大学国际金融复习资料整理.docx
《大学国际金融复习资料整理.docx》由会员分享,可在线阅读,更多相关《大学国际金融复习资料整理.docx(25页珍藏版)》请在冰豆网上搜索。
![大学国际金融复习资料整理.docx](https://file1.bdocx.com/fileroot1/2023-3/31/2922f9a7-8823-4fc5-8083-57a436816f5b/2922f9a7-8823-4fc5-8083-57a436816f5b1.gif)
大学国际金融复习资料整理
题型:
(范围2—8章)1填空:
5题10分
2选择:
10题20分
3判断:
10题10分
4简答:
2题10分
5计算:
4题40分
6论述:
1题10分
第二章PaymentsamongNations国际收支
1.Accountingprinciples记账原则
Acredititem(+)positiveitems:
acountrymustbepaid;paymentbyaforeignerintothecountry.
包括:
Exportsofgoods
Purchasesbyforeignersinthiscountry
Foreigners’investinginthecountry’sbonds
Adebititem(-)negativeitems:
acountrymustpay;paymentbythecountrytoaforeigner.
包括:
Importsofgoods
Purchasesbyfirmsinthiscountryfromforeigncountries
Purchasesbyinvestorsinthiscountryfromforeigners
2.BalanceofPaymentsStatement国际收支平衡
◆Currentaccount(经常账户):
简CA(商品、服务的进出口、对外国金融资产的支付和收益、单方面转移)
◆Financialaccount(金融账户):
简FA(直接投资、国际证券投资)
◆Officialinternationalreserves(官方国际储备):
简OR(黄金、外汇资产、在国际货币基金的特别提款权)
◆三个国际收支部分,根据Eachtransactionhastwoitem,onepositiveandonenegative,ofequalvalue.—double-entrybookkeeping复式记账法有:
positiveitems+negativeitems=0
positivebalance:
surplus
negativebalance:
deficit
(1)Currentaccountbalance经常账户差额
经常账户差额(CA)=商品贸易差额+劳务差额加上收入净额+无偿转移收支净额之和。
盈余(+):
一国在与外国交易中增加了资产或减少了负债。
赤字(–):
一国在与外国交易中减少了资产或增加了负债。
CA=If(Netforeigninvestment(If):
净国外投资)
CA=S–Id(Nationalsaving(S):
国际储备,domesticinvestment(Id):
国内投资.)
S=Id+If(国际储备=国内投资+净国外投资)
Y=C+Id+G+(X–M)(商品和劳务的生产=消费+投资+政府支出+贸易差额)
E=C+Id+G(对商品和劳务总支出=消费+投资+政府支出)
据Y=E+(X–M),CA=(X–M)可以推导出CA=Y–E
Surplus盈余
Deficit赤字
Positivenetforeigninvestmentlender)贷款者
Netforeignborrower借款者
Savingmorethaninvestingdomestically
储蓄超过国内投资
Domesticsavingslessthandomesticinvestment储蓄低于国内投资
Producingmorethanspendingongoodsandservices生产超过支出
Spendingmorethanproducing生产少于支出
IfCAisindeficit,thenwhatcouldwedo?
(若CA是赤字,我们应该怎么做?
)
IncreaseY,ordecreaseE.(增加商品和劳务的生产,或减少对商品和劳务的总支出)
(2)Officialsettlementsbalance官方结算差额
OR=Currentaccountbalance+Privatecapitalbalance即B=CA+KA
因为所有项目最终差额必须为0,所以官方结算差额的不平衡必须用官方储备资产(OR)来弥补,
因此,B+OR=0
意义:
如B>0,则外汇贮备增加。
如B<0,则外汇贮备减少。
●课后作业
8.youaregiventhefollowinginformationaboutacountry’sinternationaltransactionsduringayear:
Merchandiseexports商品出口$330
Merchandiseimports商品进口198
Serviceexports劳务出口196
Serviceimports劳务进口204
Imcomeflows,net流量净额3
Unilateraltransfers,net单方面转移金额-8
Increaseinthecountry’sholdingofforeignassets,net202
(excludingofficialreserveassets)增加在该国的净外国资产
Increaseinforeignholdingofthecountry’sassets,net102
(excludingofficialreserveassets)增加在该国的本国资产
Statisticaldiscrepancy,net净统计误差4
A.Caculatethevaluesofthecountry’sgoodsandservicesbalance,currentaccountbalance经常账户余额,andofficialsettlementsbalance官方储备资产余额.
Merchandisetradebalance:
$330-198=$132
Goodsandservicesbalance:
$330-198+196-204=$124
Currentaccountbalance:
$330-198+196-204+3-8=$119
Officialsettlementsbalance:
$330-198+196-204+3-8+102-202+4=$23
B.Whatisthevalueofthechangeinofficialreserveassets(net)官方储备资产?
