国际金融英文版习题Chapter-3

...INTERNATIONALFINANCEAssignmentProblems(3)Name:Student#:I.Choosethecorrectanswerforthefollowingquestions(onlyONEcorrectanswer)(2creditsforeachquestion,totalcredits2x25=50)1.InterbankquotationsthatincludetheUnitedStatesdollarsareconventionallygivenin__________,whichstatetheforeigncurrencypriceofoneU.S.dollar,suchasabidpriceofSFr0.85/$.A.indirectquoteB.directquoteC.AmericanquoteD.Europeanquote2.Thespotexchangeratepublishedinfinancialnewspapersisusuallythe__________.A.nominalexchangerateB.realexchangerateC.effectiveexchangerateD.equilibriumexchangerate3.Theforeignexchangereferstothe__________.A.foreignbanknotesandcoinsB.demanddepositsinforeignbanksC.foreignsecuritiesthatcanbeeasilycashedD.alloftheabove4.Thefunctionsoftheforeignexchangemarketcomedownto__________.A.convertingthecurrencyofonecountryintothecurrencyofanotherB.providingsomeinsuranceagainsttheforeignexchangeriskC.makingtheforeignexchangespeculationeasyD.OnlyAandBaretrue.5.WhichofthefollowingisNOTtrueregardingtheforeignexchangemarket?A.Itistheplacethroughwhichpeopleexchangeonecurrencyforanother.B.Theexchangeratenowadaysismainlydeterminedbythemarketforces.C.Mostforeignexchangetransactionsarephysicallycompletedinthismarket.D.Alloftheabovearetrue.6.Theworldlargestforeignexchangemarketsare__________respectively.A.London,NewYorkandTokyoB.London,ParisandFrankfurtC.London,HongKongandSingaporeD.London,ZurichandBahrain7.TheforeignexchangemarketisNOTefficientbecause__________.A.monetaryauthoritiesdominatetheforeignexchangemarketandeverybodyknowsthatbydefinition,centralbanksareinefficientB.commercialbanksandotherparticipantsofthemarketdonotcompetewithoneanotherduetothefactthattransactiontakesplacearoundtheworldandnotinasinglecentralizedlocationC.foreignexchangedealershavedifferentpricessuchasbidandaskpricesD.Noneofthereasonslistedarecorrectbecausetheforeignexchangemarketisanefficientmarket8.__________earnaprofitbyabid-askspreadoncurrenciestheybuyandsell.__________ontheotherhand,earnaprofitbybringingtogetherbuyersandsellersofforeignexchangesandearningacommissiononeachsaleandpurchase.A.Foreignexchangebrokers;foreignexchangedealersB.Foreignexchangedealers;foreignexchangebrokersC.arbitragers;speculatorsD.commercialbanks;centralbanks9.MostforeignexchangetransactionsarethroughtheU.S.dollars.Ifthetransactionisexpressedasthecurrenciesperdollar,thisisknownas__________whereas__________areexpressedasdollarspercurrency.A.directquote;indirectquoteB.indirectquote;directquoteC.Europeanquote;AmericanquoteD.Americanquote,Europeanquote10.FromtheviewpointofaJapaneseinvestor,whichofthefollowingwouldbeadirectquote?A.SFr1.25/€B.$1.55/₤C.¥110/€D.€0.0091/¥11.Whichofthefollowingistrueabouttheforeignexchangemarket?A.Itisaglobalnetworkofbanks,brokers,andforeignexchangedealersconnectedbyelectroniccommunicationssystem.B.Theforeignexchangemarketisusuallylocatedinaparticularplace.C.Theforeignexchangeratesareusuallydeterminedbytherelatedmonetaryauthorities.D.Themainparticipantsinthismarketarecurrencyspeculatorsfromdifferentcountries.12.Theextenttowhichtheincomefromindividualtransactionsisaffectedbyfluctuationsinforeignexchangevaluesisconsideredtobe_________.A.TranslationexposureB.economicexposureC.transactionexposureD.accountingexposure13.Whichofthefollowingexchangeratesisadjustedforpricechanges?A.nominalexchangerateB.realexchangerateC.effectiveexchangerateD.equilibriumexchangerate14.SupposetheexchangerateoftheRMBversusU.S.dollaris¥6.8523/$now.IftheRMBweretoundergoa10%depreciation,thenewexchangerateintermsof¥/$wouldbe:A.6.1671B.7.5375C.6.9238D.7.613515.AtleastinaU.S.MNC’sfinancialaccountingstatement,ifthevalueoftheeurodepreciatesrapidlyagainstthatofthedollaroverayear,thiswouldreducethedollarvalueoftheeuroprofitmadebytheEuropeansubsidiary.Thisisatypical__________.A.transactionexposureB.translationexposureC.economicexposureD.operatingexposure16.AJapanese-basedfirmexpectstoreceivepound-paymentin6months.Thecompanyhasa(an)__________.A.economicexposureB.accountingexposureC.longpositioninsterlingD.shortpositioninsterling17TheexposuretoforeignexchangeriskknownasTranslationExposuremaybedefinedas__________.A.changeinreportedowner’sequityinconsolidatedfinancialstatementscausedbyachangeinexchangeratesB.theimpactofsettlingoutstandingobligationsenteredintobeforechangeinexchangeratesbuttobesettledafterchangeinexchangeratesC.thechangeinexpectedfuturecashflowsarisingfromanunexpectedchangeinexchangeratesD.Alloftheabove18Whenafirmdealswithforeigntradeorinvestment,itusuallyhasforeignexchangeriskexposure.SoifanAmericanfirmexpectstoreceiveadollar-paymentfromaChinesecompanyinthenext30days,theU.S.firmhasthepossible__________.A.economicexposureB.transactionexposureC.translationexposureD.noneoftheabove19.Inordertoavoidthepossiblelossbecauseoftheexchangeratefluctuations,afirmthathasa__________positioninforeignexchangescan__________thatpositionintheforwardmarket.A.short;sellB.long;sellC.long;buyD.noneoftheabove20.AforwardcontracttodeliverJapaneseyensforSwissfrancscouldbedescribedeitheras__________or__________,A.sellingyensforward;buyingfrancsforwardB.buyingfrancsforward;buyingyensforwardC.sellingyensforward;sellingfrancsforwardD.sellingfrancsforward;buyingyensforward21.DollarsaretradingatS0SFr/$=SFr0.7465/$inthespotmarket.The90-dayforwardrateisF1SFr/$=SFr0.7432/$.Sotheforward__________onthedollarinbasispointsis__________:A.discount,0.0033B.discount,33C.premium,0.0033D.premium,3322.Ifthespotrateis$1.35/€,3-monthforwardrateis$1.36/€,whichofthefollowingisNOTtrue?A.euroisatforwardpremiumby100points.B.dollarisatforwarddiscountby100points.C.dollarisatforwarddiscountby55points.D.euroisatforwardpremiumby2.96%p.a.23.IfthespotC$/$rateis1.0305/15,forwarddollaris25/30premium,theoutrightforwardquoteinAmericantermshouldbe__________.A.1.0330–1.0345B.1.0280–1.0285C.0.9681–0.9667D.0.9728–0.972324.IfthespotC$/$rateis1.0305/15,forwarddollaris25/30premium,the$/C$forwardquoteintermsofpointsshouldbe__________.A.30/25B.25/30C.–(23/28)D.–(28/23)25.ThecurrentU.S.dollarexchangerateis¥85/$.Ifthe90-dayforwarddollarrateis¥90/$,thentheyenissellingataperannum__________of__________.A.premium;5.88%B.discount;5.56%C.premium;23.52%D.discount;22.23%II.ProblemsQuestions1through10arebasedontheinformationpresentedinTable3.1.