Currencies in Contemporary Market

7/27/2019 Currencies in Contemporary Market

1/212

2008

2007-2008


2/212

2008

.

1:

1.1 ..................................... 1

1.2 ........... 3

1.3 .... 3

1.4 .......... 5

2:

................................ 7

2.1 ................ 9

2.2 .................. 12

2.3 ......... 15


3/212

2008

3 :

3.1 ......................17

3.2 ,

23

3.3 .. 33

3.4. (financial

leverage)

(carry trades) 42

3.4

.. 45

4 :

4.1 .......................... 51

4.2

....... 53

4.3 ......................... 62

4.4 .... 77

4.5 ....... 80

4.6 . 82


4/212

2008

4.7

. 86

4.8

carry trade 94

4.9

Carry trades

.. 97

5 :

5.1 ............................. 103

5.2 . 104

5.3 106

5.4 107

5.5 fx trader .. 111

5.6 114

6 :

6.1 .............. 118

6.2 ............... 127

6.2 131


5/212

2008

6.3. 139

7:

(HENDING)

7.1 .. 146

7.2. .. 148

7.3. 153

7.4. .. 158

8: SPOT

8.1 .. 166

8.2 .. 167

8.3. , , 172

8.4. . 177

8.5. 180


6/212

2008

9

FORWARD

9.1. .. 183

9.2. .. 185

9.3. . 189

9.4. 191

9.5. . 194

. 198


7/212

2008

,

.


8/212

2008

4.2.1

53

4.2.2 56

4.2.3 e p .. 56

4.2.4. METABO e 56

4.2.5. E= F(R*-e) .......................... 59

4.2.6 59

4.2. 7 ...... 60

4.2.8 . 60

4.2.9. ............................... 61

4.2. 10 $ 61

4.3.1. 74

4.3.2. . 74


9/212

2008

4.3.3. 75

4.3.4. iD .... 76

4.3.5. . 77

4.7.1.

88

4.7.2. $ .89- 90

4.7.3. .... 91

5.6.1. . 117

6.1.1. . ......... 126

8.1.1. SPOT & FORWARD . 167

8.4.1. .. 179


10/212

2008

1

1

1.1.

.

( )

,

.

(),

spreads

. 1

, ,

,

, ,

. , -

,

.

1, (2000) .2: , . 3


11/212

2008

2

,

32,5 . 2

,

1997

,

.

,

.

.

.

,

: .

,

2, (2000) .2: , . 3


12/212

2008

3

,

.

(hedging, spot , Forward )

.

1.2

(, , )

,

- ,

.

.

1.3. 3

, ,

, .

, , .

3www.dspace.lib.uom.gr , .
http://www.dspace.lib.uom.gr/http://www.dspace.lib.uom.gr/


13/212

2008

4

, .

, .

,

.

,

.

,

,

.

,

,

.

( )

,

,

.

.

.


14/212

2008

5

1.4.

:

.

, ,

,

.

.

(

, , ),

.

.

,

, ,

.

FX trader,

.

.

,


15/212

2008

6

. 7, 8 & 9

3 :

(HEDGING), SPOT

FORWARD .

,

,

. ,

.


16/212

2008

7

2

.

.

. 4

1.

Chicago (Chicago Mmerchandise

Eexchange) ...,

(Iinternational Mmonetary

Mmarket).

. 5

4www.ac-markets.com/gr5www.ac-markets.com/gr
http://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/gr


17/212

2008

8

2.

,

, .

brokers (

)

standards

.

(BIS- Bank of International

Settlements), dealers

1,49 ... . ,

( )

12 .6

,

, ,

,

. 32% ,

6www.ac-markets.com/gr
http://www.ac-markets.com/grhttp://www.ac-markets.com/gr


18/212

2008

9

... 18%

8%.7

2.1

"forex" "FX" ()

(/ )

.

(.. ) ,

, .

,

. 8

- (over the counter)

,

.

(

): , , Tokyo, , ,

& , Hong Kong.

7www.ac-markets.com/gr8 Paul Krugman and Maurice Obstfeld, : , (2000), , , . 13:


19/212

2008

10

.

,

. ( ),

, broker

.9

.10

: , ,

, .

,

, forex . ,

UR/USD forex

.

83% .

""

9www.ac-markets.com/gr10www.bankofcyprus.gr
http://www.ac-markets.com/grhttp://www.bankofcyprus.gr/http://www.bankofcyprus.gr/http://www.ac-markets.com/gr


20/212

2008

11

.11

,

.

. 12

:

5%

,

. 95%

. dealers (),

, : (USD) , (JPY),

(EUR), (GBP), (CHF),

(CAD), (AUD).

. 13

,

24. dealers

11 10/2007, , 12www.bankofcyprus.gr

13www.bankofcyprus.gr
http://www.bankofcyprus.gr/http://www.bankofcyprus.gr/http://www.bankofcyprus.gr/http://www.bankofcyprus.gr/


21/212

2008

12

(dealing centers),

, , , .

, ,

. (foreign exchange) :

spot (2 ),

spot,

, ,

forward ( 2

),

forward,

. forward

1 12 . 14

.

.

2.2.

,

.

14www.bankofcyprus.gr
http://www.bankofcyprus.gr/http://www.bankofcyprus.gr/


22/212

2008

13

trader

Bretton Woods

. 15

.

. ,

() .

.

,

(IOU) .16

.

.

gold standard. Bretton Woods 1944

35 ...

. 1971,



23/212

2008

14

...

.17

1,5

... (-

) ,

online

.18

,

brokers

, -

, , hedge

funds.19

.

17www.ac-markets.com/gr18www.ac-markets.com/gr19. , , , 2005


24/212

2008

15

.20

2.3

21

.

, ,

, ,

, .

.

, ,

,

.

.

,

,

20. , , , 200521, .


25/212

2008

16

,

;

.

,

,

.


26/212

2008

17

3

3.1

:

i) (Spot Market)

ii) (Forward Market)

iii) (Swaps)

iv) (Options Markets)

i) (Spot Market)

(.. , , )

(.. , , , )


27/212

2008

18

. cash

markets spots markets. spot markets

. spot

cash,

, spot . 22

spot 8

ii) (Forward Market)

.

. 23

9

.

iii) (SWAPS)

swap

.

. 24

22. , , 23- .24 Wiley. (2000).An introduction to derivatives .5-27


28/212

2008

19

.

,

.

, . swap

..

...25

swap ,

,

.

:

- (currency swap (swap ))

- (interest rate swap (swap ))

-

(cross-currency interest rate swap

( swap).

swap. swap

(fixed-for-floating).

swap.

(notionals). (interest

differential)26

25

Wiley. (2000).An introduction to derivatives

.5-27

26www.primus.com.gr
http://www.primus.com.gr/http://www.primus.com.gr/


29/212

2008

20

: 27

() 8% swap

.

Notional : 100 . USD

() : 8%

: LIBOR 6.

: ()

6-LIBOR 7%.

USD100.*8%*(1/2)

USD100.*7%*(1/2).

USD100.*1%*(1/2) = USD 500.000.

Swaps

/ arbitrage . Arbitrage

.

