国际财务管理课后习题答案(第六章)

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1、CHAPTER6INTERNATIONALPARITYRELATIONSHIPSSUGGESTEDANSWERSANDSOLUTIONSTOEND-OF-CHAPTERQUESTIONSANDPROBLEMSQUESTIONS1. Giveafulldefinitionofarbitrage.Answer:Arbitragecanbedefinedastheactofsimultaneouslybuyingandsellingthesameorequivalentassetsorcommoditiesforthepurposeofmakingcertain,guaranteedprofits.

2、2. Discusstheimplicationsoftheinterestrateparityfortheexchangeratedetermination.Answer:Assumingthattheforwardexchangerateisroughlyanunbiasedpredictorofthefuturespotrate,IRPcanbewrittenas:S=(1+I)/(1+I$)ESt+1It.Theexchangerateisthusdeterminedbytherelativeinterestrates,andtheexpectedfuturespotrate,cond

3、itionalonalltheavailableinformation,It,asofthepresenttime.Onethuscansaythatexpectationisself-fulfilling.Sincetheinformationsetwillbecontinuouslyupdatedasnewshitthemarket,theexchangeratewillexhibitahighlydynamic,randombehavior.3. Explaintheconditionsunderwhichtheforwardexchangeratewillbeanunbiasedpre

4、dictorofthefuturespotexchangerate.Answer:Theforwardexchangeratewillbeanunbiasedpredictorofthefuturespotrateif(I)theriskpremiumisinsignificantand(ii)foreignexchangemarketsareinformationallyefficient.4. Explainthepurchasingpowerparity,boththeabsoluteandrelativeversions.Whatcausesthedeviationsfromthepu

5、rchasingpowerparity?Answer:Theabsoluteversionofpurchasingpowerparity(PPP):S=P$/PTherelativeversionis:e=n$-standardPPPcanbeviolatediftherearebarrierstointernationaltradeorifpeopleindifferentcountrieshavedifferentconsumptiontaste.PPPisthelawofonepriceappliedtoaconsumptionbasket.8.Explaintherandomwalkm

6、odelforexchangerateforecasting.Canitbeconsistentwiththetechnicalanalysis?Answer:Therandomwalkmodelpredictsthatthecurrentexchangeratewillbethebestpredictorofthefutureexchangerate.Animplicationofthemodelisthatpasthistoryoftheexchangerateisofnovalueinpredictingfutureexchangerate.Themodelthusisinconsist

7、entwiththetechnicalanalysiswhichtriestoutilizepasthistoryinpredictingthefutureexchangerate.*9.Deriveandexplainthemonetaryapproachtoexchangeratedetermination.Answer:ThemonetaryapproachisassociatedwiththeChicagoSchoolofEconomics.Itisbasedontwotenets:purchasingpowerparityandthequantitytheoryofmoney.Com

8、bingthesetwotheoriesallowsforstating,say,the$/袋potexchangerateas:S($/)=MMf)(V$/V矶yWy$),whereMdenotesthemoneysupply,Vthevelocityofmoney,andythenationalaggregateoutput.Thetheoryholdsthatwhatmattersinexchangeratedeterminationare:1. Therelativemoneysupply,2. Therelativevelocitiesofmonies,and3. Therelati

9、venationaloutputs.10. CFAquestion:1997,Level3.A. Explainthefollowingthreeconceptsofpurchasingpowerparity(PPP):a. Thelawofoneprice.b. AbsolutePPP.c. RelativePPP.B. EvaluatetheusefulnessofrelativePPPinpredictingmovementsinforeignexchangerateson:a. Short-termbasis(forexample,threemonths)b. Long-termbas

10、is(forexample,sixyears)Answer:A.a.Thelawofoneprice(LOP)referstotheinternationalarbitrageconditionforthestandardconsumptionbasket.LOPrequiresthattheconsumptionbasketshouldbesellingforthesamepriceinagivencurrencyacrosscountries.A.b.AbsolutePPPholdsthatthepricelevelinacountryisequaltothepricelevelinano

