国际货币与金融经济学课后习题答案 .doc

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1、Answers to End of Chapter QuestionsChapter 1Keeping Up With a Changing World-Trade Flows, Capital Flows, and the Balance Of Payments1.The balance on merchandise trade is the difference between exports of goods, 719 and the imports of goods, 1,145, for a deficit of 426. The balance on goods, services

2、 and income is 719 + 279 +284 1145 - 210 269, for a deficit of 342. Adding unilateral transfers to this gives a current account deficit of 391, -342 + (-49) = -391. (Note that income receipts are credits and income payments are debits.) 2.Because the current account balance is a deficit of 391, then

3、 without a statistical discrepancy, the capital account is a surplus of 391. In this problem, however, the statistical discrepancy is recorded as a positive amount (credit) of 11. Hence, the sum of the debits in the balance of payments must exceed the credits by 11. So, the deficit of the current ac

4、count must be greater than the surplus on the capital account by 11. The capital account, therefore, is a surplus of 391 11 = 380.3.A balance-of-payments equilibrium is when the debits and credits in the current account and the private capital account sum to zero. In the problem above we do not know

5、 the private capital account balance. We cannot say, therefore, whether this country is experiencing a balance-of-payments surplus or deficit or if it is in equilibrium.4The current account is a deficit of $541,830 and the private capital account balance is a surplus of $369,068. The U.S., therefore

6、, has a balance of payments deficit.5Positive aspects of being a net debtor include the possibility of financing domestic investment that is not possible through domestic savings; thereby allowing for domestic capital stock growth which may allow job, productivity, and income growth. Negative aspect

7、s include the fact that foreign savings may be used to finance domestic consumption rather than domestic savings; which will compromise the growth suggested above.Positive aspects of being a net creditor include the ownership of foreign assets which can represent an income flows to the crediting cou

8、ntry. Further, the net creditor position also implies a net exporting position. A negative aspect of being a net creditor includes the fact that foreign investment may substitute for domestic investment.6A nation may desire to receive both portfolio and direct investment due to the type of investmen

9、t each represents. Portfolio investment is a financial investment while direct investment is dominated by the purchase of actual, real, productive assets. To the extent that a country can benefit by each type of investment, it will desire both types of investment. Further, portfolio investment tends

10、 to be short-run in nature, while FDI tends to be long-run in nature. This is also addressed in much greater detail in Chapter 7.7. Domestic Savings - Domestic Investment = Current Account Balance Domestic Savings - Domestic Investment = Net Capital Flows Therefore, Current Account Balance = Net Cap

11、ital Flows8Using the equations above, private savings of 5 percent of income, government savings of -1 percent, and investment expenditures of 10 percent would results in a current account deficit of 6 percent of income and a capital account surplus (net capital inflows) of 6 percent of income. This

12、 could be corrected with a reduction in the government deficit (to a surplus) and/or an increase in private savings.Chapter 2The Market for Foreign Exchange1.Because it costs fewer dollars to purchase a euro after the exchange rate change, the euro depreciated relative to the dollar. The rate of dep

13、reciation (in absolute value) was (1.2168 1.2201)/1.2201100 = 0.27 percent.2.Note that the rates provided are the foreign currency prices of the U.S. dollar. Every value has been rounded to two decimal places which may cause some differences in answers.A$C$Sfr$Australia-2.351.061.121.53Britain0.42-0

14、.450.470.65Canada0.952.23-1.061.45Switzerland0.902.110.94-1.37United States0.651.540.690.73-3The cross rate is 1.702/1.234 = 1.379 (/), which is smaller in value than that observed in the London market. The arbitrageur would purchase 587,544 ($1,000,000/1.702) with the $1 million in the New York mar

15、ket. Next they would use the 587,544 in London to purchase 837,250 (587,544*1.425). Finally, they would sell the 837,250 in the New York market for $1,033,167 (837,250*1.234). The profit is #33,167.4.Total trade is (163,681 + 160,829 + 261,180 + 210, 590) = 796,280. Trade with the Euro area is (163,

16、681 + 261,180) = 424,861. Trade with Canada is (160,829 + 210,590) = 371,419. The weight assigned to the euro is 424,861/796,280 = 0.53 and the weight assigned to the Canadian dollar is 0.47. (Recall the weights must sum to unity.)Because the base year is 2003, the 2003 EER is 100. The value of the