.28

27www.primus.com.gr28 Paul Krugman and Maurice Obstfeld, : , (2000), , , . 13:


30/212

2008

21

: 29

(. ) USD.

:

(i) USD

(ii) JPY USD

(

)

iv) (Options Markets)

option

(Call) (Put) ,

(, .)

. option

premium. 30

: (long call),

(long put), (short

call), (short put).31

29www.primus.com.gr30 Don.M. Chance. (1998).An introduction to derivatives .17-1931 Don.M. Chance. (1998). An introduction to derivatives .17-19


31/212

2008

22

.

.

,

.

, . 32

() .

. 33

2 ,

.

,

.

,

. 34

32., , , 200533., , , 200534., , , 2005


32/212

2008

23

,

,

S-X ( S

).

. ,

,

( )

S-X .

,

. 35

3.2 ,

3.2.1

. :

(retail tier) (wholesale tier).

35., , , 2005


33/212

2008

24

. , ,

2000 ,

.

24

. To Sydney

, ,

.

. trader

/,

,

. ,

,

. traders

.

, .

. 36

. USD 10

( dealers).

Bank of International Settlements (BIS)

2005,

36 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


34/212

2008

25

spot, forward swap- 1,2

, 19% 2001.

. 37

2005,

USD 637 , (USD 350 ) , (USD 150

) (USD 140 ). , ,

- USD 70 95 .

USD, EURO

JPY. USD/EURO

2005 30% ,

USD/JPY 20% USD/GBP 11%.

4,5%

2005, 2001

3,1%.38

, (57%)

.

:

.

. 39

37 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf38 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf39 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


35/212

2008

26

3.2.2

, .

.

. SWIFT (Society for Worldwide Interbank

Financial Telecommunications),

. .

.

SWIFT

. 40

:

Banco del Suquia,

, (CHF) Malayan Banking Berhard,

, (JPY).

. Banco del Suquia Malayan Banking

Berhard CHF ,

Malayan Banking Berhard Banco del Suquia



36/212

2008

27

JPY . SWIFT

.

Banco del Suquia JPY

Malayan Banking Berhard CHF

. 41

,

(correspondent bank).

.

. ,

.

nostro

(). 42

.

,

.

41 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf42 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


37/212

2008

28

(.. ,

FED)

. 43

3.2.3

1) (Speculation)

.

.

.

. 44

,

.

, ,

. 45

43. , . , 200544 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf45., , , 2005


38/212

2008

29

,

. 46

, , ,

.

.

.47

.

. 48

2) (Hedging)

,

, .. . ,

,

. ,

46., , , 200547., , , 200548., , , 2005


39/212

2008

30

. 49

Hedging .

(market risk),

(interest rate risk)

(currency risk). .,

option future

. ,

interest rate option interest rate future. Hedging

.

.

,

.

hedging .50

49 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf50www.ine.otoe.gr/lexiko.pdf
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.ine.otoe.gr/lexiko.pdfhttp://www.ine.otoe.gr/lexiko.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


40/212

2008

31

51

1 125,89

(/ = 125,89). /

, / = 1/(/)= 1/125,89 = 0,007943.

1 0,007813

. /

0,007813, : / = 1/0,007813 = 127,99.

/ 125,89,

127,99, .

. :

) : : 1

0,007813. 1

0,007943 (1/125,89)

) : 1 : 1

0,007813, 1 0,007943.

.

,

, .

Arbitrage

,

51., , , 2005


41/212

2008

32

.

arbitrage arbitrage (spatial

arbitrage),

. , arbitrageur GBP

1,61 USD/GBP GBP 1,615

USD/GBP . 52

arbitrage (triangular arbitrage)

. ,

(cross rates) arbitrage.53

arbitrage (covered interest arbitrage)

spot

(forward) .

( ) ,

.54

55

2 : (R)

$ (R*) .

1,00?

52 Paul Krugman and Maurice Obstfeld, : , (2000), , , . 13: 53 Paul Krugman and Maurice Obstfeld, : , (2000), , , . 13: 54, (2000) .2: , . 3 55 CD: Euros role: Eichengreen-Euro, Frieden-euro, Wolf: Exchange rate regimes


42/212

2008

33

2

(12 ) .

(1+R)

: ()

1,00 e(=0,75)$ $(1/e). $(1/e)

$(1/e) (1+R*) .

$

(e+1)

$ (1/e) (1+R*) ,

(1/e) (1+R*) (e +1). ,

, (1+R) = (1/e) (1+R*) (e +1)

arbitrage (). (1+R)

> (1/e) (1+R*) (e +1)

(1+R) < (1/e) (1+R*) (e +1)

.

3.3.

$2 ( 30

NASDAQ NYSE ). forex

/interdealer .

,

forex ,


43/212

2008

34

forex

,

. forex ""

fx , ,

forex (OTC- Over

The Counter). 56

H (FOREX)

. ,

FOREX ,

"

".57

,

, 24,

, Online

, 100:1,

,

.58

56, 14/12/1997, FOREX 57, 10/2007, , 58, 10/2007, ,


44/212

2008

35

,

.

forex

/ forex

.59

FX

.

.

.

,

.60

- trader ,

.

""

, .61

,

59, 14/12/1997, FOREX 60, 10/2007, , 61, 10/2007, ,


45/212

2008

36

().

.

.

. 62

1. spread () /63

spread .

online brokers spread 5 pips

EURUSD

. ,

spreads.

0.04% 0.06% .

( 2002)

EURUSD 3 pips 0.03%

GBPUSD 3 pips 0.03%

USDJPY 3 pips 0.023%

USDCHF 3 pips 0.018%

spreads 5 9 pips

(

).

62www.ac-markets.com/gr63 www.ac-markets.com/gr


46/212

2008

37

2. 64

.

( ) brokers

. 5 30

... online brokers

150 brokers . brokers

10 30

... .

3.

1%.

trader 1.000.000

... 10.000 . ,

.

,

50% . 65

4. 24

24,

24:00 CET

23:00

CET . (ECN)

64 www.ac-markets.com/gr65 www.ac-markets.com/gr


47/212

2008

38

( Globex)

,

. 66

.

-

: Wellington , Sydney

, Tokyo, Hong Kong, .

, ,

.

, Tokyo ,

. ,

,

... , ,

,

-, ,

.67

5. Limit up / limit down

trader

.

66 www.ac-markets.com/gr67www.ac-markets.com/gr


48/212

2008

39

.

,

,

('gap'),

. -

- Over The Counter (OTC)

trader. trader

,

.68

6.

brokers

short-selling .

. , trader

.

,

. 69

68 www.ac-markets.com/gr69 www.ac-markets.com/gr


49/212

2008

40

,

.

.

.

FOREX

, 20%

" ".70

.

,

fx. ,

(), forex

.71

.

.

.

.

70, 10/2007, , 71, 14/12/1997, FOREX


50/212

2008

41

traders

.

.

:

.

, . 72

brokerage

.

.

.73

(hedging) (hedging

). , ,

.74

72www.ac-markets.com/gr73www.ac-markets.com/gr74www.ac-markets.com/gr
http://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/gr


51/212

2008

42

3.4.

