《国际货币与金融经济学》课后习题答案

1、Answers to End of Chapter QuestionsChapter 1Keeping 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. The

2、 balance on goods, services and income is 719 + 279 +284 1145- 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 balance

3、 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. So, the

4、 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. In the p

5、roblem 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.4The current account is a deficit of $541,830 andthe private capital account balance is a surplus of $36

6、9,068. The U.S., therefore, has a balance of payments deficit.5Positive 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,productivity, and incom

7、e growth. Negative aspects include the fact that foreign savings may be used to finance domestic consumption rather than domestic savings; which will compromise the growth suggested above.Positive aspects of being a net creditor include the ownership of foreign assets which can represent an income f

8、lows to the crediting country. Further, the net creditor position also implies a net exporting position. A negative aspect of being a net creditor includes the fact that foreign investment may substitute for domestic investment.6A nation may desire to receive both portfolio and direct investment due

9、 to the type of investment each represents. Portfolio investment is a financial investment while direct investment is dominated by the purchase of actual, real, productive assets. To the extent that a country can benefit by each type of investment, it will desire both types of investment. Further, p

10、ortfolio investment tends to be short-run in nature, while FDI tends to be long-run in nature. This is also addressed in much greater detail in Chapter 7.7.Domestic Savings - Domestic Investment = Current Account Balance Domestic Savings - Domestic Investment = Net Capital Flows Therefore, Current A

11、ccount Balance = Net Capital Flows8Using the equations above, private savings of 5 percent of income, government savings of -1 percent, and investment expenditures of 10 percent would results in a current account deficit of 6 percent of income and a capital account surplus (net capital inflows) of 6

12、 percent of income. This could be corrected with a reduction in the government deficit (to a surplus) and/or an increase in private savings.Chapter 2（好像这章节都要看） The Market for Foreign Exchange1. Because it costs fewer dollars to purchase a euro after the exchange rate change, the euro depreciated rel

13、ative to the dollar. The rate of depreciation (in absolute value) was (1.2168 1.2201)/1.2201100= 0.27 percent.2. Note that the rates provided are the foreign currency prices of theU.S. dollar. Every value has been rounded to two decimal places which may cause some differences in answers.A$C$Sfr$Aust

14、ralia-2.351.061.121.53Britain0.42-0.450.470.65Canada0.952.23-1.061.45Switzerland0.902.110.94-1.37United States0.651.540.690.73-3 The cross rate is 1.702/1.234 = 1.379 (/ ), which is smaller in value than that observed in the London market. The arbitrageur would purchase 587,544 ($1,000,000/1.702) wi

15、th the $1 million in the New York market. Next they would use the 587,544 in London to purchase837,250 ( 587,544*1.425). Finally, they would sell 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,

16、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 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 unity.)Because the base year is 2003, t

17、he 2003 EER is 100. The 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 represents a 4.5 percent depreciation of theU.S. dollar.5 The real effective exchange rate (REER) for 2003 is still 100. The real rates of exchange are, for 2003,

18、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 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 percentdepreciation of the U.S

19、. dollar in real terms6. This is a nominal appreciation of the euro relative to the U.S. dollar. The percent change is (1.19 1.05)/1.05 100 = 13.3 percent.7. The January 200 real exchange rate is 1.05 (107.5/112.7) = 1.0016.The May 2004 real rate is 1.19 (116.4/122.2) = 1.1335.8 In real terms the eu

20、ro appreciated relative to the U.S. dollar. The rate of appreciation is (1.1335 1.0016)/1.0016*100 = 13.17 percent.9 Absolute PPP suggests the May 2004 exchange 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.

21、0498)/1.0498 100 = 13.35 percent.10Relative PPP can be used to calculate a predicted value of the exchange rate as:S = 1.05 (122.2/112.7)/(116.4/107.5) = 1.0014.PPP11. The actual exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar by (1.19 1.0014)/1.0014 100 = 18.83 perc

22、ent.Chapter 3 Exchange Rate Systems, Past to Present1.Ranking the various exchange rate arrangements by flexibility is not so clear cut. Nonetheless the arrangements described in this chapter are (from fixed to flexible): dollarization, currency board, commodity (standard) peg, dollar (standard) peg

23、, currency basket peg, crawling peg, managed float, flexible.2.The two primary functions of the International Monetary 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 relat

24、ive to gold is CAN$69 (1.38$50) and the value of the British pound relative to gold is 33.33 ($50/1.50).4.The exchange rate between the Canadian dollar and the British pound is C$/ 2.07 (1.38 1.50).5.The currency value of the peso can be expressed as $0.50 + .50=P1. The exchange rate between the dol

25、lar and the euro can be used toconvert the euro amount to its dollar equivalent of $0.55. Hence,$1.05=P1, or and exchange value of 0.952 P/$. Using the exchange rate between the dollar and the euro again, the exchange rate between the peso and the euro is 0.1.048 P/ (0.952 P/$1.10$/).6.Because $1.05

26、 is the currency content of the basket, as shown above, and $0.50 of that content is attributable to 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 betwe

27、en the two systems was that, in the Smithsonian system, the dollar was not pegged to the value of 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

