Международные финансы
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( : $1.3849 /€ – « |
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1 ?») |
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( : €0.72/$ |
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Bid-Ask Spread |
Bid ( |
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Ask |
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– 12 –
BR (bid rate) |
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AR (ask rate) |
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USD/RUR |
25.2418 – 25.4251 = |
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RUR |
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USD |
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BR < AR |
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S.W.I.F.T.*
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USD |
American Dollars |
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RUR |
Russian Rubles |
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GBP |
British Pounds |
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EUR |
Euro |
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CHF |
Swiss Francs |
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CAD |
Canadian Dollars |
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JPY |
Japanese Yen |
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(Not complete / For illustration only)
* S.W.I.F.T. (Society for World Wide Interbank Financial Telecommunications) – (
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BAS (bid ask spread) = AR – BR
% BAS AR - BR 100 % AR
BAS = 25.4251 – 25.2418 = 0.1833
% BAS = 25.4251 25.2418 100% 0,72% 25.4251
1. (USD/RUR) / (USD/CHF) = (CHF/RUR)
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BAS |
% BAS |
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USD/RUR |
25.2418 |
– 25.4251 |
0.1833 |
0.72% |
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USD/CHF |
1.1885 |
– 1.1889 |
0.0004 |
0.03% |
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CHF/RUR |
21.2312 |
– 21.3926 |
0.1614 |
0.75% |
2. (GBP/USD) / (EUR/USD) = (GBP/EUR) |
BAS |
% BAS |
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GBP/USD |
2.0062 |
– 2.0067 |
0.0005 |
0.02% |
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EUR/USD |
1.3878 |
– 1.3883 |
0.0005 |
0.04% |
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GBP/EUR |
1.4451 |
– 1.4460 |
0.0009 |
0.06% |
3. (USD/CHF) x (GBP/USD) = (GBP/CHF) |
BAS |
% BAS |
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USD/CHF |
1.1885 |
– 1.1889 |
0.0004 |
0.03% |
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GBP/USD |
2.0062 |
– 2.0067 |
0.0005 |
0.02% |
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GBP/CHF |
2.3844 |
– 2.3858 |
0.0014 |
0.06% |
– 13 –
SR (spot rate) |
– |
FR (forward rate) |
– |
FR > SR => Pm (Premium) – ( )
FR < SR => Dis (Discount) – ( )
FD (Pm; Dis) –
FD (Pm; Dis ) |
FR - SR |
x 100 % x |
360 |
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t 30, 60, 90, 180, 360 |
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SR |
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outright |
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EUR/USD |
BR |
AR |
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BAS |
% BAS |
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SR |
1.3878 |
1.3883 |
0,0005 |
0,04% |
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FR (30) |
1.3947 |
1.3967 |
0,0020 |
0,14% |
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FDBR |
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(1.3947 – 1.3878) |
x 100 % x |
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= 5,97% |
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1.3878 |
30 |
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FDAR |
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(1.3967 – 1.3883) |
x 100 % x |
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= 7,26% |
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1.3883 |
30 |
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swap rate (SwR) )
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1. SwBR < SwAR = FPm |
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2. SwBR > SwAR = FDis |
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FR= SR + SwR |
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FR= SR – SwR |
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SR |
1.3878 |
1.3883 |
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SR |
1.3878 |
1.3883 |
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SwR (30) |
64 |
82 |
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SwR (30) |
76 |
58 |
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FR (30) |
1.3942 |
1.3965 |
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FR (30) |
1.3802 |
1.3825 |
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SR |
1.3878 |
1.3883 |
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3 11 |
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SwR (30) |
64 |
82 |
SwR (90–120) |
(194-137)=57 |
(249-180)=69 |
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SwR (60) |
93 |
122 |
SwR ( ) |
(57/30)=1,9 |
(69/30)=2,3 |
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SwR (90) |
137 |
180 |
SwR (90+11) |
137+ 11X1,9= |
180+ 11X2,3= |
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SwR (120) |
194 |
249 |
FR (101) |
157,9 |
205,3 |
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FR |
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1.4036 |
1.4088 |
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– 14 –
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– 15 –
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– 16 –
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– 17 –
1
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ea |
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PPP: |
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= p |
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UFR |
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PPP |
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FE: |
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IFE: |
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= r |
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UFR: f = e |
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IFE |
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IRP: |
f = r |
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IRP |
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FE |
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p |
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pah – paf |
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1 + paf |
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r |
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r = |
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rh – rf |
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“ |
” means “=” |
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1 + rf |
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SRa1 – SR0 |
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SR0 |
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f = |
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FR0-1 – SR0 |
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SR0 |
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h – home; f – foreign |
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1 PPP ea = pa |
(Purchasing Power Parity / ) |
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pf = [ph + TC] x ER |
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ER (exchange rate) – |
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TC (transaction costs) – |
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SRa1 – SR0 |
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pah – paf |
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1 + pah |
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SR 1= SR0 |
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SR0 |
1 + paf |
1 + paf |
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pa |
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1 + ph |
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SR 1 = SR0 |
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PPP |
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1 + pf |
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SRn1 > SRr1 => |
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SRn1 = SRr1 => |
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SRn1 < SRr1 => |
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2 FE |
r = pa |
(Fisher Effect / ) |
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rn rr + pr |
(1+ rn) = (1+ rr) x (1+ pa) => rn =[(1+ rr) x (1+ pa) – 1] % |
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r |
1 + rn |
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r = |
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1 + pa |
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rh – rf |
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pah – paf |
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1 + rh |
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p h =[(1+ p f ) x |
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– 1] % |
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1 + rf |
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1 + rf |
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1 + p f |
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1, ,
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– 18 –
3 IFE |
ea = r |
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(International Fisher Effect / ) |
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SRa1 – SR0 |
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rh – rf |
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1 + rh |
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SR 1= SR0 x |
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SR0 |
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1 + rf |
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(1 + rh) = |
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x (1 + rf) x SR 1 |
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SR0 |
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r |
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Spot Market Strategy/Speculation (SMS) |
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SRa1 |
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P SMS = [(1+ rh) – (1 + rf) x |
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SR0 |
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IFE |
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ea
4 UFR f = ea |
(Unbiased Forward Rate / ) |
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FR – SR0 |
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SRa1 – SR0 |
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FR = SRa1 |
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SR0 |
SR0 |
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Forward Market Strategy/Speculation (FMS) |
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ea |
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P FMS = [FR – SR 1] x Q |
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UFR |
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SRa1 |
> FR long/bull PaFMS = [SRa1 – FR]xQ |
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SRa1 |
< FR short/bear PaFMS = [FR – SRa1]xQ |
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f |
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5 IRP f = r |
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(Interest Rate Parity / ) |
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FR – SR0 |
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rh – rf |
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FR* = SR0 x |
1 + rh |
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1 + rf |
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SR0 |
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Covered Interest Arbitrage (CIA) |
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FR |
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PCIA = [(1+r ) x |
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– (1+ r )] x Q |
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IRP |
SR |
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FR > FR* |
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PCIA > 0 |
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FR < FR* |
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PCIA < 0 |
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f
– 19 –
The Big Mac Index
Source: The Economist / www.economist.com
Index first launched in 1986; based on July, 2008 BigMac Prices
– 20 –
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