英文版国际金融试题和答案

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1、每题 1 分，答PartI.Decidewhethereachofthefollowingstatementsistrueorfalse(10%)错不扣分1. Ifperfectmarketsexisted,resourceswouldbemoremobileandcouldthereforebetransferredtothosecountriesmorewillingtopayahighpriceforthem.(T)2. Theforwardcontractcanhedgefuturereceivablesorpayablesinforeigncurrenciestoinsulateth

2、efirmagainstexchangeraterisk.(T)3. Theprimaryobjectiveofthemultinationalcorporationisstillthesameprimaryobjectiveofanyfirm,i.e.,tomaximizeshareholderwealth.(T)4. Alowinflationratetendstoincreaseimportsanddecreaseexports,therebydecreasingthecurrentaccountdeficit,otherthingsequal.(F)5. Acapitalaccount

3、deficitreflectsanetsaleofthehomecurrencyinexchangeforothercurrencies.Thisplacesupwardpressureonthathomecurrencysvalue.(F)6. Thetheoryofcomparativeadvantageimpliesthatcountriesshouldspecializeinproduction,therebyrelyingonothercountriesforsomeproducts.(T)7. Coveredinterestarbitrageisplausiblewhenthefo

4、rwardpremiumreflecttheinterestratedifferentialbetweentwocountriesspecifiedbytheinterestrateparityformula.(F)8. Thetotalimpactoftransactionexposureisontheoverallvalueofthefirm.(F)9. Aputoptionisanoptiontosell-bythebuyeroftheoption-astatednumberofunitsoftheunderlyinginstrumentataspecifiedpriceperunitd

5、uringaspecifiedperiod.(T)10. Futuresmustbemarked-to-market.Optionsarenot.(T)Partn:Cloze(20%)每题2分，答错不扣分1. Ifinflationinaforeigncountrydiffersfrominflationinthehomecountry,theexchangeratewilladjusttomaintainequal(purchasingpower)2. Speculatorswhoexpectacurrencyto(appreciate)couldpurchasecurrencyfuture

6、scontractsforthatcurrency.3. Coveredinterestarbitrageinvolvestheshort-terminvestmentinaforeigncurrencythatiscoveredbya(forwardcontract)tosellthatcurrencywhentheinvestmentmatures.4. (Appreciation/Revalue)ofRMBreducesinflowssincetheforeigndemandforourgoodsisreducedandforeigncompetitionisincreased.5. (

7、PPP)suggestsarelationshipbetweentheinflationdifferentialoftwocountriesandthepercentagechangeinthespotexchangerateovertime.6. IFEisbasedonnominalinterestrate(differentials),whichareinfluencedbyexpectedinflation.7. Transactionexposureisasubsetofeconomicexposure.Economicexposureincludesanyformbywhichth

8、efirms(value)willbeaffected.8. Theoptionwriterisobligatedtobuytheunderlyingcommodityatastatedpriceifa(putoption)isexercised9. Therearethreetypesoflong-terminternationalbonds.TheyareGlobalbonds,(eurobonds)and(foreignbonds).10. Anygoodsecondarymarketforfinanceinstrumentsmusthaveanefficientclearingsyst

9、em.MostEurobondsareclearedthrougheither(Euroclear)orCedel.过程正确结果计算错误扣 2 分Part出：QuestionsandCalculations(60%)1. Assume the following information:A BankB BankBid price of Canadian dollarAsk price of Canadian dollarGiven this information, is locational$0.802$0.796$0.808$0.800arbitrage possible? If so,

10、explainthe steps involvedinlocationalarbitrage,andcomputetheprofitfromthisarbitrageifyouhad$1,000,000touse.(5%)ANSWER:X Bank forYes!OnecouldpurchaseNewZealanddollarsatYBankfor$.80andsellthemto$.802.With$1millionavailable,1.25millionNewZealanddollarscouldbepurchasedatYBank.TheseNewZealanddollarscould

11、thenbesoldtoXBankfor$1,002,500,therebygeneratingaprofitof$2,500.2. AssumethatthespotexchangerateoftheBritishpoundis$1.90.HowwillthisspotrateadjustintwoyearsiftheUnitedKingdomexperiencesaninflationrateof7percentperyearwhiletheUnitedStatesexperiencesaninflationrateof2percentperyear?(10%)ANSWER:Accordi

