国际财务管理课后答案

国际财务管理课后答案 QUESTIONS 第一章 1. Answer: We are now living in a world where all the major economic functions, i.e., consumption, production, and investment, are highly globalized. It is thus essential for financial managers to fully understand vital international dimensions of financial management. This global shift is in marked contrast to a situation that existed when the authors of this book were learning finance some twenty years ago. At that time, most professors customarily (and safely, to some extent) ignored international aspects of finance. This mode of operation has become untenable since then. 2、Answer: There are three major dimensions that set apart international finance from domestic finance. They are: 1. foreign exchange and political risks, 2. market imperfections, and 3. expanded opportunity set. 3. Answer: The 1990s brought a rapid integration of international capital and financial markets. Impetus for globalized financial markets initially came from the governments of major countries that had begun to deregulate their foreign exchange and capital markets. The economic integration and globalization that began in the eighties is picking up speed in the 1990s via privatization. Privatization is the process by which a country divests itself of the ownership and operation of a business venture by turning it over to the free market system. Trade liberalization and economic integration continued to proceed at both the regional and global levels. In Europe, many EU member countries have adopted the common currency, euro, that has become the second global currency after the U.S. dollar. 4. Answer: According to David Ricardo, with free international trade, it is mutually beneficial for two countries to each specialize in the production of the goods that it can produce relatively most efficiently and then trade those goods. By doing so, the two countries can increase their combined production, which allows both countries to consume more of both goods. This argument remains valid even if a country can produce both goods more efficiently than the other country. International trade is not a ‘zero-sum’ game in which one country benefits at the expense of another country. Rather, international trade could be an ‘increasing-sum’ game at which all players become winners. 5. Answer: The theory of comparative advantage was originally advanced by the nineteenth century economist David Ricardo as an explanation for why nations trade with one another. The theory claims that economic well-being is enhanced if each country’s citizens produce what they have a comparative advantage in producing relative to the citizens of other countries, and then trade products. Underlying the theory are the assumptions of free trade between nations and that the factors of production (land, buildings, labor, technology, and capital) are relatively immobile. To the extent that these assumptions do not hold, the theory of comparative advantage mayl not realistically describe international trade. 6. Answer: A multinational corporation (MNC) can be defined as a business firm incorporated in one country that has production and sales operations in several other countries. Indeed, some MNCs have operations in dozens of different countries. MNCs obtain financing from major money centers around the world in many different currencies to finance their operations. Global operations force the treasurer’s office to establish international banking relationships, to place ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. short-term funds in several currency denominations, and to effectively manage foreign exchange risk. 7. Answer: Since the inception of NAFTA, many American companies indeed have invested heavily in Mexico, sometimes relocating production from the United States to Mexico. Although this might have temporarily caused unemployment of some American workers, they were eventually rehired by other industries often for higher wages. At the same time, Mexico has been experiencing a major economic boom. It seems clear that both Mexico and the U.S. have benefited from NAFTA. Perot’s concern appears to have been ill founded. 8.Answer: The recommendations of the French working group clearly show that shareholder wealth maximization is not a universally accepted goal of corporate management, especially outside the United States and possibly a few other Anglo-Saxon countries including the United Kingdom and Canada. To some extent, this may reflect the fact that share ownership is not wide spread in most other countries. In France, about 15% of households own shares. 9.Answer: There can be different answers to this question. If business leaders always behave with a high ethical standard, many of the corporate scandals we have seen lately might not have happened. Since we cannot fully depend on the ethical behavior on the part of individual business leaders, the society should protect itself by adopting the rules/regulations and governance structure that would induce business leaders to behave in the interest of the society at large. 10. Answer: As students might have learned from visiting the website, information is readily available even for foreign companies like Nokia. Ready access to international information helps integrate financial markets, dismantling barriers to international investment and financing. Integration, however, may help a financial shock in one market to be transmitted to other markets. 