國際財務(wù)管理課后習(xí)題答案(第六章)

學(xué)習(xí)參學(xué)習(xí)參考學(xué)習(xí)參學(xué)習(xí)參考CHAPTER6INTERNATIONALPARITYRELATIONSHIPSSUGGESTEDANSWERSANDSOLUTIONSTOEND-OF-CHAPTERQUESTIONSANDPROBLEMSQUESTIONSGiveafulldefinitionofarbitrage.Answer:Arbitragecanbedefinedastheactofsimultaneouslybuyingandsellingthesameorequivalentassetsorcommoditiesforthepurposeofmakingcertain,guaranteedprofits.Discusstheimplicationsoftheinterestrateparityfortheexchangeratedetermination.Answer:Assumingthattheforwardexchangerateisroughlyanunbiasedpredictorofthefuturespotrate,IRPcanbewrittenas:S=[(1+I￡)/(1+I$)]E[St+1It].Theexchangerateisthusdeterminedbytherelativeinterestrates,andtheexpectedfuturespotrate,conditionalonalltheavailableinformation,It,asofthepresenttime.Onethuscansaythatexpectationisself-fulfilling.Sincetheinformationsetwillbecontinuouslyupdatedasnewshitthemarket,theexchangeratewillexhibitahighlydynamic,randombehavior.Explaintheconditionsunderwhichtheforwardexchangeratewillbeanunbiasedpredictorofthefuturespotexchangerate.Answer:Theforwardexchangeratewillbeanunbiasedpredictorofthefuturespotrateif(I)theriskpremiumisinsignificantand(ii)foreignexchangemarketsareinformationallyefficient.Explainthepurchasingpowerparity,boththeabsoluteandrelativeversions.Whatcausesthedeviationsfromthepurchasingpowerparity?

Answer:Theabsoluteversionofpurchasingpowerparity(PPP):S=P$/P￡Therelativeversionis:e=n$-standardPPPcanbeviolatediftherearebarrierstointernationaltradeorifpeopleindifferentcountrieshavedifferentconsumptiontaste.PPPisthelawofonepriceappliedtoaconsumptionbasket.standard8.Explaintherandomwalkmodelforexchangerateforecasting.Canitbeconsistentwiththetechnicalanalysis?Answer:Therandomwalkmodelpredictsthatthecurrentexchangeratewillbethebestpredictorofthefutureexchangerate.Animplicationofthemodelisthatpasthistoryoftheexchangerateisofnovalueinpredictingfutureexchangerate.Themodelthusisinconsistentwiththetechnicalanalysiswhichtriestoutilizepasthistoryinpredictingthefutureexchangerate.*9.Deriveandexplainthemonetaryapproachtoexchangeratedetermination.Answer:ThemonetaryapproachisassociatedwiththeChicagoSchoolofEconomics.Itisbasedontwotenets:purchasingpowerparityandthequantitytheoryofmoney.Combingthesetwotheoriesallowsforstating,say,the$/袋potexchangerateas:S($/￡)={MMf)(V$/V磯yWy$),whereMdenotesthemoneysupply,Vthevelocityofmoney,andythenationalaggregateoutput.Thetheoryholdsthatwhatmattersinexchangeratedeterminationare:Therelativemoneysupply,Therelativevelocitiesofmonies,andTherelativenationaloutputs.CFAquestion:1997,Level3.Explainthefollowingthreeconceptsofpurchasingpowerparity(PPP):Thelawofoneprice.AbsolutePPP.RelativePPP.EvaluatetheusefulnessofrelativePPPinpredictingmovementsinforeignexchangerateson:Short-termbasis(forexample,threemonths)Long-termbasis(forexample,sixyears)Answer:A.a.Thelawofoneprice(LOP)referstotheinternationalarbitrageconditionforthestandardconsumptionbasket.LOPrequiresthattheconsumptionbasketshouldbesellingforthesamepriceinagivencurrencyacrosscountries.A.b.AbsolutePPPholdsthatthepricelevelinacountryisequaltothepricelevelinanothercountrytimestheexchangeratebetweenthetwocountries.c.RelativePPPholdsthattherateofexchangeratechangebetweenapairofcountriesisaboutequaltothedifferenceininflationratesofthetwocountries.a.PPPisnotusefulforpredictingexchangeratesontheshort-termbasismainlybecauseinternationalcommodityarbitrageisatime-consumingprocess.B.b.PPPisusefulforpredictingexchangeratesonthelong-termbasis.PROBLEMSSupposethatthetreasurerofIBMhasanextracashreserveof$100,000,000toinvestforsixmonths.Thesix-monthinterestrateis8percentperannumintheUnitedStatesand6percentperannuminGermany.Currently,thespotexchangerateis?1.01perdollarandthesix-monthforwardexchangerateis?0.99perdollar.ThetreasurerofIBMdoesnotwishtobearanyexchangerisk.Whereshouldhe/sheinvesttomaximizethereturn?Themarketconditionsaresummarizedasfollows:I$=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.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.KeepthefundsatyourbankintheU.S.andbuyforward.￡35,000BuyacertainpoundamountspottodayandinvesttheamountintheU.K.forthreemonthssothatthematurityvaluebecomesequalto￡35,000.Evaluateeachpaymentmethod.Whichmethodwouldyouprefer?Why?Solution:Theproblemsituationissummarizedasfollows:A/P=￡35,000payableinthreemonthsiNY=0.35%/month,compoundingmonthlyild=2.0%forthreemonthsS=$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)dabuyillcost￡34,314t$49,755=34,314x1.45.ThusthecostofJaguarasoftodayis$49,755.Youshoulddefinitelychoosetouse“optiona”a,ndsave$1,266,whichisthedifferencebetween$49,755and$48489.Currently,thespotexchangerateis$1.50/andthethree-monthforwardexchangerateis$1.52/￡.Thethreeonthinterestrateis8.0%perannumintheU.S.and5.8%perannumintheU.K.Assumethatyoucanborrowasmuchas$1,500,000or￡1,000,000.Determinewhethertheinterestrateparityiscurrentlyholding.IftheIRPisnotholding,howwouldyoucarryoutcoveredinterestarbitrage?Showallthestepsanddeterminethearbitrageprofit.ExplainhowtheIRPwillberestoredasaresultofcoveredarbitrageactivities.Solution:Let’ssummarizethegivendatafirst:S=$1.5/￡;F=$1.52/1$=2.0%;;k=1.45%Credit=$1,500,000or1,000,000.(1+I$)=1.02(1+I9(F/S)=(1.0145)(1.52/1.50)=1.0280Thus,IRPisnotholdingexactly.(1)Borrow$1,500,000;repaymentwillbe$1,530,000.Buy￡1,000,000spotusing$1,500,000.Invest￡1,000,000atthepoundinterestrateof1.45%;maturityvaluewillbe￡1,014,500.Sell￡1,014,500forwardfor$1,542,040Arbitrageprofitwillbe$12,040Followingthearbitragetransactionsdescribedabove,Thedollarinterestratewillrise;Thepoundinterestratewillfall;Thespotexchangeratewillrise;Theforwardexchangeratewillfall.TheseadjustmentswillcontinueuntilIRPholds.Supposethatthecurrentspotexchangerateis?0.80/$andthethree-monthforwardexchangerateis?0.7813/$.Thethree-monthinterestrateis5.6percentperannumintheUnitedStatesand5.40percentperannuminFrance.Assumethatyoucanborrowupto$1,000,000or?800,000.Showhowtorealizeacertainprofitviacoveredinterestarbitrage,assumingthatyouwanttorealizeprofitintermsofU.S.dollars.Alsodeterminethesizeofyourarbitrageprofit.Assumethatyouwanttorealizeprofitintermsofeuros.Showthecoveredarbitrageprocessanddeterminethearbitrageprofitineuros.Solution:a.(1+i$)=1.014<(F/S)(1+i?)