托馬斯國際金融課后習(xí)題答案

1、Chapter 22.4.6.8.Suggested answers to questions and problems(in the textbook)Disagree, at least as a general statement. One meaning of a current account surplus is that the country is exporting more goods and services than it is importing. One might easily judge that this is not goodthe country is p

2、roducing goods and services that are exported, but the country is not at the same time getting the imports of goods and services that would allow it do more consumption and domestic investment. In this way a current account deficit might be considered goodthe extra imports allow the country to consu

3、me and invest domestically more than the value of its current production. Another meaning of a current account surplus is that the country is engaging in foreign financial investmentit is building up its claims on foreigners, and this adds to national wealth. This sounds good, but as noted above it

4、comes at the cost of foregoing current domestic purchases of goods and services. A current account deficit is the country running down its claims on foreigners or increasing its indebtedness to foreigners. This sounds bad, but it comes with the benefit of higher levels of current domestic expenditur

5、e. Different countries at different times may weigh the balance of these costs and benefits differently, so that we cannot simply say that a current account surplus is better than a current account deficit.Disagree. If the country has a surplus (a positive value) for its official settlements balance

6、, then the value for its official reserves balance must be a negative value of the same amount (so that the two add to zero). A negative value for this asset item means that funds are flowing out in order for the country to acquire more of these kinds of assets. Thus, the country is increasing its h

7、oldings of official reserve assets.Item e is a transaction in which foreign official holdings of U.S. assets increase. This is a positive (credit) item for official reserve assets and a negative (debit) item for private capital flows as the U.S. bank acquires pound bank deposits. The debit item cont

8、ributes to a U.S. deficit in the official settlements balance (while the credit item is recorded below the line, permitting the official settlements balance to be in deficit). All other transactions involve debit and credit items both of which are included in the official settlements balance, so tha

9、t they do not directly contribute to a deficit (or surplus) in the official settlements balance.a. Merchandise trade balance: $330 - 198 = $132Goods and services balance: $330 - 198 + 196 - 204 = $124Current account balance: $330 - 198 + 196 - 204 + 3 - 8 = $119Official settlements balance: $330 - 1

10、98 + 196 - 204 + 3 - 8 + 102 - 202 + 4 = $23b. Change in official reserve assets (net) = - official settlements balance = -$23. The country is increasing its net holdings of official reserve assets.10. a. International investment position (billions): $30 + 20 + 15 - 40 - 25 = $0.The country is neith

11、er an international creditor nor a debtor. Its holding of international assets equals its liabilities to foreigners.Chapter 32.b. A current account surplus permits the country to add to its net claims on foreigners. For this reason the countrys international investment position will become a positiv

12、e value. The flow increase in net foreign assets results in the stock of net foreign assets becoming positive.Exports of merchandise and servicesresult in supply of foreign currency in the foreign exchange market. Domestic sellers often want to be paid using domestic currency, while the foreign buye

13、rs want to pay in their currency. In the process of paying for these exports, foreign currency is exchanged for domestic currency, creating supply of foreign currency. International capital inflows result in a supply of foreign currency in the foreign exchange market. In making investments in domest

14、ic financial assets, foreign investors often start with foreign currency and must exchange it for domestic currency before they can buy the domestic assets. The exchange creates a supply of foreign currency. Sales of foreign financial assets that the countrys residents had previously acquired, and b

15、orrowing from foreigners by this countrys residents are other forms of capital inflow that can create supply of foreign currency.4.6.The U.S. firm obtains a quotation from its bank on the spot exchange rate for buying yen with dollars. If the rate is acceptable, the firm instructs its bank that it w

16、ants to use dollars from its dollar checking account to buy 1 million yen at this spot exchange rate. It also instructs its bank to send the yen to the bank account of the Japanese firm. To carry out this instruction, the U.S. bank instructs its correspondent bank in Japan to take 1 million yen from

17、 its account at the correspondent bank and transfer the yen to the bank account of the Japanese firm. (The U.S. bank could also use yen at its own branch if it has a branch in Japan.)The trader would seek out the best quoted spot rate for buying euros with dollars, either through direct contact with