第二章 1. Answer: Gresham’s law refers to the phenomenon that bad (abundant) money drives good (scarce) money out of circulation. This kind of phenomenon was often observed under the bimetallic standard under which both gold and silver were used as means of payments, with the exchange rate between the two fixed. 2. Answer:The adjustment mechanism under the gold standard is referred to as the price-specie-flow mechanism expounded by David Hume. Under the gold standard, a balance of payment disequilibrium will be corrected by a counter-flow of gold. Suppose that the U.S. imports more from the U.K. than it exports to the latter. Under the classical gold standard, gold, which is the only means of international payments, will flow from the U.S. to the U.K. As a result, the U.S. (U.K.) will experience a decrease (increase) in money supply. This means that the price level will tend to fall in the U.S. and rise in the U.K. Consequently, the U.S. products become more competitive in the export market, while U.K. products become less competitive. This change will improve U.S. balance of payments and at the same time hurt the U.K. balance of payments, eventually eliminating the initial BOP disequilibrium. 3. Answer: Suppose that you need to buy 6 pounds using French francs. If you buy 6 pounds directly in the foreign exchange market, it will cost you 13.2 francs. Alternatively, you can first buy an ounce of gold for 12 francs in France and then ship it to England and sell it for 6 pounds. In this case, it only costs you 12 francs to buy 6 pounds. It is thus beneficial to ship gold due to the overpricing of the pound. Of course, you can make an arbitrage profit by selling 6 pounds for 13.2 francs in the foreign exchange market. The arbitrage profit will be 1.2 francs. So far, we assumed ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. that shipping costs do not exist. If it costs more than 1.2 francs to ship an ounce of gold, there will be no arbitrage profit. 4. Answer: The advantages of the gold standard include: (I) since the supply of gold is restricted, countries cannot have high inflation; (2) any BOP disequilibrium can be corrected automatically through cross-border flows of gold. On the other hand, the main disadvantages of the gold standard are: (I) the world economy can be subject to deflationary pressure due to restricted supply of gold; (ii) the gold standard itself has no mechanism to enforce the rules of the game, and, as a result, countries may pursue economic policies (like de-monetization of gold) that are incompatible with the gold standard. 5. Answer: The main objectives of the Bretton Woods system are to achieve exchange rate stability and promote international trade and development. 6. Answer: The answer to this question is related to the Triffin paradox. Under the gold-exchange system, the reserve-currency country should run BOP deficits to supply reserves to the world economy, but if the deficits are large and persistent, they can lead to a crisis of confidence in the reserve currency itself, eventually causing the downfall of the system. 7. Answer: SDR was created by the IMF in 1970 as a new reserve asset, partially to alleviate the pressure on the U.S. dollar as the key reserve currency. The SDR is a basket currency currently comprised of four major currencies, i.e., U.S. dollar, euro, Japanese yen, and British pound. Currently, the dollar receives a 41.9% weight, euro 37.4%, yen 9.4%, and pound 11.3%. The weights for different currencies tend to change over time, reflecting the relative importance of each currency in international trade and finance. 8. Answer: EMS was launched in 1979 in order to (i) establish a zone of monetary stability in Europe, (ii) coordinate exchange rate policies against the non-EMS currencies, and (iii) pave the way for the eventual European monetary union. The main instruments of EMS are the European Currency Unit (ECU) and the Exchange Rate Mechanism (ERM). Like SDR, the ECU is a basket currency constructed as a weighted average of currencies of EU member countries. The ECU works as the accounting unit of EMS and plays an important role in the workings of the ERM. The ERM is the procedure by which EMS member countries manage their exchange rates. The ERM is based on a parity grid system, with parity grids first computed by defining the par values of EMS currencies in terms of the ECU. If a country’s ECU market exchange rate diverges from the central rate by as much as the maximum allowable deviation, the country has to adjust its policies to maintain its par values relative to other currencies. EMS achieved a complete monetary union in 1999 when the common European currency, the euro, was adopted. 9. Answer: a. The advantages of the flexible exchange rate system include: (I) automatic achievement of balance of payments equilibrium and (ii) maintenance of national policy autonomy. b. If exchange rates are fluctuating randomly, that may discourage international trade and encourage market segmentation. This, in turn, may lead to suboptimal allocation of resources. c. Economic agents can hedge exchange risk by means of forward contracts and other techniques. They don’t have to bear it if they choose not to. In addition, under a fixed exchange rate regime, governments often restrict international trade in order to maintain the exchange rate. This is a self-defeating measure. What’s good about the fixed exchange rate if international trade need to be restricted? 