11、thercountrytimestheexchangeratebetweenthetwocountries.A. c.RelativePPPholdsthattherateofexchangeratechangebetweenapairofcountriesisaboutequaltothedifferenceininflationratesofthetwocountries.B. a.PPPisnotusefulforpredictingexchangeratesontheshort-termbasismainlybecauseinternationalcommodityarbitragei

12、satime-consumingprocess.学习参考B.b.PPPisusefulforpredictingexchangeratesonthelong-termbasis.PROBLEMS1. SupposethatthetreasurerofIBMhasanextracashreserveof$100,000,000toinvestforsixmonths.Thesix-monthinterestrateis8percentperannumintheUnitedStatesand6percentperannuminGermany.Currently,thespotexchangerat

13、eis?1.01perdollarandthesix-monthforwardexchangerateis?0.99perdollar.ThetreasurerofIBMdoesnotwishtobearanyexchangerisk.Whereshouldhe/sheinvesttomaximizethereturn?Themarketconditionsaresummarizedasfollows:I$=4%;i?=3.5%;S=?1.01/$;F=?0.99/$.If$100,000,000isinvestedintheU.S.,thematurityvalueinsixmonthswi

14、llbe$104,000,000=$100,000,000(1+.04).Alternatively,$100,000,000canbeconvertedintoeurosandinvestedattheGermaninterestrate,withtheeuromaturityvaluesoldforward.Inthiscasethedollarmaturityvaluewillbe$105,590,909=($100,000,000x1.01)(1+.035)(1/0.99)Clearly,itisbettertoinvest$100,000,000inGermanywithexchan

15、geriskhedging.2. WhileyouwerevisitingLondon,youpurchasedaJaguarfor35,000,payableinthreemonths.YouhaveenoughcashatyourbankinNewYorkCity,whichpays0.35%interestpermonth,compoundingmonthly,topayforthecar.Currently,thespotexchangerateis$1.45/andthethree-monthforwardexchangerateis$1.40/.InLondon,themoneym

16、arketinterestrateis2.0%forathree-monthinvestment.TherearetwoalternativewaysofpayingforyourJaguar.(a) KeepthefundsatyourbankintheU.S.andbuyforward.35,000(b) BuyacertainpoundamountspottodayandinvesttheamountintheU.K.forthreemonthssothatthematurityvaluebecomesequalto35,000.Evaluateeachpaymentmethod.Whi

17、chmethodwouldyouprefer?Why?Solution:Theproblemsituationissummarizedasfollows:A/P=35,000payableinthreemonthsiNY=0.35%/month,compoundingmonthlyild=2.0%forthreemonthsS=$1.45/F=$1.40/.Optiona:Whenyoubuy35,000forward,youwillneed$49,000inthreemonthstofulfilltheforwardcontract.Thepresentvalueof$49,000iscom

18、putedasfollows:$49,000/(1.0035)3=$48,489.Thus,thecostofJaguarasoftodayis$48,489.Optionb:Thepresentvalueof35,000is34,314=35,000/(1.02)dabuyillcost34,314t$49,755=34,314x1.45.ThusthecostofJaguarasoftodayis$49,755.Youshoulddefinitelychoosetouse“optiona”a,ndsave$1,266,whichisthedifferencebetween$49,755an

19、d$48489.3. Currently,thespotexchangerateis$1.50/andthethree-monthforwardexchangerateis$1.52/.Thethreeonthinterestrateis8.0%perannumintheU.S.and5.8%perannumintheU.K.Assumethatyoucanborrowasmuchas$1,500,000or1,000,000.a. Determinewhethertheinterestrateparityiscurrentlyholding.b. IftheIRPisnotholding,h

20、owwouldyoucarryoutcoveredinterestarbitrage?Showallthestepsanddeterminethearbitrageprofit.c. ExplainhowtheIRPwillberestoredasaresultofcoveredarbitrageactivities.Solution:Letssummarizethegivendatafirst:S=$1.5/;F=$1.52/1$=2.0%;k=1.45%Credit=$1,500,000or1,000,000.d. (1+I$)=1.02(1+I9(F/S)=(1.0145)(1.52/1

