397-黯的拼音
PartⅠ.Decide whether each of the
following statements is true or false
(10%)每题1分,答错不扣分
1. If perfect markets existed,
resources would be more mobile and could therefore
be transferred to those
countries more willing
to pay a high price for them. ( T )
2.
The forward contract can hedge future receivables
or payables in foreign currencies to insulate the
firm
against exchange rate risk. ( T )
3. The primary objective of the multinational
corporation is still the same primary objective of
any firm, i.e.,
to maximize shareholder
wealth. ( T )
4. A low inflation rate
tends to increase imports and decrease exports,
thereby decreasing the current account
deficit, other things equal. ( F )
5.
A capital account deficit reflects a net sale of
the home currency in exchange for other
currencies. This
places upward pressure on
that home currency’s value. ( F )
6. The
theory of comparative advantage implies that
countries should specialize in production, thereby
relying
on other countries for some products.
( T )
7. Covered interest arbitrage is
plausible when the forward premium reflect the
interest rate differential
between two
countries specified by the interest rate parity
formula. ( F )
8. The total impact of
transaction exposure is on the overall value of
the firm. ( F )
9. A put option is an
option to sell-by the buyer of the option-a stated
number of units of the underlying
instrument
at a specified price per unit during a specified
period. ( T )
10. Futures must be marked-
to-market. Options are not. ( T )
PartⅡ:Cloze (20%)每题2分,答错不扣分
1. If
inflation in a foreign country differs from
inflation in the home country, the exchange rate
will adjust to
maintain equal( purchasing
power )
2. Speculators who expect a
currency to ( appreciate ) could purchase
currency futures contracts
for that currency.
3. Covered interest arbitrage involves the
short-term investment in a foreign currency that
is covered by a
( forward contract
) to sell that currency when the investment
matures.
4. ( Appreciation Revalue
)of RMB reduces inflows since the foreign demand
for our goods is
reduced and foreign
competition is increased.
5. ( PPP
) suggests a relationship between the inflation
differential of two countries and the
percentage change in the spot exchange rate
over time.
6. IFE is based on nominal
interest rate ( differentials ), which
are influenced by expected
inflation.
7.
Transaction exposure is a subset of economic
exposure. Economic exposure includes any form by
which
the firm’s ( value ) will be
affected.
8. The option writer is obligated
to buy the underlying commodity at a stated price
if a ( put
option ) is exercised
9.
There are three types of long-term international
bonds. They are Global bonds , ( eurobonds
)
and ( foreign bonds ).
10. Any
good secondary market for finance instruments must
have an efficient clearing system. Most
Eurobonds are cleared through either (
Euroclear ) or Cedel.
PartⅢ
:Questions and Calculations (60%)过程正确结果计算错误扣2分
1. Assume the following information:
A Bank B Bank
Bid price of Canadian
dollar $$0.802 $$0.796
Ask price of Canadian
dollar $$0.808 $$0.800
Given this information,
is locational arbitrage possible? If so, explain
the steps involved in locational
arbitrage,
and compute the profit from this arbitrage if you
had $$1,000,000 to use. (5%)
ANSWER:
Yes! One could purchase New Zealand dollars
at Y Bank for $$.80 and sell them to X Bank for
$$.802. With
$$1 million available, 1.25
million New Zealand dollars could be purchased at
Y Bank. These New Zealand
dollars could then
be sold to X Bank for $$1,002,500, thereby
generating a profit of $$2,500.
2. Assume
that the spot exchange rate of the British pound
is $$1.90. How will this spot rate adjust in two
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years
if the United Kingdom experiences an inflation
rate of 7 percent per year while the United States
experiences an inflation rate of 2 percent
per year?(10%)
ANSWER:
According to
PPP, forward ratespot=indexdomindexfor
the
exchange rate of the pound will depreciate by 4.7
percent. Therefore, the spot rate would adjust to
$$1.90 ×
[1 + (–.047)] = $$1.8107
3.
