《国际货币与金融经济学》课后习题答案

1、Answers to End of Chapter Questions Chapter 1 Keeping Up With a Changing World-Trade Flows, Capital Flows, and the Balance Of Payments 红色我们考的(我们只考前面 5 个 chapter ) 1. The balance on merchandise trade is the difference between exports of goods, 719 and the imports of goods, 1,145, for a deficit of 426

2、. The balance on goods, services and in come is 719 + 279 +284T145 - 210 -269, for a deficit of 342. Adding unilateral transfers to this gives a current account deficit of 391, -342 + (-49) = -391. (Note that income receipts are credits and income payments are debits.) 2. Because the current account

3、 balance is a deficit of 391, then without a statistical discrepancy, the capital account is a surplus of 391. In this problem, however, the statistical discrepancy is recorded as a positive amount (credit) of 11. Hence, the sum of the debits in the balance of payments must exceed the credits by 11.

4、 So, the deficit of the current account must be greater than the surplus on the capital account by 11. The capital account, therefore, is a surplus of 391-11 = 380. 3. A balance-of-payments equilibrium is when the debits and credits in the current account and the private capital account sum to zero.

5、 In the problem above we do not know the private capital account balance. We cannot say, therefore, whether this country is experiencing a balance-of-payments surplus or deficit or if it is in equilibrium. 4 The current account is a deficit of $541,830 and the private capital account balance is a su

6、rplus of $369,068. The U.S., therefore, has a balance of payments deficit. 5 Positive aspects of being a net debtor include the possibility of financing domestic investment that is not possible through domestic savings; thereby allowing for domestic capital stock growth which may allow job, producti

7、vity, and income growth. Negative aspects include the fact that foreign savings may be used to finance domestic con sumptio n rather tha n domestic sav in gs; which will compromise the growth suggested above. Positive aspects of being a net creditor in clude the own ership of foreig n assets which c

8、an represe nt an in come flows to the credit ing coun try. Further, the net creditor positi on also implies a net export ing positi on. A n egative aspect of being a net creditor in cludes the fact that foreig n in vestme nt may substitute for domestic in vestme nt. 6 A n ati on may desire to receiv

9、e both portfolio and direct inv estme nt due to the type of in vestme nt each represe nts. Portfolio inv estme nt is a finan cial in vestme nt while direct inv estme nt is domin ated by the purchase of actual, real, productive assets. To the exte nt that a country can ben efit by each type of in ves

10、tme nt, it will desire both types of in vestme nt. Further, portfolio inv estme nt tends to be short-r un in n ature, while FDI tends to be long-run in n ature. This is also addressed in much greater detail in Chapter 7. 7. Domestic Savings - Domestic In vestme nt = Curre nt Acco unt Bala nee Domest

11、ic Savings - Domestic In vestme nt = Net Capital Flows Therefore, Curre nt Acco unt Bala nee = Net Capital Flows 8 Using the equati ons above, private sav ings of 5 perce nt of in come, gover nment savings of -1 percent, and investment expenditures of 10 percent would results in a curre nt acco unt

12、deficit of 6 perce nt of in come and a capital acco unt surplus (net capital in flows) of 6 perce nt of in come. This could be corrected with a reducti on in the gover nment deficit (to a surplus) an d/or an in crease in private sav in gs. Chapter 2 (好像这章节都要看) The Market for Foreig n Excha nge 1. Be

13、cause it costs fewer dollars to purchase a euro after the exchange rate change, the euro depreciated relative to the dollar. The rate of depreciati on (in absolute value) was (1.2168 T.2201)/1.2201100 = 0.27 percent. 2. Note that the rates provided are the foreign currency prices of the U.S. dollar.

14、 Every value has bee n roun ded to two decimal places which may cause some differe nces in an swers. A$ C$ Sfr $ Australia - 2.35 1.06 1.12 1.53 Britai n 0.42 - 0.45 0.47 0.65 Canada 0.95 2.23 - 1.06 1.45 Switzerla nd 0.90 2.11 0.94 - 1.37 Uni ted States 0.65 1.54 0.69 0.73 - 3 The cross rate is 1.7

15、02/1.234 = 1.379 (?/ ), which is smaller in value than that observed in the London market. The arbitrageur would purchase 587,54 ($1,000,000/1.702) with the $1 million in the New York market. Next they would use the 587,544 in Lon don to purchase ?837,250 ( 587,544*1.425). Fin ally, they would sell

