英文版國際金融試題和答案

1、Part I .Decide whether each of the following statements is true or false (10%) 每題 1 分，答錯(cuò)不扣分1. If perfect markets existed, resources would be more mobile and could therefore be transferred to those coun tries more willi ng to pay a high price for them. ( T )2. The forward con tract can hedge future r

2、eceivables or payables in foreig n curre ncies to in sulate the firmaga inst excha nge rate risk. (T )3. The primary objective of the mult in atio nal corporati on is still the same primary objective of any firm, i. e., to maximize shareholder wealth. ( T )4. A low in flati on rate tends to in creas

3、e imports and decrease exports, thereby decreas ing the curre nt acco unt deficit, other things equal. ( F )5. A capital acco unt deficit reflects a net sale of the home curre ncy in excha nge for other curre ncies.Thisplaces upward pressure on that home currency ( s value.)6. The theory of comparat

4、ive adva ntage implies that coun tries should specialize in product ion, thereby relyi ng on other coun tries for some products. ( T )7. Covered interest arbitrage is plausible when the forward premium reflect the interest rate differential betwee n two coun tries specified by the in terest rate par

5、ity formula. ( F )8. The total impact of tran sact ion 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 underlyingin strume nt at a specified price per un it duri ng a specified period. ( T )10. Futures

6、 must be marked-to-market. Opti ons are not. ( T )Part n :Cloze (20%)每題2分，答錯(cuò)不扣分1. If inflation in a foreign country differs from inflation in the home country, the exchange rate will adjust tomaintain equal(purchas ing power)2. Speculators who expect a curre ncy to ( appreciate) could purchase curre

7、 ncy futures con tractsfor that curre ncy.3. Covered interest arbitrage involves the short-term investment in a foreign currency that is covered by a(forward con tract) to sell that curre ncy whe n the in vestme nt matures.4. ( Appreciati on/ Revalue) of RMB reduces in flows since the foreig n dema

8、nd for our goods isreduced and foreig n competiti on is in creased.5. (PPP ) suggests a relati on ship betwee n the in flati on differe ntial of two coun tries and theperce ntage cha nge in the spot excha nge rate over time.6. IFE is based on nominal in terest rate (differe ntials), which are in flu

9、e need by expectedin flati on.7. Tran sact ion exposure is a subset of econo mic exposure. Econo mic exposure in cludes any form by whichthe firm( s value ) will be affected.8. The option writer is obligated to buy the underlying commodity at a stated price if a (putopti on ) is exercised9. There ar

10、e three types of Ion g-term intern ati onal bon ds. They are Global bonds , ( eurob onds)and ( foreig n bonds ).10. Any good sec on dary market for finance in strume nts must have an efficie nt cleari ng system. Most Eurob onds are cleared through either ( Euroclear ) or Cedel.Part川:Questions and Ca

11、lculations (60%)過程正確結(jié)果計(jì)算錯(cuò)誤扣2分1. Assume the following information:A Bank B BankBid price of Ca nadia n dollar $0.802$0.796Ask price of Canadian dollar $0.808$0.800Given this information, is locational arbitrage possible? If so, explain the steps involved in locational arbitrage, and compute the profi

12、t 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 milli on available, 1.25 milli on New Zeala nd dollars could be purchased at Y Bank. These New Zeala nd dollars could then be sold

13、to X Ba nk for $1,002,500, thereby gen erat ing 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 twoyears if the United Kingdom experiences an inflation rate of 7 percent per year while the United States experie nces an in flat

14、i on rate of 2 perce ntper year?(10%)ANSWER:Accord ing to PPP, forward rate/spot=in dexdom/i ndexforthe excha nge rate of the pound will depreciate by 4.7 perce nt. Therefore, the spot rate would adjust to $1.901 + ( -.047) = $1.81073. Assume that the spot exchange rate of the Singapore dollar is $0

15、.70. The one-year interest rate is 11perce nt in the Un ited States and 7 perce nt in Sin gapore.What will the spot rate be in one year accord ing tothe IFE? (5%)ANSWER:accordi ng to the IFE,St+1/St=(1+Rh)/(1+Rf)$.70 總 + .04) = $0.7284. Assume that XYZ Co. has net receivables of 100,000 Sin gapore d

16、ollars in 90 days. The spot rate of the S$ is $0.50, and the Sin gapore in terest rate is 2% over 90 days. Suggest how the U.S. firm could impleme nt a money market hedge. Be precise . (10%)ANSWER:The firm could borrow the amou nt of Si ngapore dollars so that the 100,000 Si ngapore dollars tobe rec

17、eived could be used to pay off the loan. This amounts to (100,000/1.02) = about S$98,039, which could be con verted to about $49,020 and in vested. The borrow ing of Sin gapore dollars has offset the tran sact ion exposure due to the future receivables in Sin gapore dollars.5. A U.S. compa ny ordere

18、d a Jaguar seda n. In 6 mon ths , it will pay 圮0,000 for the car. It worried thatpound ster1i ng might rise sharply from the curre nt rate($1.90). So, the compa ny bought a 6 month pound call (supposed con tract size = 35,000) with a strike price of $1.90 for a premium of 2.3 cen ts/ .(1) Is hedg in

19、g in the opti ons market better if the rose to $1.92 i 6 mon ths?(2) what did the exchange rate have to be for the company to break even? (15%)Soluti on:(1) If therose to $1.92 in 6 mon ths, the U.S. compa ny wouldexercise the pound call opti on. The sum ofthe strike price and premium is$1.90 + $0.0

20、23 =$1.9230/ This is bigger than $1.92.So hedging in the options market is not better.(2) whe n we say thecompa ny can break even, we mea n that hedgi ng or not hedgi ng does n matter. Andon ly whe n (strike price + premium )= the excha nge rate ,hedgi ng or not does n matter.So, the exchange rate =

21、$1.923/ .6. Discuss the adva ntages and disadva ntages of fixed excha nge rate system.(15%) textbook page50答案以教材第 50頁為準(zhǔn)PART IV : Diagram(10%)The strike price for a call is $1.67/. The premium quoted at the Exchange is $0.0222 per British pound.Diagram the profit and loss potential, and the break-eve

22、n price for this call optionSoluti on:Following diagram shows the profit and loss potential, and the break-even price of this put option:profit and loss intentialat thj3out of Bowyin the noney/profitET7loss“iven pointBreak ePART V :Additional QuestionSuppose that you are expect ing revenues of Y 100

23、,000 from Japa n in one mon th. Curren tly, 1 month forward con tracts are tradi ng at $1 = $105 Y en. You have the follow ing estimate of the Y en/$ excha nge rate in one mon th.PriceProbability90 Yen/$4%95 Yen/$25%100 Y/$45%105 Yen/$20%110 Yen/$6%a) What positi on in forward con tracts would you take to hedge your excha nge risk?b) Calculate the expected value of the hedge.c) How could you replicate this hedge in the money market?You are expect ing revenues of Y100,000 in one month that