(carry trades)

carry trades

.

.

, 100.000

3,75%.

5,25%. carry trade : )

.

)

.

carry trade 2006

( 0,25%)

(1,25% 2,25%)

: (5,25%),

(5%), (6,25%), (4,25%)

(7,25%), (3,50%)

(3%).75

75www.ine.otoe.gr/lexiko.pdf
http://www.ine.otoe.gr/lexiko.pdfhttp://www.ine.otoe.gr/lexiko.pdf


52/212

2008

43

carry trade

.

.

carry-trade :

- (, )

- ( To,

.)

"".

.

.

, ,

70% 2001

.

, .

,

carry trades .

.


53/212


54/212

2008

45

2007 64,8%

,

71% 1999.77

carry trade

.

3.5.

( dealers , market makers, brokers)

, ,

, , .

, .

,

.

,

,

arbitrageurs .

dealers traders.78

.

77www.naftemporiki.gr, Bloomberg, carry trade, 200778 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf
http://www.naftemporiki.gr/http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.naftemporiki.gr/


55/212

2008

46

,

.

,

, .

, hedgers,

, . ,

, , hedging,

, , , ,

,

. 79

,

.

,

,

,

. 80

79www.ac-markets.com/gr80 10/2007,


56/212

2008

47

Dealers, Market Makers, Brokers

dealer

. dealer

. dealers market makers. ,

(bid ask),

, .

market

maker

, (bid ask quote).

market maker .

market makers

(bid) (ask). (bid)

(spread). bid ask

0.03%

.

market makers

.81

(broker) .

dealer 500 JPY

.

, ,



57/212

2008

48

. dealer

broker, broker

. broker

,

. brokers

.

broker, dealer

.

. dealer

broker.

.

dealers dealers

.82

83

1992 Reuters

. dealers

. .

traders

Reuters 2000

82 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf83 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


58/212

2008

49

.

Reuters 2000

. Reuters

2000 MINEX , Dow

Jones Telerate Electronic Brokering Service (EBS)

Quotron

.

trading

.

spot ,

. trading , dealers

,

. traders

(

).

trading

dealers,

.


59/212

2008

50

internet

.

(.. )

internet

.


60/212

2008

51

4

4.1

(

) .

,

84

.

(FX FOREX) .

,

. ,

,

. 85

84, , (2000) . 3 : .85 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


61/212

2008

52

, /

. 31/12/2007

1,47210 , 1,47210

USD/EUR.

O () .. ,

, .. $ /$= 0,75

,75 $1,00. 1/e= $1,33

1,00. 86

: e=/$= 0,75

e=/$= 0,80. (depreciation/ devaluation)

$ . e=/$= 0,75 e=/$= 0,70.

(appreciation) $ .87

.

:

2 , 2 /,

.

,

.

,

.

. 88

86, , (2000) . 3 : .87 , , (2000) . 3 : .88 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


62/212

2008

53

4.2.

,

. ,

. ,

,

. ,

(St

E

)

4.2.1 89

4.2.1:

St

E

StE



63/212

2008

54

()

, . 90

() ,

().

: 91

D= D(e, P, I, R*, E+1)

:

e(e+1) : ()

P:

R*:

:

, .

:

S= S(e, P*, I*, R, e+1)

P*:

R:

I*

90, (2000) .2: , . 3 91, (2000) .2: , . 3


64/212

2008

55

, :

S= S(e, P*, I*, R, e+1) = D(e, P, I, R*, E+1)

e= e(P, P*, I, I*, R, R*, e+1) ( 1)

(/ /$)

(/) : , ,

. 2, 3

()

. 92

:

,

.

: 93

) (flexible exchange rates)

) (fixed/pegged exchange rates)

92, (2000) .2: , . 3 93, (2000) .2: , . 3


65/212

2008

56

) (managed floating exchange rates)

) (exchange rate control)

S= S(e, P*, I*, R, e+1) = D(e, P, I, R*, E+1)

e= e(P, P*, I, I*, R, R*, e+1) ( 1)

(/ /$)

(/) : , ,

. 2, 3

()

.

,

,

$ 94

94., (2006)


66/212

2008

57

:

.

().

R: .

.

R*: $.

: -, ., ,

1,40 . .

, .

:

.

, .

, .

,

(o).

M : R.

M $ : R* - e

, e, :

e

, , , .

, R> R* -e


67/212

2008

58

.

, ,

R R*.

R< R* - e

,

. ,

R= R* - e (1)

(1)

. R ()

. R* ,

. (1) ,

, ,

, R*-e. R*-e

:

, ,

R*-e .

: =( R*-e )


68/212

2008

59

R

:

:

EE= f(R*-e)

R*-e

E

RR


69/212

2008

60

=(R*-e)

R*- , R

) , R, )

, R*, )

,e .

) R,

,

. .

E

E= (R*-e)

R*-e, R

) R*,

, ...


70/212

2008

61

.

=(R*-e)

=(R*-e)

E1

R0

)

.

.

.

E=f(R*-e)

E=f(R*-e)


71/212

2008

62

4.3

.

:95

Rt = [(Ft-Et)/Et]x(360/n)x100

:

Ft =

Et =

n =

Rt > 0 Ft > Et

(forward premium)

Rt < 0 Ft < Et

(forward discount)

,

.

,

.

95, ,


72/212

2008

63

4.3.)

.

(Law of One Price)

,

,

:

t,

Pt* = $10/, () Pt =

7,69 /, , :

F (t) $ :

Et = (Pt / Pt*) = 7,69 /10$ = 0,769 /$ Pt = Et Pt*

, , Et = 1,00 /$

$7,69/ $10/

, 10

/ 9,3 . :

.

$

. 96

96, ,


73/212

2008

64

(Theory of Purchasing Power

Parity--PPP)97

PPP

. PPP,

, :

FPt = Et xPt* Et = Pt / Pt* (1)

(1)

:

st = pt - pt* (2)

: st = % Et

pt = %

pt* = %

(2)

: 2005 5%

4% [ $ ] [] 1%

(PPP)98

PPP

97, , 98, ,


74/212

2008

65

.

: 1985 1987,

, ,

$, PPP,

$ 40% !!!

: 1973 1999,

85% $

45% [ 85%

PPP.

PPP

:

. Toyota

Mercedes Benz! Mercedes

.

[, , ..]

.


75/212

2008

66

Jump to first page

PPP:

(Real Exchange Rates)99

Et (/$)]

[]:

Rt = (Et Pt*)/ Pt (3)

(3)

:

t = st - (pt - pt*) (4)

: st = % Et

pt, pt* = %

pt - pt* =

99, ,


76/212

2008

67

(4) :

st = pt - pt* t = 0

st < ( > ) pt - pt* t ( -) ( )

: 5%

3%, 2%

.

4.3.)

100

arbitrage (

) ,

.

,

.

arbitrage.

101

, .

: $

. 1=1,50$

100, , 101www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


77/212

2008

68

1=1,40$ () ()

. () 7,143 cents

$, 7,143%

:

. , , $/ /$ ,

/ :

(/)=($/)x(/$)

102

:

. 1= 1,568$ 1$=

0,9315 (/) =1,568 x 0,9315 = 1,460 (/).

