现实的水平，可以改善进出口收支，影响国际资本流动。
虽然汇率调节本身具有缺陷，但实行汇率浮动确实较好的解决了“三难选择”。
但对于发生金融危机的国家来说，特别是发展中国家，信心危机的存在会大大削弱汇率调节的作用，甚至起到恶化危机的作用。
当汇率调节不能奏效时，为了稳定局势，政府的最后选择是实行资本管制。
●(2)保持本国货币政策的独立性和汇率稳定，必须牺牲资本的完全流动性，
实行资本管制。
在金融危机的严重冲击下，在汇率贬值无效的情况下，唯一的选择是实行资本管制，实际上是政府以牺牲资本的完全流动性来维护汇率的稳定性和货币政策的独立性。
大多数经济不发达的国家，比如中国，就是实行的这种政策组合。
这一方面是由于这些国家需要相对稳定的汇率制度来维护对外经济的稳定，另一方面是由于他们的监管能力较弱，无法对自由流动的资本进行有效的管理。
●(3)维持资本的完全流动性和汇率的稳定性，必须放弃本国货币政策的独
立性。
根据蒙代尔-弗莱明模型，资本完全流动时，在固定汇率制度下，本国
货币政策的任何变动都将被所引致的资本流动的变化而抵消其效果，本国货币丧失自主性。
在这种情况下，本国或者参加货币联盟，或者更为严格地实行货币局制度，基本上很难根据本国经济情况来实施独立的货币政策对经济进行调整，最多是在发生投机冲击时，短期内被动地调整本国利率以维护固定汇率。
可见，为实现资本的完全流动与汇率的稳定，本国经济将会付出放弃货币政策的巨大代价。
Lecture 3 The Balance of Payments (国际收支平衡)Readings P59-72
考点：国际收支平衡项目表
Balance of Payments Statements
●The Bal ance of Payments is the statistical record of a country’s international
transactions over a certain period of time presented in the form of double-entry bookkeeping.
N.B. when we say “a country’s balance of payments” we are referring to the transactions of its citizens and government.
●The balance of payments accounts are those that record all transactions between the
residents of a country and residents of all foreign nations.
●They are composed of the following:
●The Current Account（经常项目）
●The Capital Account（资本项目）
●Statistical Discrepancy（错误遗漏）
●The Official Reserves Account（官方储备账户）
国际收支账户中经常账户、资本账户和错误遗漏的累计值称为总余额或官方结算余额。
如果为“+”，则是顺差，表明在一定时期内一国流入的外汇大于流出的外汇，国家外汇
储备增加。
如果为“—”，则是逆差，表示在一定时期内，一国流入的外汇小于流出的外汇，要动用国家外汇储备，外汇储备减少。
为什么美国经常项目的逆差会这么大？有什么影响？结合实际进行分析。
（国际收支不平衡的原因）
The Capital Account
Question 1
●Since the early 1980s, foreign portfolio investors have purchased a significant portion
of U.S treasury bond issues. Discuss the short-term and long-term effects of foreigners’ portfolio investment on the U.S. balance of payments.
5 possible factors which causes the imbalance of Payments
●The effects of Economic Development Period
●National Income
●Economic Structure
●The Currency factors
●Accidental factors
The Influences of the Imbalance of Payments
●The Influences of the BOP Deficit
⏹The BOP deficit means the more capital outflow than the capital inflow, thus it
would increase the demand of the foreign currency, bringing out the
depreciation of one country’s currency.
⏹If the imbalance of the BOP is caused by the current account deficit, the
economic development will slows down and unemployment will increase.
⏹If the imbalance of the BOP is caused by the capital account deficit, it will
increase the interest level, slows down the economy development. Question 2
●Comment on the f ollowing statement: “since the US imports more than it exports, it is
necessary for the US to import capital from foreign countries to finance its current account deficits”.
Questions
●A) The US has experienced continuous current account deficits since early 1980s. What
do you think are the main causes for the deficits? What would be the consequences of continuous US current account deficits?
●B) In contrast to the US, Japan has realized continuous current account surpluses. What
would be the main cause for these surpluses? Is it desirable to have continuous current account surpluses?
The Adjustments of Imbalance of Payments
●Fiscal Policy
⏹The government adopts tax reduction policy to encourage export.
⏹The government affects the BOP through fiscal expenditure policies.