=1.053.Thus,onehastoborrowdollarsandinvestineurostomakearbitrageprofit.Borrow$1,000,000andrepay$1,014,000inthreemonths.Sell$1,000,000spotfor?1,060,000.Invest?1,060,000attheeurointerestrateof1.35%forthreemonthsandreceive?1,074,310atmaturity.Sell?1,074,310forwardfor$1,053,245.Arbitrageprofit=$1,053,245-$1,014,000=$39,245.b.Followthefirstthreestepsabove.Butthelaststep,involvingexchangeriskhedging,willbedifferent.Buy$1,014,000forwardfor?1,034,280.Arbitrageprofit=?1,074,310-?1,034,280=?40,030IntheissueofOctober23,1999,theEconomistreportsthattheinterestrateperannumis5.93%intheUnitedStatesand70.0%inTurkey.WhydoyouthinktheinterestrateissohighinTurkey?Basedonthereportedinterestrates,howwouldyoupredictthechangeoftheexchangeratebetweentheU.S.dollarandtheTurkishlira?Solution:AhighTurkishinterestratemustreflectahighexpectedinflationinTurkey.AccordingtointernationalFishereffect(IFE),wehaveE(e)=i$-iLira=5.93%-70.0%=-64.07%TheTurkishlirathusisexpectedtodepreciateagainsttheU.S.dollarbyabout64%.AsofNovember1,1999,theexchangeratebetweentheBrazilianrealandU.S.dollarisR$1.95/$.TheconsensusforecastfortheU.S.andBrazilinflationratesforthenext1-yearperiodis2.6%and20.0%,respectively.HowwouldyouforecasttheexchangeratetobeataroundNovember1,2000?Solution:SincetheinflationrateisquitehighinBrazil,wemayusethepurchasingpowerparitytoforecasttheexchangerate.E(e)=E(二$)-E(二r$)=2.6%-20.0%=-17.4%E(St)=So(1+E(e))=(R$1.95/$)(1+0.174)=R$2.29/$7.(CFAquestion)OmniAdvisors,aninternationalpensionfundmanager,usestheconceptsofpurchasingpowerparity(PPP)andtheInternationalFisherEffect(IFE)toforecastspotexchangerates.Omnigathersthefinancialinformationasfollows:Basepricelevel100CurrentU.S.pricelevel105CurrentSouthAfricanpricelevel111Baserandspotexchangerate$0.175Currentrandspotexchangerate$0.158ExpectedannualU.S.inflation7%..學(xué)習(xí)參考.學(xué)習(xí)參學(xué)習(xí)參考5%10%8%ExpectedannualSouthAfricaninflation5%10%8%ExpectedU.S.one-yearinterestrateExpectedSouthAfricanone-yearinterestrateCalculatethefollowingexchangerates(ZARandUSDrefertotheSouthAfricanandU.S.dollar,respectively).ThecurrentZARspotrateinUSDthatwouldhavebeenforecastbyPPP.UsingtheIFE,theexpectedZARspotrateinUSDoneyearfromnow.UsingPPP,theexpectedZARspotrateinUSDfouryearsfromnow.Solution:ZARspotrateunderPPP=[1.05/1.11](0.175)=$0.1655/rand.ExpectedZARspotrate=[1.10/1.08](0.158)=$0.1609/rand.ExpectedZARunderPPP=[(1.07)4/(1.05)4](0.158)=$0.1704/rand.Supposethatthecurrentspotexchangerateis?1.50/?andtheone-yearforwardexchangerateis?1.60/?.Theone-yearinterestrateis5.4%ineurosand5.2%inpounds.Youcanborrowatmost?1,000,000ortheequivalentpoundamount,i.e.,?666,667,atthecurrentspotexchangerate.Showhowyoucanrealizeaguaranteedprofitfromcoveredinterestarbitrage.Assumethatyouareaeuro-basedinvestor.Alsodeterminethesizeofthearbitrageprofit.Discusshowtheinterestrateparitymayberestoredasaresultoftheabovetransactions.Supposeyouareapound-basedinvestor.Showthecoveredarbitrageprocessanddeterminethepoundprofitamount.Solution:First,notethat(1+i?)=1.054islessthan(F/S)(1+i?)