1、C2 国际收支 Payments among Nations1 复式记账 Double-entry bookkeeping概 Any exchange automatically enters the balance-of-payments accounts twice as a credit and as a debit of the same value.规则:贷方项目 A credit (+) is flow for which the country is paid;借方项目 A debit (-) is flow for which the country must pay.例子:1
2、 出口( 贷),进口(借);2 本国常住者为外国人提供劳务或者从外国取得投资及其他收入(贷);而外国人为本国常住者提供劳务或从本国取得收入( 借);3 本国常住者获得(指购买) 外国资产(借),外国常住者获得本国资产( 贷);4 外国人偿还债务(贷), 本国居民偿还外债(借);5 本国常住者收到国外单方面转移(贷),本国常住者对外国单方面转移(借);6 官方储备减少(贷), 官方储备增加(借)2 国际收支 Balance of Payments (BOP):The set of accounts recording all flows of value between a nations re
3、sidents and the residents of the rest of the world during a period of time.Free on board(FOB 离岸价): it implies that distributive services like transport and handling performed on goods up to the customs frontier of the economy from which the goods are exported are classed as merchandise.2.1 经常项目 Curr
4、ent Account balanceIt is the net value of the flows of goods, service, income, and Unilateral transfers. If it is positive, the nation earns that much in extra assets or reduced liabilities in its dealings with other countries. If it is negative, the country must pay by giving up assets or increasin
5、g its liabilities.Goods and services balance equals the net exports of both goods and services. It is often called the trade balance.包括:1Merchandise trade flows;2Service flows;3Income flows;4Unilateral transfer2.2 资本项目 financial Account BalanceThe net flows of financial assets and similar claims (ex
6、cluding official asset flows) is the private capital account balance or financial account balance.资本项目记录的只是资产交易的本金金额(principal amounts),而投资国外资产的任何所得(earnings)均记录在经常项目中.1 美国居民增持外国金融资产( 股票、债券或贷款凭证),记入借方,该居民对外国付款或增加贷款, 资金流出美国(-)2 外国居民增持美国金融资产( 股票、债券或贷款凭证),记入贷方,美国卖方( 或借款人)接受外国的付款(或得到贷款),资金流入美国(+)3 美国居民减
7、持外国金融资产( 股票、债券或贷款凭证),记入贷方,该居民接受外国的付款( 或收回借款),资金流入美国(+)4 外国居民减持美国金融资产( 股票、债券或贷款凭证),记入借方,美国的买方( 或借款人)对外国付款(或归还贷款),资金流出美国(-)从金融资产本身流向:2 和 3,美国出口金融资产(exporting financial assets),记为正;1 和例 4,美国进口金融资产(importing financial assets),记为负.从资金的流向:2 3 是资本进口(capital imports),1 4 是资本出口(capital exports)外国直接投资(foreign
8、 direct investment)是:由某主体(多为跨国公司)对其控股和掌控的国外企业进行的任何一种资金出借或产权购买.间接投资包括证券、贷款以及银行存款.投资于国外的债券和股票不属于对外直接投资,而是国际证券投资(international portfolio investment).它表明投资者并不拥有被投资企业的大额股份,而只是将这种投资作为其多样化投资的一个组成部分.2.3 官方国际储备资产 official international reserve assetsThey are money-like assets that are held by governments and
9、 that are recognized by governments as fully acceptable for payments between them. The main reserve assets are:Gold,Free exchange currencies,Reserve position in the IMF(IMF 的储备头寸),Special drawing right(特别提款权)官方一词用以说明此类资产是由与货币相关的政府部门掌握的资产,而非整个政府拥有的资产.其他“非官方“政府资产则归于私人项目类别中.焦点是集中在调控币值这一货币管理任务.2.4 统计误差
10、statistical discrepancyIts the net result of errors and omissions on both the credit and debit sides.The main difficulty is probably that many people succeed in hiding their imports, their imports, their foreign investment incomes, and their capital flight from their own government officials.3 经常项目差
