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1、精品文档【国际金融】课后习题答案Suggested An swer for Intern atio nal FinanceChap 22. Disagree, at least as a gen eral stateme nt. One meaning of a curre nt acco unt surplus is that the country is export ing more goods and services tha n it is import ing. One might easily judge that this is not good thecountry is p
2、roduci ng goods and services that are exported, but the country is not at the same time getting the imports of goods and services that would allow it do more consumption and domestic investment. In this way a current acco unt deficit might be con sidered good the extra imports allow the country to c
3、onsume and invest domestically more than the value of its current product ion. Ano ther meaning of a curre nt acco unt surplus is that the country is engaging in foreign financial investment it is building up its claims on foreig ners, and this adds to n ati onal wealth. This sounds good, but as no
4、ted above it comes at the cost of forego ing curre nt domestic purchases of goods and services. A current account deficit is the country running down its claims on foreig ners or in creas ing its in debted ness to foreig ners. This sounds bad, but it comes with the ben efit of higher levels of curre
5、 nt domestic expe nditure. Differe nt coun tries at differe nt times may weigh the bala nee of these costs and ben efits differe ntly, so that we cannot simply say that a curre nt acco unt surplus is better than a current account deficit.4. Disagree. If the country has a surplus (a positive value) f
6、or its official settlements balanee, then the value for its official reserves balance must be a negative value of the same amount (so that the two add to zero). A negative value for this asset item means that funds are flowing out in order for the country to acquire more of these kinds of assets. Th
7、us, the country is in creas ing its hold ings of official reserve assets.6. Item e is a transaction in which foreign official holdings ofU.S.assets in crease. This is a positive (credit) item for official reserve assets and a negative (debit) item for private capital flows as the U.S. bank acquires
8、pound bank deposits. The debit item con tributes to aU.S.deficit in the official settlements balance (while the credit item is recorded "below the line," permitting the official settlements balance to be in deficit). All other transactions involve debit and credit items both of which are i
9、ncluded in the official settleme nts bala nce, so that they do not directly con tribute to a deficit (or surplus) in the official settleme nts bala nce.8. a.Mercha ndise trade bala nee: $330 - 198 = $132Goods and services bala nee: $330 - 198 + 196 - 204 = $124Curre nt accou nt bala nee: $330 - 198
10、+ 196 - 204 + 3 - 8 = $119Official settlements balanee: $330 - 198 + 196 - 204 + 3 - 8 + 102 - 202 + 4 = $23b. Change in official reserve assets (net) = - official settlements balance = -$23.The country is increasing its net holdings of official reserve assets.10. a.International investment position
11、 (billions): $30 + 20 + 15 - 40 - 25 =$0.The country is neither an international creditor nor a debtor. Its holding of international assets equals its liabilities to foreigners.b. A curre nt acco unt surplus permits the country to add to its net claims on foreigners. For this reason the country'
12、s international investment position will become a positive value. The flow in crease in net foreig n assets results in the stock of net foreig n assets beco ming positive.Chap 32.Exports of mercha ndise and services result in supply of foreig ncurre ncy in the foreig n excha nge market. Domestic sel
13、lers ofte n want to be paid using domestic curre ncy, while the foreig n buyers want to pay in their curre ncy. In the process of pay ing for these exports, foreig n curre ncy is excha nged for domestic curre ncy, creat ing supply of foreig n curre ncy.Intern ati onal capital in flows result in a su
14、pply of foreig n curre ncy in the foreig n exchange market. In making investments in domestic financial assets, foreign in vestors ofte n start with foreig n curre ncy and must excha nge it for domestic curre ncy before they can buy the domestic assets. The excha nge creates a supply of foreig n cur
15、re ncy. Sales of foreig n finan cial assets that the coun try's reside nts had previously acquired, and borrowi ng from foreig ners by this coun try's reside nts are other forms of capital in flow that can create supply of foreig n curre ncy.4. TheU.S.firm obta ins a quotatio n from its bank
16、 on the spot excha nge rate for buying yen with dollars. If the rate is acceptable, the firm instructs its bank that it wants to use dollars from its dollar checking account to buy 1 million yen at this spot exchange rate. It also instructs its bank to send the yen to the bank account of the Japanes