1,5

(/) :

1000 1,500 ,

1610 $ . 1,026 =26

.

103

102, ,


78/212

2008

69

.

:

(EE) ,

iD, : (1+ iD) ,

(1/t)

iF.

(1/t) : (1/t)(1+ iF)

.

$ ,

$,

Ft

: (Ft/Et )(1+ iF)

(Ft/Et)(1+ iF)> (1+ iD)

(Ft/Et)(1+ iF)< (1+ iD)

,

:

(Ft/t )(1+ iF) = (1+ iD) (4)

, (Ft/t )(1+ iF) > (1+ iD) :

103, ,


79/212

2008

70

$ - Et

$ Ft

- iD .

iF.

(4)

(covered interest rate parity):

iD - iF = fp, fp=(Ft-t)/t

, :

)

)

)

)

104

.

, ,

.

104, ,


80/212

2008

71

:

[] [] :

(maturity) , (default risk),

(liquidity)

:

$

( )

$ .

:

( ) : iD ,

() : iF + Eet+1,

:

FiD = () ( ),

FiF = () ( $)

FEet+1

= (/$) t+1,

FEet+1= (Eet+1- Et)/ Et,

FEet+1 > 0 ( $),

FEet+1 < 0 ( $)

:


81/212

2008

72

() ( $) : iF ,

() ( $ ) : iD - Eet+1

(RETe) 105

( $ ) iF + Eet+1 iF

( ) iD iD - Eet+1

RETe: iF- iD +Eet+1

iF- iD +Eet+1

.

()

, ()

() $ ()

,

, :

iF- iD +Eet+1 = 0 ,

iD = iF + Eet+1

105, ,


82/212

2008

73

.

RETF106

iF = 10% Eet+1 = 1 /$, :

Et = 0,95 RETF = 0,10 (1-0,95)/0,95 = 0,048 = 4,8% []

Et = 1,0 RETF = 0,10 (1-1,0)/1,0 = 0,100 = 10,0% []

Et = 1,05 RETF = 0,10 (1-1,05)/1,05 = 0,148 = 14,8% []

, , , RETF

RETF , cet. par.,

Et

(Eet+1 ) RETF , .

, D, RETD = iD =10% RETD

:RETD = RETF, *

Et > E* RETF > RETD $ Et

Et < E* RETF < RETD $ Et

106, ,


83/212

2008

74

107

Jump to f irst page

E t

(/$) RE T F RE TD

1,05 ----------- ---------

E=1,0 ------------------------------- B

0,95 ---------- ------------ ----------

| |

5% 10% 15%

( )

(RETF)

(,

) 108

Jump to first page

E t

(/$) RE TF1 RE TF2 RE TD

E2 -------------------------- 2

E1 ------------------------------------ 1

iD ( )

iF Eet+ 1 ceteris paribus, E t , RET F RET F1 RETF2 E1 E2 ()

($ )

107, , 108, ,


84/212

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75

(RETD)

(iD)109

Jump to first page

Et

(/$) RETF1 RETD1 RETD2

1 1

2 2

iD1 iD2

()

iD , e

,

RETD RETD1 RETD2 E1 E2

, ,

.

109, ,


85/212

2008

76

iD

pe110

Jump to first page

Et

(/$) RETF1 RETF2 RETD1 RETD2

2 2

1 1

iD1 iD2 ()

1. e ()

$ RETF1

RETF2

iD e

RETD1 RETD2

, e> iD Eet+1

iD

RETF > RETD

E2

(Ms)

111

110, , 111, ,


86/212

2008

77

Jump to first page

Et

(/$) RETF1 RETF2 RETD2 RETD1

E2 2

3 3

1 1

iD2 iD1 ()

1. Ms P Eet+1 - ( $) RETF1 - RETF2

2. Ms iD RETD1 RETD2

, 1 2E1 E2, iD -, RETD2 RETD1

3 E3. - [exchange rate

vershooting]: Ms ,Et -

.

4.4.

.

,

.

, .

.

. 112

112www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


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2008

78

USD.

.

( (GBP), (NZD),

(IEP), (AUD)) EUR.

.

1.1 113

() : JPY/USD ()

JPY

L.A. JPY 110,34-111,09 dealer

USD 110,34 JPY (bid) USD JPY 111,09 (ask).

USD dealer, 0,75 JPY.

() : USD/JPY ()

dealer L.A. ,

bid ask ,009002 - ,009063 USD JPY.

,

.

S()bid

= 1/S()ask

,

S()ask

= 1/S()bid

.



88/212

2008

79

.

. , ,

. ,

.

market makers.

. market makers

. ,

JPY

JPY . ,

JPY

, JPY

. dealers

.

dealers

. dealer JPY

. ,

,

. 114



89/212

2008

80

4.5

/ .

/ USD.

trader -

JPY/CHF, -

.

- .

USD,

USD.

JPY/GBP USD/JPY

USD/GBP.

.

arbitrageurs

. ,

arbitrage

. 115

1.2

: S=,0104 - ,0108 USD/JPY

S=1,5670 1,5675 USD/GBP.

JPY/GBP. H JPY/GBP

GBP JPY,



90/212

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81

JPY

GBP. ( GBP JPY)

JPY USD

(1/,0108) JPY/USD USD

GBP 1,5670 USD/GBP.

:

Sbid,JPY/GBP

= Sbid,JPY/USD

x Sbid,USD/GBP

=(1/,0108) JPY/USD x (1,5670)

USD/GBP = 145,0926 JPY/GBP.

, JPY/GBP

145,0926 JPY/GBP

,

JPY/GBP ( GBP JPY)

:

Sask,JPY/GBP

= Sask,JPY/USD

x Sask,USD/GBP

=(1/,0104) JPY/USD x (1,5675)

USD/GBP = 150,7211 JPY/GBP.

.3: arbitrage 116

1.2, trader

: Sask,JPY/GBP

= 143,00 JPY/GBP. trader

arbitrage:

(1) USD 1.000.000 ,0108 USD/JPY. trader

JPY 92.592.592,59



91/212

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(2) JPY 92.592.592,59 143,00 JPY/GBP.

GBP 647.500,65

(3) GBP 647.500,65 1,5670 USD/GBP. trader

USD 1.014.633,51

USD 14.633,51. trader

. ,

Sask,JPY/GBP = 143,00 JPY/GBP .

4.6.

.

.

,

.

80

, , .

, .

(futures) (options).

, (swaps). 117

117., (2006)


92/212

2008

83

,

,

(, , , ...).

: 1)

, 2) (Advance margin payment)

.

, 3)

, 4) (

),

. 118

.

futures

.

. 119

(Currency options)

, (over-the-counter (OTC)).

(call options)

, ,

(strike price

exercise price) .

118., (2006) 119www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


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2008

84

(put options)

, ,

(strike price

exercise price) .

(the

writer of an option). ,

premium . Philadelphia

. (International

Monetary Market) SIMEX (Singapore International Monetary

Exchange)

. 120

(strike price).

(

). 121

. ,

.