10.Answer: First, there should be a multinational safety net to safeguard the world financial ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. system from the Asia-type crisis. Second, international institutions like IMF and the World Bank should monitor problematic countries more closely and provide timely advice to those countries. Countries should be required to fully disclose economic and financial information so that devaluation surprises can be prevented. Third, countries should depend more on domestic savings and long-term foreign investments, rather than short-term portfolio capital. There can be other suggestions. 11. Answer: A good international monetary system should provide (i) sufficient liquidity to the world economy, (ii) smooth adjustments to BOP disequilibrium as it arises, and (iii) safeguard against the crisis of confidence in the system. 12. Answer: Once capital markets are integrated internationally, vast amounts of money may flow in and out of a country in a short time period. This will make it very difficult for the country to maintain a fixed exchange rate. 13.Answer: In light of the large transactions domain of the euro, which is comparable to that of the U.S. dollar, and the mandate for the European Central Bank (ECB) to guarantee the monetary stability in Europe, the euro may potentially become another global currency over time. A major uncertainty about this prospect is the lack of political (and fiscal) integration of Europe. If Europe becomes politically more integrated, the euro is more likely to become a global currency. If the euro becomes a global currency, it will come at the expense of the dollar. Currently, the U.S. derives substantial benefits from the dollar’s status as the dominant global currency – for instance, the U.S. can run trade deficits without having to maintain substantial foreign exchange reserves, can carry out international commercial and financial transactions in dollars without bearing exchange risk, etc. If the euro is to be used as a major denomination, reserve, and invoice currency in the world economy, dollar-based agents will start to bear more exchange risk, among other things. 第三章 1、Answer: The balance of payments (BOP) can be defined as the statistical record of a country’ s international transactions over a certain period of time presented in the form of double-entry bookkeeping. 2. Answer: It would be useful to examine a country’s BOP for at least two reasons. First, BOP provides detailed information about the supply and demand of the country’s currency. Second, BOP data can be used to evaluate the performance of the country in international economic competition. For example, if a country is experiencing perennial BOP deficits, it may signal that the country’s industries lack competitiveness. 3. Answer: The current account deficits of U.S. may be attributable to (i) the strong dollar and undervalued currencies of trading partners such as China, (ii) high consumption and low savings in the U.S., (iii) weak competitiveness of U.S. industries. If U.S. deficits continue, the dollar may eventually depreciate substantially and the confidence in dollar may suffer. 4.Answer: Japan’s continuous current account surpluses may have reflected a weak yen and high competitiveness of Japanese industries. Massive capital exports by Japan prevented yen from appreciating more than it did. At the same time, foreigners’ exports to Japan were hampered by closed nature of Japanese markets. Continuous current account surpluses disrupt free trade by promoting protectionist sentiment in the deficit country. It is not desirable especially when it is brought about by the mercantilist policies. 5. Answer: The statement presupposes that the U.S. current account deficit causes its capital ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. account surplus. In reality, the causality may be running in the opposite direction: U.S. capital account surplus may cause the country’s current account deficit. Suppose foreigners find the U.S. a great place to invest and send their capital to the U.S., resulting in U.S. capital account surplus. This capital inflow will strengthen the dollar, hurting the U.S. export and encouraging imports from foreign countries, causing current account deficits. 6. Answer: A country can run an overall BOP deficit or surplus by engaging in the official reserve transactions. For example, an overall BOP deficit can be supported by drawing down the central bank’s reserve holdings. Likewise, an overall BOP surplus can be absorbed by adding to the central bank’s reserve holdings. 7. Answer: Official reserve assets are those financial assets that can be used as international means of payments. Currently, official reserve assets comprise: (i) gold, (ii) foreign exchanges, (iii) special drawing rights (SDRs), and (iv) reserve positions with the IMF. Foreign exchanges are by far the most important official reserves. 