国际财务管理课后习题答案chapterWord文件下载.docx

国际财务管理课后习题答案chapterWord文件下载.docx

《国际财务管理课后习题答案chapterWord文件下载.docx》由会员分享，可在线阅读，更多相关《国际财务管理课后习题答案chapterWord文件下载.docx（9页珍藏版）》请在冰豆网上搜索。

Theforwardexchangeratewillbeanunbiasedpredictorofthefuturespotrateif（I）theriskpremiumisinsignificantand（ii）foreignexchangemarketsareinformationallyefficient.

4.Explainthepurchasingpowerparity,boththeabsoluteandrelativeversions.Whatcausesthedeviationsfromthepurchasingpowerparity?

Theabsoluteversionofpurchasingpowerparity（PPP）:

S=P$/P£

.

Therelativeversionis:

e=π$-π£

PPPcanbeviolatediftherearebarrierstointernationaltradeorifpeopleindifferentcountrieshavedifferentconsumptiontaste.PPPisthelawofonepriceappliedtoastandardconsumptionbasket.

5.Discusstheimplicationsofthedeviationsfromthepurchasingpowerparityforcountries’competitivepositionsintheworldmarket.

IfexchangeratechangessatisfyPPP,competitivepositionsofcountrieswillremainunaffectedfollowingexchangeratechanges.Otherwise,exchangeratechangeswillaffectrelativecompetitivenessofcountries.Ifacountry’scurrencyappreciates（depreciates）bymorethaniswarrantedbyPPP,thatwillhurt（strengthen）thecountry’scompetitivepositionintheworldmarket.

6.ExplainandderivetheinternationalFishereffect.

TheinternationalFishereffectcanbeobtainedbycombiningtheFishereffectandtherelativeversionofPPPinitsexpectationalform.Specifically,theFishereffectholdsthat

E（π$）=I$-ρ$,

E（π£

）=I£

-ρ£

Assumingthattherealinterestrateisthesamebetweenthetwocountries,i.e.,ρ$=ρ£

andsubstitutingtheaboveresultsintothePPP,i.e.,E（e）=E（π$）-E（π£

）,weobtaintheinternationalFishereffect:

E（e）=I$-I£

7.Researchersfoundthatitisverydifficulttoforecastthefutureexchangeratesmoreaccuratelythantheforwardexchangerateorthecurrentspotexchangerate.Howwouldyouinterpretthisfinding?

Thisimpliesthatexchangemarketsareinformationallyefficient.Thus,unlessonehasprivateinformationthatisnotyetreflectedinthecurrentmarketrates,itwouldbedifficulttobeatthemarket.

8.Explaintherandomwalkmodelforexchangerateforecasting.Canitbeconsistentwiththetechnicalanalysis?

Therandomwalkmodelpredictsthatthecurrentexchangeratewillbethebestpredictorofthefutureexchangerate.Animplicationofthemodelisthatpasthistoryoftheexchangerateisofnovalueinpredictingfutureexchangerate.Themodelthusisinconsistentwiththetechnicalanalysiswhichtriestoutilizepasthistoryinpredictingthefutureexchangerate.

*9.Deriveandexplainthemonetaryapproachtoexchangeratedetermination.

ThemonetaryapproachisassociatedwiththeChicagoSchoolofEconomics.Itisbasedontwotenets:

purchasingpowerparityandthequantitytheoryofmoney.Combingthesetwotheoriesallowsforstating,say,the$/£

spotexchangerateas:

S（$/£

）=（M$/M£

）（V$/V£

）（y£

/y$）,

whereMdenotesthemoneysupply,Vthevelocityofmoney,andythenationalaggregateoutput.Thetheoryholdsthatwhatmattersinexchangeratedeterminationare:

1.Therelativemoneysupply,

2.Therelativevelocitiesofmonies,and

3.Therelativenationaloutputs.

10.CFAquestion:

1997,Level3.

A.Explainthefollowingthreeconceptsofpurchasingpowerparity（PPP）:

a.Thelawofoneprice.

b.AbsolutePPP.

c.RelativePPP.

B.EvaluatetheusefulnessofrelativePPPinpredictingmovementsinforeignexchangerateson:

a.Short-termbasis（forexample,threemonths）

b.Long-termbasis（forexample,sixyears）

A.a.Thelawofoneprice（LOP）referstotheinternationalarbitrageconditionforthestandard

consumptionbasket.LOPrequiresthattheconsumptionbasketshouldbesellingforthesamepriceinagivencurrencyacrosscountries.

A.b.AbsolutePPPholdsthatthepricelevelinacountryisequaltothepricelevelinanothercountrytimestheexchangeratebetweenthetwocountries.

A.c.RelativePPPholdsthattherateofexchangeratechangebetweenapairofcountriesisaboutequaltothedifferenceininflationratesofthetwocountries.

B.a.PPPisnotusefulforpredictingexchangeratesontheshort-termbasismainlybecauseinternationalcommodityarbitrageisatime-consumingprocess.

B.b.PPPisusefulforpredictingexchangeratesonthelong-termbasis.

