h13_19881128.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

November 28, 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

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.

10. INDUSTRIAL STOCK INDICES


200 180 160

140

120

100

80

220 200 180

160

140

120

100

80

180 160

140

120

100 90

80

70

60

90 80

70

60

50

40

140

120

100 90

80

70

60

50

1-100 50 45

40

35

30

25

20

220 200 180 160

140

120

100

80

180 160

140

120

100 90

80

70

60

90 80

70

60

50

40

280

240

200 180

160

140

120

100

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

SCALE 41973*100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

RATIOS MARCH 1971

ITALIAN LIRA

GERMAN MARK

- JAPANESE Y E N ^ ^

I I I I I I

DUTCH GUILDER

CANADIAN DOLLAR

FRENCH FRANC U.K. POUND

BELGIAN FRANC SWISS FRANC

i i i i i

1986 1988 1986 1988


CHART 2

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


PERCENT PER ANNUM 4

CANADIAN DOLLAR

l l l I I I

Av^

U. K. POUND

IxT^ I I I i i i

/ / A , i i l i i l n l i i

GERMAN MARK

I I I I I l (

. . I n l n l n

PERCENT PER ANNUM 8

JAPANESE YEN

I I I I I I

- SWISS FRANC -

i i i

X / z ^ x y w .

4

12

DUTCH GUILDER

I I I I I I M I H I M I M u l u l u l n

FRENCH FRANC

1986 1988 1986 1988


U.S. 520

500

480

460

440

420

400

380

360

340

320

300

280

UNCE 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

OLLARS PER FINE OUNCE U.S. DOLLARS PER FINE 0

12.5 Kg BARS AFTERNOON FIXING PRICE

i I i i I ' i I i i I i i I i i I i i I i i 1985 1987 1988


PEP 16

12

8

4

0

16

12

8

4

0

16

12

8

4

0

16

12

8

4

0

16

12

8

4

0

20

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

iJ PER ANNUM PERCENT PER AW

U.S. FEDERAL FUNDS

I I I I I I

FRANCE

JAPAN

I I I

GERMANY

CANADA

UNITED KINGDOM

SWITZERLAND

NETHERLANDS

SUu 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

12

10

8

6

10

8

6

4

2

8

6

4

2

0

CHARTS

3-MONTH INTEREST RATES WEEKLY SERIES

ENT PER ANNUM PERCENT PER ANN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

I 1 1 1

CANADIAN FINANCE CO. PAPER

-

I I I I I I I l l l l l l l l l l

U.K. INTERBANK STERLING

FRENCH INTERBANK RATE

GERMAN INTERBANK RATE

JAPANESE GENSAKI RATE - SWISS INTERBANK RATE -

I I I I I I

\/ -

1986 1988 1986 1988


PER 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

10

8

6

4

14

12

10

8

6

4

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

EOT PER ANNUM PERCENT PER AW

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH 1-YEAR

1986 1988 1986 1988


CHART7

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

I I I

DIFFERENTIAL

FEDERAL FUNDS DASHED UNE

I " 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ' i

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1986

1 PERCENT ON DIFFERENTIAL SCALE - 2 PERCENT ON RATE SCALE

1988

90-DAY CD'S DASHED UNE

PERCENT PER ANNUM 14

12

3-MONTH EURO-DOLLAR DEPOSITS

11111 I. I I I I I i I I

10

- 4

DIFFERENTIAL

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

1986 1988

2

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 16

12

8

4

0

2

+ 0

2

CHART8

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS


ENTPER ANNUM

INTERBANK STERLING COVERED LONDON

EURO-DOLLAR DEPOSITS DASHED LINE

i i l i i l i i l n l i i l i i l i i l i i l L l

CANADIAN FINANCE CO. PAPER, COVERED

U.S. COMMERCIAL PAPER U DASHED LINE

PERCENT PER ANN

i i l i i l i 1 1 1 1 1 i i l i i l i i 1 1 1

DIFFERENTIAL

III I i l l 1111 l l l l l l l l l 11

DIFFERENTIAL

I I I I I I 11 III 111 l u l l 111111 i l l I

INTERBANK DM COVERED FRANKFURT

EURO-DOLLAR DEPOSITS DASHED LINE

I I I I I 111lll l1111lll l1111 i l l I

DIFFERENTIAL

!_!

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS - DASHED LINE

1111I'll111 i l l 111 i i l i

I 111111 h 1111 I n I n 111 h i

DIFFERENTIAL

I I I 111111llllI l l I l l l l l 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

CHARTS

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

)ENT PER ANNUM PERCENT PER ANI

UNITED STATES

I I I I I I I M l M I I I I II

- CANADA

I I I I I I

-

UNITED KINGDOM

I I I I I I

__ JAPAN -

I I I l l l

X v s - x V y -

SWITZERLAND GERMANY

U.S. CORPORATE MONTHLY FRANCE

Aaa BONDS

NETHERLANDS MONTHLY

1986 1988 1986 1988


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969-100

UNITED STATES UNITED KINGDOM

RATIO SCALE 1969-100

500

400

300

200

650

550 /VrXyVA

450 - JAPAN 1 r -

350 -

250

150 I I I 1 1 1

500

400 CANADA

300 V

200 I I I 1 1 1

500

400 - NETHERLANDS -

300

" J ^ j|k 200 -y / -

100 1 1 1 I I I l l l l l l l l l l l 100 1986 1988

SWITZERLAND

GERMANY

1986 1988


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE RATES AMD INDICES

WEEKLY AVERAGES, NOOH BUYING RATES ( U . S . CENTS)