(2creditsforeachquestion,totalcredits2x10=20)Table3.1CountryExchangerateExchangerateCPIVolumeofVolumeof(2008)(2009)(2008)exportstoU.SimportsfromU.S.Germany€0.75/$€0.70/$102.5$200m$350mMexicoMex$11.8/$Mex$12.20/$110.5$120m$240mU.S.105.31.Therealexchangerateofthedollaragainsttheeuroin2009was__________.2.Therealexchangerateofthedollaragainstthepesoin2009was__________.3.Thedollarwas__________againsttheeuroinnominaltermby__________.A.appreciated;6.67%B.depreciated;6.67%C.appreciated;7.14%Ddepreciated;7.14%4.TheMexicanpesowas__________againstthedollarinnominaltermby__________.A.appreciated;3.39%B.depreciated;3.39%C.appreciated;3.28%D.depreciated;3.28%5.ThevolumeoftheGermanforeigntradewiththeU.S.was__________.6.ThevolumeoftheMexicanforeigntradewiththeU.S.was__________.7.AssumetheU.S.tradesonlywiththeGermanyandMexico.Nowifwewanttocalculatethedollareffectiveexchangeratein2009againstabasketofcurrenciesofeuroandMexicanpeso,theweightassignedtotheeuroshouldbe__________.8.Theweightassignedtothepesoshouldbe__________.9.Assumethe2008isthebaseyear.Thedollareffectiveexchangeratein2009was__________.10.Wasthedollargenerallystrongerorweakerin2009accordingtoyourcalculation?11.Thefollowingexchangeratesareavailabletoyou.FujiBank¥80.00/$UnitedBankofSwitzerlandSFr0.8900/$DeutscheBank¥95.00/SFrAssumeyouhaveaninitialSFr10million.Canyoumakeaprofitviatriangulararbitrage?Ifso,showstepsandcalculatetheamountofprofitinSwissfrancs.(8credits)12.Ifthedollarappreciates1000%againsttheruble,bywhatpercentagedoestherubledepreciateagainstthedollar?(5credits)13.Asapercentageofanarbitrarystartingamount,abouthowlargewouldtransactionscostshavetobetomakearbitragebetweentheexchangeratesSSFr/$=SFr1.7223/$,S$/￥=$0.009711/¥,andS￥/SFr=¥61.740/SFrunprofitable?Explain.(7credits14.Youaregiventhefollowingexchangerates:S￥/A$=67.05–68.75S￡/A$=0.3590–0.3670CalculatethebidandaskrateofS￥/￡:(5credits)15.SupposethespotquotationontheSwissfranc(CHF)inNewYorkisUSD0.9442–52andthespotquotationontheEuro(EUR)isUSD1.3460–68.Computethepercentagebid-askspreadsontheCHF/EURquote.(5credits)AnswerstoAssignmentProblems(3)PartI1.D2.A3.D4.D5.D6.A7.D8.B9.C10.C11.A12.A13.B14.D15.B16.C17.A18.D19.B20.A21.B22.B23.C24.C25.DPartII1.0.70x(105.3/102.5)=0.7x1.0273=0.71912.12.2x(105.3/110.5)=12.2x.9529=11.62593.B(0.7/.75)–1=-6.67%4.D(1/12.2)/(1/11.8)–1=-3.28%5.5506.3607.550/910=60.44%8.360/910=39.569.(0.70/0.75)(60.44%)+(12.2/11.8)(39.56%)=.5641+0.4090=.9731=97.31%10.weaker,becausedollardepreciatedby2.69%.11.SinceS￥/$S$/SFrSSFr/￥=80x1/0.8900x1/95.00=0.946186<1,thereisanarbitrageopportunity.Steps:①Buy¥fromDeutscheBank,SFr10millionx95.00=¥950million②Buy$fromFujiBank,$950m/80.00=$11.875m③BuySFrfromUBS,$11.875x0.8900=SFr10.56875mProfit(ignoringtransactionfees):SFr10.56875–SFr10=0.56875million=568,75012.(x–1)=1000%;1/11–1=90.9%13.SSFr/$S$/￥S￥/SFr=SFr1.7223/$x$0.009711/¥x¥61.740/SFr=1.0326Iftransactioncostsexceed$0.0326(3.26%),thearbitrageisunprofitable.14.Given:S￥/A$=67.05–68.75S￡/A$=0.3590–0.3670So,S￥/₤=67.05/0.3670=182.70(bid)S￡/₤=68.75/0.3590=191.50(ask)15.Given:USD0.9442–52/SFrUSD1.3460–68/SFrSo,SSRr/€=1.3460/0.9452=1.424(bid)SSFr/€=1.3468/0.9442=1.4264(ask)Bid-askmargin=(1.4264–1.424)/1.4264=0.1683%可编辑范本可编辑范本可编辑范本