精选文档国际财务管理期末重点

2.Explainthemechanismwhichrestoresthebalanceofpaymentsequilibriumwhenitisdisturbedunderthegoldstandard.Answer:Theadjustmentmechanismunderthegoldstandardisreferredtoastheprice-specie-flowmechanismexpoundedbyDavidHume.Underthegoldstandard,abalanceofpaymentdisequilibriumwillbecorrectedbyacounter-flowofgold.SupposethattheU.S.importsmorefromtheU.K.thanitexportstothelatter.Undertheclassicalgoldstandard,gold,whichistheonlymeansofinternationalpayments,willflowfromtheU.S.totheU.K.Asaresult,theU.S.(U.K.)willexperienceadecrease(increase)inmoneysupply.ThismeansthatthepricelevelwilltendtofallintheU.S.andriseintheU.K.Consequently,theU.S.productsbecomemorecompetitiveintheexportmarket,whileU.K.productsbecomelesscompetitive.ThischangewillimproveU.S.balanceofpaymentsandatthesametimehurttheU.K.balanceofpayments,eventuallyeliminatingtheinitialBOPdisequilibrium.12.Oncecapitalmarketsareintegrated,itisdifficultforacountrytomaintainafixedexchangerate.Explainwhythismaybeso.Answer:Oncecapitalmarketsareintegratedinternationally,vastamountsofmoneymayflowinandoutofacountryinashorttimeperiod.Thiswillmakeitverydifficultforthecountrytomaintainafixedexchangerate.3.TheUnitedStateshasexperiencedcontinuouscurrentaccountdeficitssincetheearly1980s.Whatdoyouthinkarethemaincausesforthedeficits?WhatwouldbetheconsequencesofcontinuousU.S.currentaccountdeficits?Answer:ThecurrentaccountdeficitsofU.S.mayhavereflectedafewreasonssuchas(I)ahistoricallyhighrealinterestrateintheU.S.,whichisduetoballooningfederalbudgetdeficits,thatkeptthedollarstrong,and(ii)weakcompetitivenessoftheU.S.industries.8.Explainhowtocomputetheoverallbalanceanddiscussitssignificance.Answer:TheoverallBOPisdeterminedbycomputingthecumulativebalanceofpaymentsincludingthecurrentaccount,capitalaccount,andthestatisticaldiscrepancies.TheoverallBOPissignificantbecauseitindicatesacountry’sinternationalpaymentgapthatmustbefinancedbythegovernment’sofficialreservetransactions.9.Explainandcompareforwardvs.backwardinternalization.Answer:ForwardinternalizationoccurswhenMNCswithintangibleassetsmakeFDIinordertoutilizetheassetsonalargerscaleandatthesametimeinternalizeanypossibleexternalitiesgeneratedbytheassets.Backwardinternalization,ontheotherhand,occurswhenMNCsacquireforeignfirmsinordertogainaccesstotheintangibleassetsresidingintheforeignfirmsandatthesametimeinternalizeanyexternalitiesgeneratedbytheassets.1.Whyiscapitalbudgetinganalysissoimportanttothefirm?Answer:Thefundamentalgoalofthefinancialmanageristomaximizeshareholderwealth.CapitalinvestmentswithpositiveNPVorAPVcontributetoshareholderwealth.Additionally,capitalinvestmentsgenerallyrepresentlargeexpendituresrelativetothevalueoftheentirefirm.Theseinvestmentsdeterminehowefficientlyandexpensivelythefirmwillproduceitsproduct.Consequently,capitalexpendituresdeterminethelong-runcompetitivepositionofthefirmintheproductmarketplace.PROBLEMS3.Currently,thespotexchangerateis$1.50/£andthethree-monthforwardexchangerateis$1.52/£.Thethree-monthinterestrateis8.0%perannumintheU.S.and5.8%perannumintheU.K.Assumethatyoucanborrowasmuchas$1,500,000or£1,000,000.a.Determinewhethertheinterestrateparityiscurrentlyholding.b.IftheIRPisnotholding,howwouldyoucarryoutcoveredinterestarbitrage?Showallthestepsanddeterminethearbitrageprofit.c.ExplainhowtheIRPwillberestoredasaresultofcoveredarbitrageactivities.Let’ssummarizethegivendatafirst:S=$1.5/£;F=$1.52/£;I$=2.0%;I£=1.45%Credit=$1,500,000or£1,000,000.a.(1+I$)=1.02(1+I£)(F/S)=(1.0145)(1.52/1.50)=1.0280Thus,IRPisnotholdingexactly.b.(1)Borrow$1,500,000;repaymentwillbe$1,530,000.(2)Buy£1,000,000spotusing$1,500,000.(3)Invest£1,000,000atthepoundinterestrateof1.45%;maturityvaluewillbe£1,014,500.(4)Sell£1,014,500forwardfor$1,542,040Arbitrageprofitwillbe$12,040c.Followingthearbitragetransactionsdescribedabove,Thedollarinterestratewillrise;Thepoundinterestratewillfall;Thespotexchangeratewillrise;Theforwardexchangeratewillfall.TheseadjustmentswillcontinueuntilIRPholds.4.Supposethatthecurrentspotexchangerateis€0.80/$andthethree-monthforwardexchangerateis€0.7813/$.Thethree-monthinterestrateis5.6percentperannumintheUnitedStatesand5.40percentperannuminFrance.Assumethatyoucanborrowupto$1,000,000or€800,000.a.Showhowtorealizeacertainprofitviacoveredinterestarbitrage,assumingthatyouwanttorealizeprofitintermsofU.S.dollars.Alsodeterminethesizeofyourarbitrageprofit.b.Assumethatyouwanttorealizeprofitintermsofeuros.Showthecoveredarbitrageprocessanddeterminethearbitrageprofitineuros.(1+i$)=1.014<(F/S)(1+i€)=1.053.Thus,onehastoborrowdollarsandinvestineurostomakearbitrageprofit.Borrow$1,000,000andrepay$1,014,000inthreemonths.Sell$1,000,000spotfor€1,060,000.Invest€1,060,000attheeurointerestrateof1.35%forthreemonthsandreceive€1,074,310atmaturity.Sell€1,074,310forwardfor$1,053,245.Arbitrageprofit=$1,053,245-$1,014,000=$39,245.Followthefirstthreestepsabove.Butthelaststep,involvingexchangeriskhedging,willbedifferent.Buy$1,014,000forwardfor€1,034,280.Arbitrageprofit=€1,074,310-€1,034,280=€40,0306.AsofNovember1,1999,theexchangeratebetweentheBrazilianrealandU.S.dollarisR$1.95/$.TheconsensusforecastfortheU.S.andBrazilinflationratesforthenext1-yearperiodis2.6%and20.0%,respectively.HowwouldyouforecasttheexchangeratetobeataroundNovember1,2000?:SincetheinflationrateisquitehighinBrazil,wemayusethepurchasingpowerparitytoforecasttheexchangerate. E(e) =E($)-E(R$) =2.6%-20.0% =-17.4% E(ST) =So(1+E(e)) =(R$1.95/$)(1+0.174) =R$2.29/$7.(CFAquestion)OmniAdvisors,aninternationalpensionfundmanager,usestheconceptsofpurchasingpowerparity(PPP)andtheInternationalFisherEffect(IFE)toforecastspotexchangerates.Omnigathersthefinancialinformationasfollows:Basepricelevel100CurrentU.S.pricelevel105CurrentSouthAfricanpricelevel111Baserandspotexchangerate$0.175Currentrandspotexchangerate$0.158ExpectedannualU.S.inflation7%ExpectedannualSouthAfricaninflation5%ExpectedU.S.one-yearinterestrate10%ExpectedSouthAfricanone-yearinterestrate