《英文版国际金融试题和答案.docx》由会员分享，可在线阅读，更多相关《英文版国际金融试题和答案.docx（6页珍藏版）》请在三一文库上搜索。
1、.Part .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 thosecountries more willing to pay a high price for them. (T)2. The forward contract can hedge future receivabl
2、es or payables in foreign currencies to insulate the firmagainst 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 ex
3、ports, thereby decreasing the current accountdeficit, other things equal. (F)5. A capital account deficit reflects a net sale of the home currency in exchange for other currencies.Thisplaces upward pressure on that home currency( Fs value).6. The theory of comparative advantage implies that countrie
4、s should specialize in production, thereby relyingon other countries for some products. (T)7. Covered interest arbitrage is plausible when the forwardpremium reflect the interest rate differentialbetween two countries specified by the interest rate parity formula. (F)8 The total impact of transactio
5、n 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 underlyinginstrument at a specified price per unit during a specified period. (T)10. Futures must be marked-to-market. Options are not. (T)Part :Cloze (2
6、0%) 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 tomaintain equal(purchasing power）2.Speculators who expect a currency to ( appreciate) could purchase currency futures contractsfor that currency.3.Covered interest arbitrage
7、 involves the short-term investmentin 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 isreduced and foreign competition is increased.5.(PPP) suggests a
8、relationship between the inflation differential of two countries and thepercentage change in the spot exchange rate over time.6.IFEisbased on nominal interestrate (differentials),whichare influencedby expectedinflation.7.Transaction exposure is a subset of economic exposure. Economic exposure includ
9、es any form by whichthe firm( svalue) will be affected.8.Theoption writer is obligated to buythe underlyingcommodityat astated price ifa (putoption ) is exercised9.There are three types of long-term international bonds. They are Global bonds, (eurobonds)and (foreign bonds).10.Anygoodsecondary market
10、forfinance instrumentsmusthaveanefficient clearingsystem. MostEurobonds are cleared through either (Euroclear)or Cedel.Part :Questions and Calculations (60%) 过程正确结果计算错误扣2 分1.Assume the following information:A BankB BankBid price of Canadian dollar$0.802$0.796Ask price of Canadian dollar$0.808$0.800G
11、iventhis information,is locationalarbitrage possible?Ifso, explainthesteps involvedin locationalarbitrage, 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 millio
12、n available, 1.25 million New Zealand dollars could be purchased at Y Bank.These New Zealanddollars 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 twoyearsifthe Un
13、ited Kingdom experiences an inflationrate of 7 percent per year while the UnitedStates;.experiences an inflation rate of 2 percentper year?(10%)ANSWER:According to PPP, forward rate/spot=indexdom/indexforthe exchange rate of the pound will depreciate by 4.7 percent. Therefore, the spot rate would ad
14、just to $1.90 1 + ( .047) = $1.81073. Assume that the spot exchange rate of the Singapore dollar is $0.70. The one-year interest rate is 11 percent in the United States and 7 percent in Singapore. What will the spot rate be in one year according to the IFE? (5%)ANSWER:according to the IFE,St+1/St=(1
15、+Rh)/(1+Rf)$.70(1 + .04) = $0.7284. Assume that XYZ Co. has net receivables of 100,000 Singapore dollars in 90 days.The spot rate of theS$ is $0.50, and the Singapore interest rate is 2% over 90 days.Suggest how the U.S. firm could implementa money market hedge. Be precise. (10%)ANSWER:The firm coul
16、d borrow the amount of Singapore dollars so that the 100,000 Singapore dollars tobe received could be used to pay offthe loan.Thisamounts to (100,000/1.02) = about S$98,039, whichcould be converted to about$49,020 and invested.The borrowingof Singaporedollarshas offset thetransaction exposure due to
17、 the future receivables in Singapore dollars.5. A U.S. company ordered a Jaguar sedan. In 6 months , it will pay30,000 for the car.Itworried thatpound 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 p
18、rice of $1.90 for a premium of 2.3 cents/ .(1)Is hedging in the options market better if therose 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 therose to $1.92 in 6 months, the U.S. company wouldexercise the pound call option. The s
19、um ofthe strike price and premiumis$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 thecompany can break even, we mean that hedging or not hedging doesnt matter. Andonly when (strike price + premium )= the exchange rate ,hedging or not
20、doesn tmatter.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 : Diagram(10%)The strike price for a call is $1.67/ . The premiumquoted at the Exchange is $0.0222 per British pound. Diagram the profit and
21、loss potential, and the break-even price for this call optionSolution:Following diagram shows the profit and loss potential, and the break-even price of this put option:;.PART :Additional QuestionSuppose that you are expecting revenues of forward contracts are trading at $1 = $105 Yen. in one month.
22、Y 100,000 from Japan in one month. Currently, 1 month You have the following estimate of the Yen/$ exchange ratePriceProbability90 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 th
23、e 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 couldhedge this in forward markets by taking long positions in US dollars (short positions in Japanese Yen).Bylocking in your price at $1
24、= Y105, your dollar revenues are guaranteed to beY100,000/ 105 = $952On the other hand, you can wait and use the spot markets.Exchange RateProbabilityRevenueRevenuew/outValue of Hedgew/HedgeHedge90 Y/$4%$1,111$952-$15995 Y/$25%$1,052$952-$100100 Y/$45%$1,000$952-$48105 Y/$20%$952$952$0110 Y/$6%$909$952$43Expected Value = (.02)(-159) + (.25)(-100) + (.45)(-48) + (.20)(0) + (.08)(43) = -$24You could replicate this hedge by using the following:a) Borrow in Japanb) Convert the Yen to dollarsc) Invest the dollars in the USd) Pay back the loan when you receive the Y100,000;.