,

. 122

120 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf121., (2006) 122., (2006)


94/212

2008

85

.

;

:

(1+rd) = (1+rf)(1+st,T)

rd: .

rf: .

st,T:

t

t+T

: 1980 1999,

10,92% . (JPY)

4,03% .

:

rd-

= (1.1092)(1.0403) - 1 = 15.39%.

. 1980 1999,


95/212

2008

86

12,6% . USD

JPY 3,87% . :

rd-

= (1.1260)(.9613) - 1 = 8.24%.

,

rd.

st.

st,T

rd.

.

4.7.

;

. -,

.

. , ,

. ,

. -,


96/212

2008

87

. 123

,

,

,

. ,

, .

,

.

,

.

,

.

4.7.1

. 124

4.7.1.:

123www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf124www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


97/212

2008

88

S

S

D

SOE S,D S1

E S,D

.

t T :

s(t,T)=(S(T)/S(t))-1

S(t)

( spot).

.

. ,

( )

. ,

, s(t,T)

t. ,

s(t,T) . 125



98/212

2008

89

: 126

.

.. EUR

EUR . USD

4.7.2. USD127

:.. EUR EUR USD

126., , , 2007-2008127., , , 2007-2008

EUR


99/212

2008

90

4.7.3. USD128

128., , , 2007-2008


100/212

2008

91

4.7.4. EUR129

EUR130

euro ,

euro, euros

.

129., , , 2007-2008130., , , 2007-2008


101/212

2008

92

euros .

- ( -

- self-fulfilling prophecy)

(Covered Interest Parity)131

-

(- - self-fulfilling prophecy).

forward spot:

R$ = R+ (F$/- E$/)/E$/

F$/ forward

,

.

?

forwards

132

1.

2.

.

131., , , 2007-2008132., , , 2007-2008


102/212

2008

93

.

3.

.

4.

5.

.

6.

:

(interest rate parity

7.

8.

-

9.

forward


103/212

2008

94

4.8.

carry trade

o carry trade,

.

,

. ,

.

, 0,5%, carry trade.

,

12 .

2004,

.

, ,

.

H

,

carry trade. ,


104/212

2008

95

. short

long

, , .

,

.

deflation () A

I 1995, ,

.

. 133

.

.

carry-trade, bullish

//.134

,

, hedge funds,

carry trade.

133

www.naftemporiki.gr, H IENH , I ... - ZEZA ZHKOY134www.capital.gr, carry trade, , 1/10/2007
http://www.naftemporiki.gr/http://www.capital.gr/http://www.capital.gr/http://www.naftemporiki.gr/


105/212

2008

96

hedge funds

.

carry trade

.

,

, carry trade.

.

. , ,

carry trade. ,

.

.

.

.


106/212

2008

97

1991.135

( carry trades),

.

,

. ,

, Legal

& General Investment anagement.136

4.9.

carry trade .

K carry trade.

[JPY=X]

. ,

.

135 The financial times, 136, 11/2/2007


107/212

2008

98

,

,

carry trade 137

carry trade

,

.

.

, .

,

.

, carry

trade.138

,

,

.

,

carry trade

137www.naftemporiki.gr, carry trade, 18/5/2007138www.ase.gr, ,
http://www.naftemporiki.gr/http://www.ase.gr/http://www.ase.gr/http://www.naftemporiki.gr/


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2008

99

.

5 10 ,

1998,

hedge funds LTCM 4,6 . .

.

LTCM,

,

. hedge

funds

carry trade.

"" ,

20% .139

carry trades.

,

. , ,

, ,

hedge fund

.

,

2 .140

hedge funds

.

139www.euro2day.gr, , 16/11/2007140www.euro2day.gr, , 16/11/2007
http://www.euro2day.gr/http://www.euro2day.gr/http://www.euro2day.gr/http://www.euro2day.gr/


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100

.

, ,

( 2 . ),

. 141

hedge funds ( ),

. , 3,

.

carry traders

, :

,

.

, ,

, (

)

.142

: 7%

38 . .

. hedge funds

carry trade, N. Z

141www.sec-ict.gr, K, Carry trades142www.naftemporiki.gr, carry trade, 18/5.2007
http://www.sec-ict.gr/http://www.naftemporiki.gr/http://www.naftemporiki.gr/http://www.sec-ict.gr/


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2008

101

,

"".143

Financial Times. "

20%, 1998

200 . 1 . ,

".

,

carry trade. carry trade

,

,

. carry trade

.

(

)

, . ,

, .144

carry trades

G8, : Goldman Sachs

143 To B, 10/9/2006, 14861D381, ID: 280149144www.euro2day.gr, steven Johnson,
http://www.euro2day.gr/http://www.euro2day.gr/


111/212

2008

102

carry trades.

Capital Economics FT

, carry

trades.145

145www.naftemporiki.gr, carry trade, 20/8/2007
http://www.naftemporiki.gr/http://www.naftemporiki.gr/


112/212

2008

103

5

5.1.

.

,

.

, ,

. 146

, ( )

.

,

,

, ..147

,

146www.alphabank.com.cy/files/pdf/euroq&a.pdf ( euro)147 www.alphabank.com.cy/files/pdf/euroq&a.pdf ( euro)
http://www.alphabank.com.cy/files/pdf/euroq&a.pdfhttp://www.alphabank.com.cy/files/pdf/euroq&a.pdfhttp://www.alphabank.com.cy/files/pdf/euroq&a.pdfhttp://www.alphabank.com.cy/files/pdf/euroq&a.pdf


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104

electronic brokerage (trading) systems

(platforms).

(credit relationships).148

5.2.

,

:

Over the Counter Market (no centralized exchange)

Highly Decentralized market,

24

.

,

. 149

.

148. , , - 149. , , , &


114/212

2008

105

( )

. 150

(asymmetric information): 151

1. (Adverse selection problem:

2. (moral hazard problem):

.

: 152

)

[, ]

)

150. , , , & 151. , , , & 152. , , , &


115/212

2008

106

()

()

()

()

()

5.3

,

,

.

(

)

. ,

, ,

.153

.

153www.centralbank.gov.cy (/16/2000)
http://www.centralbank.gov.cy/http://www.centralbank.gov.cy/


116/212

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107

,

.

0,6%.

, ,

.154

5.4.

Large Corporations, Hedge Funds,

Central Banks, (

) 155

Large Corporations- 156

,

, ,

.

, ,

( )

, 50.000.000

154 www.centralbank.gov.cy (/16/2000)155. , , - 156www.emporiki.gr
http://www.centralbank.gov.cy/http://www.emporiki.gr/http://www.emporiki.gr/http://www.centralbank.gov.cy/


117/212

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108

.

,

,

, , ,

.

Central Banks-

.

.

K

()

,

(

) . ,

,

.

. 157

,

157, , 2006


118/212

2008

109

, , ..

, ,

.

. 158

Hedge Funds 159

,

,

hedge funds.

hedge funds,

,

.

,

, hedge funds

. .

H

,

..

.

