h13_19891226.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

December 26,1989

Prepared by the FINANCIAL MARKETS SECTION

DIVISION OF INTERNATIONAL FINANCE

BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM 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 R A T E S -H.10 RELEASE

CHARTS

1. SPOT EXCHANGE RATE INDICES

2 3-MONTH FORWARD EXCHANGE RATES

3. GOLD P R I C E - L O N D O N

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 e a c h in the United S t a t e s , its p o s s e s s i o n s , C a n a d a , and Mexico; 10 or m o r e of t h e s a m e i s s u e to o n e a d d r e s s . $22.50 per year or $.55 e a c h . Elsewhere. $30.00 per year or S 70 e a c h . A d d r e s s r e q u e s t s to P u b l i c a t i o n s Services Division of Adminis t ra t ive Services , and make pay-m e n t r e m i t t a n c e p a y a b l e to the o rder of the Board of G o v e r n o r s of t he Fede ra l Reserve System in a fo rm co l l ec t ib l e at par in ,;.S. Currency .

10 INDUSTRIAL STOCK INDICES


MAR

140

120

100

90

80

70

280

240

200

130

160

140

120

100 9 0

80

7 0

60

50

200 180

160

140

120

100

120

100

90

80

70

60

50

1=100

140

120

100

90

80

70

280

240

200

180

160

140

120

100 90

"80

70

60

50

200 180

160

140

120

100

60

50

45

40

3 5

30

25

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

SCALE 41973=100

RATIOS MARCH. 1975

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

SWISS FRANC

U.K. POUND

I I I I

DUTCH GUILDER

FRENCH FRANC

__ BELGIAN FRANC -

I I I I I I

CANADIAN DOLLAR

__ JAPANESE YEN

I I I I I I l l l l l l u l l l

GERMAN MARK

- ITALIAN LIRA

I I I i i i i i l i i i i . i i f

1987 1989 1987 1989


CHART 2

3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR ic) OR WEEK ENDING V AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM

4

CANADIAN DOLLAR

\r-I J I

A x Z "

i i i

12

GERMAN MARK

I J I , , I I I ! i ! 11 f 11111

SWISS FRANC

I I I I I I

FRENCH FRANC ITALIAN LIRA

si I I I

PERCENT PER ANNUM

4

U. K. POUND

I I I I I I

JAPANESE YEN

I I I I I I

DUTCH GUILDER

i l l i l l m i . < h . h >

12 1987 1989 1987 1989


U.S.

520

500

480

460

440

420

400

380

360

340

320

300

520

500

480

460

440

420

400

380

360

340

320

300

CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

1LARS PER FINE OUNCE U.S. DOLLARS PER FINE O'

12.5 Kg BARS AFTERNOON FIXING PRICE

1986 1987 1988 1989


CHART4

CALL MONEY RATES WEEKLY S E R I E S

PERCENT PER ANNUM PERCENT PER ANNUM

FRANCE

JAPAN

16

CANADA

SWITZERLAND

1989 1987

U.S. FEDERAL FUNDS

16

12

GERMANY 8

4

0

16

UNITED KINGDOM

12

8

4 NETHERLANDS

0

1989 1987


12

10

8

6

4

2

16

14

12

10

8

6

8

6

4

2

0

10

8

6

4

2

12

10

8

6

4

2

16

14

12

10

8

6

8

6

4

2

0

10

8

6

4

2

CHART 5

3-MONTH INTEREST RATES WEEKLY SERIES

ENTPER ANNUM PERCENT PER AW

U.S. CD'S

I I

WEIGHTED AVERAGE FOREIGN RATE

JUL

FRENCH INTERBANK RATE

I I I I I l u l l

U.K. INTERBANK STERLING

I I I I I I I I III I I I I I

JAPANESE GENSAKI RATE

J_L I I I I I I M I I

CANADIAN FINANCE CO. -

PAPER

f ~

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

SWISS INTERBANK RATE jJ -

I I I I I I

-

GERMAN INTERBANK RATE

- NETHERLANDS INTERBANK RATE

I I I I I I

1987 1989 1987 1989


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

OVERNIGHT 3-MONTH

7-DAY

1-MONTH

6-MONTH

I I I I I I

-

1-YEAR

I I I I I I

-

1987 1989 19^ 87 1989


CHART7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+),FAVORS BORROWING IN U.S.


