h13_19880926.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

September 26,1988 DIVISION OF INTERNATIONAL FINANCE

Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION Washington, DC. 20551

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

Table of Contents

TABLES

1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT

EXCHANGE RATES H.10 RELEASE

CHARTS

1. SPOT EXCHANGE RATE INDICES 2. 3-MONTH FORWARD EXCHANGE RATES 3. GOLD PRICELONDON 4. CALL MONEY RATES 5. 3-MONTH INTEREST RATES 6. EURO-DOLLAR DEPOSIT RATES 7. SELECTED EURO-DOLLAR AND

U.S. MONEY MARKET RATES 8. INTEREST ARBITRAGE: 3-MONTH FUNDS 9. LONG-TERM GOVERNMENT BOND YIELDS

10. INDUSTRIAL STOCK INDICES

SUBSCRIPTION RATES:

Weekly $24.00 per year or $.60 each in the United States, its possessions, Canada, and Mexico; 10 or more of the same issue to one address, $22.50 per year or $.55 each. Elsewhere, $30.00 per year or $.70 each. Address requests to Publications Services, Division of Administrative Services, and make pay-ment remittance payable to the order of the Board of Governors of the Federal Reserve System in a form collectible at par in U.S. Currency.


CHART 1

SPOT EXCHANGE INDICES DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)

AVERAGES FOR WEEK ENDING WEDNESDAY RATIO SCALE MARCH 1973=100

200 180

160 140

120

100

80

RATIO SCALE MARCH 197)3=100

- FOREIGN CURRENCY PRICE OF U.S. DOLLAR

-

I I I

-

220 200 180 - -160 - GERMAN MARK -140 -

120 - / v ^ -

100 - y\j -80 v n i 1 1 1 III II lull 1

180 160 - 140 -

120 CANADIAN DOLLAR -

100 90 - -80 - ^ 7 ^ -70

"

60 1iiliilii1ii

5 0

- ITALIAN LIRA 4 6 - ^ - 4 0

3 6

- 3 0

- - 2 6

i i i 1 1 1 l l l l l l l l l l l l l l l l l l l l l l 2 0 2 2 0

JAPANESE Y E N Z - ^ X / ^ x y ^ T 2 0 0 1 8 0

- 1 6 0

- / - 1 4 0 j - 1 2 0

T " 1 0 0

I I I 1 1 1 l l l l l l l l l l l 8 0

$ 8 0

j - 1 6 0 DUTCH GUILDER ^ x - 1 4 0

- 1 j * 0

t o o

- w - 9 0

T 8 0

- - 7 0

1 1 1 1 1 1 6 0

90 80 ~ UK. POUND - FRENCH FRANC j / \ z w ^ -70 - yVvvvv _/ w - x 60 -50 - v\r - -

40 I I I I I I niiihiiii l l l l l l l l l l l

90 80 7 0

60 50

4 0

140 280 120 - - - y ^ - 240

BELGIAN FRANC SWISS FRANC 100 " V __ 200 90 - - f\r - 180 80 z-r - - - 160 70 - ysj - - - 140 60 - 120 50 | | | I I I l l l l l l l l l l l l l l l l l l l l l l i i i i i i llllllnlii l l l l l l l l l l l 100 50