16、the ?837,250 in the New York market for $1,033,167 (?837,250*1.234). The profit is #33,167. 4. Total trade is (163,681 + 160,829 + 261,180 + 210, 590) = 796,280. Trade with the Euro area is (163,681 + 261,180) = 424,861. Trade with Canada is (160,829 + 210,590) = 371,419. The weight assigned to the

17、euro is 424,861/796,280 = 0.53 and the weight assigned to the Canadian dollar is 0.47. (Recall the weights must sum to un ity.) Because the base year is 2003, the 2003 EER is 100The value of the 2004 EER is: (0.82/0.88)?0.53 + (1.56/1.59)?0.47?100 = (0.4939 + 0.4611)?100 = 95.4964, or 95.5. This rep

18、resents a 4.5 percent depreciation of the U.S. dollar. 5 The real effective excha nge rate (REER) for 2003 is still 100. The real rates of exchange are, for 2003, 0.88?(116.2/111.3) = .9187, 1.59?(116.2/111.7) = 1.6541, and for 2004, 0.82?(119.0/114.4) = 0.8530, 1.56?(119.0/115.6) 1.6059. The value

19、of the 2004 REER is: (0.8530/0.9187)?0.53 + (1.6059/1.6541)?0.47?100 = (0.4921 + 0.4563)?100 = 94.84, or 94.8. This represents a 5.2 percent depreciation of the U.S. dollar in real terms 6. This is a nominal appreciation of the euro relative to the U.S. dollar. The percent cha nge is (1.19 T.05)/1.0

20、5?100 = 13.3 perce nt. 7. The January 200 real exchange rate is 1.05?(107.5/112.7) = 1.0016The May 2004 real rate is 1.19?(116.4/122.2) = 1.1335. 8 In real terms the euro appreciated relative to the U.S. dollar. The rate of appreciation is (1.1335 T.0016)/1.0016*100 = 13.17 perce nt. 9 Absolute PPP

21、suggests the May 2004 excha nge rate should be 122.2/116.4 = 1.0498. The actual exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar by (1.19 -1.0498)/1.0498?100 = 13.35 percent. 10Relative PPP can be used to calculate a predicted value of the exchange rate as: SPPP= 1.05

22、?(122.2/112.7)/(116.4/107.5) = 1.0014. 11. The actual exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar by (1.19 T.0014)/1.0014?100 = 18.83 perce nt. Chapter 3 Exchange Rate Systems, Past to Present 1. Ranking the various exchange rate arrangements by flexibility is no

23、t so clear cut. Nonetheless the arrangements described in this chapter are (from fixed to flexible): dollarization, currency board, commodity (standard) peg, dollar (standard) peg, currency basket peg, crawling peg, managed float, flexible. 2. The two primary functions of the International Monetary

24、Fund are: surveillance of member nations macroeconomic policies, and to provide liquidity to member nations experiencing payments imbalances. 3. The value of the Canadian dollar relative to gold is CAN$69 (1.38 ? $50) and the value of the British pound relative to gold is 33.33 ($50/1.50). 4. The ex

25、change rate between the Canadian dollar and the British pound is C$/2.07 (1.38 ? 1.50). 5. The currency value of the peso can be expressed as $0.50 + ?.50=P1T. he exchange rate between the dollar and the euro can be used to convert the euro amount to its dollar equivalent of $0.55. Hence, $1.05=P1,

26、or and exchange value of 0.952 P/$. Using the exchange rate between the dollar and the euro again, the exchange rate between theepso and the euro is 0.1.048 P/? (0.952 P/$ ? 1.10 $/?). 6. Because $1.05 is the currency content of the basket, as shown above, and $0.50 of that content is attributable t

27、o the dollar, the weight assigned to the dollar is 0.50/1.05 = 0.476, or 47.6 percent. Because the weights must sum to unity, the weight assigned to the euro is 52.4 percent. 7. The main difference between the two systems was that, in the Smithsonian system, the dollar was not pegged to the value of

28、 gold. One reason that the system was short was because there was little confidence that U.S. economic policy would be conducted in a manner conducive to a system of pegged exchange rates.8. The principle responsibilities of a currency board are to issue domestic currency notes and peg the value of

29、the domestic currency.A currency board is not allowed to purchase domestic debt, act as a lender of last resort, or set reserve requirements. 9. The Lourve accord established unofficial limits on currency value movements. In a sense, it was peg with bands for each of the main currencies (dollar, yen

30、 and mark). 10. Differences in the fundamental determinants of currency values between the pegging country and the other country should be considered. To this point of the text, the rate of inflation is a good example. Relative PPP can be used to determine the rate of crawl. 11. Under a currency boa

