英文版国际金融试题和答案

1、英文版国际金融试题和答案集团标准化工作小组#Q8QGGQT-GX8G08Q8-GNQGJ8-MHHGN#Part I Decide whether each of the following statements is true or false (10%)每题1分，答错 不扣分1. If perfect markets existed, resources would be more mobile and could therefore be transferred tothose countries more willing to pay a high price for them. (

2、T )2. The forward contract can hedge future receivables or payables in foreign currencies to insulate Hiefirm against exchange rate risk. ( T )3. The primary objective of the multinational corporation is still the same primary objective of anyfirm, to maximize shareholder wealth(T )4. A low inflatio

3、n rate tends to increase imports and decrease exports, thereby decreasing the currentaccount deficit, other things equal. ( F )5. A capital account deficit reflects a net sale of the home currency in exchange for other currenciesThis places upward pressure on that home currencys *alue(F )6. The theo

4、ry of comparative advantage implies that countries should specialize in production,thereby relying on other countries for some products(T )7. Covered interest arbitrage is plausible when the forward premium reflect the interest ratedifferential between two countries specified by the interest rate pa

5、rity formula.( F )8 . The total impact of transaction exposure is on the overall value of the firm (F )9. A put option is an option to sell-by the buyer of the option-a stated number of units of theunderlying instniment at a specified price per unit during a specified period( T )10. Futures must be

6、marked-to-market. Options are not. ( T )Part II :Cloze (20%)每题2分，答错不扣分1 If inflation in a foreign country differs from inflation in the home country, the exchange rate willadjust to maintain equal( purchasing power )2. Speculators who expect a currency to ( appreciate ) could purchase currency futur

7、es contracts forthat currency.3. Covered interest arbitrage involves the short-term investment in a foreign currency that iscovered by a ( forward contract) to sell that currency when the investment matures.4.( Appreciation/ Revalue ) of RMB reduces inflows since the foreign demand for our goods isr

8、educed and foreign competition is increased5. ( PPP ) suggests a relationship between the inflation differential of two countries and the percentagechange in the spot exchange rate over time.6. IFE is based on nominal interest rate ( differentials ), which are influenced by expected inflation.7. Tra

9、nsaction exposure is a subset of economic exposure Economic exposure includes any fomi bywhich the firms ( value ) will be affected8.Theoption writer is obligated to buy the underlying commodity at a stated price if a ( put option ) isexercised9. There are three types of long-term international bond

10、s They are Global bonds ,(eurobonds ) and ( foreign bonds )10. Any good secondary market for finance instruments must have an efficient clearing system. MostEurobonds are cleared through either ( Euroclear ) or Cedel.Part III :Questions and Calculations (60%)过程正确结果计算错误扣2分1. Assume the following info

11、rmation:A BankB BankBid price of Canadian dollar S$Ask price of Canadian dollar S$Given什lis information, is locational arbitrage possible If so, explain the steps involved in locationalarbitrage, and compute the profit from this arbitrage if you had $1,000,000 to use (5%)ANSWER:Yes! One could purcha

12、se New Zealand dollars at Y Bank for S.80 and sell them to X Bank for S.802.With $1 million available, million New Zealand dollars could be purchased at Y Bank. These NewZealand dollars could then be sold to X Bank for $1,002,500, thereby generating a profit of S2.5002. Assume that the spot exchange

13、 rate of the British pound is $ How will this spot rate adjust in twoyears if the United Kingdom experiences an inflation rate of 7 percent per year while the United Statesexperiences an inflation rate of 2 percent per year(10%)ANSWER:According to PPP, forward rate/spot=indexdom/indexforthe exchange

14、 rate of the pound will depreciate by percent. Therefore, the spot rate would adjust to $ x 1 + (-047) = $3. Assume that the spot exchange rate of the Singapore dollar is $ The one-year interest rate is 11percent in the United States and 7 percent in Singapore What will the spot rate be in one yeara

15、ccording to the IFE (5%)ANSWER: according to the IFE,St+1 /St=( 1 +Rh)/( 1 +Rf)$.70 x(1 + .04) = $4. Assume that XYZ Co. has net receivables of 100,000 Singapore dollars in 90 days. The spot rate ofthe S$ is $, and the Singapore interest rate is 2% over 90 days Suggest how the firm couldimplement a

16、money market hedge Be precise (10%)ANSWER: The firm could borrow the amount of Singapore dollars so that the 100,000 Singaporedollars to be received could be used to pay off the loan. This amounts to (100,000/ = about S$9&039,which could be converted to about $49,020 and invested. The borrowing of S

17、ingapore dollars hasoffset the transaction exposure due to the future receivables in Singapore dollars 5. A company ordered a Jaguar sedan In 6 months , it will pay 30,000 for the car It worried thatpoundsterling might rise sharply from the current rate($. So, the company bought a6 month pound call(

18、supposed contract size = 35,000) with a strike price of $ for a premium of cents/ (1 )Is hedging in the options market better if the rose to S in 6 months(2)what did the exchange rate have to be for the company to break even (15%)Solution:(l )If the rose to $ in 6 months, the company would exercise

19、the pound call option. The sum of thestrike price and premium is$+$=$This is bigger than $So hedging in the options market is not better.(2) when we say the company can break even, we mean that hedging or not hedging doesnt matter.And only when (strike price + premium )= the exchange rate ,hedging o

20、r not doesnt matter.So, the exchange rate =$ 6. Discuss the advantages and disadvantages of fixed exchange rate system.(15%) textbook page50答案以教材第50页为淮PART IV： Diagram(10%)The strike price for a call is $ The premium quoted at the Exchange is $ per British poundDiagram the profit and loss potential,

21、 and the break-even price for this call option Solution:Following diagram shows the profit and loss potential, and the break-even price of this put option:PART V : Additional QuestionSuppose that you are expecting revenues of Y 100,000 from Japan in one month Currently, I monthforward contracts are

22、trading at $1 = $105 Yen. You have the following estimate of the Yen/$exchange rate in one month._PriceProbability90 Yen/$4%95 Yen/$25%100 Y/$45%105 Yen/$20%110 Yen/$6%a) What position in forward contracts would you take to hedge your exchange riskb) Calculate the expected value of the hedgec) How could you replicate this hedge in the money marketYou are expecting revenues of Y 100,000 in one month that you wil