国际财务管理课后习题答案第六章(供参考)

百度文库-让每个人平等地提升自我0CHAPTER6INTERNATIONALPARITYRELATIONSHIPSSUGGESTEDANSWERSANDSOLUTIONSTOEND-OF-CHAPTERQUESTIONSANDPROBLEMSQUESTIONS1.Giveafulldefinitionofarbitrage.Answer:Arbitragecanbedefinedastheactofsimultaneouslybuyingandsellingthesameorequivalentassetsorcommoditiesforthepurposeofmakingcertain,guaranteedprofits.2.Discusstheimplicationsoftheinterestrateparityfortheexchangeratedetermination.Answer:Assumingthattheforwardexchangerateisroughlyanunbiasedpredictorofthefuturespotrate,IRPcanbewrittenas:S=[(1+I£)/(1+I$)]E[St+1It].Theexchangerateisthusdeterminedbytherelativeinterestrates,andtheexpectedfuturespotrate,conditionalonalltheavailableinformation,It,asofthepresenttime.Onethuscansaythatexpectationisself-fulfilling.Sincetheinformationsetwillbecontinuouslyupdatedasnewshitthemarket,theexchangeratewillexhibitahighlydynamic,randombehavior.3.Explaintheconditionsunderwhichtheforwardexchangeratewillbeanunbiasedpredictorofthefuturespotexchangerate.Answer:Theforwardexchangeratewillbeanunbiasedpredictorofthefuturespotrateif(I)theriskpremiumisinsignificantand(ii)foreignexchangemarketsareinformationallyefficient.4.Explainthepurchasingpowerparity,boththeabsoluteandrelativeversions.Whatcausesthedeviationsfromthepurchasingpowerparity?百度文库-让每个人平等地提升自我1Answer:Theabsoluteversionofpurchasingpowerparity(PPP):S=P$/P£.Therelativeversionis:e=$-£.PPPcanbeviolatediftherearebarrierstointernationaltradeorifpeopleindifferentcountrieshavedifferentconsumptiontaste.PPPisthelawofonepriceappliedtoastandardconsumptionbasket.百度文库-让每个人平等地提升自我28.Explaintherandomwalkmodelforexchangerateforecasting.Canitbeconsistentwiththetechnicalanalysis?Answer:Therandomwalkmodelpredictsthatthecurrentexchangeratewillbethebestpredictorofthefutureexchangerate.Animplicationofthemodelisthatpasthistoryoftheexchangerateisofnovalueinpredictingfutureexchangerate.Themodelthusisinconsistentwiththetechnicalanalysiswhichtriestoutilizepasthistoryinpredictingthefutureexchangerate.*9.Deriveandexplainthemonetaryapproachtoexchangeratedetermination.Answer:ThemonetaryapproachisassociatedwiththeChicagoSchoolofEconomics.Itisbasedontwotenets:purchasingpowerparityandthequantitytheoryofmoney.Combingthesetwotheoriesallowsforstating,say,the$/£spotexchangerateas:S($/£)=(M$/M£)(V$/V£)(y£/y$),whereMdenotesthemoneysupply,Vthevelocityofmoney,andythenationalaggregateoutput.Thetheoryholdsthatwhatmattersinexchangeratedeterminationare:1.Therelativemoneysupply,2.Therelativevelocitiesofmonies,and3.Therelativenationaloutputs.10.CFAquestion:1997,Level3.A.Explainthefollowingthreeconceptsofpurchasingpowerparity(PPP):a.Thelawofoneprice.b.AbsolutePPP.c.RelativePPP.B.EvaluatetheusefulnessofrelativePPPinpredictingmovementsinforeignexchangerateson:a.Short-termbasis(forexample,threemonths)b.Long-termbasis(forexample,sixyears)Answer:A.a.Thelawofoneprice(LOP)referstotheinternationalarbitrageconditionforthestandardconsumptionbasket.LOPrequiresthattheconsumptionbasketshouldbesellingforthesamepriceinagivencurrencyacrosscountries.百度文库-让每个人平等地提升自我3A.b.AbsolutePPPholdsthatthepricelevelinacountryisequaltothepricelevelinanothercountrytimestheexchangeratebetweenthetwocountries.A.c.RelativePPPholdsthattherateofexchangeratechangebetweenapairofcountriesisaboutequaltothedifferenceininflationratesofthetwocountries.B.a.PPPisnotusefulforpredictingexchangeratesontheshort-termbasismainlybecauseinternationalcommodityarbitrageisatime-consumingprocess.B.b.PPPisusefulforpredictingexchangeratesonthelong-termbasis.百度文库-让每个人平等地提升自我4PROBLEMS1.SupposethatthetreasurerofIBMhasanextracashreserveof$100,000,000toinvestforsixmonths.Thesix-monthinterestrateis8percentperannumintheUnitedStatesand6percentperannuminGermany.Currently,thespotexchangerateis€1.01perdollarandthesix-monthforwardexchangerateis€0.99perdollar.ThetreasurerofIBMdoesnotwishtobearanyexchangerisk.Whereshouldhe/sheinvesttomaximizethereturn?Themarketconditionsaresummarizedasfollows:I$=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.2.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.(a)KeepthefundsatyourbankintheU.S.andbuy£35,000forward.(b)BuyacertainpoundamountspottodayandinvesttheamountintheU.K.forthreemonthssothatthematurityvaluebecomesequalto£35,000.Evaluateeachpaymentmethod.Whichmethodwouldyouprefer?Why?Solution:Theproblemsituationissummarizedasfollows:A/P=£35,000payableinthreemonthsiNY=0.35