17、2004 EER is:(0.82/0.88)0.53 + (1.56/1.59)0.47100 = (0.4939 + 0.4611)100 = 95.4964, or 95.5. This represents a 4.5 percent depreciation of the U.S. dollar.5The real effective exchange rate (REER) for 2003 is still 100. The real rates of exchange are, for 2003, 0.88(116.2/111.3) = .9187, 1.59(116.2/11

18、1.7) = 1.6541, and for 2004, 0.82(119.0/114.4) = 0.8530, 1.56(119.0/115.6) = 1.6059. The value of the 2004 REER is: (0.8530/0.9187)0.53 + (1.6059/1.6541)0.47100 = (0.4921 + 0.4563)100 = 94.84, or 94.8. This represents a 5.2 percent depreciation of the U.S. dollar in real terms6.This is a nominal app

19、reciation of the euro relative to the U.S. dollar. The percent change is (1.19 1.05)/1.05100 = 13.3 percent.7.The January 200 real exchange rate is 1.05(107.5/112.7) = 1.0016. The May 2004 real rate is 1.19(116.4/122.2) = 1.1335.8In real terms the euro appreciated relative to the U.S. dollar. The ra

20、te of appreciation is (1.1335 1.0016)/1.0016*100 = 13.17 percent.9Absolute PPP suggests the May 2004 exchange rate should be 122.2/116.4 = 1.0498. The actual exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar by (1.19 1.0498)/1.0498100 = 13.35 percent.10Relative PPP can

21、 be used to calculate a predicted value of the exchange rate as:SPPP = 1.05(122.2/112.7)/(116.4/107.5) = 1.0014. 11.The actual exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar by (1.19 1.0014)/1.0014100 = 18.83 percent.Chapter 3Exchange Rate Systems, Past to Present1.

22、Ranking the various exchange rate arrangements by flexibility is not so clear cut. Nonetheless the arrangements described in this chapter are (from fixed to flexible): dollarization, currency board, commodity (standard) peg, dollar (standard) peg, currency basket peg, crawling peg, managed float, fl

23、exible.2.The two primary functions of the International Monetary Fund are: surveillance of member nations macroeconomic policies, and to provide liquidity to member nations experiencing payments imbalances.3. The value of the Canadian dollar relative to gold is CAN$69 (1.38 $50) and the value of the

24、 British pound relative to gold is 33.33 ($50/1.50).4.The exchange rate between the Canadian dollar and the British pound is C$/2.07 (1.38 1.50).5.The currency value of the peso can be expressed as $0.50 + .50=P1. The exchange rate between the dollar and the euro can be used to convert the euro amou

25、nt to its dollar equivalent of $0.55. Hence, $1.05=P1, or and exchange value of 0.952 P/$. Using the exchange rate between the dollar and the euro again, the exchange rate between the peso and the euro is 0.1.048 P/ (0.952 P/$ 1.10 $/). 6.Because $1.05 is the currency content of the basket, as shown

26、 above, and $0.50 of that content is attributable to the dollar, the weight assigned to the dollar is 0.50/1.05 = 0.476, or 47.6 percent. Because the weights must sum to unity, the weight assigned to the euro is 52.4 percent.7.The main difference between the two systems was that, in the Smithsonian

27、system, the dollar was not pegged to the value of gold. One reason that the system was short was because there was little confidence that U.S. economic policy would be conducted in a manner conducive to a system of pegged exchange rates.8.The principle responsibilities of a currency board are to iss

28、ue domestic currency notes and peg the value of the domestic currency. A currency board is not allowed to purchase domestic debt, act as a lender of last resort, or set reserve requirements. 9. The Lourve accord established unofficial limits on currency value movements. In a sense, it was peg with b

29、ands for each of the main currencies (dollar, yen and mark). 10.Differences in the fundamental determinants of currency values between the pegging country and the other country should be considered. To this point of the text, the rate of inflation is a good example. Relative PPP can be used to deter

30、mine the rate of crawl.11.Under a currency board system, a nation still maintains its domestic currency. Hence, policymakers can change exchange rate policies and monetary policies if they so desire. When a nation dollarizes and disposes of its domestic currency it no longer has this option.Chapter

31、4The Forward Currency Market and International Financial Arbitrage1. Given that the exchange rate is expressed as dollars to euros, we treat the dollar as the domestic currency. Note also that interest rates are quoted on an annual basis even though the maturity period is only one month. In this pro

32、blem we divide the interest rates by 12 to put them on a one-month basis.a.The interest rate differential, therefore, is (1.75%/12 - 3.25%/12) = -0.125%. The forward premium/discount, expressed as a percentage, is calculated as: (F-S)/S)100 = (1.089 1.072)/1.072)100=1.5858% R R*450(F-S)/S-0.1251.585

33、81.00-1.00 b.Transaction costs are shown in the figure above by the dashed lines that interest the horizontal axis at values of -1.00 and 1.00.c.The positive value indicates that the euro is selling at a premium. In addition, the interest rate differential favors the euro-denominated instrument. Hen

34、ce, a saver shift funds to euro-denominated instruments.2. Using the provided information: (1.75/12) (3.25/12) (1.089 - 1.072/1.072)100 -0.125% (1.04250)(1.4575/1.5245) = 0.9967, an arbitrage opportunity exists in this example if one were to borrow the pound and lend the euro. Suppose you were to bo

35、rrow one pound, the steps are then:a.Borrow 1, convert to 1.5245 on the spot market.b.Lend euros, yielding 1.5245(1.03125) = 1.5721.c.See euros forward, yielding 1.5721/1.4575 = 1.0787.d.Repay the pound loan at 1(1.04250) = 1.04250.e.The profit is 0.0362, or 3.62 percent.5.Because interest rates are

36、 quoted as annualized rates, we need to divide each interest rate by 4 (12/3). The uncovered interest parity equation is: R -R* = (Se+1 - S) /Sa.Rewriting the equation for the expected future expected exchange rate yields: Se+1 = (R- R*) + 1S b.Using the values given yields the expected future spot

37、rate Se+1 = (0.0124/4 - 0.0366/4) + 11.5245 = 1.5153.6.Given this information, we can calculate the forward premium/discount with the UIP condition:(F - S)/S = R - R* The interest differential is 1.75% - 3.25% = 1.5%. This is the expected forward premium on the euro. Hence, (F 1.08)/1.08 = 0.015 imp

38、lies that F = 1.0962.7.We can adjust for the shorter maturity by dividing the interest rates by 2 (12/6). Now the interest differential is 0.75%, still a forward premium on the euro. The forward rate now is (F 1.08)/1.08 = 0.0075 implies that F = 1.0881.8.The U.S. real rate is 1.24% 2.1% = -0.86% an

39、d the Canadian real rate is 2.15% 2.6% = -0.45%. Ignoring transaction costs, because the real interest rates are not equal, real interest parity does not hold.9.Uncovered interest parity is R -R* = (Se+1 - S) /S + .a.Using the same process as in question 5 above, the expected future spot rate is:Se+

40、1 = (R- R*) + 1S,Se+1 = (0.075 - 0.035) + 130.35 = 31.564.b.Using the same process as in question 5 above, the expected future spot rate is:Se+1 = (R- R*) + 1 - S,Se+1 = (0.075 - 0.035) + 1 0.0230.35 = 30.957.10.Because the forward rate, 30.01, is less than the expected future spot rate, 30.957, you

41、 should sell the koruna forward. For example, $1 would purcase k30.957, which you could sell forward yielding k30.957/30.01 = $1.0316.11. International financial instruments: a. Global Bond: long term instruments issued in the domestic currency. b. Eurobond: term is longer than one year and is issue

42、d in a foreign currency. c. Eurocurrency: keyword is that it is a deposit. d. Global equity: keyword is that it is a share.Chapter 7The International Financial Architecture and Emerging Economies1.The difference between direct and indirect financing has to do with whether the borrower and lender see

43、k each other out or whether an intermediary matches borrowers and lenders. Direct financing requires no intermediary to match savers and borrowers. An economy will benefit from having both direct and indirect financing because both are appropriate ways to save and invest under different circumstances. As discussed in the text, financial intermediaries absorb a fraction of each savers dollar that is borrowed. Thus, the intermediary takes some of the funds that otherwise would have gone to a borrower. However, the fi