12、ngtoPPP,forwardrate/spot=indexdom/indexfortheexchangerateofthepoundwilldepreciateby4.7percent.Therefore,thespotratewouldadjustto$1.90x1+(-.047)=$1.81073. AssumethatthespotexchangerateoftheSingaporedollaris$0.70.Theone-yearinterestrateis11percentintheUnitedStatesand7percentinSingapore.Whatwillthespot

13、ratebeinoneyearaccordingtotheIFE?(5%)ANSWER:accordingtotheIFE,St+1/St=(1+Rh)/(1+Rf)$.70X(1+.04)=$0.7284. AssumethatXYZCo.hasnetreceivablesof100,000Singaporedollarsin90days.ThespotrateoftheS$is$0.50,andtheSingaporeinterestrateis2%over90days.SuggesthowtheU.S.firmcouldimplementamoneymarkethedge.Bepreci

14、se.(10%)ANSWER:ThefirmcouldborrowtheamountofSingaporedollarssothatthe100,000Singaporedollarstobereceivedcouldbeusedtopayofftheloan.Thisamountsto(100,000/1.02)=aboutS$98,039,whichcouldbeconvertedtoabout$49,020andinvested.TheborrowingofSingaporedollarshasoffsetthetransactionexposureduetothefuturerecei

15、vablesinSingaporedollars.5. AU.S.companyorderedaJaguarsedan.In6months,itwillpay场0,000forthecar.Itworriedthatpoundster1ingmightrisesharplyfromthecurrentrate($1.90).So,thecompanyboughta6monthpoundcall(supposedcontractsize=场5,000)withastrikepriceof$1.90forapremiumof2.3cents/(1)Ishedgingintheoptionsmark

16、etbetteriftheroseto$1.92in6months?(2)whatdidtheexchangeratehavetobeforthecompanytobreakeven?(15%)Solution:(1)Iftheroseto$1.92in6months,theU.S.companywouldexercisethepoundcalloption.Thesumofthestrikepriceandpremiumis$1.90+$0.023=$1.9230/Thisisbiggerthan$1.92.Sohedgingintheoptionsmarketisnotbetter.(2)

17、whenwesaythecompanycanbreakeven,wemeanthathedgingornothedgingdoesntmatter.Andonlywhen(strikeprice+premium)=theexchangerate,hedgingornotdoesntmatter.So,theexchangerate=$1.923/.6.Discusstheadvantagesanddisadvantagesoffixedexchangeratesystem.(15%)textbookpage50答案以教材第50页为准PARTW:Diagram(10%)Thestrikepric

18、eforacallis$1.67/ThepremiumquotedattheExchangeis$0.0222perBritishpound.Diagramtheprofitandlosspotential,andthebreak-evenpriceforthiscalloptionSolution:Followingdiagramshowstheprofitandlosspotential,andthebreak-evenpriceofthisputoption:SupposethatyouareexpectingrevenuesofY100,000fromJapaninonemonth.C

19、urrently,1monthforwardcontractsaretradingat$1=$105Yen.YouhavethefollowingestimateoftheYen/$exchangerateinonemonth.PriceProbability90Yen/$4%95Yen/$25%100Y/$45%105Yen/$20%110Yen/$6%a) b) c)hedge your exchange risk?WhatpositioninforwardcontractswouldyoutaketoCalculatetheexpectedvalueofthehedge.Howcould

20、youreplicatethishedgeinthemoneymarket?YouareexpectingrevenuesofY100,000inonemonththatyouwillneedtocoverttodollars.YoucouldhedgethisinforwardmarketsbytakinglongpositionsinUSdollars(shortpositionsinJapaneseYen).Bylockinginyourpriceat$1=Y105,yourdollarrevenuesareguaranteedtobeY100,000/105=$952Ontheothe

21、rhand,youcanwaitandusethespotmarkets.ExchangeRateProbabilityRevenuew/HedgeRevenuew/outHedgeValueofHedge90Y/$4%$1,111$952-$15995Y/$25%$1,052$952-$100100Y/$45%$1,000$952-$48105Y/$20%$952$952$0110Y/$6%$909$952$43ExpectedValue=(.02)(-159)+(.25)(-100)+(.45)(-48)+(.20)(0)+(.08)(43)=-$24Youcouldreplicatethishedgebyusingthefollowing:a) BorrowinJapanb) ConverttheYentodollarsc) InvestthedollarsintheUSd) PaybacktheloanwhenyoureceivetheY100,000