158 www.centralbank.gov.cy (/16/2000)159www.euro2day.gr, Hedge Funds, 10 2006
http://www.centralbank.gov.cy/http://www.euro2day.gr/http://www.euro2day.gr/http://www.centralbank.gov.cy/


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110

hedge funds, ,

,

, ,

,

,

().

. hedge funds,

, .

.

,

,

, .. 160

:

, , ,

.

.

:

160, 2000


120/212

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111

,

, . 161

5.5 FX trader162

FX Inter bank market :163

Proprietary basis

Customer flow filling orders FX inter-bank trading

for clients outside the FX inter-bank -

market Dealing Room FX desk

FX traders

T FX trader

proprietary-order filling trading

Personal Budget

Customer orders.

FX trader

FX traders,

. ,

161, , 162. , , - 163. , , -


121/212

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112

FX Traders Electronics trading

platforms

FX Inter-bank market

trading activity.

Electronic trading platforms164

.

- : (i)

& (automatic

matching-)

, (market order)

(limit order), (ii)

traders,

direct trading

,

, , ...

,

(fundamental analysis and technical

analysis tools)

164. , , -


122/212

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113

FX Trader165

(Main task)

, , - .

:

trader

. ,

-.

traders

.

:

Counter Party size

/

-

,

technical fundamental analysis & chart, .

165. , , -


123/212

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114

gap :166

Technical/Fundamental FX traders

Analysis chart: -

-

FX Inter-bank market trader

, , market sentiments,

trading mood, ,

FX Trader

/ , /:

trader (close the position);

5.6. 167

: Fundamental Analysis Technical Analysis

166. , , - 167. , , -


124/212

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115

Fundamental Analysis:

.

Technical Analysis:

past prices (chartism)

currency rate

, ,

traders .

168

Ethnographic approach

FX trader FX desk, Dealing Room

. -

patterns of behavior

trading trading

traders,

,

168. , , -


125/212

2008

116

traders ,

.

FX traders.

,

traders

FX traders ,

FX traders

.

FX traders

trader .

. 169

169. , , -


126/212

2008

117

Europe FX activity America

FX

activity

Oceania FX

activityAsia FX activity

6

6.1.


127/212

2008

118

;

. .

, . John

Maynard Keynes,

. 170

()

.

,

.

.

2 %,

.

171

. ,

170 13-14 1996-171 2003- ,


128/212

2008

119

. .172

,

().

.

. ,

,

.173

,

.

().

.

.

FED ()

(Reverse Repos)

(Repos)

.

172www.europa.eu.int/comm./publications/ booklets/eu_glance/21/index_el.htm173www.euro.ecb.int
http://www.europa.eu.int/comm./publications/http://www.euro.ecb.int/http://www.euro.ecb.int/http://www.europa.eu.int/comm./publications/


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120

,

.

.

, .

, ( .

)

,

. , ,

.

,

. ,

. , ,

,

. 174, , ,

,

(

)

, .

, ,

( ),

,

174www.ecb.gr , , 2007
http://www.ecb.gr/http://www.ecb.gr/


130/212

2008

121

( . . )

. 175

.

, .

.

( ),

,

, . . ,

.

, ,

. 176

()

. ,

,

,

. ,

, . ,

.

1960 99% .

175www.ecb.gr , , 2007176www.ecb.gr, , 2007
http://www.ecb.gr/http://www.ecb.gr/http://www.ecb.gr/http://www.ecb.gr/


131/212

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122

1970

.

.177

,

,

.

,

, ,

. ,

, .

, ,

, ,

, . , . . ,

. ,

. ,

.

.

,

. ,

177www.dspace.lib.uom.gr , .


132/212

2008

123

.178

179

2004, 52

()

(Bank for

International Settlements - BIS)

.

85%

,

2001 2004,

.

,

(electronic broking) ,

.

178www.Dspace.lib.uom.gr , .179, 28 2004


133/212

2008

124

2004

.

,

4.223 . . 2004, 4.921 . .

2001. :

- Spot 994 . . 2004,

1.993 . . 2001

- Outright Forward 29 . ., 283 . .

- Foreign Exchange Swaps 3.200 . ., 2.645 .

.

228,90 . . 2004, 37,31 . .

2001. :

- (FX OTC Options)

54,65 . . 2004 5,63

. . 2001

- (FRAs)

(IR Swaps) 134,10 . . 28,26 .

- (IR Options) 40,15

. . 3,42 .


134/212

2008

125

,

, BIS

.

.

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,

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.

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($).

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136/212

2008

127

. , , :

,

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, ,

. :

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,

.

,

.180

.

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" " .

(

, NAFTA, North American Free Trade Agreement), ..

). ' ,

, ,

.

,

10 '50

180www.ine.otoe.gr
http://www.ine.otoe.gr/http://www.ine.otoe.gr/


137/212

2008

128

'60.

. ,

,

. 10 '80,

.

,

( )

. 181

,

.

,

, . 1969

1980 ().

. 1970

,

. 1978,

181www.ine.otoe.gr
http://www.ine.otoe.gr/http://www.ine.otoe.gr/


138/212

2008

129

1988,

1990.182

,

,

.

.

.

. 1994

,

(),

().,

.

.183

182www.ec.europa.eu , : , , 2003183www.ec.europa.eu, : , , 2003
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139/212

2008

130

1

1999 : ,

, , , , , , ,

, . ,

, 2001. ,

,,

.

,

, .

.

1 2002.

.

.184

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.

184www.ec.europa.eu, : , , 2003
http://www.ec.europa.eu/http://www.ec.europa.eu/


140/212

2008

131

, 2007

,

. ,

-

(sub-prime mortgage market) ,

.

.185

-

,

.

( . )

, .

, ,

. ,

(

)

.

( demandpull infl ation ).

( cost-

185www.bankofgreece.gr 2008
http://www.bankofgreece.gr/http://www.bankofgreece.gr/


141/212

2008

132

push infl ation ), ,

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.

,

.187

, ,

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.

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( cost-push infl ation ).

, . .

186www.ecb.int187www.icb.int
http://www.ecb.int/http://www.icb.int/http://www.icb.int/http://www.ecb.int/


142/212

2008

133

, ,

. (

)

.,

( . .

).

. 188

,

. ,

, ( . .

)

,

. ,

, . 189

,

2004 2006 4,25

. 2007

-

5,25%,

,

.

2007

50 4,75% 18.9.07.

188www.ecb.int189www.ecb.int
http://www.ecb.int/http://www.ecb.int/http://www.ecb.int/http://www.ecb.int/


143/212

2008

134

, 25

, 2006

2007, (

)

4% 13.6.2007. ,

,

(-0,1% 2007 0,2%

2006) ,

. ,

,

(carry trade).

, 0,10%

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21.2.2007. ,

2%

( 2007 3,1%,

2,8%,),

2007,

5,75% 5.7.2007.

2006

, ( , ,

, ), ,

, , . 190

190www.bankofgreece.gr 2008


144/212

2008

135

. ,

,

, .

,

, , , 6

. 6,5

. .

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.

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,

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(), - ,

, ,

, ,

.

()

.191

191www.euro2day.gr, , ,


145/212

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136

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. ,

.

.

.

, ,

. ,

. 192

.

.

