天津商业大学 2012-2013 学年二学期 课程考试试卷答案(B 卷)
课程名称： ｛课程名称｝ 考试时间：120 分钟 年级：xxx 级 专业： xxx 题目部分， （卷面共有 17 题，100 分，各大题标有题量和总分） 一、名词解释（5 小题，共 20 分） 1、An option whose exercise price is the same as the spot
price of the underlying currency
2、A financial statement summarizing the flow of
goods, services, and investment funds between residents of a given country and residents of the rest of the world.
3、If the law of one price were true for all goods and services, the purchasing power parity exchange rate could be found from any individual set of prices. By comparing the prices of identical products denominated in different currencies, one could determine the ―real‖ or PPP exchange rate which should exist if markets were efficient. This is the absolute version of the theory of purchasing power parity. Absolute PPP states that the spot exchange rate is determined by the relative prices of similar baskets of goods. 4、The process whereby an investor earns a
risk-free profit by (1) borrowing funds in one currency, (2) exchanging those funds in the spot market for a foreign currency, (3) investing the foreign currency at interest rates in a foreign country, (4) selling forward, at the time of original investment, the investment proceeds to be received at maturity, (5) using the proceeds of the forward sale to repay the original loan, and (6) sustaining a remaining profit balance.
5、A currency deposited in a bank located in a country other than the 试卷答案 第 1 页 （共 10 页）
country issuing the currency.
二、简答题（7 小题，共 42 分） 1、 In a currency board arrangement, the country issues its own currency but that currency is backed 100% by foreign exchange holdings of a hard foreign currency—usually the U.S. dollar. In dollarization, the country abolishes its own currency and uses a foreign currency, such as the U.S. dollar, for all domestic transactions. 2、 Quite obviously the merchandise involved in the import or export of marijuana, heroin, cocaine, or other drugs is not reported to customs officials and so does not appear in the goods section of the current account. For similar reasons, the cash payments used to finance terrorists are not reported in the current transfers section of the current account. The opposite side to any of these transactions is changes in bank balances held by foreigners or foreign bank balances held by home country residents. These are usually reported, but only in the aggregate. That is, the total changes in holdings are reported by banks, but the parties to the millions and millions of individual transactions that lead to the total change are not reported. The imbalance shows up in the errors and omissions part of the balance of payments. 3、Interbank quotations are given as a bid and ask (also referred to as an offer). The bid is the price in one currency at which a dealer will buy another currency. The ask is the price at which a dealer will sell the other currency. Dealers bid (buy) at one price and ask (sell) at a slightly higher price, making their profit from the spread between the buying and selling prices. Bid and ask quotations in the foreign exchange markets are superficially complicated by the fact that the bid for one currency is also the offer for the opposite currency. A trader seeking to buy dollars with euros is simultaneously offering to sell euros for dollars. An example quote is shown here: EUR/USD 1.2170/78 The full outright quotation (the full price to all of its decimal points) is typically shown only for the bid rate. Traders, however, tend to abbreviate when talking on the phone or putting quotations on a video screen. The first term, the bid, of a spot quotation may be given in full: that is, ―1.2170.‖ However, the second term, the ask, will probably be expressed only as the digits that differ from the bid. Hence, the bid and ask for spot euros would probably be shown ―1.2170/78‖ on a video screen. In some cases between professional traders, they may only quote the last two digits of both the bid and ask, ―70–78‖, because they know what the other figures are. 4、The theory of interest rate parity (IRP) provides the linkage between the foreign exchange markets and the international money markets. The 试卷答案 第 2 页 （共 10 页）
theory states: The difference in the national interest rates for securities of similar risk and maturity should be equal to, but opposite in sign to, the forward rate discount or premium for the foreign currency, except for transaction costs.
5、From the option writer’s point of view, only two events can take place: a. The option is not exercised. In this case the writer gains the option premium and still has the underlying stock. Historically, 75% ? 80% of options expire and are not exercised.
b. The option is exercised. If the option writer owns the stock and the option is exercised, the option writer (a) gains the premium and (b) experiences only an opportunity cost loss. In other words, the loss is not a cash loss, but rather the opportunity cost loss of having foregone the potential of making even more profit had the underlying shares been sold at a more advantageous price. This is somewhat equivalent of having sold (call option writer) or bought (put option writer) at a price better than current market, only to have the market price move even further in a beneficial direction. If the option writer does not own the underlying shares, the option is written “naked.” Only in this instance can the cash loss to the option writer be a very large amount.
6、 The Impossible Trinity are: 1. Exchange rate stability 2. Full financial integration and 3. Monetary independence These qualities are termed the Impossible Trinity because a country must give up one of the three goals described by the sides of the triangle: monetary independence, exchange rate stability, or full financial integration. The forces of economics do not allow the simultaneous achievement of all three. For example: ? Countries with tight control over capital inflows and outflows can retain their monetary independence and stable exchange rate, but surrender being integrated with the world’s capital markets. ? Countries with floating rate regimes can maintain monetary independence and financial integration but must sacrifice exchange rate stability. ? Countries that maintain exchange rate stability by having fixed rates give up the ability to have an independent monetary policy. 试卷答案 第 3 页 （共 10 页）
currency cash flows requires that the British firm with dollar receivables must establish an equivalent dollar payable. They could do this by borrowing dollars and repaying the loan with the proceeds from the receivables account. Or they could move all or part of their operations to the U.S. so that both receivables and payables would be in U.S. dollars. Risk-sharing agreements are contractual clauses whereby both parties agree to an acceptable range of exchange rates at the time the international sale is made. A spot rate at time of exchange outside of the agreed upon range results in an adjustment made to the actual exchange rate that shares the difference between the spot rate and the acceptable range of exchange rates. Back-to-back loans provide for parent-subsidiary cross border financing without incurring direct currency exposure. For example, using our British and U.S. firms, the British firm could lend pounds to the U.S. subsidiary in Britain at the same time that the U.S. firm lends an equivalent amount of dollars to the British subsidiary in the U.S. Later, the loans would be simultaneously repaid.