21、.50)=1.0280Thus,IRPisnotholdingexactly.e. (1)Borrow$1,500,000;repaymentwillbe$1,530,000.(2) Buy1,000,000spotusing$1,500,000.(3) Invest1,000,000atthepoundinterestrateof1.45%;maturityvaluewillbe1,014,500.(4) Sell1,014,500forwardfor$1,542,040Arbitrageprofitwillbe$12,040f. Followingthearbitragetransacti

22、onsdescribedabove,Thedollarinterestratewillrise;Thepoundinterestratewillfall;Thespotexchangeratewillrise;Theforwardexchangeratewillfall.TheseadjustmentswillcontinueuntilIRPholds.4. Supposethatthecurrentspotexchangerateis?0.80/$andthethree-monthforwardexchangerateis?0.7813/$.Thethree-monthinterestrat

23、eis5.6percentperannumintheUnitedStatesand5.40percentperannuminFrance.Assumethatyoucanborrowupto$1,000,000or?800,000.a. Showhowtorealizeacertainprofitviacoveredinterestarbitrage,assumingthatyouwanttorealizeprofitintermsofU.S.dollars.Alsodeterminethesizeofyourarbitrageprofit.b. Assumethatyouwanttoreal

24、izeprofitintermsofeuros.Showthecoveredarbitrageprocessanddeterminethearbitrageprofitineuros.Solution:a.(1+i$)=1.014(F/S)(1+i?)=1.053.Thus,onehastoborrowdollarsandinvestineurostomakearbitrageprofit.1. Borrow$1,000,000andrepay$1,014,000inthreemonths.2. Sell$1,000,000spotfor?1,060,000.3. Invest?1,060,0

25、00attheeurointerestrateof1.35%forthreemonthsandreceive?1,074,310atmaturity.4. Sell?1,074,310forwardfor$1,053,245.Arbitrageprofit=$1,053,245-$1,014,000=$39,245.b.Followthefirstthreestepsabove.Butthelaststep,involvingexchangeriskhedging,willbedifferent.5. Buy$1,014,000forwardfor?1,034,280.Arbitragepro

26、fit=?1,074,310-?1,034,280=?40,0305. IntheissueofOctober23,1999,theEconomistreportsthattheinterestrateperannumis5.93%intheUnitedStatesand70.0%inTurkey.WhydoyouthinktheinterestrateissohighinTurkey?Basedonthereportedinterestrates,howwouldyoupredictthechangeoftheexchangeratebetweentheU.S.dollarandtheTur

27、kishlira?Solution:AhighTurkishinterestratemustreflectahighexpectedinflationinTurkey.AccordingtointernationalFishereffect(IFE),wehaveE(e)=i$-iLira=5.93%-70.0%=-64.07%TheTurkishlirathusisexpectedtodepreciateagainsttheU.S.dollarbyabout64%.6. AsofNovember1,1999,theexchangeratebetweentheBrazilianrealandU

28、.S.dollarisR$1.95/$.TheconsensusforecastfortheU.S.andBrazilinflationratesforthenext1-yearperiodis2.6%and20.0%,respectively.HowwouldyouforecasttheexchangeratetobeataroundNovember1,2000?Solution:SincetheinflationrateisquitehighinBrazil,wemayusethepurchasingpowerparitytoforecasttheexchangerate.E(e)=E(二

29、$)-E(二r$)=2.6%-20.0%=-17.4%E(St)=So(1+E(e)=(R$1.95/$)(1+0.174)=R$2.29/$7.(CFAquestion)OmniAdvisors,aninternationalpensionfundmanager,usestheconceptsofpurchasingpowerparity(PPP)andtheInternationalFisherEffect(IFE)toforecastspotexchangerates.Omnigathersthefinancialinformationasfollows:Basepricelevel10

30、0CurrentU.S.pricelevel105CurrentSouthAfricanpricelevel111Baserandspotexchangerate$0.175Currentrandspotexchangerate$0.158ExpectedannualU.S.inflation7%5%10%8%ExpectedannualSouthAfricaninflationExpectedU.S.one-yearinterestrateExpectedSouthAfricanone-yearinterestrateCalculatethefollowingexchangerates(ZA

