International Finance

Transcription

International Finance
7e édition
Christophe Boucher
[email protected]
transparents traduits par Vincent Dropsy
® 2009 Pearson Education France
1
Session 1
7e édition
The foreign exchange market
and some stylized facts
2
Roadmap
1. Geographical Extent
2. Size
3. Functions
4. Participants
5. Transactions
6. Quotations and cross rates
7. Basics
8. Stylized facts
International Finance –
Christophe BOUCHER – 2015/2016
3
Introduction
•
The foreign exchange market provides the physical and
institutional structure through which the money of one country is
exchanged for that of another country, the rate of exchange
between currencies is determined, and foreign exchange
transactions are physically completed.
•
A foreign exchange transaction is an agreement between a
buyer and a seller that a given amount of one currency is to be
delivered at a specified rate for some other currency.
4
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
5
Geographical Extent
•
Geographically, the foreign exchange market spans the globe,
with prices moving and currencies traded somewhere every
hour of every business day.
•
The market is deepest, or most liquid, early in the European
afternoon, when the markets of both Europe and the U.S. East
coast are open.
•
The market is thinnest at the end of the day in California, when
traders in Tokyo and Hong Kong are just getting up for the next
day.
6
Geographical Extent
• 24h opening
7
Geographical Extent
• The Market clock
8
Concentration (1)
• Main market places in the World
9
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
10
Size
•
In 2013, the daily volume of trading on the foreign exchange market
and its satellites (futures, options, and swaps) at more than USD 5
trillion (10 times the daily volume of international trade in goods and
services).
•
The US dollar remained the dominant vehicle currency (87% of all
trades). The euro was the second most traded currency (33%).
•
Several emerging market currencies, and the Mexican peso and
Chinese renminbi entered the list of the top 10 most traded
currencies.
•
Trading is increasingly concentrated in the largest financial centres.
Sales desks in the UK, US, Singapore and Japan intermediated
71% of foreign exchange trading, whereas in April 2010 their
combined share was 66%.
11
Size
12
Size
13
Relative size
• Relative size to GDP, eq. turnover and gross trade flows
14
Concentration (2)
• Main currencies
15
Concentration (2)
• Major Currencies
16
Products
• Turnover
17
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
18
To what?
•
Transfer of Purchasing Power: Transfer of purchasing power is
necessary because international transactions normally involve
parties in countries with different national currencies. Each party
usually wants to deal in its own currency, but the transaction
can be invoiced in only one currency.
•
Provision of Credit: Because the movement of goods between
countries takes time, inventory in transit must be financed.
•
Minimizing Foreign Exchange Risk: The foreign exchange
market provides "hedging" facilities for transferring foreign
exchange risk to someone else.
•
Speculate: trading in a fair game or zero-sum-game (see below)
19
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
20
Two faces of a global market
•
The foreign exchange market consists of two tiers: the interbank
or wholesale market, and the client or retail market.
•
Individual transactions in the interbank market usually involve
large sums that are multiples of a million USD or the equivalent
value in other currencies.
•
By contrast, contracts between a bank and its client are usually
for specific amounts, sometimes down to the last penny.
21
Foreign Exchange Dealers:
•
Banks, and a few nonbank foreign exchange dealers, operate in
both the interbank and client markets.
•
They profit from buying foreign exchange at a bid price and
reselling it at a slightly higher ask price.
•
Worldwide competitions among dealers narrows the spread
between bid and ask and so contributes to making the foreign
