國際財務(wù)管理期末重點【文檔】

2。Explainthemechanismwhichrestoresthebalanceofpaymentsequilibriumwhenitisdisturbedunderthegoldstandard.Answer：Theadjustmentmechanismunderthegoldstandardisreferredtoastheprice—specie-flowmechanismexpoundedbyDavidUnderthegoldbalanceofpaymentdisequilibriumwillbecorrectedbyacountrflowofgol。Supposethattheimportsmorefromthethanitexportstothelatter.Undertheclassicalgoldstandard,whichistheonlymeansofinternationalpayments,willflowfromU.S.totheU。K.Asaresult,theU.S(U.K。willexperienceadecrease(increase)inmoneysupply.ThismeansthatthepricelevelwilltendtofallintheU.SandriseintheUK。Consequently，ductsbecomemorecompetitiveintheexportmarket,whileK.productsbecomelesscompetitive.ThischangewillimproveSbalanceofpaymentsandatthesametimehurttheU.K.balanceofpayments,eventuallyeliminatingtheinitialBOP。12。OncecapitalmarketsareitisdifficultforacountrytomaintainafixedexchangeExplainwhythismaybe。Answer:Oncecapitalmarketsareintegratedinternationally，vastamountsofmoneymayflowinandoutofacountryinashorttimeperiod.Thiswillmakeitverydifficultforcountrytomaintainafixedexchangerate.3.TheUnitedStateshasexperiencedcontinuouscurrentaccountdeficitssincetheearly1980s。Whatdoyouthinkarethemaincausesforthedeficits?WhatwouldbetheconsequencesofcontinuousU.S.currentaccountdeficits?Answer：ThecurrentaccountdeficitsofmayhavereflectedafewreasonssuchasahistoricallyhighrealinterestrateintheSwhichisduetoballooningfederalbudgetdeficits,thatkeptthedollarstrong,and（ii）weakcompetitivenessoftheSindustries.8。Explainhowtocomputetheoverallbalanceanddiscussitssignificance.Answer: TheoverallBOPisdeterminedbycomputingthecumulativebalanceofpaymentsincludingthecurrentaccount,capitalaccount,andthestatisticaldiscrepancies.TheoverallBOPissignificantbecauseitindicatesacountry’sinternationalpaymentgapthatmustbefinancedbythegovernment’sofficialreserve。9.Explainandcompareforwardvs.backwardinternalization.Answer：ForwardinternalizationoccurswhenMNCswithintangibleassetsmakeFDIordertoutilizetheassetsonalargerscaleandatthesametimeinternalizeanypossibleexternalitiesgeneratedbytheassetsBackwardinternalizationontheotherhandoccurswhenMNCsacquireforeignfirmsinordertogainaccesstotheintangibleassetsresidingintheforeignfirmsandatthesametimeinternalizeanyexternalitiesgeneratedbythe。1. WhyiscapitalbudgetinganalysissoimportanttotheAnswer: Thefundamentalgoalofthefinancialmanageristomaximizeshareholderwealth。CapitalinvestmentswithpositiveNPVorAPVcontributetoshareholderwealth.Additionally，capitalinvestmentsgenerallyrepresentlargeexpendituresrelativetothevalueoftheentirefirm。Theseinvestmentsdeterminehowefficientlyandexpensivelythefirmwillproduceitsproduct. Consequently，capitalexpendituresdeterminethelong-runcompetitivepositionofthefirmintheproductmarketplace.PROBLEMS3。Currently,thespotexchangerateis$1.50/￡andthethree-monthforwardexchangerateis＄152/￡。Thethree-monthinterestrateis0perannumintheU。S.and5.8%perannumintheU。KAssumethatyoucanborrowasmuchas＄1,500，000or￡1，000，000.a。