18、 traders at other banks or by using the services of a foreign exchange broker. The trader would use the best rate to buy euro spot. Sometime in the next hour or so (or, typically at least by the end of the day), the trader will enter the interbank market again, to obtain the best quoted spot rate fo

19、r selling euros for dollars. The trader will use the best spot rate to sell her previously acquired euros. If the spot value of the euro has risen during this short time, the trader makes a profit.a. The cross rate between the yen and the krone is too high (the yen value of the krone is too high) re

20、lative to the dollar-foreign currency exchange rates. Thus, in a profitable triangular arbitrage, you want to sell kroner at the high cross rate. The arbitrage will be: Use dollars to buy kroner at $0.20/krone, use these kroner to buy yen at 25 yen/krone, and use the yen to buy dollars at $0.01/yen.

21、 For each dollar that you sell initially, you can obtain 5 kroner, these 5 kroner can obtain 125 yen, and the 125 yen can obtain $1.25. The arbitrage profit for each dollar is therefore 25 cents.8.b. Selling kroner to buy yen puts downward pressure on the cross rate (the yen price of krone). The val

22、ue of the cross rate must fall to 20 (=0.20/0.01) yen/krone to eliminate the opportunity for triangular arbitrage, assuming that the dollar exchange rates are unchanged.10. a. The increase in supply of Swiss francs puts downward pressure on the exchange-rate value ($/SFr) of the franc. The monetary

23、authorities must intervene to defend the fixed exchange rate by buying SFr and selling dollars.b. The increase in supply of francs puts downward pressure on the exchange-rate value ($/SFr) of the franc. The monetary authorities must intervene to defend the fixed exchange rate by buying SFr and selli

24、ng dollars.c. The increase in supply of francs puts downward pressure on the exchange-rate value ($/SFr) of the franc. The monetary authorities must intervene to defend the fixed exchange rate by buying SFr and selling dollars.d. The decrease in demand for francs puts downward pressure on the exchan

25、ge-rate value ($/SFr) of the franc. The monetary authorities must intervene to defend the fixed exchange rate by buying SFr and selling dollars.Chapter 42.You will need data on four market rates: The current interest rate (or yield) on bondsissued by the U.S. government that mature in one year, the

26、current interest rate (or yield) on bonds issued by the British government that mature in one year, the current spot exchange rate between the dollar and pound, and the current one-year forward exchange rate between the dollar and pound. Do these rates result in a covered interest differential that

27、is very close to zero?4. a. The U.S. firm has an asset position in yen it has a long position in yen. To hedge its exposure to exchange rate risk, the firm should enter into a forward exchange contract now in which the firm commits to sell yen and receive dollars at the current forward rate. The con

28、tract amounts are to sell 1 million yen and receive $9,000, both in 60 days.b. The student has an asset position in yena long position in yen. To hedge the exposure to exchange rate risk, the student should enter into a forward exchange contract now in which the student commits to sell yen and recei

29、ve dollars at the current forward rate. The contract amounts are to sell 10 million yen and receive $90,000, both in 60 days.c. The U.S. firm has an liability position in yen a short position in yen. To hedge its exposure to exchange rate risk, the firm should enter into a forward exchange contract

30、now in which the firm commits to sell dollars and receive yen at the current forward rate. The contract amounts are to sell $900,000 and receive 100 million yen, both in 60 days.6.8.10.Relative to your exp ected spot value of the euro in 90 days ($1.22/euro), the curre nt forward rate of the euro ($

31、1.18/euro) is low the forward value of the euro is relatively low. Using the principle of buy low, sell high, you can sp eculate by en teri ng into a forward con tract now to buy euros at $1.18/euro. If you are correct in your exp ectati on, the n in 90 days you will be able to immediately resell th

32、ose euros for $1.22/euro, po cketi ng a p rofit of $0.04 for each euro that you bought forward. If many people sp eculate in this way, the n massive pu rchases now of euros forward (in creas ing the dema nd for euros forward) will tend to drive up the forward value of the euro, toward a curre nt for