31、rd system, a nation still maintains its domestic currency. Hence, policymakers can change exchange rate policies and monetary policies if they so desire. When a nation dollarizes and disposes of its domestic currency it no longer has this option. Chapter 4 The Forward Currency Market and Internation

32、al Financial Arbitrage 1. Given that the exchange rate is expressed as dollars to euros, we treat the dollar as the domestic currency. Note also that interest rates are quoted on an annual basis even though the maturity period is only one month. In this problem we divide the interest rates by 12 to

33、put them on a one-month basis. a. The interest rate differential, therefore, is (1.75%/12 - 3.25%/12) = -0.125%. The forward premium/discount, expressed as a percentage, is calculated as: (F-S)/S)?100 = (1.089 1.072)/1.072)?100=1.5858% b. Transaction costs are shown in the figure above by the dashed

34、 lines that interest the horizontal axis at values of -1.00 and 1.00. c. The positive value indicates that the euro is selling at a premium. In addition, the in terest rate differe ntial favors the euro-de nomin ated in strume nt. Hen ce, a saver shift funds to euro-de nomin ated in strume nts. 2. U

35、sing the provided in formati on: (1.75/12) -(3.25/12) (1.089 - 1.072/1.072)?100 -0.125% (1.04250)(1.4575/1.5245) = 0.9967, an arbitrage opport unity exists in this example if one were to borrow the pound and lend the euro. Suppose you were to borrow one pound, the steps are the n: a. Borrow 1, conve

36、rt to ?1.5245 on the spot market. b. Lend euros, yielding ?1.5245?(1.03125) = ?1.5721. c. See euros forward, yielding ?1.5721/1.4575 = 1.0787. d. Repay the pound loan at 1?(1.04250) = 1.04250. e. The profit is 0.0362, or 3.62 percent. 5. Because interest rates are quoted as annualized rates, we need

37、 to divide each in terest rate by 4 (12/3). The un covered in terest parity equati on is: R -R* = (S e+1 - S) /S a. Rewriting the equation for the expected future expected exchange rate yields: Si Ro Do Si Graph 5, Euro Do Ri Ro Do Graph 4, U.S. loa nable funds So Qo Qi Se+1 = (R- R*) + 1S b. Using

38、the values given yields the expected future spot rate Se+1 = (0.0124/4 - 0.0366/4) + 1?1.5245 = 1.5153. 6. Given this information, we can calculate the forward premium/discount with the UIP condition: (F - S)/S = R - R* The interest differential is 1.75% - 3.25% = 1.5%. This is the expected forward

39、premium on the euro. Hence, (F -1.08)/1.08 = 0.015 implies that F = 1.0962. 7. We can adjust for the shorter maturity by dividing the interest rates by 2 (12/6). Now the interest differential is 0.75%, still a forward premium on the euro. The forward rate now is (F -1.08)/1.08 = 0.0075 implies that

40、F = 1.0881. 8. The U.S. real rate is 1.24%-2.1% = -0.86% and the Canadian real rate is 2.15%- 2.6% = -0.45%. Ignoring transaction costs, because the real interest rates are not equal, real interest parity does not hold. 9. Un covered in terest parity is R -R* = (S e+1 - S) /S + p. a. Using the same

41、process as in question 5 above, the expected future spot rate is: Se+1 = (R- R*) + 1S, Se+1 = (0.075 - 0.035) + 1?30.35 = 31.564. b. Using the same process as in question 5 above, the expected future spot rate is: Se+1 = (R- R*) + 1 - pS, Se+1 = (0.075 - 0.035) + 1 -0.02?30.35 = 30.957. 10. Because

42、the forward rate, 30.01, is less than the expected future spot rate, 30.957, you should sell the koruna forward. For example, $1 would purcase k30.957, which you could sell forward yielding k30.957/30.01 = $1.0316. 11. International financial instruments: a. Global Bond: long term instruments issued

43、 in the domestic currency. b. Eurobond: term is longer than one year and is issued in a foreign currency. c. Eurocurrency: keyword is that it is a deposit. d. Global equity: keyword is that it is a share. Chapter 5 Interest Yields, Interest Rate Risk, and Derivative Securities 1. Given that: PB = C/

44、(1+R) + C/(1+R)2 + C/(1+R)3 + C/(1+R)4 + .; multiply each side by (1+R): PB (1+R) = C + C/(1+R) + C/(1+R) 2 +.; and subtract PB from each side: PB (1+R) - PB = C + C/(1+R) + C/(1+R) 2 +. - C/(1+R) + C/(1+R) 2 +.; Simplifying: P B * R = C. Therefore, PB = C/R. 2. In this situation, annual yields decl