GERMAN MARK NOV. 2 3 5 7 . 9 3 JAPANESE YEN NOV. 2 3 0 . 8 1 9 7 2 DUTCH GUILDER NOV. 2 3 5 1 . 38 U .K. POUND NOV. 2 3 1 8 2 . 5 9 CANADIAN DOLLAR NOV. 2 3 8 2 . 2 2 iBENCH FRANC NOV. 2 3 1 6 . 9 5 SWISS FRANC NOV. 2 3 6 8 . 9 6 BELGIAN FRANC NOV. 2 3 2 . 7 6 4 6 2 ITALIAN LIRA NOV. 2 3 0 . 0 7 7 9 0 SWEDISH KfiONA NOV. 2 3 1 6 . 55

I N D I C E S , MARCH 1 9 7 3 BASE RATES =

GE&MAN HARK JAPANESE YEN DUTCH GUILDER U . K . POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA

NOV. 2 3 1 6 2 . 9 5 NOV. 2 3 2 1 4 . 6 3 NOV. 2 3 1 4 7 . 4 9 NOV. 2 3 7 3 . 6 5 NOV. 2 3 8 1 . 9 5 NOV. 2 3 7 6 . 3 7 NOV. 2 3 2 2 1 . 8 4 NOV. 2 3 1 0 8 . 9 4 NOV. 2 3 4 4 . 2 5

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , BAR 1 9 7 3 = 100 ( G - 1 0 COUNTRIES PLUS SWITZERLAND)

U. S . DOLLAR NOV. 2 3 9 0 . 92 GERMAN MARK NOV. 2 3 1 6 3 . 96 JAPANESE YEN NOV. 2 3 2 1 6 . 2 7 DUTCH GUILDER NOV. 2 3 1 3 9 . 86 U.K. POUND NOV. 2 3 6 5 . 8 8 CANADIAN DOLLAR NOV. 2 3 7 4 . 43 FRENCH FRANC NOV. 2 3 6 8 . 11 SWISS FRANC NOV. 2 3 2 1 0 . 15 BELGIAN FRANC NOV. 2 3 1 0 1 . 13 ITALIAN LIRA NOV. 2 3 3 8 . 3 6 SWEDISH KfiONA NOV. 2 3 6 7 . 12

CHART 2 . 3MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR NOV. 2 3 - 1 . 7 2 U.K. POUND NOV. 2 3 - 2 . 8 5 GERMAN MARK NOV. 2 3 4 . 29 FRENCH FRANC NOV. 2 3 0 . 83 SWISS FRANC NOV. 2 3 4 . , 80 DUTCH GUILDER NOV. 2 3 3 . 8 5 JAPANESE YEN NOV. 2 3 4 . 84 ITALIAN LIRA NOV. 2 3 - 2 . . 58


SERIES NAME LAST VALUE PLOTTED

DAZE VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PER FINE OUNCE NOV. 2 3 4 1 8 . 6 7

CHART 4 . CALL MONEY RATES

U . S . FEDERAL FUNDS NOV. 2 3 8 . 3 3 OVERNIGHT EURO-DOLLAR DEPOSITS NOV. 2 3 8 . 20 U .K. NOV. 2 3 1 1 . 47 CANADA NOV. 2 3 1 0 . 02 GERMANY NOV. 2 3 4 . 3 6 JAPAN NOV. 2 3 3 . 5 9 FRANCE NOV. 2 3 7 . 8 3 NETHERLANDS NOV. 2 3 5 . 21 SWITZERLAND NOV. 2 3 3 . , 63

CHART 5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET NOV. 2 3 8 . 9 2 GERMAN INTERBANK LOAN NOV. 2 3 4 . 8 9 JAPANESE GENSAKI RATE NOV. 2 3 4 . 1 8 CANADIAN FINANCE PAPER NOV. 2 3 10.. 89 INTERBANK STERLING NOV. 2 3 1 2 . 1 1 SWISS INTERBANK LOAN NOV. 2 3 4 . 2 0 FRENCH INTERBANK RATE NOV. 2 3 8 . 1 3 NETHERLANDS INTERBANK RATE NOV. 2 3 5 . 3 1 WEIGHTED AVERAGE FOREIGN INTEREST RATE NOV. 2 3 7 . 0 2

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT NOV. 2 3 8 . 2 0 7-DAY NOV. 2 3 8 . 3 6 1MONTH NOV. 2 3 8 . 5 4 3-MONTH NOV. 2 3 9 . 0 5 6-MONTH NOV. 2 3 9 . 0 5 1-YEAB NOV. 2 3 9 . 16