●Currency Policy
⏹The reserve ratio policy
⏹The discount policy
⏹The direct intervention.
The forex exchange policy
Lecture 4 The International Reserve and China’s International Reserve Management （中国的国际外汇储备）
考点：国际储备包括黄金和外汇，中国的外汇储备主要是外汇。
论述题（其中之一，论述题二选一作答）：中国的外汇储备是怎样增加的？为什么会增加？有何影响？要如何进行管理？（除了了解课件的内容，还要准备其他材料，请自行查阅相关的资料）
The International Reserve Account
●The international reserve account includes all the assets undertaken by the authorities
to finance the overall balance and intervene in the foreign exchange markets.
●International Liquidity refers to the country’s capability to maintain the
balance of payments and the exchange rate without any special adjustments which will influence the country’s economic well-being.
●Official reserves assets is composed of
●Gold
●Foreign exchange
●Special Drawing Rights
●Reserve positions in the IMF
China’s Forex Reserve Management（中国外汇储备管理）
Until June of 2007, China’s forex reserve has exceeded 1.3trillion U.S.Dollar
●Debate on China’s forex reserve scale
⏹Som e think China’s current reserve scale is unreasonable.
⏹The others hold that it is reasonable.
How to decide the forex reserve scale?
Normally, the following ratio is used to decide whether one country’s forex reserve scale is reasonable.
●Reserve/Imports: 30-40%
●Reserve/GDP: 8%
●Reserve/Foreign debt: 30%
China’s Forex Reserve Scale
However, most people hold that China’s forex reserve scale is reasonable since
●China’s special economic conditions
●It’s the result of BCA and BKA surplus, not the government’s special policy.
● A significant part of the reserve is foreign debt which should be return in
future years.
●Some hold that China’s reserve level is too high and it has some adverse effects.
●The high opportunity costs
●The possibility to loss the IMF loans
●The RMB appreciation pressure
●The possibility of inflation
●The foreign exchange and interest risks
The Current Situation of China’s forex reserve management
● A large part of the reserve is U.S.Dollar.
●About 80% is used in purchasing US treasury bond.
China’s Forex Reserve Management
●Some suggestions are raised
⏹Make proper use of the reserve
◆Encourage foreign investment
◆Encourage investment in resources, like petroleum, and minerals
⏹Reduce the portion of USD and adjust the reserve structure
⏹Further promote the opening of the capital market
⏹Promote the foreign exchange system reform and fulfill the complete
convertibility of RMB currency.
Lecture 5 The Market for Foreign Exchange（外汇市场）Readings P106-117
P123-124
考点：什么是买入价？卖出价？如何计算？何时用买入价？何时用卖出价？
三种套汇方式是什么？（两角套汇三角套汇套利保值）
The Forex market is an over-the-counter market
How is the Forex Market Like?
●Normally forex market is divided into
⏹Spot Market
⏹Forward Market
The Bid-Ask Spread
●The bid price(买入报价) is the price a dealer is willing to pay you for something.
●The ask price（卖出报价）is the amount the dealer wants you to pay for the thing.
●The bid-ask spread is the difference between the bid and ask prices.
●Banks provide foreign exchange services for a fee: the bank’s bid(buy) quote for a
foreign currency will be less than its ask (sell) quote. This is the bid/ask spread.
●bid/ask % spread =ask rate – bid rate
ask rate
●Example: Suppose bid price for £ = $1.52, ask price = $1.60.
bid/ask % spread = (1.60–1.52)/1.60 = 5%
●The bid/ask spread is normally larger for those currencies that are less frequently
traded.
●The spread is also larger for “retail” transactions than for “wholesale” transactions
between banks or large corporations.
Spot Trading Example
●Assume you have $1,000, and also assu me that the bank’s bid rate is 1 £ =$1.52, ask
rate is
● 1 £ =$1.60, how much will you get if you change USD into pound sterling? How much
will you get if you change it back into USD?
●Assume you have $1,000, and also assume that the bank’s bid rate is 1 £ =$1.52, ask
rate is 1GBP=$1.60,
●If changed to £, you will get:
$1,000/1.60=625GBP
●If you change back to USD, you will get:
625x1.52=$950
●Due to bid/ask spread, you have $50 less than you started with.
Locational Arbitrage (两角套汇)
●Locational arbitrage is possible when a bank’s buying price (bid price) is higher than
another bank’s selling price (ask price) for the same currency.