1986 1988 1986 1988 100


CHART 2

3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR H

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM PERCENT PER ANNUM

CANADIAN DOLLAR

4 U. K. POUND

0

4

8 8

GERMAN MARK

4

0

4 4

FRENCH FRANC

0

4

8

12 1988 1986

JAPANESE YEN

12

SWISS FRANC

DUTCH GUILDER

I i l l I I I

ITALIAN LIRA

1986 1988


U.S. [

520

500

480

460

440

420

400

380

360

340

320

300

280

OUNCE

520

500

480

460

440

420

400

380

360

340

320

300

280

CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

iLLARS PER FINE OUNCE U.S. DOLLARS PER FINE

12.5 Kg BARS AFTERNOON FIXING PRICE

I I I I I I I I I 1985 1986 1987 1988


16

12

8

4

0 16

12

8

4

0 16

12

8

4

0

IUM

16

12

8

4

0 16

12

8

4

0 20

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

r PER ANNUM PERCENT PER Ah

U. S. FEDERAL FUNDS

I I I i i i i i 11

FRANCE

I I I

GERMANY

CANADA

UNITED KINGDOM

SWITZERLAND

NETHERLANDS

1986 1988 1986 1988


12

10

8

6

4

2 14

12

10

8

6 10

8

6

4

2 10

8

6

4

2

16

14

12

10

8

6 14

10

8

6 10

8

6

4

2 8

6

4

2

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

UK. INTERBANK STERLING

GERMAN INTERBANK RATE

I I I I I I

V J -

CANADIAN FINANCE CO. - PAPER

-

I I I I I I

-

- FRENCH INTERBANK RATE -

I I I I I I

\ f K a -

NETHERLANDS INTERBANK RATE -

I I I I I I 11 III hill i

JAPANESE GENSAKI RATE - SWISS INTERBANK RATE -

I I I Illllllllll 1986 1988 1986 1988


14

12

10

8

6

4 14

12

10

8

6

4 14

12

10

8

6

4

14

12

10

8

6

4 14

12

$0

8

6

4 14

12

10

8

6

4

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER

3-MONTH OVERNIGHT

7-DAY 6-MONTH

1-MONTH

1988 1986

1-YEAR

1986 1988


CHART 7

SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U. S.


PERCENT PER ANNUM

14

12

10

OVERNIGHT EURO-DOLLAR DEPOSITS

DIFFERENTIAL

FEDERAL FUNDS DASHED LINE

11111111111111111111111

1111111111111111111111

1986 1988 1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

90-DAY CD' S DASHED LINE

PERCENT PER ANNUM

14

12

3-MONTH EURO-DOLLAR DEPOSITS

i I i i I i i I i i I i i I i i I i i I i i-

10

DIFFERENTIAL -

V v y v VXAy

I I I I I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

2 2

1986 1988


16

12

8

4

0

2

0

2 16

12

8

4

0

2

0

2

.16

12

8

4

0

2

+ 0

2 16

12

8

4

0

2

+ 0

2

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: P L U S H , INDICATES FAVOR DOLLAR ASSETS


NT PER ANNUM

INTERBANK STERLING COVERED LONDON

EURO-DOLLAR DEPOSITS DASHED LINE

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER DASHED LINE

PERCENT PER AN

DIFFERENTIAL

1 1 1 1 1 1 I I II I II I

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


I I

DIFFERENTIAL

1 _ 1 11

SWISS INTERBANK (SF) COVERED


I I I I I I I

DIFFERENTIAL

I I

I I

1986 1988 I PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986 1988


16

14

12

10

8

6 14

12

10

8

6 8

6

4

2 17

15

13

11

9

7

5

16

14

12

10

8

6 10

8

6

4

2 10

8

6

4 15

13

11

9

7

5

3

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

NT PER ANNUM PERCENT PER At

UNITED STATES - CANADA

I I I I I I

UNITED KINGDOM -

I I I

V I I I

w SWITZERLAND

U. S. CORPORATE MONTHLY

Aaa BONDS

FRANCE

NETHERLANDS MONTHLY

i i i i i i i

1986 1988 1986 1988


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100 500

400

300

200

RATIO SCALE 1969=100

100

500

J\J\ 400 UNITED STATES UNITED KINGDOM I

I /Va ~ A A / Lr 300

- - - v - 200

i i i i i i I I I I I I I I I I I 1 1 1 ill ii hill i 100 650 550 - /VrWvA -

450 JAPAN f f r -

350 - -

250 -

150 I I I I I I M l n l n l M n h . l n l M

500

400 r/< CANADA

300 V

200 I I I I I I 111111II111

500

400 NETHERLANDS

300 r~ \r\

rV*V w " l Jlh-

200 / -

100 I I I o l u h . I n 100 1986 1988

650 - - 550

FRANCE yAn - 450

- / V l A w _ 350

- J - 250

I I I I I I n l n l n l n 11111111111 150

SWITZERLAND

I I I I i l l i l l I I

1986 1988


SERIES NAME LAST FALSE PLOTTED

DATE VALUE

CHAM' 1. SPOT EXCHANGE HATES AND INDICES

MEEKLY AVERAGES, NOON BUYING KATES (U.S. CENTS) GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA

INDICES, MARCH 1973 BASE RATES = 1U0 GERMAN MARK JAPANESE YEN DUTCH GUILDER U. K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA

SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT.