exchange market efficient in the same sense as securities
markets.
•
Dealers in the foreign exchange departments of large
international banks often function as market makers. They
stand willing to buy and sell those currencies in which they
specialize by maintaining an inventory position in those
currencies.
22
Commercial and Investment Transactions
•
Importers and exporters, international portfolio investors,
multinational firms, tourists, and others use the foreign
exchange market to facilitate execution of commercial or
investment transactions.
•
Some of these participants use the foreign exchange market to
hedge foreign exchange risk.
23
Speculators and Arbitragers
•
Speculators and arbitragers seek to profit from trading in the
market. They operate in their own interest, without a need or
obligation to serve clients or to ensure a continuous market.
•
Speculators seek all of their profit from exchange rate changes.
•
Arbitragers try to profit from simultaneous exchange rate
differences in different markets.
24
Central Banks and Treasuries
•
Central banks and treasuries use the market to acquire or
spend their country's foreign exchange reserves as well as to
influence the price at which their own currency is traded.
•
In many instances they do best when they willingly take a loss
on their foreign exchange transactions.
•
As willing loss takers, central banks and treasuries differ in
motive and behavior form all other market participants.
25
Foreign Exchange Brokers
•
Foreign exchange brokers are agents who facilitate trading
between dealers without themselves becoming principals in the
transaction.
•
For this service, they charge a small commission, and maintain
access to hundreds of dealers worldwide via open
communication lines.
•
It is a broker's business to know at any moment exactly which
dealers want to buy or sell any currency. This knowledge
enables the broker to find a counterpart for a client quickly
without revealing the identity of either party until after an
agreement has been reached.
26
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
27
Spot Transactions
•
A spot transaction requires almost immediate delivery of foreign
exchange.
•
In the interbank market, a spot transaction involves the
purchase of foreign exchange with delivery and payment
between banks to take place, normally, on the second following
business day.
•
The date of settlement is referred to as the "value date."
•
Spot transactions are the most important single type of
transaction (43 % of all transactions).
28
Outright Forward Transactions
•
A forward transaction requires delivery at a future value date of
a specified amount of one currency for a specified amount of
another currency.
•
The exchange rate to prevail at the value date is established at
the time of the agreement, but payment and delivery are not
required until maturity.
•
Forward exchange rates are normally quoted for value dates of
one, two, three, six, and twelve months. Actual contracts can be
arranged for other lengths.
•
Outright forward transactions only account for about 9 % of all
foreign exchange transactions.
29
• Forwards
30
Swap Transactions
•
A swap transaction involves the simultaneous purchase and
sale of a given amount of foreign exchange for two different
value dates.
•
The most common type of swap is a spot against forward,
where the dealer buys a currency in the spot market and
simultaneously sells the same amount back to the same back in
the forward market.
•
Since this agreement is executed as a single transaction, the
dealer incurs no unexpected foreign exchange risk.
•
Swap transactions account for about 48 % of all foreign
exchange transactions.
31
Derivatives
32
Derivatives
• FX Options et Volatility
33
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
34
Quotes
•
A foreign exchange rate is the price of a foreign currency.
•
A foreign exchange quotation or quote is a statement of
willingness to buy or sell at an announced rate.
35
European / American quotes
•
The most common way that dealers and brokers state foreign