●Example:
Bank C Bid Ask Bank D Bid Ask
NZ$ $.635 $.640 NZ$ $.645 $.650
Buy NZ$ from Bank C @ $.640, and sell it to Bank D @ $.645. You make profit.
●In the previous example, the high demand for NZD at bank C will cause shortage of
NZD. As a result, Bank C will raise its ask price for NZD.
●The excess supply of NZD at bank D will force Bank D to lower its bid price.
●As the currency prices are adjusted, gains from locational arbitrage will be reduced.
1.Assume the following information:
●Bank X Bank Y
●Bid price of NZD $0.401 $0.398
●Ask price of NZD $0.404 $0.400
Given this information, is locational arbitrage possible? If so, explain the steps involved in locational arbitrage, and compute the profit if you had $1,000,000 to use.
2. Based on the information in the previous question, how would market forces would occur to eliminate any further possibilities of locational arbitrage?
Triangular Arbitrage（三角套汇）
三角套汇又称间接套汇，是指套汇者利用三个以上不同地点的外汇市场在同一时间内存在的货币汇率差异，同时在这些市场上买贱卖贵，套取汇率差额收益的交易行为。
●Triangular arbitrage is possible when a cross exchange rate quote differs from the rate
calculated from spot rates.
●Example:Quote
British pound (£) $1.60
MYR $.200
£ MYR8.1
Suppose you have $10,000. Buy £ at $1.60, sell £ for MYR, then sell MYR for dollars, and you
make money.
●The profit differs if the bid/ask spread is considered.
●Example:Bid Ask
British pound (£) $1.60 $1.61
MYR $.200 $.201
£ MYR8.1 MYR8.2
Buy £ @ $1.61, convert @ MYR8.1/£, then sell MYR @ $.200. You then make a profit.
1.Determine the number of pounds received for your dollars: $10,000=£6,250,
based on the bank’s quote of $1.60 per pound.
2.Determine how many ringgit you will receive in exchange for pounds: $6,250=MYR50,625, based on the bank’s quote of 8.1 per pound.
3. Determine how many USD you will receive in exchange for ringgit: MYR50,625=$10,125 based on the bank’s quote of 0.20 per rig git (5 ringgit to the dollar). The triangular arbitrage strategy generates $10,125, which is $125 more than you start with.
Realignment to Triangular Arbitrage
●Participants use dollars to purchase pounds
Bank increases its ask price of pounds with respect to the dollar.
●Participants use pounds to buy Riggint
-- Bank reduces its bid price of pounds with respect to the riggint, that is, it reduces the number of ringgit to be exchanged per pounds received.
●Participants use ringgit to buy Dollars.
-- Bank reduces its bid price of ringgit with respect to the dollar.
Triangular Arbitrage Exercise
●Assume the following information for a particular bank:
●Quoted price
Value of C$ $0.90
Value of NZD $0.30
Value of C$ in NZD NZD3.02
Given this information, is triangular arbitrage possible? If so, explain the steps, and compute the profit from this strategy if you had $1,000,000 to use.
Covered Interest Arbitrage（套利保值）
套期保值是指把期货市场当作转移价格风险的场所，利用期货合约作为将来在现货市场上买卖商品的临时替代物，对其现在买进准备以后售出商品或对将来需要买进商品的价格进行保险的交易活动。
●Covered interest arbitrage is the process of capitalizing on the interest rate differential
between two countries, while covering for exchange rate risk.
●Covered interest arbitrage tends to force a relationship between forward rate
premiums and interest rate differentials.
●Example:
You have $800,000 to invest.
£ spot rate=$1.60
£ 90-day forward rate is = $1.60
90-day interest rate in the US is 2%
90-day interest rate in the UK= 4%
●Solutions:
1.Convert $800,000 to £500,000 at $1.60/ £
2.Set up a 90 day contract simutaneously
3. By the time the deposit matures, you have 500,000x1.04= £520,000
4. Convert £520,000 to £832,000 at £1=1.60$ The return is (832,000-800,000)/800,000=4%
Equilibrium from Covered Interest Rates
●Use dollars to purchase pounds in the spot market
⏹---Upward pressure on the spot rate of pounds.
●Engage in a forward contract to sell pounds
⏹---Downward pressure on the forward rate of the pound
●Invest funds from the US in the United Kingdom
⏹---Possible upward pressure on US interest rates and downward pressure on
British interest rates.
