英文版国际金融试题和答案

《国际金融（英文版）》试卷A卷第1页共3页PartⅠ.Decidewhethereachofthefollowingstatementsistrueorfalse(10%)每题1分，答错不扣分1.Ifperfectmarketsexisted,resourceswouldbemoremobileandcouldthereforebetransferredtothosecountriesmorewillingtopayahighpriceforthem.(T)2.Theforwardcontractcanhedgefuturereceivablesorpayablesinforeigncurrenciestoinsulatethefirmagainstexchangeraterisk.(T)3.Theprimaryobjectiveofthemultinationalcorporationisstillthesameprimaryobjectiveofanyfirm,i.e.,tomaximizeshareholderwealth.(T)4.Alowinflationratetendstoincreaseimportsanddecreaseexports,therebydecreasingthecurrentaccountdeficit,otherthingsequal.(F)5.Acapitalaccountdeficitreflectsanetsaleofthehomecurrencyinexchangeforothercurrencies.Thisplacesupwardpressureonthathomecurrency’svalue.(F)6.Thetheoryofcomparativeadvantageimpliesthatcountriesshouldspecializeinproduction,therebyrelyingonothercountriesforsomeproducts.(T)7.Coveredinterestarbitrageisplausiblewhentheforwardpremiumreflecttheinterestratedifferentialbetweentwocountriesspecifiedbytheinterestrateparityformula.(F)8．Thetotalimpactoftransactionexposureisontheoverallvalueofthefirm.(F)9.Aputoptionisanoptiontosell-bythebuyeroftheoption-astatednumberofunitsoftheunderlyinginstrumentataspecifiedpriceperunitduringaspecifiedperiod.(T)10.Futuresmustbemarked-to-market.Optionsarenot.(T)PartⅡ:Cloze(20%)每题2分，答错不扣分1.Ifinflationinaforeigncountrydiffersfrominflationinthehomecountry,theexchangeratewilladjusttomaintainequal(purchasingpower）2.Speculatorswhoexpectacurrencyto(appreciate)couldpurchasecurrencyfuturescontractsforthatcurrency.3.Coveredinterestarbitrageinvolvestheshort-terminvestmentinaforeigncurrencythatiscoveredbya(forwardcontract)tosellthatcurrencywhentheinvestmentmatures.4.（Appreciation/Revalue）ofRMBreducesinflowssincetheforeigndemandforourgoodsisreducedandforeigncompetitionisincreased.5.(PPP)suggestsarelationshipbetweentheinflationdifferentialoftwocountriesandthepercentagechangeinthespotexchangerateovertime.6.IFEisbasedonnominalinterestrate(differentials),whichareinfluencedbyexpectedinflation.7.Transactionexposureisasubsetofeconomicexposure.Economicexposureincludesanyformbywhichthefirm’s(value)willbeaffected.8.Theoptionwriterisobligatedtobuytheunderlyingcommodityatastatedpriceifa(putoption)isexercised9.Therearethreetypesoflong-terminternationalbonds.TheyareGlobalbonds,(eurobonds)and(foreignbonds).10.Anygoodsecondarymarketforfinanceinstrumentsmusthaveanefficientclearingsystem.MostEurobondsareclearedthrougheither(Euroclear)orCedel.PartⅢ:QuestionsandCalculations(60%)过程正确结果计算错误扣2分1.Assumethefollowinginformation:ABankBBankBidpriceofCanadiandollar$0.802$0.796AskpriceofCanadiandollar$0.808$0.800Giventhisinformation,islocationalarbitragepossible?Ifso,explainthestepsinvolvedinlocationalarbitrage,andcomputetheprofitfromthisarbitrageifyouhad$1,000,000touse.(5%)ANSWER:Yes!OnecouldpurchaseNewZealanddollarsatYBankfor$.80andsellthemtoXBankfor$.802.With$1millionavailable,1.25millionNewZealanddollarscouldbepurchasedatYBank.TheseNewZealanddollarscouldthenbesoldtoXBankfor$1,002,500,therebygeneratingaprofitof$2,500.2.AssumethatthespotexchangerateoftheBritishpoundis$1.90.Howwillthisspotrateadjustintwo《国际金融（英文版）》试卷A卷第2页共3页yearsiftheUnitedKingdomexperiencesaninflationrateof7percentperyearwhiletheUnitedStatesexperiencesaninflationrateof2percentperyear?(10%)ANSWER:AccordingtoPPP,forwardrate/spot=indexdom/indexfortheexchangerateofthepoundwilldepreciateby4.7percent.Therefore,thespotratewouldadjustto$1.90×[1+(–.047)]=$1.81073.AssumethatthespotexchangerateoftheSingaporedollaris$0.70.Theone-yearinterestrateis11percentintheUnitedStatesand7percentinSingapore.WhatwillthespotratebeinoneyearaccordingtotheIFE?(5%)ANSWER:accordingtotheIFE,St+1/St=(1+Rh)/(1+Rf)$.70×(1+.04)=$0.7284.AssumethatXYZCo.hasnetreceivablesof100,000Singaporedollarsin90days.ThespotrateoftheS$is$0.50,andtheSingaporeinterestrateis2%over90days.SuggesthowtheU.S.firmcouldimplementamoneymarkethedge.Beprecise.(10%)ANSWER:ThefirmcouldborrowtheamountofSingaporedollarssothatthe100,000Singaporedollarstobereceivedcouldbeusedtopayofftheloan.Thisamountsto(100,000/1.02)=aboutS$98,039,whichcouldbeconvertedtoabout$49,020andinvested.TheborrowingofSingaporedollarshasoffsetthetransactionexposureduetothefuturereceivablesinSingaporedollars.5.AU.S.companyorderedaJaguarsedan.In6months,itwillpay£30,000forthecar.Itworriedthatpoundster1ingmightrisesharplyfromthecurrentrate($1.90).So,thecompanyboughta6monthpoundcall(supposedcontractsize=£35,000)withastrikepriceof$1.90forapremiumof2.3cents/£.(1)Ishedgingintheoptionsmarketbetterifthe£roseto$1.92in6months?(2)whatdidtheexchangeratehavetobeforthecompanytobreakeven?（15%）Solution:(1)Ifthe£roseto$1.92in6months,theU.S.companywouldexercisethepoundcalloption.Thesumofthestrikepriceandpremiumis$1.90+$0.023=$1.9230/£Thisisbiggerthan$1.92.Sohedgingintheoptionsmarketisnotbetter.(2)whenwesaythecompanycanbreakeven,wemeanthathedgingornothedgingdoesn’tmatter.Andonlywhen(strikeprice+premium)=theexchangerate,hedgingornotdoesn’tmatter.So,theexchangerate=$1.923/£.6.Discusstheadvantagesa