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 (G-10 COUNTRIES PLUS SWITZERLAND)

21 21 21 21 21 21 21 21 21 21

SEPT. 21 SEPT. 21 SEPT. 21 SEPT. 21 SEPT. 21 SEPT. 21 SEPT. 21 SEPT. 21 SEPT. 21

53. 42 0.74664

47. 35 167.91 81.89 15.71 63. 26 2.54674 0.07164

15.50

150.27 195.49 135.92 67. 92 81.62 70.81

203. 52 100.35 40.70

U.S. DOLLAR SEPT. 21 9 8.02 GERMAN MARK SEPT. 21 159.73 JAPANESE YEN SEPT. 21 208. 14 DUTCH GUILDER SEPT. 21 136.53 U.K. POUND SEPT. 21 64. 12 CANADIAN DOLLAR SEPT. 21 78.99 FRENCH FRANC SEPT. 21 66. 88 SWISS FRANC SEPT. 21 204. 39 BELGIAN FRANC SEPT. 21 98.72 ITALIAN LIRA SEPT. 21 37.36 SWEDISH KRONA SEPT. 21 66. 67

CHART 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT CANADIAN DOLLAR SEPT. 21 -2.05 U.K. POUND SEPT. 21 -3.61 GERMAN MARK SEPT. 21 3.32 FRENCH FRANC SEPT. 21 0.43 SWISS FRANC SEPT. 21 4.91 DUTCH GUILDER SEPT. 21 2.71 JAPANESE YEN SEPT. 21 3.32 ITALIAN LIRA SEPT. 21 -3.06


SERIES NAME LAST VALDE PLOTTED

DATE VALUE

CHART 3. GOLD PRICE IN LONDON, AFTERNOON FIXING O.S. DOLLARS PER FINE OUNCE SEPT. 21 410.73

CHART 4. CALL HONEY RATES U.S. FEDERAL FUNDS SEPT. 21 8.17 OVERNIGHT EURO-DOLLAR DEPOSITS SEPT. 21 7.98 O.K. SEPT. 21 10.30 CANADA SEPT. 21 9.92 GERMANY SEPT. 21 4.78 JAPAN SEPT. 21 3.75 FRANCE SEPT. 21 7.30 NETHERLANDS SEPT. 21 4.79 SWITZERLAND SEPT. 21 1.63

CHART 5. 3-MONTH INTEREST KATES U.S. 90-DAY CD'S, SECONDARY MARKET SEPT. 21 8.17 GERMAN INTERBANK LOAN SEPT. 21 4.91 JAPANESE GENSAKI RATE SEPT. 21 4.16 CANADIAN FINANCE PAPER SEPT. 21 10.65 INTERBANK STERLING SEPT. 21 12.11 S U S S INTERBANK LOAN SEPT. 21 3.22 FRENCH INTERBANK RATE SEPT. 21 7.7b NETHERLANDS INTERBANK RATE SEPT. 21 5.49 WEIGHTED AVERAGE FOREIGN INTEREST RATE SEPT. 21 6.92

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-YEAR

CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES OVERNIGHT EURO-DOLLAR DEPOSITS SEPT. 21 7. 98 O.S. FEDERAL FUNDS SEPT. 21 8. 17 DIFFERENTIAL SEPT. 21 -0. 20 3-MONTH EURO-DOLLAR DEPOSIT RATE SEPT. 21 8. 20 U.S. 90-DAY CD'S* SECONDARY MARKET SEPT. 21 8. 17 DIFFERENTIAL SEPT. 21 0. 03

SEPT. 21 7.98 SEPT. 21 7.99 SEPT. 21 8.14 SEPT. 21 8.20 SEPT. 21 8.45 SEPT. 21 8.68


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHABT 8. INTEREST ARBITRAGE, 3-MONTH FUNDS EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERENTIAL

SEPT. 21 8.20 SEPT. 21 8.39 SEPT. 21 -0.19

U.S. COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL

SEPT. 21 8. 10 SEPT. 21 8.55 SEPT. 21 -0.46

EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT), COVERED DIFFERENTIAL

SEPT. 21 SEPT. 21 SEPT. 21

8. 20 8. 27 -0. 07

EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL

SEPT. 21 8.20 SEPT. 21 8.18 SEPT. 21 0.02

CHART 9. LONG TERM GOVERMENT BOND YIELDS UNITED STATES SEPT. 1b 8.93 GERMANY SEPT. 16 6. 29 JAPAN SEPT. 9 4. 86 SWITZERLAND SEPT. 16 4.24 CANADA SEPT. 16 10.31 FRANCE SEPT. 9 9.42 NETHERLANDS (MONTHLY) JULY 6.53 UNITED KINGDOM SEPT. 16 9.23