31、RandUSDrefertotheSouthAfricanandU.S.dollar,respectively).a. ThecurrentZARspotrateinUSDthatwouldhavebeenforecastbyPPP.b. UsingtheIFE,theexpectedZARspotrateinUSDoneyearfromnow.c. UsingPPP,theexpectedZARspotrateinUSDfouryearsfromnow.Solution:a. ZARspotrateunderPPP=1.05/1.11(0.175)=$0.1655/rand.b. Expec

32、tedZARspotrate=1.10/1.08(0.158)=$0.1609/rand.c. ExpectedZARunderPPP=(1.07)4/(1.05)4(0.158)=$0.1704/rand.8. Supposethatthecurrentspotexchangerateis?1.50/?andtheone-yearforwardexchangerateis?1.60/?.Theone-yearinterestrateis5.4%ineurosand5.2%inpounds.Youcanborrowatmost?1,000,000ortheequivalentpoundamou

33、nt,i.e.,?666,667,atthecurrentspotexchangerate.a. Showhowyoucanrealizeaguaranteedprofitfromcoveredinterestarbitrage.Assumethatyouareaeuro-basedinvestor.Alsodeterminethesizeofthearbitrageprofit.b. Discusshowtheinterestrateparitymayberestoredasaresultoftheabovetransactions.c. Supposeyouareapound-basedi

34、nvestor.Showthecoveredarbitrageprocessanddeterminethepoundprofitamount.Solution:d. First,notethat(1+i?)=1.054islessthan(F/S)(1+i?)=(1.60/1.50)(1.052)=1.1221.Youshouldthusborrowineurosandlendinpounds.1) Borrow?1,000,000andpromisetorepay?1,054,000inoneyear.2) Buy?666,667spotfor?1,000,000.3) Invest?666

35、,667atthepoundinterestrateof5.2%;thematurityvaluewillbe?701,334.4) Tohedgeexchangerisk,sellthematurityvalue?701,334forwardinexchangefor?1,122,134.Thearbitrageprofitwillbethedifferencebetween?1,122,134and?1,054,000,i.e.,?68,134.e. Asaresultoftheabovearbitragetransactions,theeurointerestratewillrise,t

36、hepoundinterestratewillfall.Inaddition,thespotexchangerate(eurosperpound)willriseandtheforwardratewillfall.Theseadjustmentswillcontinueuntiltheinterestrateparityisrestored.f. Thepound-basedinvestorwillcarryoutthesametransactions1),2),and3)ina.Buttohedge,he/shewillbuy?1,054,000forwardinexchangefor?65

37、8,750.Thearbitrageprofitwillthenbe?42,584=?701,334-?658,750.9. Duetotheintegratednatureoftheircapitalmarkets,investorsinboththeU.S.andU.K.requirethesamerealinterestrate,2.5%,ontheirlending.Thereisaconsensusincapitalmarketsthattheannualinflationrateislikelytobe3.5%intheU.S.and1.5%intheU.K.forthenextt

38、hreeyears.Thespotexchangerateiscurrently$1.50/a. ComputethenominalinterestrateperannuminboththeU.S.andU.K.,assumingthattheFishereffectholds.b. Whatisyourexpectedfuturespotdollar-poundexchangerateinthreeyearsfromnow?c. Canyouinfertheforwarddollar-poundexchangerateforone-yearmaturity?Solution.a. Nomin

39、alrateinUS=(1+p)(1)+E(1=(1.025)(1.035)-1=0.0609or6.09%.NominalrateinUK=(1+p?X1+E=(1.025)(1.015)-1=0.0404or4.04%.b. E(ST)=(1.0609)3/(1.0404)3(1.50)=$1.5904/?.c.F=1.0609/1.0404(1.50)=$1.5296/?.MiniCase:TurkishLiraandthePurchasingPowerParityVeritasEmergingMarketFundspecializesininvestinginemergingstock