17、e firm. To carry out this instruction, the U.S. bank instructs its correspondent bank inJapanto take 1 million yen from its acco unt at the corresp ondent bank and tran sfer the yen to the bank acco unt of the Japanese firm. (The U.S. bank could also use yen at its own branch if it has a branch in J
18、apa n.)6. The trader would seek out the best quoted spot rate for buying euros with dollars, either through direct con tact with traders at other banks or by using the services of a foreig n excha nge broker. The trader would use the best rate to buy euro spot. Sometime in the n ext hour or so (or,
19、typically at least by the end of the day), the trader will en ter the in terba nk market aga in, to obta in the best quoted spot rate for selli ng euros for dollars. The trader will use the best spot rate to sell her previously acquired euros. If the spot value of the euro has risen during this shor
20、t time, the trader makes a profit.8. a. The cross rate betwee n the yen and the krone is too high (the yen value of the krone is too high) relative to the dollar-foreign currency exchange rates. Thus, in a profitable triangular arbitrage, you want to sell kroner at the high cross rate. The arbitrage
21、 will be: Use dollars to buy kroner at $0.20/krone, use these kroner to buy yen at 25 yen/krone, and use the yen to buy dollars at $0.01/yen. For each dollar that you sell initially, you can obtain 5 kroner, these 5 kroner can obta in 125 yen, and the 125 yen can obta in $1.25. The arbitrage profit
22、for each dollar is therefore 25 cen ts.b. Selli ng kroner to buy yen puts dow nward pressure on the cross rate (the yen price of kron e). The value of the cross rate must fall to 20 (=0.20/0.01)yen/krone to elimi nate the opport unity for tria ngular arbitrage, assu ming that the dollar excha nge ra
23、tes are un cha nged.10. a. The in crease in supply of Swiss francs puts dow nward pressure on the excha nge-rate value ($/SFr) of the franc. The mon etary authorities must intervene to defend the fixed exchange rate by buying SFr and selling dollars.b.The in crease in supply of francs puts dow nward
24、 pressure on theexcha nge-rate value ($/SFr) of the franc. The mon etary authorities must intervene to defend the fixed exchange rate by buying SFr and selling dollars.c. The in crease in supply of francs puts dow nward pressure on theexcha nge-rate value ($/SFr) of the franc. The mon etary authorit
25、ies must intervene to defend the fixed exchange rate by buying SFr and selling dollars.d. The decrease in dema nd for francs puts dow nward pressure on the excha nge-rate value ($/SFr) of the franc. The mon etary authorities must intervene to defend the fixed exchange rate by buying SFr and selling
26、dollars.Chap 42. You will n eed data on four market rates: The curre nt in terest rate (or yield) on bonds issued by the U.S. gover nment that mature in one year, the curre nt in terest rate (or yield) on bonds issued by the British gover nment that mature in one year, the curre nt spot excha nge ra
27、te betwee n the dollar and pound, and the curre nt on e-year forward excha nge rate betwee n the dollar and pound. Do these rates result in a covered interest differential that is very close to zero?4. a. TheU.S.firm has an asset position in yen it has a long position in yen. To hedge its exposure t
28、o excha nge rate risk, the firm should en ter into a forward excha nge con tract now in which the firm commits to sell yen and receive dollars at the curre nt forward rate. The con tract amounts are to sell 1 million yen and receive $9,000, both in 60 days.b. The stude nt has an asset positi on in y
29、en a long positi on in yen. To hedge the exposure to excha nge rate risk, the stude nt should en ter into a forward excha nge con tract now in which the stude nt commits to sell yen and receive dollars at the curre nt forward rate. The con tract amounts are to sell 10 million yen and receive $90,000
30、, both in 60 days.c. TheU.S.firm has an liability position in yen a short position in yen. Tohedge its exposure to excha nge rate risk, the firm should en ter into a forward excha nge con tract now in which the firm commits to sell dollars and receive yen at the curre nt forward rate. The con tract
31、amounts are to sell $900,000 and receive 100 millio n yen, both in 60 days.6. Relative to your expected spot value of the euro in 90 days ($1.22/euro), the current forward rate of the euro ($1.18/euro) is low theforward value of the euro is relatively low. Using the principle of "buy low, sell
32、high," you can speculate by en teri ng into a forward con tract now to buy euros at $1.18/euro. If you are correct in your expectati on, the n in 90 days you will be able to immediately resell those euros for $1.22/euro, pocketing a profit of $0.04 for each euro that you bought forward. If many
33、 people speculate in this way, the n massive purchases now of euros forward (in creas ing the dema nd for euros forward) will tend to drive up the forward value of the euro, toward a curre nt forward rate of $1.22/euro.8. a. The Swiss franc is at a forward premium. Its curre nt forward value ($0.505
