IB网研会 北京时间2013年1月30日凌晨1点开始(英文) CME-一个零息世界里的外汇市场: CME - FX Markets in a Zero Rate World January 29, 2013 - 12:00pm (EDT) https://interactivebrokers.webex.co...ewID=1060848798&&&&siteurl=interactivebrokers The context of near-zero short-term interest rates from the United States, Europe, the United Kingdom, and Japan provides a huge complication for emerging market countries in terms of the potential interplay of exchange rate movements with growth prospects and inflation pressures. There is nothing like zero interest rate policies (ZIRP) from the major currencies to provide incentives for market participants to seek higher yields elsewhere, including emerging market currencies. The essential policy challenge for emerging market central banks is how to encourage economic growth in these difficult times without fueling inflation on the one hand or creating an environment that would lead to too much currency appreciation that could weaken growth prospects on the other hand. Join Blu Putnam, CME Group's Chief Economist, as he first briefly discusses the context of ZIRP, namely why near-zero rates in the mature industrial world are encouraging global markets participants to react to the on/off process of political decision making. Second, he presents his perspectives on the transfer of volatility to emerging market currencies, which he calls the "Volatility Box Conundrum." The Volatility Box approach allows us to frame the issues facing emerging market central banks as they decide on various policy courses which will impact their exchange rates. Next, Blu applies his analysis to examine some key emerging market countries to see where they fit into the Volatility Box Conundrum. Lastly, Blu discusses India and China as they move toward greater currency normalization; Brazil and Mexico as they struggle to encourage economic growth; and Russia as it manages its oil revenue risk.
cme外汇期货报价已经考虑了利息因素,准确的说“不赚客户利息”。 aud/usd期货6A 3月合约周二买入价1.0421,现汇买入价1.0475,两者相差54点(还有70天结算,即54/70=0.77点/天);今天周四过了4个计息日,现在两者差价51点;所以多头每天利息(54-51)/4=+0.75点(持仓时间越长越接近0.77点)。 目前aud LIBOR 2.96%、usd 0.17%,买入aud/usd现汇每天利息理论值=1/365*(1.05*2.96%-0.17%)=0.008%(换算点差+0.80点)。 在盈透买入1m aud/usd现汇每天利息=1/365*(26604澳元-12535美元)=42.2美元(换算点差+0.422点)。 可见,外汇期货利息政策应该比盈透现汇好很多!!