【#文档大全网# 导语】以下是®文档大全网的小编为您整理的《国际财务习题第4讲》，欢迎阅读！
1．The International Fisher Effect suggests that
A. Any forward premium or discount is equal to the expected change in the exchange rate
B. Any forward premium or discount is equal to the actual change in the exchange rate
C. The nominal interest rate differential reflects the expected change in the exchange rate
D. An increase (decrease) in the expected inflation rate in a country will cause a proportionate increase (decrease) in the interest rate in the country 2．Generally unfavorable evidence on PPP suggests that
A. Substantial barriers to international commodity arbitrage exist
B. Tariffs and quotas imposed on international trade can explain at least some of the evidence
C. Shipping costs can make it difficult to directly compare commodity prices D. All of the above 3． If the annual inflation rate is 2.5 percent in the United States and 4 percent in the U.K., and the dollar appreciated against the pound by 1.5 percent, then the real exchange rate, assuming that PPP initially held, is: A. parity B. 0.9710 C. -0.0198 D. 4.5 Equation 6.14:
4．As of today, the spot exchange rate is €1.00 = $1.60 and the rates of inflation expected to prevail for the next year in the U.S. is 2% and 3% in the euro zone. What is the one-year forward rate that should prevail? A. €1.00 = $1.6157 B. €1.6157= $1.00 C. €1.00 = $1.5845
D. $1.00 1.03 = €1.60 1.02
Take the spot rate and gross up each side by the respective inflation rates
5．If a foreign county experiences a hyperinflation A. Its currency will depreciate against stable currencies B. Its currency may appreciate against stable currencies C. Its currency may be unaffected—it's difficult to say D. None of the above
6．Suppose that the annual interest rate is 5.0 percent in the United States and 3.5 percent in Germany, and that the spot exchange rate is $1.12/€ and the forward exchange rate, with one-year maturity, is $1.16/€. Assume that an arbitrager can borrow up to $1,000,000. If an astute trader finds an arbitrage, what is the net cash flow in one year? A. $10,690 B. $15,000 C. $46,207 D. $21,964.29
$21,964.29 = -$1,000,000 (1.05) + $1,000,000 (1.035)
7． Suppose that the annual interest rate is 2.0 percent in the United States and 4 percent in Germany, and that the spot exchange rate is $1.60/€ and the forward exchange rate, with one-year maturity, is $1.58/€. Assume that an arbitrager can
borrow up to $1,000,000 or €625,000. If an astute trader finds an arbitrage, what is the net cash flow in one year? A. $238.65 B. $14,000 C. $46,207 D. $7,000
Borrow $1,000,000 at 2% Buy € at spot exchange rate $1.60 = €1.00 Invest €625,000 at 4% Go SHORT in forward contract on €650,000 (sell @ posted BID) $1.58 = €1 Cash flow in 1 year =
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2022-04-17
