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Louis · 2021年04月26日

老师，在实务中，零售银行的客户换汇金额越小反而bid-ask spread越大

  1. CFA II
  2. Economics Analysis

NO.PZ2018091706000042

问题如下：

BBQ firm is an American company and exports steel to a firm which is in England. Assume BBQ receives the payment of 3,600,000 GBP now and it wants to change these pounds into dollars. The spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask. A day after, BBQ calls a dealer who quotes 1.5498 USD/GBP for bid and 1.5507 for ask. Which of the following reasons cannot explain the dealer quote?

选项：

A.

Because it is a small transaction.

B.

Because the New York and London exchange market are not both open.

C.

Because the volatility of market is getting large.

解释：

A is correct.

考点：Factors that affect the bid-offer spread

解析：我们观察到交易商A的报价的价差是0.0009（ =1.5507-1.5498 ）明显高于前一日的市场报价的价差0.0005（ 1.5505-1.5500 ）。能够把外汇市场卖价差拉大的原因包括：市场风险加大；纽约和伦敦市场没有同时开市，市场流动性减少 ；以及交易量过大，抽干了市场的流动性。A选项说法反了，所以入选不能解释的选项。

我想知道CFA这条是从外汇头寸的风险来说的；但我自己换外汇的时候，超过xxx是一个价，低于xxx是一个更高的spread，我能理解是因为银行大额交易赚的差价更多，因此汇率更优惠。那CFA这条里指的外汇头寸到底是多大，才会被银行要求更高的spread呢


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1 个答案

丹丹_品职答疑助手 · 2021年04月26日

嗨，从没放弃的小努力你好：


同学你好，cfa并不会给量，其实各个资产能够影响到流动性的量级也不同。我们仅仅从定性知道即可

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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