Isthecountryincreasingordecreasingitsnetholdingofofficialreserveassets?
Changeinofficialreserveassets(net)=-officialsettlementsbalance=-$23.
Thecountryisincreasingitsnetholdingsofofficialreserveassets.
第三章TheForeignExchangeMarket外汇市场
Exchangerate汇率:
anexchangerateisthepriceofonenation’smoneyintermsofanothernation’smoney.
Floatingexchangerateandfixedexchangerate浮动汇率和固定汇率
Arbitragewithinthespotexchangemarket现汇市场的套汇
Spotexchangerate即期汇率e
Forwardexchangerate远期汇率f
Retailpartofthemarket外汇零售市场(银行与个人、公司等一般客户之间的外汇交易市场。
)
Interbankpartofthemarket外汇批发市场(银行同业之间的外汇买卖及其场所。
)
vehiclecurrency媒介货币depreciation贬值
demanddeposits活期存款appreciation升值
Quotations报价devaluation法定贬值
Parvalue平价revaluation法定升值
Arbitrage套利Cross-rate交叉汇率
Directarbitrage直接套利
Triangulararbitrage三角套汇---arbitragethroughthreerates
1.Demandandsupplyforforeignexchange(外汇的需求与供给)
(1)U.SexportsofgoodsandserviceswillcreateasupplyofforeigncurrencyandademandforU.S.dollars.
美国的商品和服务的出口将造成大量的外国货币供应量和对美元的需求。
(2)U.SimportsofgoodsandserviceswillcreateademandforforeigncurrencyandasupplyofU.S.dollars.
美国的商品和服务进口将创建一个为外国货币和美元的供给需求
(3)U.Scapitaloutflowswillcreateademandforforeigncurrency.
美国资本外流将创建一个为外国货币的需求。
(4)U.Scapitalinflowswillcreateasupplyofforeigncurrency.
美国资本流入将创造大量的外国货币供应量。
◆一国商品和劳务的出口形成了外币的供给,进口形成对外币的需求。
◆对国外金融资产的购买形成外币的需求,外国对本国金融资产的购买形成了外币的供给。
●课后作业
1.Whatarethemajortypesoftransactionsoractivitiestheresultinsupplyofforeigncurrencyinthespotforeignexchangemarket?
在即期外汇市场造成外币供应的主要交易或活动有哪些?
Exportsofmerchandiseandservices劳务和商品的出口resultinsupplyofforeigncurrencyintheforeignexchangemarket.Domesticsellersoftenwanttobepaidusingdomesticcurrency,whiletheforeignbuyerswanttopayintheircurrency.Intheprocessofpayingfortheseexports,foreigncurrencyisexchangedfordomesticcurrency,creatingsupplyofforeigncurrency.
Internationalcapitalinflows国际资本流入resultinasupplyofforeigncurrencyintheforeignexchangemarket.Inmakinginvestmentsindomesticfinancialassets,foreigninvestorsoftenstartwithforeigncurrencyandmustexchangeitfordomesticcurrencybeforetheycanbuythedomesticassets.Theexchangecreatesasupplyofforeigncurrency.Salesofforeignfinancialassetsthatthecountry'sresidentshadpreviouslyacquired,andborrowingfromforeignersbythiscountry'sresidentsareotherformsofcapitalinflowthatcancreatesupplyofforeigncurrency
8.Youhaveaccesstothefollowingthreespotexchangerates即期汇率:
$0.01/yen
$0.20/krone
25yen/krone
A.howwouldengageinarbitrage(套利)toprofitfromthesethreerates?
Whatistheprofitforeachdollarusedinitially?
Thearbitragewillbe:
Usedollarstobuykronerat$0.20/krone,usethesekronertobuyyenat25yen/krone,andusetheyentobuydollarsat$0.01/yen.
Foreachdollarthatyousellinitially,youcanobtain5kroner,these5kronercanobtain125yen,andthe125yencanobtain$1.25.Thearbitrageprofitforeachdollaristherefore25cents.