193

20/4/2007192www.ecb.gr 2006193www.ecb.gr , , 2007
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146/212

2008

137

6.4

()

. 1927 1928.

,

. ,

(

) (

) , ,

. 194

, 3424/7.12.1927.

,

22.12.1997 25.4.2000

.2609/11.5.98 2832/13.6.2000, .

,

.

194,


147/212

2008

138

.

.195

,

. 1947

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.

,

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.

2012.

-

195,


148/212

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139

.

.

,

,

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v

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...

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v ,

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149/212

2008

140

v ,

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,

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.

1927

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..,

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.

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150/212

2008

141

1987, (/ 1087/1987).

2001 12,

2002.

.. ...,

.

, ,

1980 ,

. ,

. . ,

1990, ,

,

. 196

, 90

2001,

,

196www.bankofgrece.gr 2006
http://www.bankofgrece.gr/http://www.bankofgrece.gr/


151/212

2008

142

,

. 197

.

,

,

,

. 198

.

,

.

, , ,

.

,

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.

,

197, 29/04/2000 , .: D12 : B12919D121198www.bankofgreece.gr 2006


152/212

2008

143

. 199

199www.ecb.gr 2006
http://www.ecb.gr/http://www.ecb.gr/


153/212

2008

144

7

(HENDING)

7.1

Hedging.

(market risk),

(interest rate risk) (currency risk).

.,

option future .

,

interest rate

option interest rate future. 200

Hedging

.

.

,

200www.ine.otoe.gr/lexiko.pdf
http://www.ine.otoe.gr/lexiko.pdfhttp://www.ine.otoe.gr/lexiko.pdf


154/212

2008

145

.

hedging .201

Hedging

, ..

.

,

.202

Dynamic hedging option

(underlying instrument)

option. 203

Neutral hedging

.

Hedge funds .

,

, ,

.

201www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf202www.FXGreece.gr203www.ine.otoe.gr/lexiko.pdf
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.fxgreece.gr/http://www.ine.otoe.gr/lexiko.pdfhttp://www.ine.otoe.gr/lexiko.pdfhttp://www.fxgreece.gr/http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


155/212

2008

146

futures

options.204

7.2.

.

(direct investors) 100.000

10.000.000 125.000 .

1% 2%

15% 30% .

, ,

.

10 100

.

.

futures.205

. ,

(

, , ,

204www.ine.otoe.gr/lexiko.pfd 205www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf
http://www.ine.otoe.gr/lexiko.pfdhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.ine.otoe.gr/lexiko.pfd


156/212

2008

147

(brokers), ). ,

,

, (indirect investors).

(

Funds of funds

).

2005 18% hedge

funds 2007 30%. (30%)

.206

hedge funds

80 90.207

Soros Fund 1973

4.000%. 1979 Quantum

Fund 1980 . ,

35%. 1992

1 .

.

14.2.94 Quantum Fund 600 .

.

Long-Term Capital Management

(LTCM) 1998. LTCM 1994

206www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf207www.ine.otoe.gr/lexiko.pdf
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.ine.otoe.gr/lexiko.pdfhttp://www.ine.otoe.gr/lexiko.pdfhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


157/212

2008

148

treasurer Salomon Brothers

hedging. ..

FED

. LTCM spread

. 120

repos.

2,3 .

. 4 ,

FED

14 .

6 Merrill Lynch,

Goldman Sachs J.P. Morgan.

(JCIF) hedge funds

1998 32,4 .

2000 hedge fund

, Tiger Management

NASDAQ.

hedge funds Tiger

75% - 6 -

. O Tiger

1980-1999 26%


158/212

2008

149

u954 . O

.

30.9.2006, hedge fund Amaranth Advisors LLC

30.9 31.10.2006.

Amaranth, 1,26 2005

2,17 2006 ,

,

.

.

5 .

O 2000 490

450

. 2007 8.000

hedge funds 1,5 .

, 1 , 255,5

, 16,8 115

. ,

hedge funds, 7

.

2.6.2006, Hending

.


159/212

2008

150

LTCM

1998

.

hedge funds

.208

, prime brokers

hedge funds ,

prime brokers

hedge funds

.

: )

)

.

208www.euro2day.gr hedge fund , 10/32006


160/212

2008

151

7.3.

,

()i=(..-..)i+(..-.. )i

i: i

,

(-)

(..=

i ).[ ] = + ()i x (..)209

(..

,

). 210

(ARS) ARS. ARS

(), ()

. ()

209www.eap.gr/programmes/deo/deo41/docs/PowerPointSLidesDEO-41.ppt,

210www.grant-thortnton.gr,
http://www.eap.gr/programmes/deo/deo41/docs/PowerPointSLidesDEO-41.ppthttp://www.grant-thortnton.gr/http://www.grant-thortnton.gr/http://www.eap.gr/programmes/deo/deo41/docs/PowerPointSLidesDEO-41.ppt


161/212

2008

152

()

.

.

. - :211

1.

2. :

3. (futures), (options),

(swaps).

1.212

""

.

.

500

-

. (500

) .

.

211www.econ.uoa.gr (. 13).212 www.kossax.capitalblogs.gr , 4 2007
http://www.econ.uoa.gr/http://www.kossax.capitalblogs.gr/http://www.kossax.capitalblogs.gr/http://www.econ.uoa.gr/


162/212


163/212

2008

154

, ,

.

, ( )

.

(), .

3. Futures, Options, Swaps

Forward Contracts214

Forward rate Agreements

, Forward Exchange Contracts

. Forward Contracts

.

Future Contracts215

.

.

premium . ,

214www.grant-thortnton.gr, 215www.grant-thortnton.gr,
http://www.grant-thortnton.gr/http://www.grant-thortnton.gr/http://www.grant-thortnton.gr/http://www.grant-thortnton.gr/


164/212

2008

155

,

.

Swaps 216

swap

.

.

. ,

. 217

, . swap

..

...

Options 218

option

(Call) (Put) ,

(, .)

. option

premium.

216www.grant-thortnton.gr, 217, , , 218, , ,
http://www.grant-thortnton.gr/http://www.grant-thortnton.gr/


165/212

2008

156

: (long put)219

600, 100

50. 47

(20) 50

6 . 2.000

(20 *100

) 50 . 12.000

(20 *100 *6 ).

.. 35

35 ...,

50.

,

50-35-6=9 . 18.000 (20

*100 *9 ).

7.4.

1:

2001.

ARS 100 . 2001

S01

=1 ARS/USD. To ARS 100 10% ARS.

219, , ,


166/212

2008

157

, 2001 USD 100 ,

110 ARS 2002.

ARS USD.

: USD ARS

2002 , S02

USD ARS

2002 .

.

.

110 ARS(

USD) .

1,02 ARS/USD

:

(110/1,02)-100=USD 7,84

2001

2002)

,

ARS 10%, , S02

=1,10 ARS/USD.

USD (110/1,10)-100=0

. ()

2001

ARS 100 ,


167/212

2008

158

. , ARS-put/USD-

call 110 ARS, 1,04

ARS/USD. 1

ARS.