PERCENT PER ANNUM

14

12

10 FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

I I I I I I I

DIFFERENTIAL

J I I I I I I I I I I I I I I I I I I I I I I I I I I I I I

1987 1989

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

PERCENT PER ANNUM

14

12

3-MONTH A -EURO-DOLLAR DEPOSITS A*

-

v \

V ^ v

90-DAY CD'S

-

DASHED LINE

-

I I I I I I I I I I I I I I I I I 1 1 1 1 1 1 1 1 1 1 1

DIFFERENTIAL

I I I I I I I I I I I I I I I I I 1 1 1 1 1 1 1 1 1 M

1987 1989

10


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

CHARTS

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


)ENT PER ANNUM PERCENT PER ANh

INTERBANK STERLING COVERED LONDON

EURO-DOLLAR DEPOSITS DASHED LINE

n i l 11 DIFFERENTIAL

I I I I i l l I I I I

CANADIAN FINANCE CO. PAPER, COVERED

U.S. COMMERCIAL PAPER DASHED LINE

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

DIFFERENTIAL

11111111111 11 III III 111

INTERBANK DM COVERED FRANKFURT


I I I I I I I I I i l l I I I I I I I I I I I I i l l I

DIFFERENTIAL

I I I I I I I l l l l l l l l i l l l l l l l l l l l l l l l

1987 1989

I PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

SWISS INTERBANK (SF) COVERED


I I I I I I l i i l i i l i i l i i l i i l i i l i i l n

DIFFERENTIAL

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

1987 1989


14

12

10

8

6

14

12

10

8

6

10

8

6

4

2

10

8

6

4

2

14

12

10

8

6

14

12

10

8

6

10

8

6

4

2

10

8

6

4

2

CHART9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

SENT PER ANNUM PERCENT PER ANt

UNITED STATES CANADA

I I I 1L

UNITED KINGDOM

I I

- FRANCE

-V I I I

fr 1 1 1

K v

SWITZERLAND - JAPAN

I I I I I I

-

NETHERLANDS MONTHLY

1 I I

GERMANY

I I I I I I

-

1987 1989 1987 1989


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

600

500 -

400 UNITED STATES -

300 - '

200 -

150 I I I i i i n i l , l u l l , | | | | | | | | | | |

800 JAPAN

600 - M X

500 - / V v

400 - K f

300 - /

200 i i i i i i 1111111111,

SWITZERLAND

CANADA

I I I I I I I I I I I

NETHERLANDS

GERMANY

FRANCE

UNITED KINGDOM

1987 1989 1987 1989


S E B I E S N A M E L A S T V A L U E P L O T T E D

D A T E V A L U E

CHART 1 . S P O T EXCHANGE B A T E S AND I N D I C E S

WEEKLY AVERAGES, NOON BUYING BATES ( U . S . CENTS)

GERMAN HARK JAPANESE YEN DUTCH GUILDER O . K . POUND CANADIAN DOLLAR FRENCH FRANC S W I S S FRANC BELGIAN FRANC I T A L I A N L I R A SWEDISH KRONA

D E C . 2 0 5 7 . 7 1 D E C . 2 0 0 . 6 9 4 2 3 D E C . 2 0 5 1 . 1 2 D E C . 2 0 1 6 0 . 1 4 D E C . 2 0 8 6 . 0 9 D E C . 2 0 1 6 . 8 8 D E C . 2 0 6 4 . 2 2 D E C . 2 0 2 . 7 4 5 7 8 D E C . 2 0 0 . 0 7 7 4 1 D E C . 2 0 1 5 . 9 2

I N D I C E S , MARCH 1 9 7 3 BASE RATES = 1 0 0

GERMAN MARK D E C . 2 0 1 6 2 . 3 3 J A P A N E S E YEN D E C . 2 0 1 8 1 . 7 7 DUTCH GUILDER D E C . 2 0 1 4 6 . 7 4 U . K . POUND D E C . 2 0 6 4 . 7 7 CANADIAN DOLLAR D E C . 2 0 8 5 . 8 1 FRENCH FRANC D E C . 2 0 7 6 . 0 7 S W I S S FRANC D E C . 2 0 2 0 6 . 6 0 BELGIAN FRANC D E C . 2 0 1 0 8 . 2 0 I T A L I A N L I R A D E C . 2 0 4 3 . 9 8

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 = 1 0 0 ( G - 1 0 C O U N T R I E S P L U S SWITZERLAND)

U . S . DOLLAR D E C . 2 0 9 4 . 7 2 GERMAN MARK D E C . 2 0 1 6 9 . 6 3 J A P A N E S E YEN D E C . 2 0 1 8 6 . 1 5 DUTCH GUILDER D E C . 2 0 1 4 3 . 9 8 U . K . POUND D E C . 2 0 5 9 . 0 7 CANADIAN DOLLAR D E C . 2 0 8 0 . 9 8 FRENCH FRANC D E C . 2 0 7 0 . 2 9 S W I S S FRANC D E C . 2 0 2 0 1 . 8 9 BELGIAN FRANC D E C . 2 0 1 0 3 . 9 1 I T A L I A N L I R A D E C . 2 0 3 9 . 4 4 SWEDISH KRONA D E C . 2 0 6 6 . 6 6