第四章ForwardExchangeandInternationalFinancialInvestment
远期交易与国际金融投资
forwardforeignexchangecontracts远期外汇合同
Hedgingandspeculatingbyforwardforeignexchange远期外汇的套期保值和投机
InternationalFinancialInvestment国际金融投资
CoveredInternationalInvestment抛补性国际投资
UncoveredInternationalInvestment非抛补性国际投资
Forwardforeignexchangecontract远期外汇合同:
是指在约定未来某一日期以一定的外汇汇率(远期汇率)买进或卖出一定金额外币的合同。
Hedgingusingforwardforeignexchange远期外汇合同用于套期保值:
套期保值包括获取外币资产来冲销已有的外币净债务,或者获取外币债务来冲销已有的外币净资产。
longposition(多头):
有的外币净资产的数量即多头。
shortposition(空头):
外币净负债(即借入待还)的数量即空头。
Expecteduncoveredinterestdifferential(期非抛补利息差)
Hedging套期保值dollar-denominated(美元面值的)
speculate(投机)inheriting(继承)
Speculation投机Coveredinterestarbitrage(补套利)
receivable(应收账款).disbursed(支付)
portfolio(投资组合)diversification(多样化)
1.Speculatingusingforwardforeignexchange远期外汇合同用于投机
4月时预计英镑价格从$1.98/₤下降至$1.70/₤(7月)——签订3个月后卖出1百万英镑的远期合同,90天远期汇率$1.9668/₤)——3个月后,英镑价格如期下跌至$1.70/₤——按现汇买入1百万英镑,支付$1,700,000——结清合同,获利$266,800
Principleof"buylow,sellhigh"
Yourspeculationmayturnoutdifferently:
4月时预计英镑价格从$1.98/₤下降至$1.70/₤(7月)——签订3个月后卖出1百万英镑的远期合同,90天远期汇率$1.9668/₤.——3个月后,英镑价格上升至$2.20/₤——按现汇买入1百万英镑,支付$2,200,000——结清合同,亏损$233,200
2.CoveredInternationalInvestment抛补性国际投资
箭头:
左至右:
买入英镑卖出美元Ius:
当前美国的90天利率(非年率)
右至左:
卖出英镑买入美元Iuk:
当前英国的90天利率(非年率)
向上:
投资或放贷e:
英镑的现汇汇率($/₤)
向下:
三个月后的收入贴现f:
当前公布的90天远期汇率($/₤)
Let’sstartwithonedollar:
Coveredinterestdifferential抛补利息差
CD=(1+iuk)·f/e–(1+ius)
IfCD>0,investinginBritain
CD<0,investinginAmerica(homecountry)
Forwardpremium远期升水—远期汇率高于即期汇率
F=(f-e)/e--升水幅度(ifFispositive)
Forwarddiscount远期贴水—远期汇率低于即期汇率
IfFisnegative,CD=F+(iuk-ius)
3.CoveredInterestParity抛补利息平价CD=0
CD=F+(iuk–ius)=0
Thatis,F=ius–iuk远期升(贴)水等于两国货币利差。
OrF+iuk=ius国内收益等于抛补性国外投资的总收益。
当A国利率低于B国利率时,A国货币远期升水。
反之,则贴水。
●四个rates的计算:
currentforwardexchangerate当前远期汇率简f,
currentspotexchangerate当前即期汇率简e,
currentintreastratesinthetwocountries.两国当前利率简iuk、ius.
4.UncoveredInterestParity非抛补利息平价
EUD=Expectedappreciation+(iuk-ius)=0
即EUD=eex-e/e+(iuk-ius)=0,其中Expectedappreciation=eex-e/e
(四个rates的计算,其中eex表示投资者预期的未来的即期汇率)
Thatis,expectedappreciationofthepound=ius–iuk
预期英镑升(贬)值等于两国货币利差
Orexpectedappreciation+iuk=ius
国内收益等于非抛补性国外投资的总收益。
●EUD=Expecteddepreciation+(iuk-ius)<0
TheU.S.investorshouldinvestdollar-denominatedbonds.
EUD=Expectedappreciation+(ius-iuk)>0
TheU.K.investorshouldinvestdollar-denominatedbonds
●课后练习
4.Thecurrentspotexchangerate当前即期汇率is$0.010/yen.
Thecurrent60-dayforwardexchangerate当前远期汇率is$0.009/yen.
HowwouldtheU.Sfirmsandpeopledescribedinquestion3eachuseaforwardforeignexchangecontract远期外汇合同tohedge规避theirriskexposure风险?
whataretheamountsineachforwardcontract?
a.TheU.S.firmhasanassetpositioninyen—ithasalongpositioninyen.Tohedgeitsexposuretoexchangeraterisk,thefirmshouldenterintoaforwardexchangecontractnowinwhichthefirmcommitstosellyenandreceivedollarsatthecurrentforwardrate.Thecontractamountsaretosell1millionyenandreceive$9,000,bothin60days.
b.Thestudenthasanassetpositioninyen—alongpositioninyen.Tohedgetheexposuretoexchangeraterisk,thestudentshouldenterintoaforwardexchangecontractnowinwhichthestudentcommitstosellyenandreceivedollarsatthecurrentforwardrate.Thecontractamountsaretosell10millionyenandreceive$90,000,bothin60days.
c.TheU.S.firmhasanliabilitypositioninyen—ashortpositioninyen.Tohedgeitsexposuretoexchangeraterisk,