11、额的宏观含义CA: Current account balanceIf: Net foreign investment 对外净投资S: National saving 国民储蓄Id: Domestic real investment in buildings, equipment, software and inventories 国内直接投资Y: Domestic production of GIf:投资于国外)CA=S-IdX-M=CAY=C+ Id + G+ X-ME = C + Id + G CA= Y-E一国经常项目盈余:该国净对外投资为正(即该国对于其他国家来说是净债权国或投资国)
12、.The country has positive If.(the country is a net lender or investor to other countries)该国国民储蓄超出国内投资.The country is saving more than investing domestically.该国的国内生产超出了(或说收入超出了 )其对商品和服务的消费 .The country is producing more (and has more income from this production) than it is spending on goods and servi
13、ces.4 总差额的宏观含义 The overall balance B:Official settlements balance 官方结算差FA:Financial account balance 金融项目差额OR: Official Reserve 官方储备资产B=CA+FA(The official settlement balance equals the sum of the current account balance plus the private capital account balance)B+OR=0(由于国际收支平衡表中所有项目的总和必须为零，官方结算差额中任何不平
14、衡都必须通过官方储备流动予以补抵(或支付)如果总差额 B 为盈余,即意味着本国官方储备资产的增加或外国官方储备持有本国资产的减少(即在本国的官方储备账户中有一个借方差额).如果总差额为赤字,即意味着本国持有的官方储备资产减少或外国官方储备中持有的本国资产累积增加(即在本国官方储备账户有一个贷方差额).一国货币当局可以出售外币而购回本币,这种交易可以减少当局官方国际储备中外汇资产的持有量;或者,货币当局也可以出售本币而购买外币, 这种交易增加了官方国际储备.5 国际投资头寸A nations international investment position shows its stocks o
15、f international assets and liabilities at a moment of time.一国是贷款国(lender)还是借款国(borrower),是根据该国一定时期内经常项目差额是盈余还是赤字来判断的.一国是债权国(creditor)或是债务国(debtor),是根据该国持有的外国资产净存量是正值还是负值来判断的.前者涉及的是一段时期内的流量,后者涉及的是某一时点的存量.C3 外汇市场 The Foreign Exchange Market1 货币交易的基本知识1.1 国际汇兑 Foreign exchange is the act of trading dif
16、ferent nations moneys.1.2 汇率 An exchange rate is the price of one nations money in terms of another nations money.即期汇率 The spot exchange rate is the price for “immediately“ exchange.远期汇率 The forward exchange rate is the price now for an exchange that will take place sometime in the future.汇率报价 Excha
17、nge Rate Quotation:直接标价法(A U.S. dollar price of the other currency)、间接标价法(The price of the U.S. dollar in units of the other currency).两者互为倒数(The pairs of prices are just reciprocals)分母是外币 ,分子是本币,就是直接标价法;分母是本币,分子是外币,则为间接标价法.1.3 外汇市场小额交易:银行及其交易员与客户进行的交易 The trading done with customers is called the r
18、etail part of the market银行间同业市场:银行之间进行的交易 The trading done between the banks active in the market is called the inter-bank part of the market.媒介货币 Vehicle Currency: One foreign currency is exchanged for dollars, and these dollars are then exchanged for the other foreign currency.2 外汇的供给与需求 Demand an
19、d Supply for Foreign Exchange2.1 影响汇率的因素商品和服务出口将带来外国货币的供给以及对本币需求的增加;商品和服务的进口将带来对外国货币的需求和本币的供给增加;资本流出将致使外国货币需求以及本币供给的增加,资本流入将致使外国货币供给以及本币需求的增加.2.2 浮动汇率 Floating Exchange RatesThe spot price of foreign currency is market-driven, determined by the interaction of private demand and supply for the curren
20、cy外汇的即期价格由市场决定,即由对货币的私人需求与供给的相互作用而决定,市场通过价格机制出清.在浮动汇率制中,如果某种外币的需求曲线因某种原因右移(代表对外汇需求的增加), 同时供给曲线保持不变,该外币的汇率便会上升.2.3 固定汇率 Fixed Exchange RatesOfficial strive to keep the exchange rate virtually fixed (or pegged) even if the rate they choose differs from the current equilibrium rate. A narrow band of ex
