答案.docx
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答案.docx
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答案
Chapter1
Problem1:
SincethevalueoftheBritishpoundinU.S.dollarshasgonedown,ithasdepreciatedwithrespecttotheU.S.dollar.Therefore,theBritishwillhavetospendmoreBritishpoundstopurchaseU.S.goods.Accordingly,thecorrectansweris(c)
Problem2:
SincethenumberofAustraliandollarsneededtopurchaseoneU.S.dollarhasdecreasedfrom1.60to1.50,theAustraliandollarhasappreciatedwithrespecttotheU.S.dollar.
Therefore,theAustralianswillhavetospendfewerAustraliandollarstopurchaseU.S.goods.Accordingly,thecorrectansweris(a).
Problem3:
ThevalueofthedollarinSwissfrancshasgoneupfromabout1.20toabout1.60.Therefore,thedollarhasappreciatedrelativetotheSwissfranc,andthedollarsneededbyAmericanstopurchaseSwissgoodshavedecreased.Thus,thestatementiscorrect.
Problem4:
A、Onebahtwasworth1/25or0.04dollarsearlier.Itisworth1/30or0.0333dollarsnow.Thus,thebahthasdepreciatedwithrespecttothedollar.Percentagechangeinthedollarvalueofthebaht=((0.0333-0.04)/0.04)100%=-16.7%.
B、Onedollarwasworth25bahtsearlierandisworth30bahtsnow.Percentagechangeinthevalueofthedollar=((30-25)/25)100%=20.0%.
Problem5:
Theincreasein£:
$exchangerateimpliesthatthepoundhasappreciatedwithrespecttothedollar.Thisisunfavorabletothetradersincethetraderhasashortpositioninpounds.Bank’sliabilityindollarsinitiallywas5,000,0000*1.45=$7,250,000。
Bank’sliabilityindollarsnowis5,000,0000*1.51=$7,550,000。
Thus,thebank’sliabilityhasincreasedby$300,000.
Problem6:
Threecross-exchangeratesneedtobecomputed:
SFr/€,¥/€,SFr/¥.
a.€:
SFr=$:
SFr*€:
$=SFr1.5971per$*$0.9119per€=1.4564
b.€:
¥=$:
¥*€:
$=¥128.17per$*$0.9119per€=116.88
c.¥:
SFr=$:
SFr*¥:
$=($:
SFr)/($:
¥)=(SFr1.5971per$)/(¥128.17per$)=0.0125
Problem7:
ThesequotationsmeanthatBankAiswillingtobuyoneeurofor1.1210dollars(bidrate)ortosellonefor1.1215dollars(askrate).BankB’s€:
$bidrateis1.1212;itsaskrateis1.1217.Thatis,BankBiswillingtobuyoneeurofor1.1212dollarsortosellonefor1.1217dollars.
Problem8:
ThepercentagespreadisconsiderablyhigherforthePolishzlotythanfortheBritishpound.ThemarketforthePolishzlotyismuchlessliquidthanthemarketfortheBritishpound.ThereisalotmorecompetitionbetweenmarketmakersfortheBritishpoundthanforthePolishzloty.
Consequently,thepercentagespreadisconsiderablyhigherforthePolishzlotythanfortheBritishpound.
Problem9:
ThesequotesareunreasonablebecausetheydeviatefromBankAtoBankBbymorethanthespread;forexample,BankA’saskrate(121.25)issmallerthanBankB’sbidrate(121.30).Thereis,therefore,anarbitrageopportunity.OnecanbuyBankA’sdollarsfor121.25yenperdollar,sellthesedollarstoBankBfor121.30yenperdollar,andtherebymakeaprofitof0.05yenperdollartraded.Thisisariskless,instantaneousoperationthatrequiresnoinitialinvestment.
Problem14:
A、TherewouldbenoarbitrageopportunitiesifcrossrateSFr:
DKr=$:
DKr*SFr:
$.Because$:
SFr=1.65,SFr:
$=1/1.65=0.6061.So,therewouldbenoarbitrageopportunitiesifthecrossrateSFr:
DKr=8.25*0.6061=DKr5perSFr.
b、IntheDKr5.20perSFrcrossrate,oneSFrisworthDKr5.20.Theimplicitratecomputedinpart(a)aboveindicatesthatoneSFrshouldbeworthDKr5.Therefore,theSFrisovervaluedwithrespecttotheDKrattheexchangerateofDKr5.20perSFr.
Problem17:
Thevalueofthe£in$isworthlessthreemonthsforwardthanitisnow.
Thus,the£istradingataforwarddiscountrelativetothe$.Therefore,the£is“weak”relativetothe$.Becausea$isworthSFr1.60nowbutworthSFr1.65threemonthsforward,the$is“strong”relativetotheSFr.Thatis,theSFris“weak”relativetothe$.
Problem18:
Themidpointofthespotdollartopoundexchangerateis£:
$=1.4573.Themidpointofthesix-monthforwarddollartopoundexchangerateis£:
$=1.4421.
A、Basedonthemidpoints,thedollarvalueofapoundis1.4573nowandonly1.4421sixmonthsforward.Thus,thepoundisworthlesssixmonthsforwardthannow.Thatis,thepoundistradingatadiscountrelativetothedollarintheforwardmarket.
B、Differencebetweenmidpointsoftheforwardandspotrates=0.0152.
Problem19:
ThemidpointofthespotSwissfranctodollarexchangerateis$:
SFr=1.5965.Themidpointofthethree-monthforwardSwissfranctodollarexchangerateis$:
SFr=1.5947.
