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1、INTERNATIONAL FINANCEAssig nment Problems (3)Name:Stude nt#:1. Choose the correct answer for the following questions (only ONE correct an swer) (2 credits for each questio n, total credits 2 x 25 = 50)1.1 nterba nk quotati ons that in clude the Un ited States dollars are conven ti on ally give n in,
2、 which state the foreig n curre ncy price of one U.S. dollar, such as abid price of SFr 0.85/$.A. in direct quoteB. direct quoteC. America n quoteD. Europea n quote2. The spot exchange rate published in financial newspapers is usually theA. nominal excha nge rateB. real excha nge rateC. effective ex
3、cha nge rateD. equilibrium excha nge rate3. The foreig n excha nge refers to the.A. foreig n bank no tes and coinsB. dema nd deposits in foreig n banksC. foreig n securities that can be easily cashedD. all of the above4. The functions of the foreig n excha nge market come dow n to.A. converting the
4、curre ncy of one country into the curre ncy of ano therB. provid ing some in sura nee aga inst the foreig n excha nge riskC. making the foreig n excha nge speculati on easyD. Only A and B are true.5. Which of the following is NOT true regarding the foreign exchange market?A. It is the place through
5、which people exchange one currency for another.B. The excha nge rate no wadays is mai nly determ ined by the market forces.C. Most foreig n excha nge tran sacti ons are physically completed in this market.D. All of the above are true.6. The world largest foreig n excha nge markets arerespectively.A.
6、 London, New York and TokyoB. London, Paris and Fran kfurtC. London, Hong Kong and Sin gaporeD. London, Zurich and Bahra in7. The foreign exchange market is NOT efficient because .A. monetary authorities dominate the foreign exchange market and everybody knows that by definition, central banks are i
7、nefficientB. commercial banks and other participants of the market do not compete with one another due to the fact that transaction takes place around the world and not in a single centralized locationC. foreign exchange dealers have different prices such as bid and ask pricesD. None of the reasons
8、listed are correct because the foreign exchange market is an efficient market8. earn a profit by a bid-ask spread on currencies they buy and sell. on the other hand, earn a profit by bringing together buyers and sellers of foreign exchanges and earning a commission on each sale and purchase.A. Forei
9、gn exchange brokers; foreign exchange dealersB. Foreign exchange dealers; foreign exchange brokersC. arbitragers; speculatorsD. commercial banks; central banks9. Most foreign exchange transactions are through the U.S. dollars. If the transaction is expressed as the currencies per dollar, this is kno
10、wn as whereas are expressed as dollars per currency.A. direct quote; indirect quoteB. indirect quote; direct quoteC. European quote; American quoteD. American quote, European quote10. From the viewpoint of a Japaneseinvestor, which of the following would be a direct quote?A. SFr 1.25/?B. $1.55/?C. &
11、#165; 110/?D. ?0.0091/¥11. Which of the following is true about the foreign exchange market?A. It is a global network of banks, brokers, and foreign exchange dealers connected by electronic communications system.B. The foreign exchange market is usually located in a particular place.C. The fore
12、ign exchange rates are usually determined by the related monetary authorities.D. The main participants in this market are currency speculators from different countries.12. The extent to which the income from individual transactions is affected by fluctuations in foreign exchange values is considered