三、论述题（2 小题，共 20 分）
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1、The spot and forward exchange markets are not constantly in the state of equilibrium described by interest rate parity. When the market is not in equilibrium, the potential for “riskless” or arbitrage profits exists. The arbitrager who recognizes such an imbalance will move to take advantage of the disequilibrium by investing in whichever currency offers the higher return on a covered basis. This is called covered interest arbitrage (CIA). CIA is possible when interest rate parity does not hold. An example of a basic CIA strategy would be to 1) convert dollars at the current spot into a foreign currency, 2) invest the foreign currency in a risk-free investment in the foreign country, 3) simultaneously sell the future proceeds of the foreign risk-free investment in the forward market, and finally 4) calculate the opportunity cost of the funds at the U.S. risk-free interest rate. When done correctly, the difference between the revenue in step 2 should exceed the cash-outflows in steps 3 and 4. A deviation from covered interest arbitrage is uncovered interest arbitrage (UIA), wherein investors borrow in countries and currencies exhibiting relatively low interest rates and convert the proceeds into currencies that offer much higher interest rates. The transaction is “uncovered” because the investor does not sell the higher yielding currency proceeds forward, choosing to remain uncovered an d accept the currency risk of exchanging the higher yield currency into the lower yielding currency at the end of the period. Uncovered interest arbitrage is not truly arbitrage, since it is not a riskless proposition. 2、The asset market approach, sometimes called the relative price of bonds or portfolio balance approach, argues that exchange rates are determined by the supply and demand for financial assets. Shifts in the supply and demand for financial assets alter exchange rates. Changes in monetary and fiscal policy alter expected returns and perceived relative risks of financial assets, which in turn alter rates. This differs from the balance of payments approach argument that the equilibrium exchange rate is found when the net inflow (outflow) of foreign exchange arising from current account activities matches the net outflow (inflow) of foreign exchange arising from financial account activities. The asset market approach assumes that whether foreigners are willing to hold claims in monetary form depends on an extensive set of investment considerations or drivers. These drivers include the following: ? Relative real interest rates are a major consideration for investors in foreign bonds and short-term money market instruments. ? Prospects for economic growth and profitability are an important determinant of cross-border equity investment in both securities and foreign direct investment.
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? Capital market liquidity is particularly important to foreign institutional investors. Cross-border investors are not only interested in the ease of buying assets, but also in the ease of selling those assets quickly for fair market value if desired. ?? A country’s economic and social infrastructure is an important indicator of that country’s ability to survive unexpected external shocks and to prosper in a rapidly changing world economic environment. ? Political safety is exceptionally important to both foreign portfolio and direct investors. The outlook for political safety is usually reflected in political risk premiums for a country’s securities and for purposes of evaluating foreign direct investment in t hat country.
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? The credibility of corporate governance practices is important to cross-border portfolio investors. A firm’s poor corporate governance practices can reduce foreign investors’ influence and cause subsequent loss of the firm’s focus on shareholder wea lth objectives. ? Contagion is defined as the spread of a crisis in one country to its neighboring countries and other countries that have similar characteristics—at least in the eyes of cross-border investors. Contagion can cause an “innocent” country to experience capital flight with a resulting depreciation of its currency. ? Speculation can cause both a foreign exchange crisis or make an existing crisis worse. We will observe this effect through the three illustrative cases that follow shortly.
四、计算题（3 小题，共 18 分） 1、
Assumptions Beginning funds in Swiss francs (SF) Mt. Fuji Bank (yen/$) 92.00 1.0200 90.00 12,000,000.00 Values
Mt. Rushmore Bank (SF/$) Matterhorn Bank (yen/SF) Try Number 1: Start with SF to $ Step 1: SF to $ Step 2: $ to yen Step 3: yen to SF Profit?
11,764,705.88 1,082,352,941.18 12,026,143.79 26,143.79
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Assumptions Spot exchange rate (Kn/$) 5.6288 25.70 2.65 Value
Price of vanilla latter in Zagreb (kn) Price of vanilla latter in NYC ($)
Actual price of Croatian latte in USD Implied PPP of Croatian latte in USD Percentage overvaluation (positive) or undervaluation (negative)
4.57 9.70 112.408%
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Arbitrage Rule of Thumb: If the difference in interest rates is greater than the forward premium/discount, or expected change in the spot rate for UIA, invest in the higher interest yielding currency. If the difference in interest rates is less than the forward premium (or expected change in the spot rate), invest in the lower yielding currency.
Difference in interest rates (ikr - i$) Forward discount on the krone CIA profit potential
2.000% -1.678% 0.322%
This tells Heidi H? i Jensen that he should borrow dollars and invest in the higher yielding currency the Danish kroner, for CIA profit.
U.S. dollar START
interest rate END
$ ↓ ↓ ↓
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↓ ↓ ---------------> Spot (kr/$) 6.1720 ↓ ↓ ↓ kr 30,860,000.00 → → 1.0125 5.000% Danish kroner interest (3-month) → → 90 days ---------------->
↑ ↑ Forward-90 (kr/$) 6.1980 ↑ ↑ ↑ kr 31,245,750.00
Heidi H? i Jensen generates a covered interest arbitrage (CIA) profit because she is able to generate an even higher interest return in Danish kroner than she "gives up" by selling the proceeds forward at the forward rate.
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