=(1.60/1.50)(1.052)=1.1221.Youshouldthusborrowineurosandlendinpounds.Borrow?1,000,000andpromisetorepay?1,054,000inoneyear.Buy?666,667spotfor?1,000,000.Invest?666,667atthepoundinterestrateof5.2%;thematurityvaluewillbe?701,334.Tohedgeexchangerisk,sellthematurityvalue?701,334forwardinexchangefor?1,122,134.Thearbitrageprofitwillbethedifferencebetween?1,122,134and?1,054,000,i.e.,?68,134.Asaresultoftheabovearbitragetransactions,theeurointerestratewillrise,thepoundinterestratewillfall.Inaddition,thespotexchangerate(eurosperpound)willriseandtheforwardratewillfall.Theseadjustmentswillcontinueuntiltheinterestrateparityisrestored.Thepound-basedinvestorwillcarryoutthesametransactions1),2),and3)ina.Buttohedge,he/shewillbuy?1,054,000forwardinexchangefor?658,750.Thearbitrageprofitwillthenbe?42,584=?701,334-?658,750.Duetotheintegratednatureoftheircapitalmarkets,investorsinboththeU.S.andU.K.requirethesamerealinterestrate,2.5%,ontheirlending.Thereisaconsensusincapitalmarketsthattheannualinflationrateislikelytobe3.5%intheU.S.and1.5%intheU.K.forthenextthreeyears.Thespotexchangerateiscurrently$1.50/ComputethenominalinterestrateperannuminboththeU.S.andU.K.,assumingthattheFishereffectholds.Whatisyourexpectedfuturespotdollar-poundexchangerateinthreeyearsfromnow?Canyouinfertheforwarddollar-poundexchangerateforone-yearmaturity?Solution.NominalrateinUS=(1+p)(1)+E(1=(1.025)(1.035)-1=0.0609or6.09%.NominalrateinUK=(1+p?》X1+E=(1.025)(1.015)-1=0.0404or4.04%.E(ST)=[(1.0609)3/(1.0404)3](1.50)=$1.5904/?.c.F=[1.0609/1.0404](1.50)=$1.5296/?.MiniCase:TurkishLiraandthePurchasingPowerParityVeritasEmergingMarketFundspecializesininvestinginemergingstockmarketsoftheworld.Mr.HenryMobaus,anexperiencedhandininternationalinvestmentandyourboss,iscurrentlyinterestedinTurkishstockmarkets.HethinksthatTurkeywilleventuallybeinvitedtonegotiate學(xué)習(xí)參學(xué)習(xí)參考學(xué)習(xí)參學(xué)習(xí)參考itsmembershipintheEuropeanUnion.Ifthishappens,itwillboostthestockpricesinTurkey.But,atthesametime,heisquiteconcernedwiththevolatileexchangeratesoftheTurkishcurrency.HewouldliketounderstandwhatdrivestheTurkishexchangerates.SincetheinflationrateismuchhigherinTurkeythanintheU.S.,hethinksthatthepurchasingpowerparitymaybeholdingatleasttosomeextent.Asaresearchassistantforhim,youwereassignedtocheckthisout.Inotherwords,youhavetostudyandprepareareportonthefollowingquestion:DoesthepurchasingpowerparityholdfortheTurkishlira-U.S.dollarexchangerate?Amongotherthings,Mr.Mobauswouldlikeyoutodothefollowing:PlotthepastexchangeratechangesagainstthedifferentialinflationratesbetweenTurkeyandtheU.S.forthelastfouryears.Regresstherateofexchangeratechangesontheinflationratedifferentialtoestimatetheinterceptandtheslopecoefficient,andinterprettheregressionresults.Datasource:YoumaydownloadtheconsumerpriceindexdatafortheU.S.andTurkeyfromthefollowingwebsite:/home/0,2987,en2649201185m11,00.html,“hotfile(Excelformat).Youmaydownloadtheexchangeratedatafromthewebsite:merce.ubc.ca/xr/data.html.Solution:Inthecurrentsolution,weusethemonthlydatafromJanuary1999—December2002.

00o000.050.1 0.15Inf_Turkey-Inf_USTurkeyvs.U.S.0.15 _oT-00o000.050.1 0.15Inf_Turkey-Inf_USTurkeyvs.U.S.0.15 _oT--1.47-0.05Weregressexchangeratechanges(e)ontheinflationratedifferentialandestimatetheintercept(a)andslopecoefficient(et=?+?(Inf_Turkey-Inf_US)+q?--0.011(t=-0.649)?=1.472(t=3.095)Theestimatedinterceptisinsignificantlydifferentfromzero,whereastheslopecoefficientispositiveandsig