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Page 1: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 2: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 3: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 4: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 5: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 6: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 7: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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1�ù �¥÷*²L 2. ®:'u®Ç��Å

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Page 9: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 2. ®:'u®Ç��Å

Ì�À1ç{�®Ç

France

Germany

Japan

United Kingdom

1

2

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Data Source: US dollar exchange rates (daily), BIS.

Note: The unit is 100 JPY, DEM, FRF, and GBP per 1 USD. After 1999, the currency is EUR for Germany and France.

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Page 10: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 2. ®:'u®Ç��Å

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USD EUR 100JPY

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Page 11: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 3. 7K�¥z:'uÅÖ�»i

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m�²L^�e§ISÂ|âr£balance of payments accounts, BOP¤P¹I

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L£external wealth¤ÚIS/ �Cz"

Source: Krugman et al.(2011).

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Page 12: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 3. 7K�¥z:'uÅÖ�»i

IS²L�ï

Source: Wikipedia.

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Page 13: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 14: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 3. 7K�¥z:'uÅÖ�»i

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Page 15: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 3. 7K�¥z:'uÅÖ�»i

îÅ�Å

2015cî³�IÌ�ÅÖ{�ÓGDP�'­

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Page 16: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 3. 7K�¥z:'uÅÖ�»i

�¥ÅÖ�Å

Source: Facts Maps.

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Page 17: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 18: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 4. �?��Ý:'u�ü�1�

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Page 19: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 4. �?��Ý:'u�ü�1�

�Ý�­�5µIO'�

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Page 20: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 4. �?��Ý:'u�ü�1�

7K�¥z

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Page 21: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

1�ù �¥÷*²L 4. �?��Ý:'u�ü�1�

_�¥z

Source: MacLeans. Source: Heatherhastie.

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Page 22: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 23: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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1 ®Ç£exchange rate, E¤´^�«À1L«�,�«À1�d�§~X

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2 ��Id{Úm�Id{£direct vs. indirect quotation¤

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Page 24: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 25: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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Page 26: E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange rate, E⁄·^Ÿ«À1L«˙,Ÿ«À1˙d‡§~X E = 7:15 L«1 ü€{ ˜u 7.15 ü€

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ECHF/USD = ECHF/GBPEGBP/USD

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SK1

The NZD is trading at 0.3500USD/NZD and the SEK is trading at

0.3100NZD/SEK. The USD/SEK exchange rate is:

A. 8.8573 USD/SEK

B. 9.2166 USD/SEK

C. 0.1085 USD/SEK

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SK2

Suppose that the quote for GBP in New York is 1.7574-84 USD/GBP. The

equivalent quote for U.S. dollars in London would be:

A. 0.5687-90 GBP/USD

B. 0.5690-87 GBP/USD

C. 1.7584-09 GBP/USD

�%� (E��ƲL�) IS7K 33 / 47

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1�ù ®Ç�®½|Vã 3. @®�=Ï®Ç

SK3

Given the following quotes:

1.25 CHF/USD

1.80 USD/GBP

2.30 CHF/GBP

How much arbitrage profit could be made on an initial 1,000 USD

position?

�%� (E��ƲL�) IS7K 34 / 47

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1�ù ®Ç�®½|Vã 3. @®�=Ï®Ç

SK4

��o�û�Õ1�=Ï®Çê⧣�¯Kµ

XJ\k1000{�y7§¬ÀJ=[Õ1!ç��õ�<¬1ºX

Jk1000�y7§¬ÀJ=[Õ1!ç��õ�î�º

XJ\¤3�úiÂ�100z�{�®±I��¤î�§\¬XÛ

ö�º

±{�ç<¬1�y�d�~§=[Õ1�:�(spread)��º�

�oº

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1�ù ®Ç�®½|Vã 4. ®½|

®½|

ISÀ1��´|¤§�¡�®½|"�Ã>{!DýÚO�Å

rÌ��®�´¥%é��N§¦�¤���ü��¼��´�

­.½|��Ü©"

Ì�ë�ö�)µû�Õ1!úi!�Õ17KÅ�Ú¥Õ1

­.n�®�´¥%µ=IÔí!{IÝ�ÚF�À®"

<¬1lW�´¥%µ¥I�l!=IÔíÚþ°gn«"

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1�ù ®Ç�®½|Vã 4. ®½|

®Ü�µ=Ï��Ï

=ÏÜ�£spot contract¤µ

^�«À1=�ç�¤,�«À1�Ü�§ù«�´¤¦^�®Ç�¡�

=Ϯǣspot exchange rate¤"

û)�¬£derivatives¤:

1 �Ï£forward¤Ü�§=V�u8F\

ÝÜ�§�À1���(�FÏ´3�

5/�ϧX30 F!90F!6��!1c

½���m"

�Ï®Çpu=Ï®Ç�§¡��Ï,

Y£forward premium¤§��¡��Ï

bY£forward discount¤"

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1�ù ®Ç�®½|Vã 4. ®½|

<¬1ç{��Ϯǥmd

6.5

7.0

2010 2012 2014 2016 2018 2020

6 Month 1 Year Spot

Data Source: Wind database. Future rate is NDF(Non-deliverable Forwards) in Hongkong interbank market. Spot rate is from

CFTES.

�%� (E��ƲL�) IS7K 38 / 47

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1�ù ®Ç�®½|Vã 4. ®½|

~µ|^�ÏÜ�@Ï��

b½\¤3�úil{I±z�100{��d�?�1��>M§

30U�G±"±8c�=Ï®ÇE = 6.5O�§úi�¼�z�50��

|d"�£�±e¯Kµ

XJ30U�®ÇC�E = 6§úi�|dòXÛCzº

XJ30U�®ÇC�E = 7§úi�|dòXÛCzº

XJ\@�30U�®ÇC�E = 6ÚE = 7�VÇ��§�8c30U

�Ï®Ç�E = 6.5§Ø�Ä\½�ÏÜ��¤^§\´Ä¬�ù

��@Ï��º

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1�ù ®Ç�®½|Vã 4. ®½|

®Ü�µKÏ

û)�¬£derivatives¤:

2 KÏ£swap¤Ü�§�=ÏñÑ,«À1�Ó�§3�Ï£Ó�

À1"\½�°KÏÜ��±'=Ï\�Ï�üg®�´�s�

�´¤^"

~2µ|^KÏÜ�@Ï��

´Xúif¼�100�{��Ñ�À±§¿���3����|

G�)?�"��¤^100�{�"d�´Xúi�±ÚÕ1\

½100�{��î�KÏÜ�§¿Ý]uî�Å "ù�QU¼�Ý

]Âç�ØK��5?�À±�|G"

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1�ù ®Ç�®½|Vã 4. ®½|

®Ü�µÏÀÚÏ�

û)�¬£derivatives¤:

3 ÏÀ£future¤Ü�§�±kÜ��V�3�5,�Fϱýk�½

�®Ç*d?1®���«ì"��ÏÜ�ØÓ�´§ÏÀÜ�

´IOz�§�±3��k/�ÏÀ�´¤?1�´§l ��J

pÜ��6Ä5"

4 Ï�£option¤Ü�§D�ïÏ����3�5,�U±ýk�½

�®Ç^�«À1��,�«À1��|§ñÑÏ�����ï

��¦1¦ù«�|�7LÁ1�´"Ï�q©�@Ï�£�¡

�ï�Ï�!wÞÏ�¤§±9@�Ï�£�¡�ñ�Ï�!w�Ï

�¤"

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1�ù ®Ç�®½|Vã 5. @®�|Ç

�Ö|Dzd£CIP¤

�Ý]ö^�ÏÜ�?1@Ï��½/�Ö0�§¤k�®ÇºxÑ�

CX§ÏLù«Ãºx@®/¤�Ã@®^�§=�Ö|Dzd

£CIP§covered interest parity¤"

1 + i =F

E(1 + i∗)

�%� (E��ƲL�) IS7K 42 / 47

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1�ù ®Ç�®½|Vã 5. @®�|Ç

CIP�yâ

XJ½|d� lCIP^�§Ý]öò¼�úx@®Âõ

Profit =F

E(1 + i∗) − (1 + i)

®½|XJ�3]�+�§CIP^�òÃ{÷v¶ ����+

�!¢17Kgdz§½|åþò¦CIP^�¤á"

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1�ù ®Ç�®½|Vã 5. @®�|Ç

Ã�Ö|Dzd£UIP¤

�Ý]ö�^=ÏÜ�?1�@Ï��½/Ã�Ö0�¤/¤�kºx

�Ã@®^�§¡�Ã�Ö|Dzd£UIP§uncovered interest parity¤"

1 + i =E e

E(1 + i∗)

�%� (E��ƲL�) IS7K 44 / 47

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1�ù ®Ç�®½|Vã 5. @®�|Ç

UIP�yâ

XJUIPÚCIP^�Ѥ

á§òkF = E e§½µ

F /E − 1︸ ︷︷ ︸Forward premium

= E e/E − 1︸ ︷︷ ︸Expected rate of depreciation

�%� (E��ƲL�) IS7K 45 / 47

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1�ù ®Ç�®½|Vã 5. @®�|Ç

UIP�Cq^�

1 + i = E e

E (1 + i∗)

E e

E − 1 = 1+i1+i∗ − 1 = i−i∗

1+i∗

(E e

E − 1)

(1 + i∗) = E e

E − 1 +(E e

E − 1)

i∗ = i − i∗

E e

E− 1︸ ︷︷ ︸

Expected rate of depreciation

≈ i − i∗︸ ︷︷ ︸Interest rate gap

�%� (E��ƲL�) IS7K 46 / 47

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1�ù ®Ç�®½|Vã 5. @®�|Ç

�Ù�®Çû½nصCIPÚUIP

�%� (E��ƲL�) IS7K 47 / 47