()

(110/1,04)-100-1=4,76 USD

2001

spot 2002

S02 =1,10 ARS/USD

4,76 USD

S02

= 1,00 ARS/USD ()

(110/1,00)-100-1=9 USD

. ARS ,

. ARS ,

. ,

,

trader

.

2220

Group AE

. D, 30.

:

220 www.grant-thortnton.gr,
http://www.grant-thortnton.gr/http://www.grant-thortnton.gr/


168/212

2008

159

9.000.000 11.350.000

600.000 () 0

2.500.000 () 750.000

,

. /MKD 15.

11.000.000 11.350.000

600.000 () 2.000.000

2.500.000 () 750.000

17,

235.294,12

.

. ,

11.000.000 11.350.000

600.000 () 0

500.000 () 750.000

10.764.705,88 11.114.705,88

600.000 () 0

500.000 () 750.000


169/212


170/212

2008

161

4 ()222

.

,

. ,

.

( 2.60), .

.

(premium) , 1,000, .

(call options),

()

2.80 , 3 ( ).

premium

2.80 .

2.80, .

,

1,000 premium (

). 2.80, .

, 2.80

.

222www.allaboutade.gr 1 2003
http://www.allaboutade.gr/http://www.allaboutade.gr/


171/212

2008

162

, . (

) 1,000,

(premium)

. , 1,000

.

,

30,000 (

)

. , ,

( ) ...

(

, "

..."). ,

... ,

...

5223

90$/.

3 95$/. 5$

premium .

85$ (

223www.kossax.capitalblogs.gr , 4 2007
http://www.kossax.capitalblogs.gr/http://www.kossax.capitalblogs.gr/


172/212

2008

163

) discount 5$.(

..)

.

1,4500$/ ( spot)

1.4700$/( ' )

premium 2 cents ( 200 pips).

premium discount (

)

.

(spot).


173/212

2008

164

8

SPOT

1.1.

(spot).

.

.224

Spot

,

. 225

Spot rates on

the spot, Forward rates

(forward) (

).226

8.1.1. spot forward

1982-2004. 227

224www.bankofpiraeus.gr225www.fxgreece.gr226, , 2007-2008227, , 2007-2008
http://www.bankofpiraeus.gr/http://www.fxgreece.gr/http://www.fxgreece.gr/http://www.bankofpiraeus.gr/


174/212

2008

165

8.2.

: spot

. :

,


175/212

2008

166

traders.

B counter currency : ,

.

spread. spread points pips-

. EURUSD pip

0.0001 ( 10 100.000), EURJPY pip

0.01 ( 1000 100.000).

, - EUR/USD

USD/JPY.

counter currency.

. , EUR/USD,

.

.

USD/EUR ,

.228

: spot

.

( ).

( ) value

date

. ,

, .

228www.fxtrading.gr
http://www.fxtrading.gr/http://www.fxtrading.gr/


176/212

2008

167

.

.

.. ,

. 229

spot

.

,

. 230

,

dealers ,

10 EUR .

spot .

,

. traders

.

USD/JPY 0,00902 0,009063. 0,0090

big figure traders

. the small figure.

traders bid-ask

02-63.231

229 Paul Krugman and Maurice Obstfeld, : , (2000), , , . 13: 230., (2006) 231www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


177/212

2008

168

:

() .

.

, .

, , (valeur),

.232

H spot ,

.

.

. 233

. (market

maker)

()

()

. ,

.

, EURUSD, USDJPY, USDCHF

GBPUSD

232www.ac-markets.com/gr233., ,


178/212

2008

169

.

.234

: traders

.

0.9150 / 53 trader

... 0.9153. EURUSD

1.000.000 915.300 ...

. traders

,

.235

'pips': ,

.

1%, 1/10.000

counter currency, 'pip'. ,

,

,

'pip' 1/100 .

, 'pip'

.236

234www.ac-markets.com/gr235 www.ac-markets.com/gr236 www.ac-markets.com/gr
http://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/gr


179/212

2008

170

8.3. , ,

,

, .

/ (buying/selling)

.

(pension funds, insurance funds) / (buy/sell)

(, ) real money,

/

(buy/sell) , corporate.

.

. (interbank

transactions) $1

. ,

. 237

2001, BIS (Bank of International Settlements)

spot 387 USD.

. 19%

.

.

237., , , 2007-2008,


180/212

2008

171

dealers

.

dealers dealers

.238

-

( ).

100.000 EUR/USD

(.. : EUR/JPY )

.

.

,

.

239

.

:

trader

.

trader.

238 www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf239www.ac-markets.com/gr
http://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdfhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.actuar.aegean.gr/undergraduate/stoixeiadiethnonxrimatooikonomikonagoron.pdf


181/212

2008

172

: trader x 50,000 .

1.000.000 EUR/USD.

5% ( 50.000 5% 1.000.000).

trader x 20

;

. , trader x

50'000 .

1%. , trader

5.000.000

.

.

, ,

.240

241

:

. online

(buy)

(sell) .

.

.



182/212

2008

173

. :

1.

dealer.

2. dealer ( ).

3. ().

4. dealer. , dealers

5 10

.

,

10 15 .

:

. ,

. trader

/

.

GTC ( ): GTC

trader . dealer

,

.

GFD (): GFD

.

,


183/212

2008

174

.

12:00 GMT 01:00 CET.

:

.

, .

,

.

(GTC and GFD). :

: Trader x EUR/USD 100.000 0.9340,

60 70 pip ,

.

0.9310 ,

. Trader x

30 pips USD 300.

trader

.

trader 'on stop'.

.

: Trader x EUR/USD 0.9390.

, EUR/USD


184/212

2008

175

0.9450 . 0.9350,

trader x

500.000 0.9392 'on stop'.

OCO: OCO ()

/. 2

.

.

OCO

:

: EUR/USD 0.9340. Trader x

500.000 0.9395

0.9300. 0.9395, 500.000

0.9300 .

8.4.

spot

.

24 24, 5 .

,

. ,

,


185/212

2008

176

, ,

.242

,

.

, EURUSD USDJPY

18.000 . ,

,

, ,

.

, :

, .

3, 3.3-

,

.243

8.4.1.

. 244

242www.fxtrading.gr243www.ac-markets.com/gr244www.ac-markets.com/gr
http://www.fxtrading.gr/http://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.ac-markets.com/grhttp://www.fxtrading.gr/


186/212

2008

177

spot

spot

.

, .

, ,

. 245

.

245., ,


187/212

2008

178

. 246

8.5

1

,

. 1,050,000 CAD.

EUR/CAD 1.48185. 1

EUR = 1.48185 CAD. , 1,050,000 CAD

708,573.74 EUR247

2

trader x 50.000 .

EUR/USD 500.000 1,1500

(stop loss) 1,1460.

2.000

10%, .

1,1480.

trader x 1.000

9,60%

246., , 247www.emporiki.gr
http://www.emporiki.gr/http://www.emporiki.gr/


188/212

2008

179

.

1,1550 trader x

. 1,1550 2.500

5% .

trader x 2.000

2.500 ,

/ 1,25. /

trader.

3248

10

6

.

. 60

Currencies in Contemporary Market

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Transcript of Currencies in Contemporary Market