U.S. CORPORATE AAA BONDS MAY 9.33

CHART 10. STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

SEPT. 14 285.86 SEPT. 14 311.42 SEPT. 14 324.51 SEPT. 14 216.96 SEPT. 14 184.01 SEPT. 14 270.24 SEPT. 14 361.44 SEPT. 14 569.23


'.nblGoV//

FEDERAL RESERVE statistical release

H.IOC512) SEPTEMBER 23, 1988

FOREIGN EXCHANGE RATES FOR THE WEEK ENDING SEPTEMBER 25, 1988

The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified for customs purposes the following noon buying rates in New York City for cable transfers payable in foreign currencies:

COUNTRY MONETARY

UNIT (CURRENCY UNITS PER DOLLAR)

COUNTRY MONETARY

UNIT SEP. 19 SEP. 20 SEP. 21 SEP. 22 SEP. 23 ^AUSTRALIA DOLLAR 78.63 78.64 77.87 78.39 78.40 AUSTRIA SCHILLING 13.160 13.130 13.190 13.220 13.185 BELGIUM FRANC 39.220 39.120 39.310 39.380 39.320 CANADA DOLLAR 1.2195 1.2205 1.2183 1.2186 1.2220 CHINA,P.R. YUAN 3.7314 3.7314 3.7314 3.7314 3.7314 DENMARK KRONE 7.1825 7.1675 7.2000 7.2150 7.2040 FINLAND MARKKA 4.4275 4.4175 4.4400 4.4495 4.4450 FRANCE FRANC 6.3530 6.3385 6.3700 6.3950 6.3900 GERMANY D. MARK 1.8688 1.8642 1.8747 1.8795 1.8755 GREECE DRACHMA 151.600 151.500 151.900 152.100 152.000 HONG KONG DOLLAR 7.8125 7.8120 7.8120 7.8120 7.8130 INDIA RUPEE 14.5200 14.4900 14.5600 14.6000 14.5800

*1RELAND POUND 143.45 143.93 143.30 142.60 142.85 ITALY LIRA 1395.00 1390.00 1396.50 1402.50 1400.50 JAPAN YEN 133.55 133.90 134.25 134.63 134,47 MALAYSIA RINGGIT 2.6620 2.6670 2.6675 2.6695 2.6675 NETHERLANDS GUILDER 2.1090 2.1035 2.1145 2.1190 2.1150

*NEM ZEALAND DOLLAR 60.550 61.300 61.130 61.530 61.500 NORWAY KRONE 6.9125 6.8950 6.9175 6.9435 6.9375 PORTUGAL ESCUDO 154.300 153.700 154.400 155.000 154.600 SINGAPORE DOLLAR 2.0395 2.0400 2.0400 2.0405 2.0410 SOUTH AFRICA RAND 2.4715 2.4750 2.4750 2.4820 2.4850 SOUTH KOREA WON 722.90 722.50 722.60 722.70 722.60 SPAIN PESETA 124.760 124.500 124.900 124.680 124.600 SRI LANKA RUPEE 32.330 32.995 32.995 33.005 33.010 SWEDEN KRONA 6.4350 6.4175 6.4450 6.4625 6.4525 SWITZERLAND FRANC 1.5790 1.5747 1.5836 1.5875 1.5850 TAIWAN DOLLAR 28.970 28.980 28.980 28.980 28.980 THAILAND BAHT 25.540 25.530 25.530 25.530 25.570

*UNITED KINGDOM POUND 167.88 168.65 167.50 166.75 167.15

MEMO: SUNITED STATES DOLLAR 97.88 97.70 98.12 98.40 98.28 SINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 COUNTRIES. MARCH 1975 = 100. WEIGHTS ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES. SERIES REVISED AS OF AUGUST 1978. FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST 1978 FEDERAL RESERVE BULLETIN.

VALUE IS U.S. CENTS


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h13_19880926.pdf