8%Calculatethefollowingexchangerates(ZARandUSDrefertotheSouthAfricanandU.S.dollar,respectively).a.ThecurrentZARspotrateinUSDthatwouldhavebeenforecastbyPPP.b.UsingtheIFE,theexpectedZARspotrateinUSDoneyearfromnow.c.UsingPPP,theexpectedZARspotrateinUSDfouryearsfromnow.a.ZARspotrateunderPPP=[1.05/1.11](0.175)=$0.1655/rand.b.ExpectedZARspotrate=[1.10/1.08](0.158)=$0.1609/rand.c.ExpectedZARunderPPP=[(1.07)4/(1.05)4](0.158)=$0.1704/rand.8.Supposethatthecurrentspotexchangerateis€1.50/₤andtheone-yearforwardexchangerateis€1.60/₤.Theone-yearinterestrateis5.4%ineurosand5.2%inpounds.Youcanborrowatmost€1,000,000ortheequivalentpoundamount,i.e.,₤666,667,atthecurrentspotexchangerate.Showhowyoucanrealizeaguaranteedprofitfromcoveredinterestarbitrage.Assumethatyouareaeuro-basedinvestor.Alsodeterminethesizeofthearbitrageprofit.Discusshowtheinterestrateparitymayberestoredasaresultoftheabovetransactions.Supposeyouareapound-basedinvestor.Showthecoveredarbitrageprocessanddeterminethepoundprofitamount.a.First,notethat(1+i€)=1.054islessthan(F/S)(1+i€)=(1.60/1.50)(1.052)=1.1221.Youshouldthusborrowineurosandlendinpounds.Borrow€1,000,000andpromisetorepay€1,054,000inoneyear.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,thepoundinterestratewillfall.Inaddition,thespotexchangerate(eurosperpound)willriseandtheforwardratewillfall.Theseadjustmentswillcontinueuntiltheinterestrateparityisrestored.c.Thepound-basedinvestorwillcarryoutthesametransactions1),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,2.5%,ontheirlending.Thereisaconsensusincapitalmarketsthattheannualinflationrateislikelytobe3.5%intheU.S.and1.5%intheU.K.forthenextthreeyears.Thespotexchangerateiscurrently$1.50/£.ComputethenominalinterestrateperannuminboththeU.S.andU.K.,assumingthattheFishereffectholds.Whatisyourexpectedfuturespotdollar-poundexchangerateinthreeyearsfromnow?Canyouinfertheforwarddollar-poundexchangerateforone-yearmaturity?a.NominalrateinUS=(1+ρ)(1+E(π$))–1=(1.025)(1.035)–1=0.0609or6.09%.NominalrateinUK=(1+ρ)(1+E(π₤))–1=(1.025)(1.015)–1=0.0404or4.04%.b.E(ST)=[(1.0609)3/(1.0404)3](1.50)=$1.5904/₤.c.F=[1.0609/1.0404](1.50)=$1.5296/₤.2.Abanksellsa“threeagainstsix”$3,000,000FRAforathree-monthperiodbeginningthreemonthsfromtodayandendingsixmonthsfromtoday.ThepurposeoftheFRAistocovertheinterestrateriskcausedbythematuritymismatchfromhavingmadeathree-monthEurodollarloanandhavingacceptedasix-monthEurodollardeposit.Theagreementratewiththebuyeris5.5percent.Thereareactually92daysinthethree-monthFRAperiod.Assumethatthreemonthsfromtodaythesettlementrateis47/8percent.DeterminehowmuchtheFRAisworthandwhopayswho--thebuyerpaysthesellerorthesellerpaysthebuyer.Solution:Sincethesettlementrateislessthantheagreementrate,thebuyerpaysthesellertheabsolutevalueoftheFRA.TheabsolutevalueoftheFRAis:$3,000,000x[(.04875-.055)x92/360]/[1+(.04875x92/360)]=$3,000,000x[-.001597/(1.012458)]=$4,732.05.3.Assumethesettlementrateinproblem2is61/8percent.Whatisthesolutionnow?