exchange quotations, and the way they appear on all computer
trading screens worldwide, is called European terms. The
European terms quote shows the number of units of foreign
currency needed to purchase one USD:
CAD 1.5770 / USD or 1 USD = 1.5770 CAD
(USD “au certain” / CAD “à l’incertain”) or direct quote of the USD
•
An alternative method is called the American terms. The
American terms quote shows the number of units of USD
needed to purchase one unit of foreign currency:
USD 0.6341 / CAD or 1 CAD = 0.6341 USD
(CAD “au certain” / USD “à l’incertain”) or indirect quote of the USD
1 CAD/USD = 1 / USD/CAD
36
Bid and Ask Quotations
• A bid is the exchange rate in one currency at which a dealer will
buy another currency
• An ask is the exchange rate at which a dealer will sell the other
currency.
• Dealers buy at the bid price and sell at the ask price, profiting
from the spread between the bid and ask prices: bid < ask.
37
Bid and Ask Quotations
•
A dealer provides you the following quote:
USD 0.6333 - 0.6349/ CAD.
•
This suggests that the bid price for the CAD is USD
0.6333/CAD and that the ask price is USD 0.6349/ CAD.
•
The indirect version of this quote would be
CAD 1.5750 - 1.5790/USD
•
The spread between bid and ask prices exists for two reasons:
1. Transaction costs and dealers as financial intermediaries
2. Profits.
38
Example of quotes
• Bid-ask
39
Example of quotes
• Best bid-ask
40
Example of quotes
• Bid, Ask, High, Low, Open
41
The Law of One Price and Cross Rates
•
The law of one price states that homogenous goods and
assets should have the same price everywhere (efficient
markets and free trade).
•
Cross Rates: Many currency pairs are only inactively traded, so
their exchange rate is determined through their relationship to a
widely traded third currency (generally the USD):
•
Example of quotations:
Thai Baht: THB 41.6982/USD
Barbados Dollars: BBD 2.0116/USD
The cross rate is THB/BBD is: THB 20.7289 / BBD
42
Effective exchange rates
•
Effective exchange rates (or Trade weighted indexes) are
calculated as (geometric) weighted averages of bilateral
exchange rates.
•
The weighting pattern is time-varying and based on trades
•
See eg www.bis.org/statistics/eer/
•
Various definitions depending on on the number of bilateral ER
considered (Main / Narrow / Broad)
•
The BIS considers:
–
Broad indices comprising 61 economies
–
Narrow indices comprising 26 economies
43
Real exchange rates
•
The Real Exchange Rate (RER) between two currencies is the
product of the monial exchange rate and the ratio of prices
between the two countries
RER = e x P*/P (à l’incertain)
where e is the EURUSD (an indirect quote of the USD: 1 EUR = e USD)
P* the average price of good in the euro area
P the average price of good in the US
• BIG Mac Example:
e = 1.08 / BM price at Paris = 2.5 € /
at NY = 3.4$
RER = 1.08 x (2.5/3.4) = 0.79
• Misalignments measures: where do you buy your BM? EUR or
USD is undervalued?
44
PPP
•
•
•
•
•
Big Mac
Latte
Ikea Billy
Apple Ipod
Etc.
45
PPP
•
•
•
•
•
Big Mac
Latte
Ikea Billy
Apple Ipod
Etc.
46
PPP
•
•
•
•
•
Big Mac
Latte
Ikea Billy
Apple Ipod
Etc.
47
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
48
Basics
• Appreciation and Depreciation of Exchange Rates
• If one currency buys more of another currency, we say it has
experienced an appreciation — its value has risen, appreciated,
or strengthened
• If a currency buys less of another currency, we say it has
experienced a depreciation — its value has fallen, depreciated,
or weakened
49
Basics
•
Exchange Rate Regimes: Fixed versus Floating
• There are different patterns of exchange rate behavior, known as
exchange rate regimes
• These regimes reflect choices made by governments
• There are two polar regime types: fixed (or pegged) and floating
(or flexible)
50
Basics
•
Bounds for Russian Ruble Nominal Exchange Rate
51
Basics
• Exchange Rate Behavior: Selected Developed Countries, 1996-2010
52
Roadmap
2. Size
3. Functions
4. Participants
5. Transactions
7. Basics
8. Stylized facts
53
Stylized facts
•