CHART 2 . 3 -MONTH FORWARD EXCHANGE R A T E S , PREMIUM OR D I S C O U N T

CANADIAN DOLLAR D E C . 2 0 - 3 . 5 6 U . K . POUND D E C . 2 0 - 6 . 1 9 GERMAN MARK DSC. 20 0 . 2 7 FRENCH FfiANC D E C . 2 0 - 2 . 1 4 SWISS FRANC D E C . 2 0 0 . 4 7 DUTCH GUILDER D E C . 2 0 - 0 . 0 8 J A P A N E S E YEN D E C . 2 0 1 . 6 3 I T A L I A N L I R A D E C . 2 0 - 4 . 3 6


S E R I E S N A M E LAST VALUE PLOTTED

DATE VALUE

CHABT 3 . GOLD P R I C E I N LONDON, AFTERNOON F I X I N G

0 . 5 . DOLLARS PER F I N E OUNCE DEC. 2 0 4 1 0 . 7 1

CHART 4 . CALL HONEY RATES

U . S . FEDERAL FUNDS D E C . 2 0 8 . 5 2 OVERNIGHT EURO-DOLLAR D E P O S I T S DEC. 2 0 8 . 4 3 O . K . DEC. 2 0 1 5 . 0 5 CANADA D E C . 2 0 1 2 . 3 8 GERMANY D E C . 2 0 7 . 4 5 JAPAN DEC. 2 0 6 . 2 4 FRANCE DEC. 2 0 1 0 . 5 0 NETHERLANDS D E C . 2 0 8 . 3 4 SWITZERLAND D E C . 2 0 7 . 1 3

CHART 5 . 3 -MONTH I N T E R E S T RATES

U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET D E C . 2 0 8 . 4 1 GERMAN INTERBANK LOAN D E C . 2 0 8 . 0 4 J A P A N E S E GENSAKI RATE DEC. 2 0 5 . 7 9 CANADIAN F I N A N C E PAPER DEC. 2 0 1 2 . 3 4 INTERBANK S T E R L I N G D E C . 2 0 1 5 . Ob S W I S S INTERBANK LOAN D E C . 2 0 8 . 3 2 FRENCH INTERBANK RATE DEC. 2 0 1 0 . 7 0 NETHERLANDS INTERBANK RATE D E C . 2 0 8 . 4 7 WEIGHTED AVERAGE FOREIGN I N T E R E S T RATE D E C . 1 3 9 . 6 3

t G - 1 0 C O U N T R I E S P L U S SWITZERLAND)

CHART 6 . EURO-DOLLAR D E P O S I T R A T E S : LONDON

OVERNIGHT D E C . 2 0 8 . 4 3 7 - D A Y D E C . 2 0 8 . 4 0 1-MONTH D E C . 2 0 8 . 7 9 3-MONTH D E C . 2 0 8 * 4 8 6-MONTH D E C . 2 0 8 . 2 4 1 - Y E A R D E C . 2 0 8 . 1 1

CHART 7 . S E L E C T E D EURO-DOLLAR AND U . S . MONEY BASKET RATES

OVERNIGHT EURO-DOLLAR D E P O S I T S D E C . 2 0 8 . 4 3 U . S . FEDERAL FUNDS D E C . 2 0 8 . 5 2 D I F F E R E N T I A L D E C . 2 0 -0 . 0 9 3-MONTH EURO-DOLLAR D E P O S I T RATE D E C . 2 0 8 . 4 8 U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET D E C . 2 0 8 . 4 1 D I F F E R E N T I A L DEC. 2 0 0. 0 7


S E R I E S NAME L A S T VALUE PLOTTED

DATE VALUE

CHART 8 . I N T E R E S T A R B I T R A G E , 3-MONTH FUNDS

EURO-DOLLAR D E P O S I T INTERBANK S T E R L I N G ( L O N D O N ) , COVERED D I F F E R E N T I A L

U . S . COMMERCIAL PAPER CANADIAN F I N A N C E P A P E R , COVERED D I F F E R E N T I A L

EURO-DOLLAR D E P O S I T INTERBANK DM (FRANKFURT) , COVERED D I F F E R E N T I A L

EURO-DOLLAR D E P O S I T S 8 I S S I N T E R B A N K , COVERED D I F F E R E N T I A L

CHART 9 . LONG TERM GOVERMENT BOND Y I E L D S

UNITED S T A T E S GERMANY JAPAN SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM

U . S . CORPORATE

AAA BONDS

CHART 1 0 . STOCK I N D I C E S

UNITED S T A T E S UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

D E C . 2 0 8 . 4 8 D E C . 2 0 8 . 6 4 D E C . 2 0 - 0 . 1 6

D E C . 2 0 8 . 3 8 D E C . 2 0 8 . 6 7 D E C . 2 0 - 0 . 2 9

D E C . 2 0 8 . 4 8 D E C . 2 0 8 . 3 1 D E C . 20 0 . 1 6

DEC. 20 8 . 4 8 D E C . 20 8 . 4 0 D E C . 2 0 0 . 0 7

D E C . 8 7 . 8 4 D E C . 1 5 7 . 5 4 D E C . 1 5 5 . 6 8 DEC. 1 5 5 . 6 5 D E C . 1 5 9 . 7 0 D E C . 8 9 . 5 4 O C T . 7 . 4 3 DEC. 2 2 9 . 6 4

MAY 9 . 3 3

D E C . 2 0 3 6 2 . 0 6 D E C . 2 0 4 1 0 . 2 5 D E C . 2 0 3 8 8 . 2 7 D E C . 2 0 3 0 1 . 2 5 D E C . 2 0 2 5 2 . 6 4 D E C . 2 0 3 5 2 . 7 6 D E C . 2 0 5 4 2 . 0 6 D E C . 2 0 7 4 9 . 5 5


m

FEDERAL RESERVE statistical release

H.10(512) DECEMBER 22, 1989

FOREIGN EXCHANGE RATES FOR THE WEEK ENDING DECEMBER 22, 1989

T h e B o a r d of G o v e r n o r s of t h e F e d e r a l R e s e r v e S y s t e m is a d v i s e d tha t t h e F e d e r a l R e s e r v e Bank of New York h a s cert if ied for c u s t o m s p u r p o s e s t h e following noon buying r a t e s in New York City for c a b l e t r a n s f e r s p a y a b l e in fore ign cu r r enc i e s :

COUNTRY MONETARY

UNIT (CURRENCY UNITS PER DOLLAR)

COUNTRY MONETARY

UNIT DEC. 18 DEC. 19 DEC. 20 DEC. 21 DEC. 22

AUSTRALIA DOLLAR 78.35 78.53 78.70 78.64 78.85 AUSTRIA SCHILLING 12.150 12.200 12.258 12.160 12.040 BELGIUM FRANC 36.320 36.420 36.600 36.320 35.970 CANADA DOLLAR 1.1611 1.1612 1.1620 1.1607 1.1595 CHINA,P.R. YUAN 4.7339 4.7339 4.7339 4.7339 4.7339 DENMARK KRONE 6.7200 6.7465 6.7850 6.7270 6.6600 FINLAND MARKKA 4.1030 4.1160 4.1250 4.1020 4.0700 FRANCE FRANC 5.8990 5.9320 5.9520 5.8925 5.8350 GERMANY D. MARK 1.7260 1.7378 1.7408 1.7255 1.7080 GREECE DRACHMA 159.200 160.000 160.950 160.150 158.000 HONG KONG DOLLAR 7.8085 7.8075 7.8065 7.8100 7.8080 INDIA RUPEE 16.9400 16.9300 16.9400 16.9300 16.9000

*1RELAND POUND 152.85 152.15 151.30 152.75 153.70 ITALY LIRA 1288.00 1292.00 1296.00 1288.00 1279.00 JAPAN YEN 144.10 143.85 144.02 143.70 142.88 MALAYSIA RINGGIT 2.7010 2.6990 2.7040 2.7025 2.7000 NETHERLANDS GUILDER 1.9484 1.9616 1.9650 1.9487 1.9290

NEW ZEALAND DOLLAR 59.400 59.400 59.650 59.620 59.600 NORWAY KRONE 6.6750 6.6960 6.7050 6.6760 6.6150 PORTUGAL ESCUDO 151.770 152.550 152.500 151.650 150.850 SINGAPORE DOLLAR 1.9120 1.9080 1.9090 1.9030 1.9050 SOUTH AFRICA RAND 2.5550 2.5630 2.5750 2.5650 2.5600 SOUTH KOREA WON 677.90 677.80 678.50 679.40 679.30 SPAIN PESETA 111.500 111.750 111.700 111.130 110.450 SRI LANKA RUPEE 40.017 40.017 40.017 40.018 40.018 SWEDEN KRONA 6.2775 6.2820 6.2980 6.2690 6.2400 SWITZERLAND FRANC 1.5477 1.5620 1.5625 1.5580 1.5495 TAIWAN DOLLAR 26.160 26.157 26.156 26.158 NA THAILAND BAHT 25.770 25.750 25.770 25.760 25.750

UNITED KINGDOM POUND 160.18 160.00 160.30 161.25 162,10

MEMO: UNITED STATES DOLLAR 94.49 94.82 94.97 94.38 93.68

TINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 COUNTRIES. MARCH 1973 = 100. WEIGHTS 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 IS U.S. CENTS


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