●If adjustment in exchange rates due to covered interest arbitrage happens as follows,
further efforts to conduct covered interest arbitrage no longer provides a higher return than the prevailing US interest rates.
Original Value Current value
Pound spot $1.60 $1.62
Pound forward $1.60 $1.5888
●Convert $800,000 to pounds:
⏹800,000/1.62= £ 493,827
2.Accumulated pounds in 90 days at 4%:
⏹493,827x1.04= £513,580
3. Reconvert pounds to dollars in 90 days
⏹513,580x1.5888=$815,976
The yield from covered interest arbitrage:(815,976-800,000)/800,000=2%
International Arbitrage
●Locational arbitrage ensures that quoted exchange rates are similar across banks in
different locations.
●Triangular arbitrage ensures that cross exchange rates are set properly.
●Covered interest arbitrage ensures that forward exchange rates are set properly.
●Any discrepancy will trigger arbitrage, which will then eliminate the discrepancy.
Arbitrage thus makes the foreign exchange market more orderly.
Exercise of Covered Interest Arbitrage
●The one- year interest rate in New Zealand is 6%. The one-year US interest rate is 10%.
The spot rate of the NZD is $0.50 . The forward rate of the NZD is $0.54.
●If a US investor has $1,000,000 to invest, is covered interest arbitrage feasible?
●If a New Zealand investor has NZD1,000,000 to invest, is covered interest arbitrage
possible?
Lecture 6 The Foreign Exchange Rate Determinants（决定汇率市场波动
的因素）Readings P141-149
考点：汇率为什么会变化？重点关注购买力平价理论（假设内容局限性和原因）
影响汇率波动的因素包括：利率和通货膨胀率。
决定汇率波动的几种因素：
购买力平价理论认为决定汇率变动的主要因素是国家间通货膨胀率的差异，如果本国的通货膨胀率高于外国，则本币会贬值。
国际收支理论认为，在外汇市场上，国际收支顺差表现为外汇的供给大于外汇的需求，则外币贬值，本币升值；国际收支逆差变现为外汇的供给小于外汇需求，则外币升值，本币贬值。
利率平价认为，汇率的远期升贴水率等于两国货币的利率之差；利率高的货币远期会贴水，利率低的货币远期会升水。
这是因为，当两个国家的利率存在差异，市场上的投资者会通过套利行为获取收益，汇率的变动也会反映在而套利行为之中。
超调理论注重分析汇率的短期变化和预期因素对汇率变动的影响。
Equilibrium Exchange Rate
●An exchange rate represents the price of a currency, which is determined by the
demand for that currency relative to the supply for that currency.
Main Contents
●Purchasing Power Parity（购买力平价理论）
●Interest Rate Parity （利率平价理论）
●The Fisher Effects （费雪理论）
Purchasing Power Parit（关注其假设条件内容局限性和原因）
●The theory of purchasing power parity(PPP) is based on the The law of one price.
●The law of one price states that one basket of goods should cost the same regardless of
the currency in which it is sold.
•Absolute Purchasing Power Parity（绝对购买力平价理论）两国货币间的汇率等于两国的间价格水平之比
●Absolute Purchasing Power Parity states that the exchange rate between two
currencies should equal the ratio of the countries’ price levels.
S($/£) = P$ ÷P£
● E.g. The standard basket of goods costs $225 in the US, and £150 in the UK, the
exchange rate between $ and £ is:
●S=$225/ £ 150=$1.5/ £
●Relative Purchasing Power Parity （相当购买力平均理论）两国货币间的汇率等于两
国通货膨胀率之差
●Relative Purchasing Power Parity states that the rate of change in an exchange rate is
equal to the differences in the rates of inflation.
e = π$ - π£
Alternatively, suppose the base year price index is identical between two countries, the equilibrium exchange rate at t:
S t =S0 (P h t /P f t)
If U.S. inflation is 5% and U.K. inflation is 8%, the pound should depreciate by 3%.
●Suppose that the rate of sterling and USD at the beginning of the year is at USD1.50/ £
●Over the year the inflation rate in the UK is 15%,
the same basket costs £11,500 at the end of the year.
●US prices rose by 3% and the US domestic cost of a basket will be USD15,450.
●If the exchange rate remains at $1.50/ £:
● A UK consumer has two choices: to buy £11,500 of UK produced goods or exchange
£11,500 into dollars and buy US goods.