8. Answer: The overall balance is determined by computing the cumulative balance of payments including the current account, capital account, and the statistical discrepancies. The overall balance is significant because it indicates a country’s international payment gap that must be financed by the government’s official reserve transactions. 9. Answer: As foreigners purchase U.S. Treasury bonds, U.S. BOP will improve in the short run. But in the long run, U.S. BOP may deteriorate because the U.S. should pay interests and principals to foreigners. If foreign funds are used productively and contributes to the competitiveness of U.S. industries, however, U.S. BOP may improve in the long run. 10. Answer: The balance of payments identity holds that the combined balance on the current and capital accounts should be equal in size, but opposite in sign, to the change in the official reserves: BCA + BKA = -BRA. Under the pure flexible exchange rate regime, central banks do not engage in official reserve transactions. Thus, the overall balance must balance, i.e., BCA = -BKA. Under the fixed exchange rate regime, however, a country can have an overall BOP surplus or deficit as the central bank will accommodate it via official reserve transactions. 11. Answer: In 1999, Germany experienced an overall BOP deficit, which must have been accommodated by the central bank, e.g., drawing down its reserve holdings. 12. Answer: _________________________________________________________________ Transactions Credit Debit _________________________________________________________________ Japanese purchase of U.S. T bonds , Japanese payment using NYC account , U.S. citizen having a meal in Paris , Paying the meal with American Express , Gift to parents in Bombay , Receipts of the check by parents (goodwill) , ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. Export of programming service , British payment out its account in U.S. , _________________________________________________________________ 13. Answer: A summary of the Japanese Balance of Payments for 2000 (in $ billion) Credits Debits Current Account (1) Exports 898.91 (1.1) Merchandise 615.81 (1.2) Services 117.30 (1.3) Factor income 165.80 (2) Imports -717.72 (2.1) Merchandise -534.51 (2.2) Services -135.56 (3.3) Factor income -47.65 (3) Unilateral transfer 6.18 -16.85 Balance on current account 170.52 [(1) + (2) + (3)] Capital Account (4) Direct investment -6.78 -50.17 (5) Portfolio investment 198.56 -71.04 (5.1) Equity securities 71.44 -25.04 (5.2) Debt securities 127.12 -46.00 (6) Other investment -86.67 -91.00 Balance on financial account -107.10 [(4) + (5) + (6)] (7) Statistical discrepancies -31.44 Overall balance 31.98 Official Reserve Account -31.98 Source: IMF, International Financial Statistics Yearbook, 2008. Note: Capital account in the above table corresponds with the ‘Financial account’ in IMF’s balance of payment statistics. IMF’s ‘Capital account’ balance is included in ‘Other investment’ in the above table. Investments in financial derivative assets are also included in other investment. It is noted that Japan experienced ‘divestment’ by foreigners in both direct investment and other investment categories in 2006. 14. Answer: Being a basket currency, SDR has a relatively stable exchange value. However, IMF, that issues SDRs, has no mandate to function as the world central bank. In addition, there is no liquid bond market for SDR. The U.S. dollar, on the other hand, has deep, liquid markets and is backed by the most powerful country in the world. The dollar’s credibility as the dominant global ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. currency, however, is being hurt by fiscal and trade deficits and the declining share of the U.S. in the world output. 第四章 1、Answer: The key strength of the public corporation lies in that it allows for efficient risk sharing among investors. As a result, the public corporation may raise a large sum of capital at a relatively low cost. The main weakness of the public corporation stems from the conflicts of interest between managers and shareholders. 2、Answer: The agency problem arises when managers have control rights but insignificant cash flow rights. This wedge between control and cash flow rights motivates managers to engage in self-dealings at the expense of shareholders. 3、Answer: The key objectives of corporate governance reform should be to strengthen shareholder rights and protect shareholders from expropriation by corporate insiders, whether managers or large shareholders. Controlling shareholders or managers do not wish to lose their control rights and thus resist reform efforts. 4、Answer: In civil law countries, the state historically has played an active role in regulating economic activities and has been less protective of property rights. In England, control of the court passed from the crown to the parliament and property owners in seventeenth century. English common law thus became more protective of property owners, and this protection was extended to investors over time. 5、Answer: When there is a separation of ownership and control, managers have control rights with insignificant cash flow rights, whereas shareholders have cash flow rights but no control rights. This wedge gives rise to the conflicts of interest between managers and shareholders. The wedge is the source of the agency problem. 