国际货币与金融经济学习题答案

1、Answers to End of Chapter QuestionsChapter 1Keeping Up With a Changing World-Trade Flows, Capital Flows, and the Balance Of Payments1.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 balance on goods, services

2、 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 is a deficit of 391, then

3、 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 deficit of the current ac

4、count 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 problem above we do not know

5、 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 and the private capital account balance is a surplus of $369,068. The U.S., therefore

6、, 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 income growth. Negative aspect

7、s 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 flows to the crediting cou

8、ntry. 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 to the type of investmen

9、t 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, portfolio investment tends

10、 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 Account Balance = Net Cap

11、ital 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 percent of income. This

12、 could be corrected with a reduction in the government deficit (to a surplus) and/or an increase in private savings.Chapter 2The Market for Foreign Exchange1.Because it costs fewer dollars to purchase a euro after the exchange rate change, the euro depreciated relative to the dollar. The rate of dep

13、reciation (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 the U.S. dollar. Every value has been rounded to two decimal places which may cause some differences in answers.A$£C$Sfr$Australia-2.351.061.121.53Britain

14、0.42-0.450.470.65Canada0.952.23-1.061.45Switzerland0.902.110.94-1.37United States0.651.540.690.73-3The 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) with the $1 million i

15、n the New York market. Next they would use the £587,544 in London to purchase 837,250 (£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) = 796,280. Tra

16、de 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, the 2003

17、 EER is 100. The value of the 2004 EER is:(0.82/0.88)0.53 + (1.56/1.59)0.47100 = (0.4939 + 0.4611)100 = 95.4964, or 95.5. This represents a 4.5 percent depreciation of the U.S. dollar. 5The real effective exchange rate (REER) for 2003 is still 100. The real rates of exchange are, for 2003, 0.88(116.

18、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)0.47100 = (0.4921 + 0.4563)100 = 94.84, or 94.8. This represents a 5.2 percent depreciation of the U.S. dollar in re

19、al terms6.This is a nominal appreciation of the euro relative to the U.S. dollar. The percent change is (1.19 1.05)/1.05100 = 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) = 1.1335.8In real terms the euro appreciated rela

20、tive to the U.S. dollar. The rate of appreciation is (1.1335 1.0016)/1.0016*100 = 13.17 percent.9Absolute 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 1.0498)/1.0498100 = 1

21、3.35 percent.10Relative PPP can be used to calculate a predicted value of the exchange rate as:SPPP = 1.05(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 1.0014)/1.0014100 = 18.83 percent.Chapter 3Exchange

22、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, currency basket peg,

23、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 relative to gold is CA

24、N$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 dollar a

25、nd the euro can be used to convert 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 currenc

29、y 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

30、 good 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 domesti

31、c 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 th

32、e 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.

33、072)/1.072)100=1.5858% R R*450(F-S)/S-0.1251.58581.00-1.00b.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 different

34、ial favors the euro-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% < 1.5858%.3.The four markets are graphed below. An explanation follows. $/S0Graph 1, the spot market

35、for the euro.S1S0D1D0Q1Q0 $/S0S1S0Graph 2, the forward market for the euro.S1D0Q1Q0 S0S1 R0S1R1S0R1R0D0D0Q1Q0Q1Q0Graph 4, U.S. loanable fundsGraph 5, Euro loanable funds In graph 1, the demand for the euro rises as international savers shift funds into euro-denominated instruments. In graph 2, the s

36、upply of euros increases in the forward market. (Consider a U.S. saver that moves funds into a euro-denominated instrument. They would desire to sell the euro forward so they may convert euro-denominated proceeds at the time of maturity into their dollar equivalent.) Graph 3 illustrates a decrease i

37、n loanable funds in the United States as savers shift funds to euro-denominated instruments. Graph 4 illustrates the increase in the supply of loanable funds that occurs when savers shift funds to the euro-denominated instrument.4.Because (1.03125) > (1.04250)(1.4575/1.5245) = 0.9967, an arbitrag

38、e opportunity 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 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 = £

39、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 to divide each interest rate by 4 (12/3). The uncovered interest parity equation is: R -R* = (Se+1 - S) /Sa.Rewriting the e

40、quation for the expected future expected exchange rate yields: Se+1 = (R- R*) + 1S b.Using the values given yields the expected future spot rate Se+1 = (0.0124/4 - 0.0366/4) + 11.5245 = 1.5153.6.Given this information, we can calculate the forward premium/discount with the UIP condition:(F - S)/S =

41、R - R* The interest differential is 1.75% - 3.25% = 1.5%. This is the expected forward 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 forwar

42、d premium on the euro. The forward rate now is (F 1.08)/1.08 = 0.0075 implies that 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

43、.Uncovered interest parity is R -R* = (Se+1 - S) /S + .a.Using the same process as in question 5 above, the expected future spot rate is:Se+1 = (R- R*) + 1S,Se+1 = (0.075 - 0.035) + 130.35 = 31.564.b.Using the same process as in question 5 above, the expected future spot rate is:Se+1 = (R- R*) + 1 -

44、 S,Se+1 = (0.075 - 0.035) + 1 0.0230.35 = 30.957.10.Because 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 financia

45、l instruments: a. Global Bond: long term instruments issued 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 5Interest Yields, Interest Ra

46、te Risk, and Derivative Securities1. Given that: PB = C/(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: PB * R = C.Therefore, PB

47、 = C/R.2. In this situation, annual yields decline 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

48、 rates will fall sharply. Thus, an average of current 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 return on the German government bond equals 3.5 percent (5 percent 3 percent) = 1.5 p

49、ercent. 4. Parity Conditions:a. Using uncovered interest parity, R - R* = (S+1e - 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, B-B* = %)S. Because the left -hand-side is negative

50、, we would expect the right-hand side to be negative, indicating a domestic currency appreciation.5. The domestic 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 int

51、erest parity condition does not hold. We would 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

52、of standard quantities of currencies. In addition, 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 i

53、s a derivative, because its value varies with 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 currency futures option is a "derivative of a der

54、ivative."8. a. The company owes 500,000 Sfr and is concerned about the future spot exchange value of the U.S. dollar-Swiss 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 f

55、irm would want to purchase 500,000/125,000 = 4 futures contracts. Given the initial margin on a franc contract, the total initial 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 $6,8

56、02.Second: (0.6127 - 0.6252)(125,000)(4) = -$6250. Therefore the margin would fall to $552. However, the maintenance margin 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 would fall beneath the maintenance margin. Thus, it remains at $1,250.c. As the dollar