●£11,500 will buy $17,250 at $1.50/ £, more than one basket.
●As the inflation rate difference is 15%-3%=12%
$/ £1 =$/£0 x(1-12%)=1.5x0.88=1.32
The US dollar appreciates against sterling by about 12%. A basket of goods costing USD 15,450 in the USA has a sterling cost of 15,450/1.32= £11,500and thus PPP maintained.
对购买力平价理论的评价：
Does PPP hold True?
●PPP holds better in the following circumstances:
⏹Long run rather than short run
⏹Geographically close countries
⏹When the country has a very high inflation rate-PPP becomes dominant.
⏹For traded goods rather than non-traded goods( inflation index based on
traded goods only)
●Long run-Yes.
●Short run-rarely
●Why doesn't it work all the time?
⏹It only applies to goods freely traded internationally
(there are non-traded goods, transportation fee, and trade barriers).
⏹Speculation
⏹Government’s manage exchange rate.
⏹Many other factors like FDI, portfolio investment.
Why is PPP still widely used？
●One can use PPP determined exchange rate as a benchmark in judging whether a
country’s currency is undervalued or overvalued.
●One can use PPP determined exchange rate in getting more meaningful international
comparison of economic data.
Equilibrium Exchange Rate Relationships
Factors that Influence Exchange Rates
Government Controls
Other Factors that Influence Exchange Rates
Expectations
Interaction of Factors
Performance of the Forecasters
Lecture 7 The International Money Market （货币市场）
Readings Chapter 11
考点：国际银行业国际银行业的《巴塞尔协议》资本充足率
欧洲货币市场是什么？如何发展起来的？要如何评价？
远期利率协议：防范利率风险投机
辛迪加贷款
Main Contents
●International Banking
●International Money Market
●International Debt Crisis
International Banking Services
●International Banks do everything domestic banks do and:
⏹Arrange trade financing.
⏹Arrange foreign exchange.
⏹Offer hedging services for foreign currency receivables and payables through
forward and option contracts.
⏹Offer investment banking services (where allowed).
●Low Marginal Costs
●Knowledge Advantage
●Home Nation Information Services
●Prestige
●Regulatory Advantage
●Wholesale Defensive Strategy
●Retail Defensive Strategy
●Transactions Costs
●Growth
●Risk Reduction
Types of International Banking Offices
●Correspondent Bank（往来业务）
●Representative Offices（代表处）
●Foreign Branches（国外分行）
●Subsidiary and Affiliate Banks（子银行和联营银行）
●Edge Act Banks （埃奇法案银行）
●Offshore Banking Centers（离岸金融中心）
●International Banking Facilities（国际银行便利）
Capital Adequacy Standards（资本充足率）
●Bank capital adequacy refers to the amount of equity capital and other securities a
bank holds as reserves against risky assets to reduce the probability of a bank failure.
●In a 1988 agreement known as the Basle Accord（巴塞尔协议）, the Bank for
International Settlement(BIS) established a framework for measuring bank capital adequacy. 8% is stipulated as the minimum rate.
●There are various standards and international agreements regarding how much bank
capital is “enough” to ensure the safety and soundness of the banking system.
●While traditional bank capital standards may be enough to protect depositors from
traditional credit risk, they may not be sufficient protection from derivative risk.
●For example, Barings Bank, which collapsed in 1995 from derivative losses, looked
good on paper relative to capital adequacy standards.
●Basel II（巴塞尔协议II）is based on three mutually reinforcing pillars: minimum capital
requirements, a supervisory review process, and the effective use of market discipline.
●With respect to the first pillar ( the minimum capital requirements), bank capital is
defined as per 1988 accord, but the minimum 8% ratio is calculated on the sum of the bank’s credit, market, and operational risk.
●The second pillar is designed to ensure that each bank has a sound internal process in
place to properly assess the adequacy of its capital based on a thorough evaluation.
●The third pillar is designed to complement the other two. It is believed that public
disclosure of key information will bring market discipline to bear on banks and supervisors to better manage risk and improve bank stability.
International Money Market
欧洲货币：Eurocurrency is a time deposit in an international bank located in a country different than the country that issued the currency.
欧洲货币是指货币发行国之外的国际银行所拥有的该货币的定期存款。
For example, Eurodollars are U.S. dollar-denominated time deposits in banks located abroad.如：欧洲美元是在美国以外的美元
Euroyen are yen-denominated time deposits in banks located outside of Japan.