Determinewhethertheinterestrateparityiscurrentlyholding。b。IftheIRPisnotholding,howwouldyoucarryoutcoveredinterestarbitrage?Showallthestepsanddeterminethearbitrageprofit.c. ExplainhowtheIRPwillberestoredasaresultofcoveredarbitrage。Let’ssummarizethegivendatafirst:S=＄1。5/￡；F=。52/￡; I$=2。0％; I￡=Credit=＄1,500，000or￡1,000，000。a.(1+)=1.02（1+I￡)（F/S)=（1.0145)（1.52/1。50）=1.0280Thus，IRPisnotholdingexactly.b.（1)Borrow$1,500,000；repaymentwillbe(2)Buy￡1，000,000spotusing$1，500，000.（3)Invest￡1，000,000atthepoundinterestrateofmaturityvaluewillbe￡1,014，500.(4）Sell￡1,014,500forwardforArbitrageprofitwillbe＄12,040c.Followingthearbitragetransactionsdescribedabove，Thedollarinterestratewillrise;Thepoundinterestratewillfall;ThespotexchangeratewillTheforwardexchangeratewillTheseadjustmentswillcontinueuntilIRPholds。4。Supposethatthecurrentspotexchangerateis0。80/$andthethree-monthforwardexchangerateis7813/$Thethree—monthinterestrateis5.6percentperannumintheUnitedStatesand40percentperannuminFrance.Assumethatyoucanborrowupto＄1，000,000or€800,000.a.Showhowtorealizeacertainprofitviacoveredinterestarbitrage,assumingthatyouwanttorealizeprofitintermsofU.S.dollars.Alsodeterminethesizeofyourarbitrageprofit。。Assumethatyouwanttorealizeprofitintermsofeuros.Showthecoveredarbitrageprocessanddeterminethearbitrageprofitineuros。(1+i)=1。014< (F/S）1+i€)=1.053.Thus,onehastoborrowdollarsandinvestineurostomakearbitrage。Borrow$1,000，000andrepayinthree。2. Sell$1,000，000spotfor€1,060,000.3. Invest€1,060,000attheeurointerestrateof1。35％forthreemonthsandreceive€1,074，310atmaturity.4. Sell€1,074,310forwardfor＄1,053，245.Arbitrageprofit=$1,053,245—＄1，014,000=＄39，245.Followthefirstthreestepsabove.Butthelaststep,involvingexchangeriskwillbedifferent。5. Buy$1,014，000forwardfor。Arbitrageprofit€1,074,310€1,034，280€40,0306。AsofNovember1，1999,theexchangeratebetweentheBrazilianrealandU。S.dollarisR＄1。95/＄.TheconsensusforecastfortheU.SandBrazilinflationratesforthenextperiodis6and0％respectively.HowwouldyouforecasttheexchangeratetobeataroundNovember1,:SincetheinflationrateisquitehighinBrazil,wemayusethepurchasingpowerparitytoforecasttheexchangeteE(e）=E（$）—（R）=2.6%—20.0%174%E(ST） =So(1+E(）=（R$1（1+。174)=R$2。29/$7。（CFAquestion）OmniAdvisors,aninternationalpensionfundmanager，usestheconceptsofpurchasingpowerparity（PPP)andtheInternationalFisherEffect(IFE)toforecastspotexchangerates.Omnigathersthefinancialinformationasfollows:Base price levelBaserandspotexchangerate＄0。175CurrentrandspotexchangerateBaserandspotexchangerate＄0。175Currentrandspotexchangerate＄0.158ExpectedannualU。S。inflation7％ExpectedannualSouthAfricaninflation5%ExpectedU.S。one-yearinterestrate10％ExpectedSouthAfricanone—yearinterestrate8%CurrentU。S.pricelevel 105CurrentSouthAfricanpricelevel 111Calculatethefollowingexchangerates(ZARandUSDrefertotheSouthAfricanandU.S。dolla，respectively。ThecurrentZARspotrateinUSDthatwouldhavebeenforecastbyPUsingtheIF，theexpectedZARspotrateinUSDoneyearfromnow.UsingPPP,theexpectedZARspotrateinUSDfouryearsfromwa.ZARspotrateunderPPPdb.ExpectedZARspotrate08］（0158)。