PROBLEMS

1.SupposethatthetreasurerofIBMhasanextracashreserveof$100,000,000toinvestforsixmonths.Thesix-monthinterestrateis8percentperannumintheUnitedStatesand6percentperannuminGermany.Currently,thespotexchangerateis€1.01perdollarandthesix-monthforwardexchangerateis€0.99perdollar.ThetreasurerofIBMdoesnotwishtobearanyexchangerisk.Whereshouldhe/sheinvesttomaximizethereturn?

Themarketconditionsaresummarizedasfollows:

I$=4%;

i€=3.5%;

S=€1.01/$;

F=€0.99/$.

If$100,000,000isinvestedintheU.S.,thematurityvalueinsixmonthswillbe

$104,000,000=$100,000,000（1+.04）.

Alternatively,$100,000,000canbeconvertedintoeurosandinvestedattheGermaninterestrate,withtheeuromaturityvaluesoldforward.Inthiscasethedollarmaturityvaluewillbe

$105,590,909=（$100,000,000x1.01）（1+.035）（1/0.99）

Clearly,itisbettertoinvest$100,000,000inGermanywithexchangeriskhedging.

2.WhileyouwerevisitingLondon,youpurchasedaJaguarfor£

35,000,payableinthreemonths.YouhaveenoughcashatyourbankinNewYorkCity,whichpays0.35%interestpermonth,compoundingmonthly,topayforthecar.Currently,thespotexchangerateis$1.45/£

andthethree-monthforwardexchangerateis$1.40/£

.InLondon,themoneymarketinterestrateis2.0%forathree-monthinvestment.TherearetwoalternativewaysofpayingforyourJaguar.

（a）KeepthefundsatyourbankintheU.S.andbuy£

35,000forward.

（b）BuyacertainpoundamountspottodayandinvesttheamountintheU.K.forthreemonthssothatthematurityvaluebecomesequalto£

35,000.

Evaluateeachpaymentmethod.Whichmethodwouldyouprefer?

Why?

Solution:

Theproblemsituationissummarizedasfollows:

A/P=£

35,000payableinthreemonths

iNY=0.35%/month,compoundingmonthly

iLD=2.0%forthreemonths

S=$1.45/£

;

F=$1.40/£

Optiona:

Whenyoubuy£

35,000forward,youwillneed$49,000inthreemonthstofulfilltheforwardcontract.Thepresentvalueof$49,000iscomputedasfollows:

$49,000/（1.0035）3=$48,489.

Thus,thecostofJaguarasoftodayis$48,489.

Optionb:

Thepresentvalueof£

35,000is£

34,314=£

35,000/（1.02）.Tobuy£

34,314today,itwillcost$49,755=34,314x1.45.ThusthecostofJaguarasoftodayis$49,755.

Youshoulddefinitelychoosetouse“optiona”,andsave$1,266,whichisthedifferencebetween$49,755and$48489.

3.Currently,thespotexchangerateis$1.50/£

andthethree-monthforwardexchangerateis$1.52/£

.Thethree-monthinterestrateis8.0%perannumintheU.S.and5.8%perannumintheU.K.Assumethatyoucanborrowasmuchas$1,500,000or£

1,000,000.

a.Determinewhethertheinterestrateparityiscurrentlyholding.

b.IftheIRPisnotholding,howwouldyoucarryoutcoveredinterestarbitrage?

Showallthestepsanddeterminethearbitrageprofit.

c.ExplainhowtheIRPwillberestoredasaresultofcoveredarbitrageactivities.

Let’ssummarizethegivendatafirst:

S=$1.5/£

F=$1.52/£

I$=2.0%;

I£

=1.45%

Credit=$1,500,000or£

a.（1+I$）=1.02

（1+I£

）（F/S）=（1.0145）（1.52/1.50）=1.0280

Thus,IRPisnotholdingexactly.

b.

（1）Borrow$1,500,000;

repaymentwillbe$1,530,000.

（2）Buy£

1,000,000spotusing$1,500,000.

（3）Invest£

1,000,000atthepoundinterestrateof1.45%;

maturityvaluewillbe£

1,014,500.

（4）Sell£

1,014,500forwardfor$1,542,040

Arbitrageprofitwillbe$12,040

c.Followingthearbitragetransactionsdescribedabove,

Thedollarinterestratewillrise;

Thepoundinterestratewillfall;

Thespotexchangeratewillrise;

Theforwardexchangeratewillfall.

TheseadjustmentswillcontinueuntilIRPholds.

4.Supposethatthecurrentspotexchangerateis€0.80/$andthethree-monthforwardexchangerateis€0.7813/$.Thethree-monthinterestrateis5.6percentperannumintheUnitedStatesand5.40percentperannuminFrance.Assumethatyoucanborrowupto$1,000,000or€800,000.

a.Showhowtorealizeacertainprofitviacoveredinterestarbitrage,assumingthatyouwanttorealizeprofitintermsofU.S.dollars.Alsodeterminethesizeofyourarbitrageprofit.

b.Assumethatyouwanttorealizeprofitin