Random walk behavior
•
Non-autocorrelation of returns
•
Instability in the short-term (high frequency) and in the longterm (low frequency)
•
Volatility clusters (autocorrelation of absolute returns)
•
Non-Gaussian returns at high frequencies (fat tails)
•
Jumps
•
Crises
•
Non-linear persistent mean-reverting of RER
54
Stylized facts
•
High low-frequency movements with floating XR
2
EUR USD
1,8
1,6
1,4
1,2
1
0,8
0,6
1958 1962 1966 1970 1974 1978 1982 1986 1990 1994 1998 2002 2006 2010 2014
Sources: Datastream, daily data from 01/01/1958 to 17/07/2015. Computations by the author.
55
Stylized facts
•
Volatile high-frequency XR returns and time-varying volatility
6%
1 day returns
4%
2%
0%
-2%
-4%
-6%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
56
Stylized facts
•
Volatile intermediate-frequency XR returns
15%
5 day returns
10%
5%
0%
-5%
-10%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
57
Stylized facts
•
20%
1 month returns
15%
10%
5%
0%
-5%
-10%
-15%
-20%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
58
Stylized facts
•
20%
3 month returns
15%
10%
5%
0%
-5%
-10%
-15%
-20%
-25%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
59
Stylized facts
•
Volatile low-frequency XR returns
40%
1 Year returns
30%
20%
10%
0%
-10%
-20%
-30%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
60
Stylized facts
•
Volatility clusters / autocorrelation of squared returns (19582015)
0,0025
Squared returns
0,002
0,0015
0,001
0,0005
0
1958 1962 1966 1970 1974 1978 1982 1986 1990 1994 1998 2002 2006 2010 2014
61
Stylized facts
•
Volatility clusters / autocorrelation of squared returns (19992015)
0,25%
Squared returns
0,20%
0,15%
0,10%
0,05%
0,00%
1999
2001
2003
2005
2007
2009
2011
2013
2015
62
Stylized facts
•
Shape of the distribution is not the same at different time scales
63
Stylized facts
•
Heavy tails (but precise form of the tails difficult to determine)
and aggregational Gaussianity
64
Stylized facts
• Jumps at high frequency (intra-day)
65
Stylized facts
•
Crises (Asian 1997-1998)
500
200
Philippines NBPH
180
450
Thailand NBTH
400
160
Malaysia NBMY
140
350
Indonesia NBID (right)
120
300
100
250
80
200
60
150
40
100
20
50
0
0
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
Sources: BIS, monthly data from 1994 to 2015. Computations by the author.
66
Stylized facts
•
Crises (Russia 1998/1999 – Argentina 2001/2002))
700
Russia NBRU
600
500
Argentina NBAR
400
300
200
100
0
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
67
Stylized facts
•
Emerging pseudo-crises (Spring-Summer 2013 on the Taper
tantrum)
May-July 2013 XR depreciations
-14,6%
-13,1%
-11,6%
-10,4%
-10,0%
-8,5%
-6,8%
-6,3%
-6,0%
-5,1%
-4,9%
-4,8%
-4,7%
-4,5%
-4,0%
-3,8%
-3,0%
-2,6%
-1,5%
-1,3%
-1,2%
-1,0%
-0,6%
-0,3%
0,0%
-16%
-14%
-12%
-10%
-8%
-6%
-4%
-2%
India
Indonesia
Turkey
Brazil
Australia
South Africa
Thailand
Mexico
Argentina
Chile
Malaysia
Philippines
Peru
Russia
Algeria
Norway
Colombia
Iceland
New Zealand
Canada
Poland
Sweden
Japan
Romania
Singapore
0%
68
Stylized facts
• What moves FX markets?
69
Stylized facts
70
Stylized facts
•
See also (Eichengreen and Bordo, 2002)
–
Speculative attacks on currencies in the European Exchange Rate
Mechanism in 1992-1993
–
Mexican crisis (“Tequila” crisis) in 1994
–
Iceland in 2008
–
…
71
Stylized facts
•
Persistent RER (mean-reverting? Non-linear?)
150
140
130
120
110
100
90
Euro area RBXM
80
70
Japan RBJP
United Kingdom RBGB
United States RBUS
60
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
72
Stylized facts
•
Persistent RER (mean-reverting? Non-linear?)
110
105
100
95
Greece RBGR
90
Italy RBIT
85
Spain RBES
Portugal RBPT
80
2000
2002
2004
2006
2008
2010
2012
2014
73
See you next week….
74

International Finance

Transcription

Documents pareils

1. Besides / Moreover = de plus 2. For example / For instance = par

Paris – 42 rue de Varenne – 75007 Paris Tel +33

Mallorca

Session5

Credit cards

Top 10 Natural Rules of Golf - Michigan Golfer ON-LINE

Profile - Canadian Chiropractic Association

MUSKOKA-TRAVEL_product sheet LD

2016 - Swimming.lu Home