(完整word版)托马斯国际金融课后习题答案解析(word文档良心出品)

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专业整理知识分享Suggestedanswerstoquestionsandproblems(inthetextbook)Chapter22.Disagree,atleastasageneralstatement.Onemeaningofacurrentaccountsurplusisthatthecountryisexportingmoregoodsandservicesthanitisimporting.Onemighteasilyjudgethatthisisnotgood—thecountryisproducinggoodsandservicesthatareexported,butthecountryisnotatthesametimegettingtheimportsofgoodsandservicesthatwouldallowitdomoreconsumptionanddomesticinvestment.Inthiswayacurrentaccountdeficitmightbeconsideredgood—theextraimportsallowthecountrytoconsumeandinvestdomesticallymorethanthevalueofitscurrentproduction.Anothermeaningofacurrentaccountsurplusisthatthecountryisengaginginforeignfinancialinvestment—itisbuildingupitsclaimsonforeigners,andthisaddstonationalwealth.Thissoundsgood,butasnotedaboveitcomesatthecostofforegoingcurrentdomesticpurchasesofgoodsandservices.Acurrentaccountdeficitisthecountryrunningdownitsclaimsonforeignersorincreasingitsindebtednesstoforeigners.Thissoundsbad,butitcomeswiththebenefitofhigherlevelsofcurrentdomesticexpenditure.Differentcountriesatdifferenttimesmayweighthebalaneeofthesecostsandbenefitsdifferently,sothatwecannotsimplysaythatacurrentaccountsurplusisbetterthanacurrentaccountdeficit.4.Disagree.Ifthecountryhasasurplus(apositivevalue)foritsofficialsettlementsbalanee,thenthevalueforitsofficialreservesbalaneemustbeanegativevalueofthesameamount(sothatthetwoaddtozero).Anegativevalueforthisassetitemmeansthatfundsareflowingoutinorderforthecountrytoacquiremoreofthesekindsofassets.Thus,thecountryisincreasingitsholdingsofofficialreserveassets.6.ItemeisatransactioninwhichforeignofficialholdingsofU.S.assetsincrease.Thisisapositive(credit)itemforofficialreserveassetsandanegative(debit)itemforprivatecapitalflowsastheU.S.bankacquirespoundbankdeposits.ThedebititemcontributestoaU.S.deficitintheofficialsettlementsbalance(whilethecredititemisrecorded"belowtheline,"permittingtheofficialsettlementsbalancetobeindeficit).AllothertransactionsinvoIvedebitandcredititemsbothofwhichareincludedintheofficialsettlementsbalance,sothattheydonotdirectlycontributetoadeficit(orsurplus)intheofficialsettlementsbalance.8.a.Merchandisetradebalanee:$330-198=$132Goodsandservicesbalanee:$330-198+196-204=$124Currentaccountbalanee:$330-198+196-204+3-8=$119Officialsettlementsbalanee:$330-198+196-204+3-8+102-202+4=$23Changeinofficialreserveassets(net)=-officialsettlementsbalanee=-$23.Thecountryisincreasingitsnetholdingsofofficialreserveassets.10.a.Internationalinvestmentposition(billions):$30+20+15-40-25=$0.Thecountryisneitheraninternationalcreditornoradebtor.Itsholdingofinternationalassetsequalsitsliabilitiestoforeigners.b.Acurrentaccountsurpluspermitsthecountrytoaddtoitsnetclaimsonforeigners.Forthisreasontheeountry'sinternationalinvestmentpositionwillbecomeapositivevalue.Theflowincreaseinnetforeignassetsresultsinthestockofnetforeignassetsbecomingpositive.Chapter32.Exportsofmerchandiseandservicesresultinsupplyofforeigncurrencyintheforeignexchangemarket.Domesticsellersoftenwanttobepaidusingdomesticcurrency,whiletheforeignbuyerswanttopayintheircurrency.Intheprocessofpayingfortheseexports,foreigncurrencyisexchangedfordomesticcurrency,creatingsupplyofforeigncurrency.Internationalcapitalinflowsresultinasupplyofforeigncurrencyintheforeignexchangemarket.Inmakinginvestmentsindomesticfinancialassets,foreigninvestorsoftenstartwithforeigncurrencyandmustexchangeitfordomesticcurrencybeforetheycanbuythedomesticassets.Theexchangecreatesasupplyofforeigncurrency.Salesofforeignfinancialassetsthattheeountry'sresidentshadpreviouslyacquired,andborrowingfromforeignersbythiseountry'sresidentsareotherformsofcapitalinflowthatcancreatesupplyofforeigncurrency.4.TheU.S.firmobtainsaquotationfromitsbankonthespotexchangerateforbuyingyenwithdollars.Iftherateisacceptable,thefirminstructsitsbankthatitwantstousedollarsfromitsdollarcheckingaccounttobuy1millionyenatthisspotexchangerate.ItalsoinstructsitsbanktosendtheyentothebankaccountoftheJapanesefirm.Tocarryoutthisinstruction,theU.S.bankinstructsitscorrespondentbankinJapantotake1millionyenfromitsaccountatthecorrespondentbankandtransfertheyentothebankaccountoftheJapanesefirm.(TheU.S.bankcouldalsouseyenatitsownbranchifithasabranchinJapan.)6.Thetraderwouldseekoutthebestquotedspotrateforbuyingeuroswithdollars,eitherthroughdirectcontactwithtradersatotherbanksorbyusingtheservicesofaforeignexchangebroker.Thetraderwouldusethebestratetobuyeurospot.Sometimeinthenexthourorso(or,typicallyatleastbytheendoftheday),thetraderwillentertheinterbankmarketagain,toobtainthebestquotedspotrateforsellingeurosfordollars.Thetraderwillusethebestspotratetosellherpreviouslyacquiredeuros.Ifthespotvalueoftheeurohasrisenduringthisshorttime,thetradermakesaprofit.8.a.Thecrossratebetweentheyenandthekroneistoohigh(theyenvalueofthekroneistoohigh)relativetothedollar-foreigncurrencyexchangerates.Thus,inaprofitabletriangulararbitrage,youwanttosellkroneratthehighcrossrate.Thearbitragewillbe:Usedollarstobuykronerat$0.20/krone,usethesekronertobuyyenat25yen/krone,andusetheyentobuydollarsat$0.01/yen.Foreachdollarthatyousellinitially,youcanobtain5kroner,these5kronercanobtain125yen,andthe125yencanobtain$1.25.Thearbitrageprofitforeachdollaristherefore25cents.b.Sellingkronertobuyyenputsdownwardpressureonthecrossrate(theyenpriceofkrone).Thevalueofthecrossratemustfallto20(=0.20/0.01)yen/kronetoeliminatetheopportunityfortriangulararbitrage,assumingthatthedollarexchangeratesareunchanged.10.a.TheincreaseinsupplyofSwissfrancsputsdownwardpressureontheexchange-ratevalue($/SFr)ofthefranc.ThemonetaryauthoritiesmustintervenetodefendthefixedexchangeratebybuyingSFrandsellingdollars.Theincreaseinsupplyoffrancsputsdownwardpressureontheexchange-ratevalue($/SFr)ofthefranc.ThemonetaryauthoritiesmustintervenetodefendthefixedexchangeratebybuyingSFrandsellingdollars.Theincreaseinsupplyoffrancsputsdownwardpressureontheexchange-ratevalue($/SFr)ofthefranc.ThemonetaryauthoritiesmustintervenetodefendthefixedexchangeratebybuyingSFrandsellingdollars.Thedecreaseindemandforfrancsputsdownwardpressureontheexchange-ratevalue($/SFr)ofthefranc.ThemonetaryauthoritiesmustintervenetodefendthefixedexchangeratebybuyingSFrandsellingdollars.Chapter42.Youwillneeddataonfourmarketrates:Thecurrentinterestrate(oryield)onbondsissuedbytheU.S.governmentthatmatureinoneyear,thecurrentinterestrate(oryield)onbondsissuedbytheBritishgovernmentthatmatureinoneyear,thecurrentspotexchangeratebetweenthedollarandpound,andthecurrentone-yearforwardexchangeratebetweenthedollarandpound.Dotheseratesresultinacoveredinterestdifferentialthatisveryclosetozero?4.a.TheU.S.firmhasanassetpositioninyen——ithasalongpositioninyen.Tohedgeitsexposuretoexchangeraterisk,thefirmshouldenterintoaforwardexchangecontractnowinwhichthefirmcommitstosellyenandreceivedollarsatthecurrentforwardrate.Thecontractamountsaretosell1millionyenandreceive$9,000,bothin60days.Thestudenthasanassetpositioninyen——alongpositioninyen.Tohedgetheexposuretoexchangeraterisk,thestudentshouldenterintoaforwardexchangecontractnowinwhichthestudentcommitstosellyenandreceivedollarsatthecurrentforwardrate.Thecontractamountsaretosell10millionyenandreceive$90,000,bothin60days.TheU.S.firmhasanliabilitypositioninyen—ashortpositioninyen.Tohedgeitsexposuretoexchangeraterisk,thefirmshouldenterintoaforwardexchangecontractnowinwhichthefirmcommitstoselldollarsandreceiveyenatthecurrentforwardrate.Thecontractamountsaretosell$900,000andreceive100millionyen,bothin60days.6.Relativetoyourexpectedspotvalueoftheeuroin90days($1.22/euro),thecurrentforwardrateoftheeuro($1.18/euro)islow—theforwardvalueoftheeuroisrelativelylow.Usingtheprincipleof"buylow,sellhigh,"youcanspeculatebyenteringintoaforwardcontractnowtobuyeurosat$1.18/euro.Ifyouarecorrectinyourexpectation,thenin90daysyouwillbeabletoimmediatelyresellthoseeurosfor$1.22/euro,pocketingaprofitof$0.04foreacheurothatyouboughtforward.Ifmanypeoplespeculateinthisway,thenmassivepurchasesnowofeurosforward(increasingthedemandforeurosforward)willtendtodriveuptheforwardvalueoftheeuro,towardacurrentforwardrateof$1.22/euro.8.a.TheSwissfrancisataforwardpremium.Itscurrentforwardvalue($0.505/SFr)isgreaterthanitscurrentspotvalue($0.500/SFr).Thecoveredinterestdifferential"infavorofSwitzerland"is((1+0.005)(0.505)/0.500)-(1+0.01)=0.005.(Notethattheinterestrateusedmustmatchthetimeperiodoftheinvestment.)Thereisacoveredinterestdifferentialof0.5%for30days(6percentatanannualrate).TheU.S.investorcanmakeahigherreturn,coveredagainstexchangeraterisk,byinvestinginSFr-denominatedbonds,sopresumablytheinvestorshouldmakethiscoveredinvestment.AlthoughtheinterestrateonSFr-denominatedbondsislowerthantheinterestrateondollar-denominatedbonds,theforwardpremiumonthefrancislargerthanthisdifferenee,sothatthecoveredinvestmentisagoodidea.Thelackofdemandfordollar-denominatedbonds(orthesupplyofthesebondsasinvestorsselltheminordertoshiftintoSFr-denominatedbonds)putsdownwardpressureonthepricesofU.S.bonds—upwardpressureonU.S.interestrates.Theextrademandforthefrancinthespotexchangemarket(asinvestorsbuySFrinordertobuySFr-denominatedbonds)putsupwardpressureonthespotexchangerate.TheextrademandforSFr-denominatedbondsputsupwardpressureonthepricesofSwissbonds—downwardpressureonSwissinterestrates.Theextrasupplyoffrancsintheforwardmarket(asU.S.investorscovertheirSFrinvestmentsbackintodollars)putsdownwardpressureontheforwardexchangerate.Iftheonlyratethatchangesistheforwardexchangerate,thisratemustfalltoabout$0.5025/SFr.Withthisforwardrateandtheotherinitialrates,thecoveredinterestdifferentialisclosetozero.10.Intestingcoveredinterestparity,alloftheinterestratesandexchangeratesthatareneededtocalculatethecoveredinterestdifferentialareratesthatcanobservedinthebondandforeignexchangemarkets.Determiningwhetherthecoveredinterestdifferentialisaboutzero(coveredinterestparity)isthenstraightforward(althoughsomemoresubtleissuesregardingtimingoftransactionsmayalsoneedtobeaddressed).Inordertotestuncoveredinterestparity,weneedtoknownotonlythreerates—twointerestratesandthecurrentspotexchangerate—thatcanbeobservedinthemarket,butalsoonerate—theexpectedfuturespotexchangerate—thatisnotobservedinanymarket.Thetesterthenneedsawaytofindoutaboutinvestors'expectations.Onewayistoaskthem,usingasurvey,buttheymaynotsayexactlywhattheyreallythink.Anotherwayistoexaminetheactualuncoveredinterestdifferentialafterweknowwhatthefuturespotexchangerateactuallyturnsouttobe,andseewhetherthestatisticalcharacteristicsoftheactualuncovereddifferentialareconsistentwithanexpecteduncovereddifferentialofaboutzero(uncoveredinterestparity).Chapter52.a.Theeuroisexpectedtoappreciateatanannualrateofapproximately((1.005-1.000)/1.000)(360/180)100=1%.Theexpecteduncoveredinterestdifferentialisapproximately3%+1%-4%=0,souncoveredinterestparityholds(approximately).b.Iftheinterestrateon180-daydollar-denominatedbondsdeclinesto3%,thenthespotexchangerateislikelytoincrease—theeurowillappreciate,thedollardepreciate.Attheinitialcurrentspotexchangerate,theinitialexpectedfuturespotexchangerate,andtheinitialeurointerestrate,theexpecteduncoveredinterestdifferentialshiftsinfavorofinvestingineuro-denominatedbonds(theexpecteduncovereddifferentialisnowpositive,3%+1%-3%=1%,favoringuncoveredinvestmentineuro-denominatedbonds.Theincreaseddemandforeurosinthespotexchangemarkettendstoappreciatetheeuro.Iftheeurointerestrateandtheexpectedfuturespotexchangerateremainunchanged,thenthecurrentspotratemustchangeimmediatelytobe$1.005/euro,toreestablishuncoveredinterestparity.Whenthecurrentspotratejumpstothisvalue,theeuro'sexchangeratevalueisnotexpectedtochangeinvaluesubsequentlyduringthenext180days.Thedollarhasdepreciatedimmediately,andtheuncovereddifferentialthenagainiszero(3%+0%-3%=0).4.a.Foruncoveredinterestparitytohold,investorsmustexpectthattherateofchangeinthespotexchange-ratevalueoftheyenequalstheinterestratedifferential,whichiszero.Investorsmustexpectthatthefuturespotvalueisthesameasthecurrentspotvalue,$0.01/yen.b.Ifinvestorsexpectthattheexchangeratewillbe$0.0095/yen,thentheyexpecttheyentodepreciatefromitsinitialspotvalueduringthenext90days.Giventheotherrates,investorstendtoshifttheirinvestmentstowarddollar-denominatedinvestments.Theextrasupplyofyen(anddemandfordollars)inthespotexchangemarketresultsinadecreaseinthecurrentspotvalueoftheyen(thedollarappreciates).Theshifttoexpectingthattheyenwilldepreciate(thedollarappreciate)sometimeduringthenext90daystendstocausetheyentodepreciate(thedollartoappreciate)immediatelyinthecurrentspotmarket.6.Thelawofonepricewillholdbetterforgold.Goldcanbetradedeasilysothatanypricedifferenceswouldleadtoarbitragethatwouldtendtopushgoldprices(statedinacommoncurrencybyconvertingpricesusingmarketexchangerates)backclosetoequality.BigMacscannotbearbitraged.Ifpricedifferencesexist,thereisnoarbitragepressure,sothepricedifferencescanpersist.ThepricesofBigMacs(statedinacommoncurrency)varywidelyaroundtheworld.8.AccordingtoPPP,theexchangeratevalueoftheDM(relativetothedollar)hasrisensincetheearly1970sbecauseGermanyhasexperieneedlessinflationthanhastheUnitedStates—theproductpricelevelhasrisenlessinGermanysincetheearly1970sthanithasrisenintheUnitedStates.Accordingtothemonetaryapproach,theGermanpricelevelhasnotrisenasmuchbecausetheGermanmoneysupplyhasincreasedlessthanthemoneysupplyhasincreasedintheUnitedStates,relativetothegrowthratesofrealdomesticproductioninthetwocountries.TheBritishpoundistheoppositecase—moreinflationinBritainthanintheUnitedStates,andhighermoneygrowthinBritain.10.a.Becausethegrowthrateofthedomesticmoneysupply(Ms)istwopercentagepointshigherthanitwaspreviously,themonetaryapproachindicatesthattheexchangeratevalue(e)oftheforeigncurrencywillbehigherthanitotherwisewouldbe—thatis,theexchangeratevalueofthecountry'scurrencywillbelower.Specifically,theforeigncurrencywillappreciatebytwopercentagepointsmoreperyear,ordepreciatebytwopercentagepointsless.Thatis,thedomesticcurrencywilldepreciatebytwopercentagepointsmoreperyear,orappreciatebytwopercentagepointsless.Thefastergrowthofthecountry'smoneysupplyeventuallyleadstoafasterrateofinflationofthedomesticpricelevel(P).Specifically,theinflationratewillbetwopercentagepointshigherthanitotherwisewouldbe.AccordingtorelativePPP,afasterrateofincreaseinthedomesticpricelevel(P)leadstoahigherrateofappreciationoftheforeigncurrency.12.a.FortheUnitedStatesin1975,20,000=k100800,ork=0.25.ForPugeloviain1975,10,000=k100200,ork=0.5.b.FortheUnitedStates,thequantitytheoryofmoneywithaconstantkmeansthatthequantityequationwithk=0.25shouldholdin2002:65,000=0.252601,000.Itdoes.Becausethequantityequationholdsforbothyearswiththesamek,thechangeinthepricelevelfrom1975to2002isconsistentwiththequantitytheoryofmoneywithaconstantk.Similarly,forPugelovia,thequantityequationwithk=0.5shouldholdfor2002,anditdoes(58,500=0.5390300).14.a.Thetighteningtypicallyleadstoanimmediateincreaseinthecountry'sinterestrates.Inaddition,thetighteningprobablyalsoresultsininvestors'expectingthattheexchange-ratevalueofthecountry'scurrencyislikelytobehigherinthefuture.Thehigherexpectedexchange-ratevalueforthecurrencyisbasedontheexpectationthatthecountry'spricelevelwillbelowerinthefuture,andPPPindicatesthatthecurrencywillthenbestronger.Forbothofthesereasons,internationalinvestorswillshifttowardinvestinginthiscountry'sbonds.Theincreaseindemandforthecountry'scurrencyinthespotexchangemarketcausesthecurrentexchange-ratevalueofthecurrencytoincrease.Thecurrencymayappreciatealotbecausethecurrentexchangeratemust"overshoot"itsexpectedfuturespotvalue.Uncoveredinterestparityisreestablishedwithahigherinterestrateandasubsequentexpecteddepreciationofthecurrency.b.Ifeverythingelseisrathersteady,theexchangerate(thedomesticcurrencypriceofforeigncurrency)islikelytodecreasequicklybyalargeamount.Afterthisjump,theexchangeratemaythenincreasegraduallytowarditslong-runvalue—thevalueconsistentwithPPPinthelongrun.Chapter62.Weoftenusethetermpeggedexchangeratetorefertoafixedexchangerate,becausefixedratesgenerallyarenotfixedforever.Anadjustablepegisanexchangeratepolicyinwhichthe"fixed"exchangeratevalueofacurrencycanbechangedfromtimetotime,butusuallyitischangedratherseldom(forinstanee,notmorethanonceeveryseveralyears).Acrawlingpegisanexchangeratepolicyinwhichthe"fixed"exchangeratevalueofacurrencyischangedoften(forinstanee,weeklyormonthly),sometimesaccordingtoindicatorssuchasthedifferenceininflationrates.4.Disagree.Ifacountryisexpectedtoimposeexchangecontrols,whichusuallymakeitmoredifficulttomovefundsoutofthecountryinthefuture,investorsarelikelytotrytoshiftfundsoutofthecountrynowbeforethecontrolsareimposed.Theincreaseinsupplyofdomesticcurrencyintotheforeignexchangemarket(orincreaseindemandforforeigncurrency)putsdownwardpressureontheexchangeratevalueofthecountry'scurrency—thecurrencytendstodepreciate.6.a.Themarketisattemptingtodepreciatethepnut(appreciatethedollar)towardavalueof3.5pnutsperdollar,whichisoutsideofthetopoftheallowableband(3.06pnutsperdollar).Inordertodefendthepeggedexchangerate,thePugelovianmonetaryauthoritiescoulduseofficialinterventiontobuypnuts(inexchangefordollars).Buyingpnutspreventsthepnut'svaluefromdeclining(sellingdollarspreventsthedollar'svaluefromrising).Theinterventionsatisfiestheexcessprivatedemandfordollarsatthecurrentpeggedexchangerate.Inordertodefendthepeggedexchangerate,thePugeloviangovernmentcouldimposeexchangecontrolsinwhichsomeprivateindividualswhowanttosellpnutsandbuydollarsaretoldthattheycannotlegallydothis(orcannotdothiswithoutgovernmentpermission,andnotallrequestsareapprovedbythegovernment).Byartificiallyrestrictingthesupplyofpnuts(andthedemandfordollars),thePugeloviangovernmentcanforcetheremainingprivatesupplyanddemandto"clear"withintheallowableband.Theexchangecontrolsattempttostifletheexcessprivatedemandfordollarsatthecurrentpeggedexchangerate.Inordertodefendthepeggedexchangerate,thePugeloviangovernmentcouldincreasedomesticinterestrates(perhapsbyalot).ThehigherdomesticinterestratesshifttheincentivesforinternationalcapitalflowstowardinvestmentsinPugelovianbonds.TheincreasedflowofinternationalfinancialcapitalintoPugeloviaincreasesthedemandforpnutsontheforeignexchangemarket.(Also,thedecreasedflowofinternationalfinancialcapitaloutofPugeloviareducesthesupplyofpnutsontheforeignexchangemarket.)Byincreasingthedemandforpnuts(anddecreasingthesupply),thePugeloviangovernmentcaninducetheprivatemarkettoclearwithintheallowableband.Theincreaseddomesticinterestratesattempttoshifttheprivatesupplyanddemandcurvessothatthereisnoexcessprivatedemandfordollarsatthecurrentpeggedexchangeratevalue.8.a.Thegoldstandardwasafixedratesystem.Thegovernmentofeachcountryparticipatinginthesystemagreedtobuyorsellgoldinexchangeforitsowncurrencyatafixedpriceofgold(intermsofitsowncurrency).Becauseeachcurrencywasfixedtogold,theexchangeratesbetweencurrenciesalsotendedtobefixed,becauseindividualscouldarbitragebetweengoldandcurrenciesifthecurrencyexchangeratesdeviatedfromthoseimpliedbythefixedgoldprices.Britainwascentraltothesystem,becausetheBritisheconomywastheleaderinindustrializationandworldtrade,andbecauseBritainwasconsideredfinanciallysecureandprudent.Britainwasableandwillingtorunpaymentsdeficitsthatpermittedmanyothercountriestorunpaymentssurpluses.Theothercountriesusedtheirsurplusestobuilduptheirholdingsofgoldreserves(andofinternationalreservesintheformofsterling-denominatedassets).Theseothercountriesweresatisfiedwiththerateofgrowthoftheirholdingsofliquidreserveassets,andmostcountrieswereabletoavoidthecrisisofrunninglowoninternationalreserves.Duringtheheightofthegoldstandard,fromabout1870to1914,theeconomicshockstothesystemweremild.Amajorshock—WorldWarI—causedmanycountriestosuspendthegoldstandard.Speculationwasgenerallystabilizing,bothfortheexchangeratesbetweenthecurrenciesofcountriesthatwereadheringtothegoldstandard,andfortheexchangeratesofcountriesthattemporarilyallowedtheircurrenciestofloat.10.a.TheBrettonWoodssystemwasanadjustablepeggedexchangeratesystem.Countriescommittedtosetanddefendfixedexchangerates,financingtemporarypaymentsimbalancesoutoftheirofficialreserveholdings.Ifa"fundamentaldisequilibrium"inacountry'sinternationalpaymentsdeveloped,thecountrycouldchangethevalueofitsfixedexchangeratetoanewvalue.TheUnitedStateswascentraltothesystem.AstheBre