13、 to be .A. Translation exposureB. economic exposureC. transaction exposureD. accounting exposure13. Which of the following exchange rates is adjusted for price changes?A. nominal exchange rateB. real exchange rateC. effective exchange rateD. equilibrium exchange rate14. Suppose the excha nge rate of
14、 the RMB versus U.S. dollar is6.8523/$ no w. If the RMB were to undergo a 10% depreciation, the new exchange rate in terms of t/$ would be:A. 6.1671 B. 7.5375 C. 6.9238 D. 7.613515. At least in a U.S. MNC 'sfinancial accounting statement, if the value of the euro depreciates rapidly against that
15、 of the dollar over a year, this would reduce the dollar value of the euro profit made by the European subsidiary. This is a typicalA. transaction exposureB. translation exposureC. economic exposureD. operating exposure16. A Japanese-basedfirm expects to receive pound-payment in 6 months. The compan
16、y has a (an) .A. economic exposureB. accounting exposureC. long position in sterlingD. short position in sterling17 The exposure to foreign exchange risk known as Translation Exposure may bedefined as .A. change in reported owner's equity in consolidated financial statements caused by a change i
17、n exchange ratesB. the impact of settling outstanding obligations entered into before change in exchange rates but to be settled after change in exchange ratesC. the change in expected future cash flows arising from an unexpected change in exchange ratesD. All of the above18 When a firm deals with f
18、oreign trade or investment, it usually has foreign exchange risk exposure. So if an American firm expects to receive a dollar-payment from a Chinese company in the next 30 days, the U.S. firm has the possibleA. economic exposureB. transaction exposureC. translation exposureD. none of the above19. In
19、 order to avoid the possible loss becauseof the exchange rate fluctuations, a firm that has a position in foreign exchanges can thatposition in the forward market.A. short; sellB. long; sellC. long; buyD. none of the above20. A forward contract to deliver Japanese yens for Swiss francs could be desc
20、ribed either as or ,A. selling yens forward; buying francs forwardB. buying francs forward; buying yens forwardC. selling yens forward; selling francs forwardD. selling francs forward; buying yens forward21. Dollars are trading at S0SFr/$=SFr0.7465/$ in the spot market. The 90-day forward rate is F1
21、SFr/$=SFr0.7432/$. So the forward on the dollar in basis points isA. discount, 0.0033B. discount, 33C. premium, 0.0033D. premium, 3322. If the spot rate is $1.35/? , 3-month forward rate is $1.36/? , which of the following is NOT true?A. euro is at forward premium by 100 points.B. dollar is at forwa
22、rd discount by 100 points.C. dollar is at forward discount by 55 points.D. euro is at forward premium by 2.96% p.a.23. If the spot C$/$ rate is 1.0305/15, forward dollar is 25/30 premium, the outright forward quote in American term should be .A. 1.0330 T.0345B. 1.0280 -1.0285C. 0.9681 -0.9667D. 0.97
23、28 -0.972324. If the spot C$/$ rate is 1.0305/15, forward dollar is 25/30 premium, the$/C$ forward quote in terms of poi nts should be.A. 30/25B. 25/30C. -(23/28)D. -(28/23)25. The current U.S. dollar exchange rate is 85/$. If the 90-day forward dollar rate is90/$, the n the yen is selli ng at a per
24、 annumof.A. premium; 5.88%B. discount; 5.56%C. premium; 23.52%D. discount; 22.23%II. ProblemsQuestions 1 through 10 are based on the information presented in Table 3.(2 credits for each question, total credits 2 x 10 = 20)Table 3.1CountryExcha nge rate(2021)Excha nge rate(2021)CPI(2021)Volume ofexpo