40、marketsoftheworld.Mr.HenryMobaus,anexperiencedhandininternationalinvestmentandyourboss,iscurrentlyinterestedinTurkishstockmarkets.HethinksthatTurkeywilleventuallybeinvitedtonegotiate学习参考itsmembershipintheEuropeanUnion.Ifthishappens,itwillboostthestockpricesinTurkey.But,atthesametime,heisquiteconcern

41、edwiththevolatileexchangeratesoftheTurkishcurrency.HewouldliketounderstandwhatdrivestheTurkishexchangerates.SincetheinflationrateismuchhigherinTurkeythanintheU.S.,hethinksthatthepurchasingpowerparitymaybeholdingatleasttosomeextent.Asaresearchassistantforhim,youwereassignedtocheckthisout.Inotherwords

42、,youhavetostudyandprepareareportonthefollowingquestion:DoesthepurchasingpowerparityholdfortheTurkishlira-U.S.dollarexchangerate?Amongotherthings,Mr.Mobauswouldlikeyoutodothefollowing:PlotthepastexchangeratechangesagainstthedifferentialinflationratesbetweenTurkeyandtheU.S.forthelastfouryears.Regresst

43、herateofexchangeratechangesontheinflationratedifferentialtoestimatetheinterceptandtheslopecoefficient,andinterprettheregressionresults.Datasource:YoumaydownloadtheconsumerpriceindexdatafortheU.S.andTurkeyfromthefollowingwebsite:http:/www.oecd.org/home/0,2987,en2649201185m11,00.html,“hotfile(Excelfor

44、mat).Youmaydownloadtheexchangeratedatafromthewebsite:merce.ubc.ca/xr/data.html.Solution:a. Inthecurrentsolution,weusethemonthlydatafromJanuary1999December2002.00 o000.050.10.15Inf_Turkey - Inf_USTurkey vs. U.S.0.15_oT-1.47-0.05b. Weregressexchangeratechanges(e)ontheinflationratedifferentialandestima

45、tetheintercept(a)andslopecoefficient(et=?+?(Inf_Turkey-Inf_US)+q?-0.011(t=-0.649)?=1.472(t=3.095)Theestimatedinterceptisinsignificantlydifferentfromzero,whereastheslopecoefficientispositiveandsignificantlydifferentfromzero.Infact,theslopecoefficientisinsignificantlydifferentfromunity.Notethatt-stati

46、sticsfor3=1is0.992=(11472476wheres.e.is0.476Inotherwords,wecannotrejectthehypothesisthattheinterceptiszeroandtheslopecoefficientisone.Theresultsarethussupportiveofpurchasingpowerparity.5. Discusstheimplicationsofthedeviationsfromthepurchasingpowerparityforcountriescompetitivepositionsintheworldmarke

47、t.Answer:IfexchangeratechangessatisfyPPP,competitivepositionsofcountrieswillremainunaffectedfollowingexchangeratechanges.Otherwise,exchangeratechangeswillaffectrelativecompetitivenessofcountries.Ifacountryscurrencyappreciates(depreciates)bthaniswarrantedbyPPP,thatwillhurt(strengthen)thecountryscompe

48、titivepositioninteworldmarket.6. ExplainandderivetheinternationalFishereffect.Answer:TheinternationalFishereffectcanbeobtainedbycombiningtheFishereffectandtherelativeversionofPPPinitsexpectationalform.Specifically,theFishereffectholdsthatE(二$)=I$-：$,E9=I-Pf.Assumingthattherealinterestrateisthesamebe

49、tweenthetwocountries,i.e.,P$=P,andsubstitutingtheaboveresultsintothePPP,i.e.,E(e)=E(-E(叼，weobtaintheinternationalFishereffect:E(e)=I$-I7. Researchersfoundthatitisverydifficulttoforecastthefutureexchangeratesmoreaccuratelythantheforwardexchangerateorthecurrentspotexchangerate.Howwouldyouinterpretthisfinding?Answer:Thisimpliesthatexchangemarketsareinformationallyefficient.Thus,unlessonehasprivateinformationthatisnotyetreflectedinthecurrentmarketrates,itwouldbedifficulttobeatthemarket.学习参考