Assume that the spot exchange rate of the
Singapore dollar is $$0.70. The one-year interest
rate is 11
percent in the United States and 7
percent in Singapore. What will the spot rate be
in one year according to
the IFE? (5%)
ANSWER: according to the
IFE,St+1St=(1+Rh)(1+Rf)
$$.70 × (1 + .04) =
$$0.728
4. Assume that XYZ Co. has net
receivables of 100,000 Singapore dollars in 90
days. The spot rate of the
S$$ is $$0.50, and
the Singapore interest rate is 2% over 90 days.
Suggest how the U.S. firm could implement
a
money market hedge. Be precise . (10%)
ANSWER: The firm could borrow the amount of
Singapore dollars so that the 100,000 Singapore
dollars to
be received could be used to pay
off the loan. This amounts to (100,0001.02) =
about S$$98,039, which
could be converted to
about $$49,020 and invested. The borrowing of
Singapore dollars has offset the
transaction
exposure due to the future receivables in
Singapore dollars.
5. A U.S. company
ordered a Jaguar sedan. In 6 months , it will pay
?30,000 for the car. It worried that
pound
ster1ing might rise sharply from the current
rate($$1.90). So, the company bought a 6 month
pound call
(supposed contract size = ?35,000)
with a strike price of $$1.90 for a premium of 2.3
cents?.
(1)Is hedging in the options market
better if the ? rose to $$1.92 in 6 months?
(2)what did the exchange rate have to be for
the company to break even?(15%)
Solution:
(1)If the ? rose to $$1.92 in 6 months, the
U.S. company would exercise the pound call
option. The sum of
the strike price and
premium is
$$1.90 + $$0.023 =
$$1.9230?
This is bigger than $$1.92.
So
hedging in the options market is not better.
(2) when we say the company can break even,
we mean that hedging or not hedging doesn’t
matter. And
only when (strike price + premium
)= the exchange rate ,
hedging or not doesn’t
matter.
So, the exchange rate =$$1.923?.
6. Discuss the advantages and disadvantages of
fixed exchange rate system.(15%)
textbook
page50 答案以教材第50 页为准
PART Ⅳ: Diagram(10%)
The strike price for a call is $$1.67?.
The premium quoted at the Exchange is $$0.0222 per
British pound.
Diagram the profit and loss
potential, and the break-even price for this call
option
Solution:
Following diagram
shows the profit and loss potential, and the
break-even price of this put option:
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PART Ⅴ:Additional Question
Suppose that you are expecting revenues of Y
100,000 from Japan in one month. Currently, 1
month
forward contracts are trading at $$1 =
$$105 Yen. You have the following estimate of the
Yen$$ exchange rate
in one month.
Price
Probability
90 Yen$$ 4%
95 Yen$$ 25%
100 Y$$ 45%
105 Yen$$ 20%
110 Yen$$ 6%
a) What position in forward contracts
would you take to hedge your exchange risk?
b)
Calculate the expected value of the hedge.
c)
How could you replicate this hedge in the money
market?
You are expecting revenues of
Y100,000 in one month that you will need to covert
to dollars. You could
hedge this in forward
markets by taking long positions in US dollars
(short positions in Japanese Yen). By
locking
in your price at $$1 = Y105, your dollar revenues
are guaranteed to be
Y100,000 105 = $$952
On the other hand, you can wait and use the
spot markets.
Exchange Rate Probability
Revenue Revenue wout Value of Hedge
wHedge
Hedge
90 Y$$ 4% $$1,111 $$952 -$$159
95 Y$$
25% $$1,052 $$952 -$$100
100 Y$$ 45% $$1,000 $$952
-$$48
105 Y$$ 20% $$952 $$952 $$0
110 Y$$ 6%
$$909 $$952 $$43
Expected Value =
(.02)(-159) + (.25)(-100) + (.45)(-48) + (.20)(0)
+ (.08)(43) = -$$24
You could replicate this
hedge by using the following:
a) Borrow in
Japan
b) Convert the Yen to dollars
c) Invest the dollars in the US
d) Pay back
the loan when you receive the Y100,000
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