21、change rates is allowed to vary.If the exchange rate hits the top or bottom of the band, the officials must intervene.在这种制度下,即使这一汇率与当前的均衡汇率有偏差, 官方也会尽力保持汇率基本不变( 或钉住其他货币).通常,官方会宣布一个窄幅的汇率区间, 汇率可以在这一区间内变动.如果汇率达到了这一区间的上限或下限,官方必须予以干预.Under the floating-rate system a fall in the market price of a currency
22、is called a depreciation of that currency; a rise is an appreciation. Under the fixed-rate system, a discrete official reduction in the otherwise fixed par value of a currency is called a devaluation; a discrete raising of the official par is a revaluation.在浮动汇率中 ,市场价格(汇率价值)的下降被称为该货币的下浮;市场价格的上升则称为上浮
23、.在固定汇率制下,我们将官方人为地降低货币平价的做法称为货币的贬值);官方人为地提高货币平价称为升值.2.4 各国汇率制度安排多数主要货币之间采用的都是浮动汇率;尽管其他很多国家政府都对外汇市场进行了一定程度的官方干预来限制汇率的波动,但他们也宣称实行的是浮动汇率制;一些国家和地区在本币与美元之间采用固定汇率;一些国家与欧元保持固定汇率.3 即期外汇市场中的套汇交易套汇 Arbitrage, the process of buying and selling to make a nearly riskless pure profit, ensures that rates in differe
24、nt locations are essentially the same, and that rates and cross-rates are related and consistent among themselves.三角套汇 there is an opportunity to make a riskless profit by arbitraging through the three rates, a process called triangular arbitrage.C4 外汇期货与国际金融投资Forward Exchange and International Fina
25、ncial Investment1 汇率风险 Exchange Rate RiskThe net worth of income, wealth will changes when exchange rates change unpredictably in the future.保值 Hedging:It is the act of reducing or eliminating a net asset or net liability position in the foreign currency.投机 Speculating:It is the act of taking a net
26、asset position or a net liability position in some asset class (in foreign currency).2 外汇期货的基本知识远期外汇合约 A forward foreign exchange contract is an agreement to exchange one currency for another on some date in the future at a price set now (the forward exchange rate).Common dates for future exchange a
27、re 30,90,180 days forward.2.1 外汇期货的套期保值 Hedging Using Forward Foreign ExchangeHedging involves acquiring an asset in a foreign currency to offset a net liability position already held in the foreign currency, or acquiring a liability in a foreign currency to offset a net asset position already held.
28、 Hedging means avoiding both kinds of open positions in a foreign currency, both long positions and short positions.套期保值指取得某种外币资产以抵补已持有的该货币的净负债头寸,或用某种外币的净负债抵消已持有的该种外币的净资产头寸.套期保值就是减少同一外币“敞口“(open positions),即多头头寸和空头头寸2.2 外汇期货投机在投机中,未来的不确定性给投机者本币计值的净财富带来了风险和盈利机会.任何愿意持有外币头寸的人都是投机者,不论他们对于远期汇率抱有什么样的动机和预期
29、.外汇期货 Currency Futures:by entering into a currency futures contract, you can effectively lock in the price at which you buy or sell a foreign currency at a set date in the future.与远期外汇合约的不同:A standard contract;Require a margin to ensure your trading;Profit or losses accrued daily; Low-cost direct me
30、thod for currency hedging or speculation.外汇期权 Currency Option:a Currency Option gives the buyer(or holder) of the right, but not the obligation, to buy foreign currency (a call option) or to sell foreign currency at sometime in the future at a price set today期权是一种有价值的权利,买方向期权的卖方支付一定的权利金才能获得期权外汇掉期 Cu
