英文版国际金融试题和答案(3页).doc

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1、-英文版国际金融试题和答案-第 3 页Part.Decide whether each of the following statements is true or false (10%)每题1分，答错不扣分1. If perfect markets existed, resources would be more mobile and could therefore be transferred to those countries more willing to pay a high price for them. ( T ) 2. The forward contract can hed

2、ge future receivables or payables in foreign currencies to insulate the firm against exchange rate risk. ( T )3. The primary objective of the multinational corporation is still the same primary objective of any firm, i.e., to maximize shareholder wealth. ( T )4. A low inflation rate tends to increas

3、e imports and decrease exports, thereby decreasing the current account deficit, other things equal. ( F ) 5. A capital account deficit reflects a net sale of the home currency in exchange for other currencies. This places upward pressure on that home currencys value. ( F )6. The theory of comparativ

4、e advantage implies that countries should specialize in production, thereby relying on other countries for some products. ( T ) 7. Covered interest arbitrage is plausible when the forward premium reflect the interest rate differential between two countries specified by the interest rate parity formu

5、la.( F )8 The total impact of transaction 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 underlying instrument at a specified price per unit during a specified period. ( T )10. Futures must be marked

6、-to-market. Options are not. ( T )Part:Cloze (20%)每题2分，答错不扣分1. If inflation in a foreign country differs from inflation in the home country, the exchange rate will adjust to maintain equal( purchasing power ）2. Speculators who expect a currency to ( appreciate ) could purchase currency futures contr

7、acts for that currency.3. Covered interest arbitrage involves the shortterm investment in a foreign currency that is covered by a ( forward contract ) to sell that currency when the investment matures.4. （ Appreciation/ Revalue ）of RMB reduces inflows since the foreign demand for our goods is reduce

8、d and foreign competition is increased.5. ( PPP ) suggests a relationship between the inflation differential of two countries and the percentage change in the spot exchange rate over time.6. IFE is based on nominal interest rate ( differentials ), which are influenced by expected inflation.7. Transa

9、ction exposure is a subset of economic exposure. Economic exposure includes any form by which the firms ( value ) will be affected. 8. The option writer is obligated to buy the underlying commodity at a stated price if a ( put option ) is exercised9. There are three types of long-term international

10、bonds. They are Global bonds , ( eurobonds ) and ( foreign bonds ).10. Any good secondary market for finance instruments must have an efficient clearing system. Most Eurobonds are cleared through either ( Euroclear ) or Cedel.Part :Questions and Calculations (60%)过程正确结果计算错误扣2分1. Assume the following

11、 information:A Bank B BankBid price of Canadian 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 profit from this arbitrage if you had $1,000,000 to use. (5%)

12、ANSWER:Yes! One could purchase New Zealand dollars at Y Bank for $.80 and sell them to X Bank for $.802. With $1 million available, 1.25 million New Zealand dollars could be purchased at Y Bank. These New Zealand dollars could then be sold to X Bank for $1,002,500, thereby generating a profit of $2,

13、500.2. Assume that the spot exchange rate of the British pound is $1.90. How will this spot rate adjust in two years if the United Kingdom experiences an inflation rate of 7 percent per year while the United States experiences an inflation rate of 2 percent per year?(10%)ANSWER:According to PPP, for

14、ward rate/spot=indexdom/indexfor the exchange rate of the pound will depreciate by 4.7 percent. Therefore, the spot rate would adjust to $1.90 1 + (.047) = $1.81073. Assume that the spot exchange rate of the Singapore dollar is $0.70. The oneyear interest rate is 11 percent in the United States and

15、7 percent in Singapore. What will the spot rate be in one year according to the IFE? (5%)ANSWER: according to the IFE,St+1/St=(1+Rh)/(1+Rf)$.70 (1 + .04) = $0.7284. Assume that XYZ Co. has net receivables of 100,000 Singapore dollars in 90 days. The spot rate of the S$ is $0.50, and the Singapore in

16、terest rate is 2% over 90 days. Suggest how the U.S. firm could implement a money market hedge. Be precise . (10%)ANSWER: The firm could borrow the amount of Singapore dollars so that the 100,000 Singapore dollars to be received could be used to pay off the loan. This amounts to (100,000/1.02) = abo

17、ut S$98,039, which could be converted to about $49,020 and invested. The borrowing of Singapore dollars has offset the transaction exposure due to the future receivables in Singapore dollars.5. A U.S. company ordered a Jaguar sedan. In 6 months , it will pay 30,000 for the car. It worried that pound

18、 ster1ing might rise sharply from the current rate($1.90). So, the company bought a 6 month pound call (supposed contract size = 35,000) with a strike price of $1.90 for a premium of 2.3 cents/.(1)Is hedging in the options market better if the rose to $1.92 in 6 months?(2)what did the exchange rate

19、have to be for the company to break even?（15%）Solution:(1)If the rose to $1.92 in 6 months, the U.S. company would exercise the pound call option. The sum of the strike price and premium is $1.90 + $0.023 = $1.9230/This is bigger than $1.92. So hedging in the options market is not better.(2) when we

20、 say the company can break even, we mean that hedging or not hedging doesnt matter. And only when (strike price + premium )= the exchange rate , hedging or not doesnt matter.So, the exchange rate =$1.923/.6. Discuss the advantages and disadvantages of fixed exchange rate system.(15%)textbook page50

21、答案以教材第50 页为准PART : 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-even price for this call optionSolution:Following diagram shows the profit and loss potential, and the break-even

22、 price of this put option:PART :Additional QuestionSuppose that you are expecting revenues of Y 100,000 from Japan in one month. Currently, 1 month forward contracts are trading at $1 = $105 Yen. You have the following estimate of the Yen/$ exchange rate in one month. Price Probability 90 Yen/$4%95

23、Yen/$25%100 Y/$45%105 Yen/$20%110 Yen/$6%a) What position in forward contracts would you take to hedge your exchange risk?b) Calculate the expected value of the hedge.c) How could you replicate this hedge in the money market?You are expecting revenues of Y100,000 in one month that you will need to c

24、overt to dollars. You could hedge this in forward markets by taking long positions in US dollars (short positions in Japanese Yen). By locking in your price at $1 = Y105, your dollar revenues are guaranteed to be Y100,000/ 105 = $952 On the other hand, you can wait and use the spot markets.Exchange

25、Rate Probability Revenue w/Hedge Revenue w/out Hedge Value of Hedge 90 Y/$4%$1,111$952-$15995 Y/$25%$1,052$952-$100100 Y/$45%$1,000$952-$48105 Y/$20%$952$952$0110 Y/$6%$909$952$43 Expected Value = (.02)(-159) + (.25)(-100) + (.45)(-48) + (.20)(0) + (.08)(43) = -$24 You could replicate this hedge by using the following: a) Borrow in Japan b) Convert the Yen to dollarsc) Invest the dollars in the US d) Pay back the loan when you receive the Y100,000