45、ine as the term to maturity increases, which means that the yield curve slopes downward. According to the expectations theory of the term structure of interest rates, this situation arises because bond-market traders anticipates that short-term interest rates will fall sharply. Thus, an average of c

46、urrent and future short-term rates, which, when added to any term premium applicable to a longer maturity, is lower than the current short-term rate. 3. Yes, the excess retur n on the Germa n gover nment bond equals 3.5 perce5 percent -3 percent) = 1.5 percent. 4. Parity Conditions: e a. Using uncov

47、ered interest parity, R - R* = (S+1 - S) / S. Because the left-hand-side is negative, we would expect the right-hand side to be negative, indicating a domestic currency appreciation. b. Using relative PPP, - * = % S. Because the left -hand-side is negative, we would expect the right-hand side to be

48、negative, indicating a domestic currency appreciation. 5. The domestic real interest rate is 5 percent less 2 percent, or 3 percentT.he foreign real interest rate is 6 percent less 4 percent, or 2 percent.Real interest rates are not equal, so the real interest parity condition does not hold.We would

49、 expect funds to flow into the domestic country and out of the foreign country, which would drive the domestic real interest rate down and the foreign real interest rate up. 6. In contrast to forward currency contracts, currency futures require delivery of standard quantities of currencies. In addit

50、ion, holders of currency futures experience profits of losses on the contracts during the entire period before the contracts expire, whereas profits or losses occur only at the expiration date of a forward currency contract. 7. A currency future already is a derivative, because its value varies with

51、 the exchange rate. The value of a currency futures option, in turn, depends on the underlying value of a currency futures contract, so its value is derived from the futures derivative. In this way, a curre ncy futures opti on is a derivative of a derivative. 8. a. The compa ny owes 500,000 Sfr and

52、is concerned about the future spot exchange value of the U.S. dollar-Swiss franc. It can therefore purchase future con tracts to set a limit to its pote ntial excha nge rate losses. b. The Sfr is purchased in 125,000 franc in creme nts. Therefore, the firm would want to purchase 500,000/125,000 = 4

53、futures con tracts. Give n the in itial margin on a franc con tract, the total in itial margin the firm establishes is: 4($1,688) = $6,752. The daily margin cha nges are as follows: First: (0.6252 - 0.6251)(125,000)=+$50. Therefore its margin equals $6,802. Sec ond: (0.6127 - 0.6252)(125,000) (4) =

54、-$6250. Therefore the margin would fall to $552. However, the maintenance margi n is equal to $1,250. Thus, the margin will equal $1,250. Third: (0.6115 - 0.6127)(125,000)(4) = -$600. Again, the margin must remain at $1,250. Fourth: (0.6806 - 0.6115)(125,000)(4) = -$1450. Again, this daily change wo

55、uld fall ben eath the maintenance margi n. Thus, it remai ns at $1,250. c. As the dollar continues to appreciate relative to the Swiss franc, the value of the futures con tract falls. However, the cost of 500,000 franc payme nt is becoming cheaper on terms of the U.S. dollar. 9. a. The call opti on

56、is curre ntly out of the money. b. (0.0188)(62,500) = $1,175 ($1,175)(8 con tracts) = $9,400 At the money Net Loss c. At S = $0.96/ ? the option is not exercised and the firm is out $9,400 At S = $1.02/ ? the optio n is exercised. The firm earns $10,600 At S = $0.9657/?, the firm does not exercise t

57、he option and is out $9,400 d. Break even: $0.9988/? e. See Diagram given in part (b). 10. The pros and cons of forward contracts and swaps lie within how each works. A forward contract can be arranged between a purchaser and a seller, and is dependent upon each participants beliefs of what will hap

58、pen in the future. Sometimes it can be difficult to match counterparties to such contracts. Swaps, on the other hand, directly match traders who require flows of currencies held by one another. Swaps may also allow borrowers to receive better loan rates by issuing debt in their home currency rather

59、than in a foreign currency; thereby potentially avoiding a risk premium. Considerations of the reason for the long position on a currency and which currency is at issue will influence the decision of which derivative to use. Chapter 6 International Banking, Central Banks, and Supranational Financial

60、 Policymaking Institutions 1 The banks capital-asset ratio is equal to it equity of 100 million yen divided by its total assets of 1,000 million yen, which equals 0.10, or 10 percent. Hence, the bank definitely meets the 4 percent capital-asset ratio requirement. Because cash assets and government s