31、rrency Swap:in a currency swap two parties agree to exchange flows of different currencies during a specified period of time.3 国际金融投资 International Financial Investment3.1 抵补的国际投资 A hedged investment is called covered international investment.抵补利差 Covered Interest Differential: CD=(1+iUK)f/e-(1+iUS)
32、 如果该差值为正,那么在英国投资较为有利.如果为负,那么投资就应转向美国国内.远期升水 Forward premium (F) is the proportionate difference between the current forward exchange rate value of the pound and its current spot value, F=(f-e)/e远期升水(以百分比形式表示 )表明即期持有的英镑增值比例 ,它是以即期汇率买入英镑,并在将来以即期的远期汇率卖出英镑的投资行为.如果 F 为负,则英镑处于远期贴水(discount),也就是以即期汇率买入英镑,而
33、在将来以现在的远期汇率卖出英镑的行为使得即期持有的英镑价值减少.更加简洁的公式,抵补利差约等于英镑的远期升水加上利差:CD=F+(iUK - iUS)这表明在图中,选择湖边哪一条路径取决于英镑的远期升水与两种货币利差的比较结果.美国投资者通过在英国进行投资所获得的抵补后的总收益(以美元表示) 近似等于下面两项之和:货币兑换时即期汇率与远期汇率之差所带来的收益(英镑的远期升水 F)加上英镑投资本身的利息收益 iUK.The overall covered return in dollars to U.S. investor from investing in Britain is approxi
34、mately equal to the sum of two components:The gain of loss from the spot and forward currency exchanges plus the interest return on the pound investment itself.抵补利差近似等于投资英镑资产获得的抵补后总收益(F+iUK)与投资美元资产获得的收益(iUS)之差.2.抵补套利 Covered Interest ArbitrageIt is buying a countrys currency spot and selling that cu
35、rrency forward, to make a net profit from the combination of the difference in interest rates between countries and the forward premium on that countrys currency.3.抵补利率平价 Covered Interest ParityThe opportunities to make arbitrage profits would be self-eliminating because the forward exchange rate wo
36、uld adjust so that the covered interest differential return to zero.We refer to the condition CD=0 as covered interest parity.抵补利率平价有两种等价的表达式:1 一国货币的远期升水 (贴水)等于该国利率低于( 高于)另一国利率数额(F=iUS-iUK). 2 投资于一种外币的总抵补收入等于投资于本币的总收入(F+iUK=iUS).如果一国的利率低于美国的相应利率,那么该国的货币便为远期升水,利率的百分比之差将等于远期升水的百分比.如果即期汇率上升而两国利率差没有发生变化
37、,那么远期汇率就必须上升以维持远期升水不变.在这种情况中,任何使即期汇率上升(或下降)的因素也将会使远期汇率同样上升(或下降).即,长时间内, 即期汇率与远期汇率之间存在高度的正相关关系.3.2 无抵补的国际投资Uncovered international financial investment involves investing in a financial asset denominated in a foreign currency without hedging or covering the future proceeds of the investment back into
38、 ones own currency.投资者可用预期的将来即期汇率(ex)来预测无抵补国际投资的预期总收益.预期的无抵补利差:近似公式等于预期外币升值率( 如果为负,则)1/)(usexukiiEUD为贬值率)加上两国的利率差 :EUD=Expected appreciation + (iUK-iUS)为什么有人愿意进行这种投资呢?一是与收益相关,二是与风险相关.无抵补投资的预期总收益可能会大于在国内投资的收益(EUD 为正).投资者预计所承担的风险会得到足够的补偿 .尤其当实际的将来即期汇率远低于预期值时.无抵补利率平价 Uncovered Interest Parity:A currenc
39、y is expected to appreciate (depreciate) by as much as its interest rate is lower (higher) than the interest rate in the other country. 两种表达形式:1 一种货币的预期升值(贬值) 幅度和该国利率低于( 高于)他国利率的差值相同.(英镑预期升值率=iUS-iUK);2 投资于一种外币的预期无抵补总收益等于投资于本币的总收益.(预期升值率+iUK=iUS).C5 汇率的决定1 短期汇率决定: 汇率的资产市场理论1.The asset market approac
40、h exchange rates as being part of the equilibrium for markets for financial assets denominated in different currencies.最好的办法是考察以不同货币计值的资产的供求状况,了解短期汇率面临的压力.只需研究以各种货币计值的有价证券(政府债券)Four variables 变量 should be considered: the domestic interest rate, the foreign interest rate, the current spot exchange ra