CHART 7 . SELECTED EURO-DOLLAR AND U . S . MONEY MARKET RATES

OVERNIGHT EURO-DOLLAR DEPOSITS NOV. 23 8 . 20 U . S . FEDERAL FUNDS NOV. 2 3 8 . 33 DIFFERENTIAL NOV. 23 - 0 . 13

3-MONTH EURO-DOLLAR DEPOSIT RATE NOV. 2 3 9 . 05 U . S . 90-DAY C D ' S , SECONDARY MARKET NOV. 2 3 8 . 92 DIFFERENTIAL NOV. 2 3 0. 13


f SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT NOV. 23 9. 05 INTERBANK STERLING (LONDON), COVERED NOV. 23 9. 17 DIFFERENTIAL NOV. 23 - 0 . 12

U . S . COMMERCIAL PAPER NOV. 23 8. 79 CANADIAN FINANCE PAPER, COVERED NOV. 23 9. 12 DIFFERENTIAL NOV. 23 - 0 . 33

EURO-DOLLAR DEPOSIT NOV. 23 9. 05 INTERBANK DM (FRANKFURT) , COVERED NOV. 23 9. 23 DIFFERENTIAL NOV. 23 - 0 . 18

EURO-DOLLAR DEPOSIT NOV. 23 9 . 0 5 SWISS INTERBANK, COVERED NOV. 23 9 . 06 DIFFERENTIAL NOV. 23 -o.. 00

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES NOV. 18 8 . 99 GERMANY NOV. 18 6 . 08 JAPAN NOV. 11 4 . 30 SWITZERLAND NOV. 11 4 . 13 CANADA NOV. 1 6 1 0 . 38 FRANCE NOV. 18 8 . 96 NETHERLANDS (MONTHLY) S E P T . 6 . 4 3 UNITED KINGDOM NOV. 18 8 . 8 2

U . S . CORPORATE

AAA BONDS MAI 9 . 3 3

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

NOV. 2 3 2 8 5 . 9 2 NOV. 2 3 3 2 9 . 2 1 NOV. 2 3 3 2 1 . 5 1 NOV. 2 3 2 2 8 . 0 1 NOV. 2 3 1 8 9 . 5 4 NOV. 2 3 2 8 6 . 8 1 NOV. 23 3 9 3 . 5 4 NOV. 2 3 6 0 4 . 2 6


,

FEDERAL RESERVE statistical release

H.IOC512) NOVEMBER 28, 1983

FOREIGN EXCHANGE RATES FOR THE WEEK ENDING NOVEMBER 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 1 CURRENCY UNITS PER DOLLAR )

COUNTRY MONETARY

UNIT NOV. 21 NOV. 22 NOV. 23 NOV. 24 NOV. 25

^AUSTRALIA DOLLAR 85.92 86.35 86.96 87 .31 AUSTRIA SCHILLING 12.153 12.100 12.078 12.070 BELGIUM FRANC 36.180 36.060 35.960 35.930 CANADA DOLLAR 1.2117 1.2020 1.2000 1.1907 CHINA,P.R. YUAN 3.7314 3.7314 3.7314 3.7314 DENMARK KRONE 6.6810 6.6500 6.6300 6.6250 FINLAND MARKKA 4.1165 4.1000 4.0860 H 4.0825 FRANCE FRANC 5.9050 5.8830 5.8670 5.8630 GERMANY D. MARK 1.7275 1.7207 1.7170 1.7155 GREECE DRACHMA 144.900 144.000 143.600 0 143.200 HONG KONG DOLLAR 7.8090 7.8105 7.8110 7.8080 INDIA RUPEE 15.0600 15.0200 15.0000 14.9900

^IRELAND POUND 154.40 155.15 155.60 L 155.60 ITALY LIRA 1284.50 1279.50 1275.75 1274.50 JAPAN YEN 121.95 121.35 121.30 121.10 MALAYSIA RINGGIT 2.6730 2.6400 2.6420 I 2.6610 NETHERLANDS GUILDER 1.9460 1.9410 1.9360 1.9350

*NEN ZEALAND DOLLAR 64.600 64.900 65.150 65.700 NORWAY KRONE 6.5500 6.5175 6.4950 D 6.4815 PORTUGAL ESCUDO 144.200 143.500 143.200 143.200 SINGAPORE DOLLAR 1.9480 1.9455 1.9440 1.9410 SOUTH AFRICA RAND 2.3700 2.3630 2.3510 A 2.3200 SOUTH KOREA WON 693.70 692.90 692.10 690.70 SPAIN PESETA 113.890 113.300 112.690 112.700 SRI LANKA RUPEE 32.985 32.990 NA Y 32.980 SWEDEN KRONA 6.0440 6.0230 6.0060 6.0040 SWITZERLAND FRANC 1.4520 1.4473 1.4405 1.4370 TAIWAN DOLLAR 28.170 28.180 28.180 NA THAILAND BAHT 25.120 25.090 25.070 25.050

UNITED KINGDOM POUND 182.35 183.18 183.70 184.40

MEMO; SUNITED STATES DOLLAR 90.93 90.54 90.33 90.16

INDEX OF WIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 COUNTRIES. MARCH 1973 = 100. HEIGHTS 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 I S U.S. CENTS


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