34、/SFr) is greater than its curre nt spot value ($0.500/SFr).b. The covered in terest differe ntial "i n favor ofSwitzerla nd" is (1 +0.005) 0.505) / 0.500) - (1 + 0.01) = 0.005. (Note that the interest rate used must match the time period of the investment.) There is a covered interest diff
35、erential of 0.5% for 30 days (6 percent at an annual rate). TheU.S.investor can make a higher retur n, covered aga inst excha nge rate risk, by inv est ing in SFr-de nomin ated bon ds, so presumably the inv estor should make this covered in vestme nt. Although the in terest rate on SFr-de nomin ated
36、 bonds is lower tha n the in terest rate on dollar-de nomin ated bon ds, the forward premium on the franc is larger than this differenee, so that the covered investment is a good idea.c. The lack of dema nd for dollar-de nomin ated bonds (or the supply of these bonds as inv estors sell them in order
37、 to shift into SFr-de nomin ated bon ds) puts dow nward pressure on the prices ofU.S.b onds upward pressureon U.S.i nterest rates. The extra dema nd for the franc in the spot excha nge market (as in vestors buy SFr in order to buy SFr-de nomin ated bon ds) puts upward pressure on the spot excha nge
38、rate. The extra dema nd for SFr-de nomin ated bonds puts upward pressure on the prices of Swiss bonds dow nward pressure on Swiss in terest rates. The extra supply of francs in the forward market (asU.S.i nv estors cover their SFr inv estme nts back into dollars) puts downward pressure on the forwar
39、d exchange rate. If the only rate that cha nges is the forward excha nge rate, this rate must fall to about $0.5025/SFr. With this forward rate and the other initial rates, the covered in terest differe ntial is close to zero.10. In test ing covered in terest parity, all of the in terest rates and e
40、xcha nge rates that are n eeded to calculate the covered in terest differe ntial are rates that can observed in the bond and foreig n excha nge markets. Determi ning whether the covered in terest differe ntial is about zero (covered in terest parity) is the n straightforward (although some more subt
41、le issues regardi ng tim ing of tran sacti ons may also n eed to be addressed). I n order to test un covered in terest parity, we n eed to know not only three rates two in terest rates and the curre nt spot excha nge rate that can be observed in themarket, but also one rate the expected future spot
42、excha nge rate that is not observed in any market. The tester the n n eeds a way to find out about in vestors' expectati ons. One way is to ask them, using a survey, but they may not say exactly what they really think. Another way is to examine the actual un covered in terest differe ntial after
43、 we know what the future spot excha nge rate actually turns out to be, and see whether the statistical characteristics of the actual un covered differe ntial are con siste nt with an expected un covered differe ntial of about zero (un covered in terest parity).Chap 52. a. The euro is expected to app
44、reciate at an annual rate of approximately (1.005 - 1.000)/1.000)(360/180) K00 = 1%. The expected uncovered interestdifferential is approximately 3% + 1% - 4% = 0, so uncovered interest parity holds (approximately).b. If the interest rate on 180-day dollar-denominated bonds declines to 3%, the n the
45、 spot excha nge rate is likely to in crease the euro will appreciate, thedollar depreciate. At the in itial curre nt spot excha nge rate, the in itial expected future spot exchange rate, and the initial euro interest rate, the expected un covered in terest differe ntial shifts in favor of inv est in
46、g in euro-de nomin ated bonds (the expected un covered differe ntial is now positive, 3% + 1% - 3% = 1%, favori ng un covered inv estme nt in euro-de nomin ated bon ds. The in creased dema nd for euros in the spot excha nge market tends to appreciate the euro. If the euro in terest rate and the expe
47、cted future spot excha nge rate rema in un cha nged, the n the curre nt spot rate must cha nge immediately to be $1.005/euro, to reestablish un covered in terest parity. When the curre nt spot rate jumps to this value, the euro's exchange rate value is not expected to cha nge in value subseque n
48、tly duri ng the n ext 180 days. The dollar has depreciated immediately, and the un covered differe ntial the n aga in is zero (3% + 0% - 3% = 0).4. a. For un covered in terest parity to hold, inv estors must expect that the rate of cha nge in the spot excha nge-rate value of the yen equals the in te
49、rest rate differe ntial, which is zero .In vestors must expect that the future spot value is the same as the curre nt spot value, $0.01/ye n.b. If investors expect that the exchange rate will be $0.0095/yen, then they expect the yen to depreciate from its initial spot value during the next 90 days. Give n the other rates, i nvestors tend to shift their inv estme nts toward dollar-de nomin ated inv estme nts. The extra supply of yen (and dema nd for dollars) in the spot excha nge market results in a