33、ward rate of $1.22/euro.a. The Swiss franc is at a forward prem ium. Its curre nt forward value ($0.505/SFr) is greater tha n its curre nt spot value ($0.500/SFr).b. The covered in terest differe ntial i n favor of Switzerla nd is (1 + 0.005)(0.505) / 0.500) - (1 + 0.01) = 0.005. (Note that the in t

34、erest rate used must match the time period of the inv estme nt.) There is a covered in terest differe ntial of 0.5% for 30 days (6 p erce nt at an annual rate). The U.S. i nv estor can make a higher return, covered aga inst excha nge rate risk, by inv esti ng in SFr-de nomin ated bon ds, so p resuma

35、bly the in vestor should make this covered inv estme nt. Although the in terest rate on SFr-de nomin ated bonds is lower tha n the in terest rate on dollar-de nomin ated bon ds, the forward p remium on the franc is larger tha n this differe nee, so that the covered in vestme nt is a good idea.c. The

36、 lack of dema nd for dollar-de nomin ated bonds (or the supply of these bonds as inv estors sell them in order to shift into SFr-de nomin ated bon ds) puts dow nward p ressure on the p rices of U.S. bondup ward p ressure on U.S. in terest rates. The extra dema nd for the franc in the spot excha nge

37、market (as in vestors buy SFr in order to buy SFr-de nomin ated bon ds) puts up ward p ressure on the spot excha nge rate. The extra dema nd for SFr-de nomin ated bonds puts up ward p ressure on the p rices of Swiss bonds dow nward p ressure on Swiss in terest rates. The extra supply of francs in th

38、e forward market (as U.S. i nv estors cover their SFr in vestme nts back into dollars) p uts dow nward p ressure on the forward excha nge rate. If the only rate that cha nges is the forward excha nge rate, this rate must fall to about $0.5025/SFr. With this forward rate and the other in itial rates,

39、 the covered in terest differe ntial is close to zero.In testi ng covered in terest p arity, all of the in terest rates and excha nge rates that are n eeded to calculate the covered in terest differe ntial are rates that can observed in the bond and foreig n excha nge markets. Determi ning whether t

40、he covered in terest differe ntial is about zero (covered in terest p arity) is the n straightforward (although some more subtle issues regardi ng tim ing of tran sacti ons may also n eed to be addressed). I n order to test un covered in terest p arity, we n eed to know not only three ratestwo in te

41、rest rates and the curre nt spot excha nge ratethat can be observed in the market, but also one rate the exp ected future spot excha nge rathat is not observed in any market. The tester the n n eeds a way to find out about inv estors exp ectati ons. One way is to ask them, using a survey, but they m

42、ay not say exactly what they really thi nk. Ano ther way is to exam ine the actual un covered in terest differe ntial after we know what the future spot excha nge rate actually turns out to be, and see whether the statistical characteristics of theChap ter 5 2.actual un covered differe ntial are con

43、 siste nt with an exp ected un covered differe ntial of about zero (un covered in terest p arity).a. The euro is exp ected to app reciate at an annual rate of app roximately (1.005 - 1.000)/1.000) (360/180) 100 = 1%. The exp ected un covered in terest differe ntial is app roximately 3% + 1% - 4% = 0

44、, so un covered in terest p arity holds (app roximately).b. If the in terest rate on 180-day dollar-de nomin ated bonds decli nes to 3%, the n the spot excha nge rate is likely to in creasthe euro will app reciate, the dollar dep reciate. At the in itial curre nt spot excha nge rate, the in itial ex

45、p ected future spot excha nge rate, and the in itial euro in terest rate, the exp ected un covered in terest differe ntial shifts in favor of inv esti ng in euro-de nomin ated bonds (the exp ected un covered differe ntial is now po sitive, 3% + 1% - 3% = 1%, favori ng un covered inv estme nt in euro