41、te, and the expected future spot exchange rate.投资者确定未抵补的外汇债券投资总收益的依据是:债券本身的基本收益(由利率或收益率决定);预期汇率收益或损失( 预期外汇升值或贬值) 如果未抵补利率平价成立(至少是近似地成立 ),那么国内和国外利率(i 和 if)或预期的将来即期汇率(eex)的任何变化都可以导致未抵补利差以及需要重建未抵补利率平价的压力.如下变化将促使即期汇率 e(外汇的价格 )上升:利差(if-i)增加;预期将来即期汇率(eex)上升.2.预期的将来即期汇率的作用顺势效应 Bandwagon: currencies that hav
42、e been appreciating are expected to continue to do so.预期也建立在汇率最终与基本经济面保持一致;汇率预期的改变源于很多新的信息经济模型几乎没有能力预测从短期到未来(一年或更短的时间内 )的汇率.主要是因为不可预测的新闻是影响短期汇率变动的重要因素,但这也反映了预期会推动短期汇率变动,导致顺势效应(bandwagon effect)以及投机泡沫 (speculative bubbles).2 长期汇率分析:2.1 购买力评价 the purchasing power parity (PPP) 1.一价定律:The law of one pri
43、ce posits that a product that is easily and freely traded in a perfectly competitive global market should have the same price everywhere, once the prices at different places are expressed in the same currency.一种商品如果能在完全竞争的国际市场上自由买卖,那么该种商品在不同地方使用同一种货币表示的价格应当相等.P=ePfP:用本国货币表示的某种商品的国内价格; Pf:即期汇率(e:本币价格
44、外币价格)换算得到的该种商品的外币价格2.绝对购买力评价 Absolute purchasing power parity:The average price of these products stated in different currencies is the same when converted to a common currency.一组或一篮子可贸易产品在不同国家以同种货币表示的价格是相同的.P=ePf, e=P/Pf P 是用本币表示的产品平均价格水平,Pf 是用外币表示的产品平均价格水平.两个等式是相同的,除了价格变量在一价定律中是指某种商品的价格,而在绝对 PPP 定
45、理中,指一组商品的价格.理论:国际竞争逐渐使国内外贸易商品和服务的价格均等化3.相对购买力评价 Relative purchasing power parity:The difference between changes over time in product-price levels in two countries will be offset by the change in the exchange rate over this time.一段时期内,两国间产品价格水平的差会被同期内汇率的变化值所抵消. 0,0/ftftPe常用近似表达式:Rate of appreciation
46、of the foreign currency= -f 是国内的通胀率,f 是外国通胀率相对购买力平价理论为预测汇率的波动趋势尤其是长期趋势,提供了强有力的工具:通货膨胀率相对较低国家的货币在外汇市场上趋向升值;通货膨胀率相对较高国家的货币在外汇市场上趋向贬值.Recent experience结论:短期内 ,汇率会明显偏离其 PPP 价值;但就长期而言,购买力平价理论成立.2.2 货币分析方法 the monetary approach to exchange rates.Ms 和 Msf 分别为本国和外国货币供应量 ,P 和 Pf 分别代表本国和外国的价格水平 ,y 和 yf 分别表示本国
47、和外国实际 (按照不变价格计算的)国内产出.k 和 kf 分别表示本国和外国的货币持有量与其名义 GDP 之间的比例关系这一方程表明, 当外国的货币供给增长放缓)/(/()/YkMPefSff(MsMsf 的比率上升)、外国实际产出增长加快 (Yfy 的比率上升) 或 kf/k 比率上升时,外国货币升值;反之,当外国货币供应急剧增长且实体经济停滞不前时,外国货币会贬值.2.货币供给对汇率的影响:The change of money supply should lead to the same extent change of exchange rate.3.实际收入对汇率的影响:1The c
48、hange of real incomes should lead to the same extent change of exchange rate. 2The effect of real incomes on exchange rate is different according the reason for the change of real incomes, such as supply-side or aggregate-demand reason.3 中期趋势3.1 汇率超调 Exchange rate overshootingThe rapid, large reacti
49、on of the current exchange rate to such news as a changes in monetary policy is called overshooting.4 名义有效汇率 nominal effective exchange rate is a weighted average of the market rates across a number of foreign currencies 是取一组外国货币加权,得到平均汇率值.实际有效汇率 real effective exchange rate is a weighted average of real bilateral exchange rates across a number of foreign countries 是对一组其他国家的实际双边汇率加权后的真实汇率. 实际汇率(RER) 可用于衡量对 PPP 的偏离幅度,同时也能反映出一国的价格竞争优势 .C6 政府外汇政策 Government Policies toward the Foreign Exchange Market1 为什么政府干预 Why Does Governments Interven