25、rts to U.SVolume of imports from U.S.Germa ny? 0.75/$? 0.70/$102.5$200m$350mMexicoMex$11.8/$Mex$12.20/$110.5$120m$240mU.S.105.31. The real excha nge rate of the dollar aga inst the euro in 2021 was.2. The real excha nge rate of the dollar aga inst the peso in 2021 was.3. The dollar wasaga inst the e
26、uro in nominal term by.A. appreciated; 6.67%B. depreciated; 6.67%C. appreciated; 7.14%D depreciated; 7.14%4. The Mexican peso was against the dollar in nominal term byA. appreciated; 3.39%B. depreciated; 3.39%C. appreciated; 3.28%D. depreciated; 3.28%5. The volume of the Germa n foreig n trade with
27、the U.S. was6. The volume of the Mexica n foreig n trade with the U.S. was.7. Assume the U.S. trades only with the Germany and Mexico. Now if we want tocalculate the dollar effective excha nge rate in 2021 aga inst a basket of curre ncies of euro and Mexica n peso, the weight assig ned to the euro s
28、hould be.8. The weight assig ned to the peso should be.9. Assume the 2021 is the base year. The dollar effective excha nge rate in 2021 was10. Was the dollar gen erally stron ger or weaker in 2021 accord ing to your calculati on?£0.00/$ SFr0.8900/$ 凶5.00/SFr11. The follow ing excha nge rates ar
29、e available to you.Fuji BankUn ited Bank of Switzerla ndDeutsche BankAssume you have an initial SFr10 million. Can you make a profit via triangular arbitrage? If so, show steps and calculate the amount of profit in Swiss francs. (8 credits)12. If the dollar appreciates1000% against the ruble, by wha
30、t percentagedoes the ruble depreciate aga inst the dollar?5 credits)13. As a percentage of an arbitrary starting amount, about how large would tran sacti ons costs have to be to make arbitrage betwee n the excha nge rates SSFr/$ = SFr1.7223/$, S$/Y = $0.009711/ , and SY/SFr = £1.740/SFr unprofi
31、table? Explain. (7 credits14. You are give n the follow ing excha nge rates:SY /A$ _S£ /A$ _=67.05 -68.75=0.3590 -0.3670Calculate the bid and ask rate of S/£: (5 credits)15. Suppose the spot quotation on the Swiss franc (CHF) in New York is USD0.9442 -52 and the spot quotation on the Euro
32、(EUR) is USD1.3460 68. Compute the perce ntage bid-ask spreads on the CHF/EUR quote 5 credits)An swers to Assig nment Problems (3)Part I1. D2. A3. D4. D5. D6. A7. D8. B9. C10. C11. A12. A13. B14. D15. B16. C117. A18. D19. B20. A21. B22. B23. C24. C25. DPart III. 0.70 x (105.3/102.5) = 0.7 x 1.0273 =
33、 0.71912. 12.2 x (105.3/110.5) = 12.2 x .9529 = 11.62593. B (0.7 /.75) -1 = -6.67%4. D (1/12.2)/(1/11.8) -1 = -3.28%5. 5506. 3607. 550/910 = 60.44%8. 360/910 = 39.569. (0.70/0.75)(60.44%) + (12.2/11.8)(39.56%) = .5641 + 0.4090 = .9731 = 97.31%10. weaker, because dollar depreciated by 2.69%.II. Since
34、 SY/$ S$/SFr SSFr/Y = 80 x 1/0.8900 x 1/95.00 = 0.946186 < 1, there is an arbitrage opport un ity.Steps: Buy Yrom Deutsche Bank, SFr10 million x 95.00 =凶50 million Buy $ from Fuji Bank, $950 m / 80.00 = $11.875 m Buy SFr from UBS, $11.875 x 0.8900 = SFr10.56875 m Profit (ignoring transaction fees
35、):SFrlO.56875 -SFrIO = 0.56875 million = 568,75012. (x -1) = 1000%; 1/11 -1 = 90.9%13. SSFr/$ S$/YSY/SFr = SFr1.7223/$ x $0.009711/ x 61740/SFr = 1.0326If transaction costs exceed $0.0326 (3.26%), the arbitrage is unprofitable.14. Given: SY/A$ = 67.05 -68.75S£ /A$ = 0.3590 -0.3670So, SY/? = 67.05/0.3670 = 182.70 (bid)S = 68.75/0.3590 = 191.50 (ask)15. Given: USD0.9442 -52/SFrUSD1.3460 -68/SFrSo, SSRr/? = 1.3460/0.9452 =1.424 (bid)SSFr/? = 1.3468/0.9442 = 1.4264 (ask)Bid-ask margin = (1.4264 -1.424) / 1.4264 = 0.1683%