46、-de nomin ated bon ds. The in creased dema nd for euros in the spot excha nge market tends to app reciate the euro. If the euro in terest rate and the exp ected future spot excha nge rate rema in un cha nged, the n the curre nt spot rate must cha nge immediately to be $1.005/euro, to reestablish un

47、covered in terest p arity. Whe n the curre nt spot rate jumps to this value, the euros excha nge rate value is not exp ected to cha nge in value subseque ntly duri ng the n ext 180 days. The dollar has dep reciated immediately, and the un covered differe ntial then again is zero (3% + 0% - 3% = 0).4

48、.a. For un covered in terest p arity to hold, in vestors must expect that the rate of cha nge in the spot excha nge-rate value of the yen equals the in terest rate differe ntial, which is zero. In vestors must expect that the future spot value is the same as the curre nt spot value, $0.01/ye n.b. If

49、 inv estors expect that the excha nge rate will be $0.0095/ye n, the n they expect the yen to dep reciate from its in itial sp ot value duri ng the n ext 90 days. Give n the other rates, inv estors tend to shift their in vestme nts toward dollar-de nomin ated inv estme nts. The extra supply of yen (

50、and dema nd for dollars) in the spot excha nge market results in a decrease in the curre nt spot value of the yen (the dollar app reciates). The shift to exp ect ing that the yen will dep reciate (the dollar app reciate) sometime duri ng the n ext 90 days tends to cause the yen to dep reciate (the d

51、ollar to app reciate) immediately in the curre nt spot market.The law of one p rice will hold better for gold. Gold can be traded easily so that any p rice differe nces would lead to arbitrage that would tend to push gold p rices (stated in a com mon curre ncy by converting p rices using market exch

52、a nge rates) back close to equality. Big Macs cannot be arbitraged. If p rice differe nces exist, there is no arbitrage p ressure, so the p rice differe nces can p ersist. The p rices of Big Macs (stated in a com mon curre ncy) vary widely around the world.8.10.a.12.a.14. a.Accord ing to PPP, the ex

53、cha nge rate value of the DM (relative to the dollar) has rise n since the early 1970s because Germa ny has exp erie need less in flati on tha n has the Un ited States the p roduct p rice level has rise n less in Germa ny since the early 1970s tha n it has rise n in the Un ited States. Accordi ng to

54、 the mon etary app roach, the Germa n p rice level has not rise n as much because the Germa n money supply has in creased less tha n the money supply has in creased in the Un ited States, relative to the growth rates of real domestic p roduct ion in the two coun tries. The British pound is the opp o

55、site cas more in flati on in Brita in tha n in the Un ited States, and higher money growth in Brita in.Because the growth rate of the domestic money supply (M is two p erce ntage p oi nts higher tha n it was p reviously, the mon etary app roach in dicates that the excha nge rate value (e) of the for

56、eig n curre ncy will be higher tha n it otherwise would be that is, the excha nge rate value of the coun trys curre ncy will be lower. Sp ecifically, the foreig n curre ncy will app reciate by two p erce ntage points more per year, or dep reciate by two p erce ntage poin ts less. That is, the domest

57、ic curre ncy will dep reciate by two p erce ntage points more per year, or app reciate by two p erce ntage points less.b. The faster growth of the coun trys money supply eve ntually leads to a faster rate ofin flati on of the domestic p rice level (P). Sp ecifically, the in flati on rate will be two

58、p erce ntage poin ts higher tha n it otherwise would be. Accord ing to relative PPP, a faster rate of in crease in the domestic p rice level (P) leads to a higher rate of app reciati on of the foreig n curre ncy.For the Uni ted States in 1975, 20,000 = 1100 800, or k = 0.25.For P ugelovia in 1975, 1

59、0,000 = k100 200, or k = 0.5.b. For the Un ited States, the qua ntity theory of money with a con sta nt k means that the qua ntity equation with k = 0.25 should hold in 2002: 65,000 = 0.252601,000. It does. Because the qua ntity equati on holds for both years with the same k, the cha nge in the p rice level from 1975 to 2002 is con siste nt with the qua ntity theory of money with a con sta nt k. Similarly, for Pu gelov