28、 responsibilities of a currency board are to issue domestic currency notes and peg the value of 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

29、 value movements. In a sense, it was peg with bands for each of the main currencies (dollar, yen 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 g

30、ood example. Relative PPP can be used to determine the rate of crawl.11.Under a currency board 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

31、currency it no longer has this option.Chapter 4The Forward Currency Market and International Financial Arbitrage1. 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

32、maturity period is only one month.In this problem we divide the interest rates by 12 to 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

33、)/1.072) 100=1.5858%(F-S)/S1.5858450-1.00-0.1251.00R R*b. Transaction costs are shown in the figure above by the dashed 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 interest rate differentia

34、l favors theeuro-denominated instrument. Hence, a saver shift funds to euro-denominated instruments.2. Using the provided information:(1.75/12) (3.25/12) (1.089 - 1.072/1.072) 100-0.125% (1.04250)(1.4575/1.5245) = 0.9967, an arbitrageopportunity exists in this example if one were to borrow the pound

35、and lend the euro. Suppose you were to borrow one pound, the steps are then:a. Borrow 1, convert 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 0.03

36、62, or 3.62 percent.5. Because interest rates are quoted as annualized rates, we need to divide each interest rate by 4 (12/3). The uncovered interest parity equation is:R -R* = (Se+1- S) /Sa. Rewriting the equation for the expected future expected exchange rate yields:Se= (R- R*) + 1S+1b.Using the

37、values given yields the expected future spot rateSe= (0.0124/4 - 0.0366/4) + 1 1.5245 = 1.5153.+16. 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 premium o

38、n 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 F = 1.0881.8

39、. 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. Uncovered interest parity is R -R* = (S e- S) /S + .+1a. Using the same process as in quest

40、ion 5 above, the expected futurespot rate is:Se= (R- R*) + 1S,+1Se= (0.075 - 0.035) + 1 30.35 = 31.564.+1b. Using the same process as in question 5 above, the expected futurespot rate is:Se= (R- R*) + 1 - S,+1Se= (0.075 - 0.035) + 1 0.02 30.35 = 30.957.+110.Because the forward rate, 30.01, is lessth

41、an the expected futurespot 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 in the domestic currency.b.Eurobond: te

42、rm 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 5Interest Yields, Interest Rate Risk, and Derivative Securities1. Given that: P = C/(1+R) + C/(1+R)2 + C/(1+R)3 + C/(1+R)4 + .;Bmultip

43、ly each side by (1+R): P (1+R) = C + C/(1+R) + C/(1+R)2 +.;Band subtract P from each side: P (1+R) - P= C + C/(1+R) + C/(1+R2)BBB+. - C/(1+R) + C/(1+R)2 +.;Simplifying: P * R = CBTherefore, P = C/R.B2. In this situation, annual yields decline as the term to maturity increases, which means that the y

44、ield 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 current and future short-term rates, which, when added to any

45、term premium applicable to a longer maturity, is lower than the current short-term rate.3. Yes, the excess return on the German government bond equals 3.5 percent (5 percent 3 percent) = 1.5 percent.4. Parity Conditions:a.Using uncovered interest parity, R - R* = (S e - S) / S. Because+1the left-han

46、d-side is negative, we would expect the right-hand sideto be negative, indicating a domestic currency appreciation.b. Using relative PPP, B-B* = %)S. Because the left -hand-side is negative, we would expect the right-hand side to be negative, indicating a domestic currency appreciation.5. The domest

47、ic real interest rate is 5 percent less 2 percent, or 3 percent. The 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 expect funds to flow into the domestic country and out of the fo

48、reign 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 addition, holders of currency futures experience profits of losses on t

49、he 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 the exchange rate. The value of a currency futures option, in turn

50、, depends on the underlying value of a currency futures contract, so its value is derived from the futures derivative. In this way, a currency futures option is a derivative of a derivative.8.a.The company owes 500,000 Sfr and is concerned about the future spot exchange value of the U.S. dollar-Swis

51、s franc. It can therefore purchase future contracts to set a limit to its potential exchange rate losses.b. The Sfr is purchased in 125,000 franc increments. Therefore, the firm would want to purchase 500,000/125,000 = 4 futures contracts. Given the initial margin on a franc contract, the total init

52、ial margin the firm establishes is: 4($1,688) = $6,752.The daily margin changes are as follows:First: (0.6252 - 0.6251)(125,000)(4) = +$50. Therefore its margin equals $6,802.Second: (0.6127 - 0.6252)(125,000)(4) = -$6250. Therefore the margin would fall to $552. However, the maintenance margin is e

53、qual 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 would fall beneath the maintenance margin. Thus, it remains at $1,250.c.As the dollar cont

54、inues to appreciate relative to the Swiss franc, the value of the futures contract falls.However, the cost of 500,000 franc payment is becoming cheaper on terms of the U.S. dollar.9. a. The call option is currently out of the money. b. (0.0188)(62,500) = $1,175($1,175)(8 contracts) = $9,400Net Profit10,6000.9600.9800.99881.020Break Even9,400Out of the moneyIn the moneyNet LossAt the mone