欧洲日元是日本外的日圆
The foreign bank doesn’t have to be located in Europe.
Eurocurrency Market（欧洲货币市场）
●Most Eurocurrency transactions are interbank transactions in the amount of
$1,000,000 and up. 大多数的欧洲货币的交易都是金额在一百万以上的银行间拆借。
●Common reference rates include
⏹LIBOR the London Interbank Offered Rate 伦敦同业银行拆借利率
⏹PIBOR the Paris Interbank Offered Rate 巴黎同业银行拆借利率
⏹SIBOR the Singapore Interbank Offered Rate 新加波同业银行拆借利率
A new reference rate for the new euro currency
⏹EURIBOR the rate at which interbank time deposits of are
offered by one prime bank to another.
●欧洲货币市场是怎样发展起来的：
●由于英美等主要资本主义国家实行严格的外汇管制措施，国际金融市场发展步伐放
慢。
此时，美国国际收支出现持续巨额逆差，黄金外流，美元的国际信用开始动摇，美国的资金外逃严重，美国被迫采取了一些限制资本外逃的措施，导致大量美元为逃避管制而纷纷流向境外金融市场，形成了“欧洲美元市场”。
后来，由于类似的原因，又出现了“欧洲英镑市场”，“欧洲西德马克市场”等其他欧洲货币市场，与欧洲美元市场一起统称为欧洲货币市场。
因此，欧洲货币市场是在欧洲美元市场的基础上发展起来的，交易对象也主要是欧洲美元。
●欧洲货币市场业务的作用：对国际资本的流动产生了巨大的作用。
●正面的：为国际企业融资提供了更大的空间，对国际企业的发展起了促进作用，因
为存贷款的利差小，存款的利率高，贷款的利率低，促进了国际资本的流动。
●反面的：是一个没有管理的市场，因为欧洲货币市场不属于任何一个国家，对国际
经济的发展非常不利，引起资本的进出和国际金融市场的动荡，减少了国家的自主性，这样是的欧洲货币市场的功效大打折扣。
Euro credits(欧洲信贷)：关注辛迪加贷款
●Eurocredits are short- to medium-term loans of Eurocurrency.
●The loans are denominated in currencies other than the home currency of the
Eurobank.
●Eurocredits feature an adjustable rate. On Eurocredits originating in London the base
rate is LIBOR.
●Because eurocurrency loans are frequently too large for a single bank to handle,
Eurobanks will band together to form a bank lending syndicate（辛迪加贷款）to share the risk.
●The lending rate on these credits is stated as LIBOR+X%
Rollover pricing is created on Eurocredits so that eurobanks do not end up paying more on time deposits than they earn from the loans. 由于对于一个银行来说贷款数额通常很大，许多银行一起建立一个辛迪加贷款来共担风险。
Eurocredits Example
●Teltrex international can borrow $3,000,000 at LIBOR plus a lending margin of 0.75
percent per annum on a three-month rollover basis from Barclays in London. Suppose that three-month LIBOR is currently 5 17/32 percent. Further suppose that over the second three-month interval LIBOR falls to 5 1/8 percent. How much will Teltrex pay in interest to Barclays over the six-month period for the Eurodollar loan?
Exercises
●Grecian Tile Manufacturing of Athens, Georgia, borrows $1,500,000 at LIBOR plus a
lending margin of 1.25 percent per annum on a six-month rollover basis from a London bank. If six-month LIBOR is 4 ½percent over the first six-month interval and 5 3/8 percent over the second six-month interval, how much will Grecian Tile pay interest over the first year of its Eurodollar loan?
Forward Rate Agreements(FRAs)（远期利率协议）
●FRAs are useful devices for hedging future interest rate risks.（防范外汇风险）
●They are agreements about the future level of interests.
●The rate of interest at some point in the future is compared with the level agreed when
the FRA was established.
●The compensation is paid by one party to the other based on the difference.
●An interbank contract that involves two parties, a buyer and a seller.
●The buyer agrees to pay the seller the increased interest cost on a notational amount if
interest rates fall below an agreed rate.
●The seller agrees to pay the buyer the increased interest cost if interest rates increase
above the agreed rate.
●Forward Rate Agreements can be used to:
●Hedge assets that a bank currently owns against interest rate risk. （防范外汇
风险）。