A、Basedonthemidpoints,adollarisworthSFr1.5965nowandonly1.5947threemonthsforward.So,thedollaristradingatadiscountrelativetotheSFrintheforwardmarket.Thatis,theSFristradingatapremiumrelativetothedollarintheforwardmarket.
B、Differencebetweenmidpointsoftheforwardandspotrates=0.0018.
Problem20:
Let’sfirstmakesurewecalculatetheforwardrateintheproperdirection.Theone-yearforwardrate$:
¥isgivenbyEquation(1.3),wherethedollaristhequotedcurrency(a)measuredinyen(currencyb):
Abankwillquotebid–askforwardrates,wherethebidislowerthantheask.Theaskforwardrate(askforward$:
¥),isthe¥priceatwhichaninvestorcanbuydollarsforwardandthebidforwardrateisthe¥pricethataninvestorcanobtainfordollars.Buyingdollarsforward(payingtheaskforward)isequivalentto:
Borrowingyen(andhencehavingtopaytheaskinterestrate:
askr¥,
Usingtheseyentobuydollarsspot(andhencehavingtopaytheaskexchangerate:
askspot$:
¥,
Lendingthosedollars(andhencereceivingthebidinterestrate:
bidr$.
Chapter2
Problem1:
BecausetheinterestrateinAisgreaterthantheinterestrateinB,isexpectedtodepreciaterelativeto,andshouldtradewithaforwarddiscount.Accordingly,thecorrectansweris(c)
Problem2:
Becausetheexchangerateisgivenin€:
$terms,theappropriateexpressionfortheinterestrateparity
relationis:
(r$isapartofthenumeratorandr€isapartofthedenominator)
Problem4:
B、BecauseIRPisnotholding,thereisanarbitragepossibility:
Because1.0133<1.0150,wecansaythattheSFrinterestratequoteismorethanwhatitshouldbeasperthequotesfortheotherthreevariables.Equivalently,wecanalsosaythatthe$interestratequoteislessthanwhatitshouldbeasperthequotesfortheotherthreevariables.Therefore,thearbitragestrategyshouldbebasedonborrowinginthe$marketandlendingintheSFrmarket.Thestepswouldbeasfollows:
Borrow$1,000,000forsixmonthsat3.5%peryear.Needtopayback$1,000,000(1+0.0175)=$1,017,500sixmonthslater.
Convert$1,000,000toSFratthespotratetogetSFr1,662,700.
LendSFr1,662,700forsixmonthsat3%peryear.WillgetbackSFr1,662,700(1+0.0150)=SFr1,687,641sixmonthslater.
SellSFr1,687,641sixmonthsforward.Thetransactionwillbecontractedasofthecurrentdatebutdeliveryandsettlementwillonlytakeplacesixmonthslater.So,sixmonthslater,exchangeSFr1,687,641forSFr1,687,641/SFr1.6558/$=$1,019,230.
Thearbitrageprofitsixmonthslateris1,019,230–1,017,500=$1,730.
Problem5:
Forthreemonths,r$=1.30%andr¥=0.30%.Becausetheexchangerateisin$:
¥terms,theappropriateexpressionfortheinterestrateparityrelationis
B、BecauseIRPisnotholding,thereisanarbitragepossibility.Because1.0064>1.0030,wecansaythatthe$interestratequoteismorethanwhatitshouldbeasperthequotesfortheotherthreevariables.Equivalently,wecanalsosaythatthe¥interestratequoteislessthanwhatitshouldbeasperthequotesfortheotherthreevariables.Therefore,thearbitragestrategyshouldbebasedonlendinginthe$marketandborrowinginthe¥market.Thestepswouldbeasfollows:
Borrowtheyenequivalentof$1,000,000.Becausethespotrateis¥108per$,borrow$1,000,000¥108/$=¥108,000,000.Needtopayback¥108,000,000(1+0.0030)=¥108,324,000threemonthslater.
Exchange¥108,000,000for$1,000,000atthespotexchangerate.
Lend$1,000,000forthreemonthsat5.20%peryear.Willgetback$1,000,000(1+0.0130)=$1,013,000threemonthslater.
Buy¥108,324,000threemonthsforward.Thetransactionwillbecontractedasofthecurrentdate,butdeliveryandsettlementwillonlytakeplacethreemonthslater.So,threemonthslater,get¥108,324,000for¥108,324,000/(¥107.30per$)=$1,009,543.
Thearbitrageprofitthreemonthslateris1,013,000–1,009,543=$3,457
Problem6:
Atthegivenexchangerateof5pesos/$,thecostinMexicoindollartermsis$16forshoes,$36forwatches,and$120forelectricmotors.Thus,comparedwiththeUnitedStates,shoesandwatchesarecheaperinMexico,andelectricmotorsaremoreexpensiveinMexico.Therefore,MexicowillimportelectricmotorsfromtheUnitedStates,andtheUnitedStateswillimportshoesandwatchesfromMexico.Accordingly,thecorrectansweris(d).
Problem7:
Considertwocountries,AandB.BasedonrelativePPP,
whereS1andS0aretheexpectedandthecurrentexchangeratesbetweenthecurrenciesofAandB,andIAandIBaretheinflationratesinAandB.IfAandBbelongtothegroupofcountriesthatintroducesthesamecurrency,thenonecouldthinkofbothS1andS0beingone.Then,IAandIBshouldbothbeequalforrelativePPPtohold.
Thus,introductionofacommoncurrencybyagroupofcountrieswouldresultintheconvergenceoftheinflationratesamongthesecountries.
AsimilarargumentcouldbeappliedtoinflationamongthevariousstatesoftheUnitedStates.
Problem8:
BasedonrelativePPP
WhereS1istheex
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