c。ExpectedZARunderPPP=（1.074/(。054]0.158）=0。1704/ran。8.Supposethatthecurrentspotexchangerateis€1.50/?andtheone—yearforwardexchangerateis€1.60/?Theone-yearinterestrateis5.4ineurosand5.2％inpounds。Youcanborrowatmost€1,000，000ortheequivalentpoundamount。。?666,667,atthecurrentspotexchangerate.Showhowyoucanrealizeaguaranteedprofitfromcoveredinterestarbitrage.Assumethatyouareaeuro-basedinvestor。Alsodeterminethesizeofarbitrage。Discusshowtheinterestrateparitymayberestoredasaresultoftheabovetransactions。Supposeyouareapound-based。Showthecoveredarbitrageprocessanddeterminethepoundprofitamount.a.First,notethat（1+i€)=1.054islessthan€)=50)(1.052)=1221。Youshouldthusborrowineurosandlendin。Borrow€1,000,000andpromisetorepayinoneyear.2) Buy?666，667spotfor €1,000，000。Invest?666，667atthepoundinterestrateof5.2％；thematurityvaluewillbe?701,334.Tohedgeexchangerisk,sellthematurityvalue?701,334forwardinexchangefor€1,122,134。Thearbitrageprofitwillbethedifferencebetween€1，122,134and€1,054，000,i.e€68，134。b。Asaresultoftheabovearbitragetransactions,theeurointerestratewillrise ，poundinterestratewill。Inadditionthespotexchangerate（eurosperpound)willriseandtheforwardratewillfall.Theseadjustmentswillcontinueuntiltheinterestrateparityisrestored。c.Thepounbasedinvestorwillcarryoutthesametransactions1，2，and3)ina.Buttohedge,he/shewillbuy €1,054,000forwardinexchangefor?658，750。Thearbitrageprofitwillthenbe?42,584=?701，334—?658,750.9。Duetotheintegratednatureoftheircapitalmarkets，investorsinboththeU。S.andU.K.requirethesamerealinterestrate,ontheirThereisaconsensusincapitalmarketsthattheannualinflationrateislikelytobe3。5intheandintheK.forthenextthreeyears.Thespotexchangerateiscurrently＄1。50/￡。ComputethenominalinterestrateperannuminboththeU。S.andU。K。,assumingthattheFishereffectholds.Whatisyourexpectedfuturespotdollar—poundexchangerateinthreefromnow?Canyouinfertheforwardexchangerateforone-yeara。 NominalrateinUS=(1+ρ)（1+E(π$）–1=035）–1=0609or6.09％.NominalrateinUK=（1+ρ)(1+E（π?)）–1=（1.025）(1。015)–1=0。0404or4.04%.b。E(ST）=（1.0609/(。040）］(1.5）=c。F=[1.0609/1.0404］(150)=。5296/?。。Abanksellsa“threeagainstsix”＄3,000，000FRAforaperiodbeginningthreemonthsfromtodayandendingsixmonthsfromtoday。ThepurposeoftheFRAistocovertheinterestrateriskcausedbythematuritymismatchfromhavingmadeaEurodollarloanandhavingacceptedsix-monthEurodollardeposit. Theagreementratewiththebuyeris5.5percent。Thereareactually92daysinthethree—monthFRAperiod. Assumethatthreemonthsfromtodaythesettlementrateis47/8percent. DeterminehowmuchtheFRAisworthandwhopayswho—-thebuyerpaysthesellerorthesellerpaysthebuyer.Solution：SincethesettlementrateislessthantheagreementthebuyerpaysthesellertheabsolutevalueoftheFRA. TheabsolutevalueoftheFRA＄3，000,000x[(.04875—.055）x92/360］/[1+（。04875x92/360）]= $3，000,000x［。001597/(1.01245］= $4,732。05.3。Assumethesettlementrateinproblem2is61/8percent.Whatisthesolutionnow?Sincethese