6、Answer: Dominant investors may use: (i) shares with superior voting rights, (ii) pyramidal ownership structure, and (iii) inter-firm cross-holdings. 7、Answer: The Code requires that chairman of the board and CEO be held by two different individuals, and that there should be at least three outside board members. The recommended board structure helped to strengthen the monitoring function of the board and reduce the agency problem. 8、Answer: Stock options can be useful for aligning the interest of managers with that of shareholders and reduce the wedge between managerial control rights and cash flow rights. But at the same time, stock options may induce managers to distort investment decisions and manipulate financial statements so that they can maximize their benefits in the short run. 9、Answer: Foreign companies domiciled in countries with weak investor protection can bond themselves credibly to better investor protection by listing their stocks in U.S. exchanges that are known to provide a strong investor protection. Managers of some companies may not wish to list shares in U.S. exchanges, subjecting themselves to stringent disclosure and monitoring, for fear of losing their control rights and private benefits. 10、Answer: Free cash flow represents a firm’s internally generated fund in excess of the amount needed to undertake all profitable investment projects. Managers may want to keep free cash flows to undertake unprofitable projects at the expense of shareholders to benefit themselves. Having some debt can impose disciplining effect on the managers and induce them to reduce waste of firm’s resources. 第十六章 ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. 1.Answer: Many foreign firms might have been motivated to gain access to technical know-how residing in U.S. firms and at the same time monopolize its use. Refer to the reverse-internalization hypothesis discussed in the text. 2. Answer: Most likely, these Japanese MNCs have invested heavily in Southeast Asia in order to take advantage of underpriced labor services and cheaper land and other factors of production. Refer to the life-cycle theory of FDI. 3. Answer: Asian firms might have been motivated to gain access to NAFTA of which Mexico is a member and circumvent the external trade barriers maintained by NAFTA. 4. Answer: China attracted a great deal of FDI recently because foreign firms want to (i) take advantage of inexpensive labor and resources, and also (ii) gain access to the Chinese market that is often not accessible otherwise. 5. Answer: According to the internalization theory, firms that have intangible assets with a public good property tend to undertake FDI to take advantage of the assets on a large scale and, at the same time, prevent misappropriation of returns from the assets that may occur during arm’s length transactions in foreign countries. The theory can be effective in explaining greenfield investments, but not in explaining mergers and acquisitions. 6. Answer: According to the product life-cycle theory, firms undertake FDI at a particular stage in the life-cycle of the products that they initially introduced. When a new product is introduced, the firm chooses to keep production at home, close to customers. But when the product become mature and foreign demands develop, the firm may be induced to start production in foreign countries, especially in low-cost countries, to serve the local markets as well as to export the product back to the home country. As can be inferred from the boxed reading on Singer in the text, the product life-cycle theory can explain historical development of FDI quite well. In recent years, however, the international system of production has become too complicated to be explained neatly by the life-cycle theory. For example, new products are often introduced simultaneously in many countries and production facilities may be located in many countries at the same time. 7. Answer: The host country tends to view green field investments as creating new production facilities and new job opportunities. In contrast, cross-border acquisitions can be viewed as foreign takeover of existing domestic firms, without creating new job opportunities. 8. Answer: One approach is to adjust the cost of capital upward to reflect political risk and discount the expected future cash flows at a higher rate. Alternatively, one can subtract insurance premium for political risk from the expected future cash flows and use the usual cost of capital which is applied to domestic capital budgeting. 9.Answer: Forward internalization occurs when MNCs with intangible assets make FDI in order to utilize the assets on a larger scale and at the same time internalize any possible externalities generated by the assets. Backward internalization, on the other hand, occurs when MNCs acquire foreign firms in order to gain access to the intangible assets residing in the foreign firms and at the same time internalize any externalities generated by the assets. 10.Answer: Negative synergies for British acquisitions of U.S. firms may reflect that British managers might have been motivated to invest in U.S. firms in order to pursue their own interests, such as building corporate empire, rather than shareholders’ interests. Negative synergies can be viewed as agency costs. 11.Answer: Country risk is a broader measure of risk than political risk, as the former encompasses political risk, credit risk, and other economic performances. ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. 12.Answer: The main advantage of FDI over licensing agreement with a foreign partner is that it provides protection against possible interlopers. The main disadvantage of FDI is that it is costly and time consuming to establish foreign presence in this manner and FDI is probably more vulnerable to political risk. 13. Answer: First, MNCs should explicitly incorporate political risk in the capital budgeting process and adjust the project’s NPV accordingly. Second, MNCs can form joint-ventures with local partners or form a consortium with other MNCs to reduce risk. Third, MNCs can purchase insurance against political risk from OPIC, Lloyd’s, etc. 14. Answer: This question can be used as a mini-case or mini-project. Students can utilize various business/financial publications, such as Wall Street Journal, Financial Times, and Business week, to study the issue. 15. Answer: The answer can be organized based on the three types of political risk: Namely, transfer risk, operational risk, and control risk. Transfer risk arises from the uncertainty about cross-border flows of capital, payments, know-how, etc. Operational risk arises from the uncertainty about the host country’s policies affecting the local operations of MNCs. Control risk arises from the uncertainty about the host country’s policy regarding ownership and control of local operations of MNCs. 16. Answer: Factors to be considered include: (1) the host country’s political and government system; (2) track record of political parties and their relative strength; (3) the degree of integration into the world system; (4) the host country’s ethnic and religious stability; (5) regional security; and (6) key economic indicators. 17. Suggested answer: Daimler-Chrysler merger failed to produce synergy effect due to the failure to integrate the two companies with different corporate cultures, inability to cut down labor costs due to a strong labor union at Chrysler, and the competitive pressure from Japanese carmakers. PROBLEMS 第五章 9. Solution: Equation 5.12 from the text implies Sb(NZD/SGD) = Sb($/SGD) x Sb(NZD/$) = .6135 x 1.3751 = .8436. The reciprocal, 1/Sb(NZD/SGD) = Sa(SGD/NZD) = 1.1854. Analogously, it is implied that Sa(NZD/SGD) = Sa($/SGD) x Sa(NZD/$) = .6140 x 1.3765 = .8452. The reciprocal, 1/Sa(NZD/SGD) = Sb(SGD/NZD) = 1.1832. Thus, the NZD/SGD bid-ask spread is NZD0.8436-NZD0.8452 and the SGD/NZD spread is SGD1.1832-SGD1.1854. 11.Solution: To make a triangular arbitrage profit the Deutsche Bank trader would sell $5,000,000 to Dresdner Bank at ?0.7627/$1.00. This trade would yield ?3,813,500= $5,000,000 x .7627. The Deutsche Bank trader would then sell the euros for Swiss francs to Union Bank of Switzerland at a price of ?0.6395/SF1.00, yielding SF5,963,253 = ? 3,813,500/.6395. The Deutsche Bank trader will resell the Swiss francs to Credit Suisse for $5,051,036 = SF5,963,253/1.1806, yielding a triangular arbitrage profit of $51,036. If the Deutsche Bank trader initially sold $5,000,000 for Swiss francs, instead of euros, the trade would yield SF5,903,000 = $5,000,000 x 1.1806. The Swiss francs would in turn be traded for euros to UBS for ?3,774,969= SF5,903,000 x .6395. The euros would be resold to Dresdner Bank for $4,949,481 = ?3,774,969/.7627, or a loss of $50,519. Thus, it is necessary to conduct the triangular arbitrage in the correct order. The S(?/SF) cross exchange rate should be .7627/1.1806 = .6460. This is an equilibrium rate at ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. which a triangular arbitrage profit will not exist. (The student can determine this for himself.) A profit results from the triangular arbitrage when dollars are first sold for euros because Swiss francs are purchased for euros at too low a rate in comparison to the equilibrium cross-rate, i.e., Swiss francs are purchased for only ?0.6395/SF1.00 instead of the no-arbitrage rate of ? 0.6460/SF1.00. Similarly, when dollars are first sold for Swiss francs, an arbitrage loss results because Swiss francs are sold for euros at too low a rate, resulting in too few euros. That is, each Swiss franc is sold for ?0.6395/SF1.00 instead of the higher no-arbitrage rate of ?0.6460/SF1.00. 12. Solution: a. If you believe the spot exchange rate will be $1.92/? in three months, you should buy ?1,000,000 forward for $1.90/?. Your expected profit will be: $20,000 = ?1,000,000 x ($1.92 -$1.90). b. If the spot exchange rate actually turns out to be $1.86/? in three months, your loss from the long position will be: -$40,000 = ?1,000,000 x ($1.86 -$1.90). 13. CFA Guideline Answer: To eliminate the currency risk arising from the possibility that ZAR will appreciate against the CHF over the next 30-day period, Omni should sell 30-day forward CHF against 30-day forward ZAR delivery (sell 30-day forward CHF against USD and buy 30-day forward ZAR against USD). The calculations are as follows: • Using the currency cross rates of two forward foreign currencies and three currencies (CHF, ZAR, USD), the exchange would be as follows: --30 day forward CHF are sold for USD. Dollars are bought at the forward selling price of CHF1.5285 = $1 (done at ask side because going from currency into dollars) --30 day forward ZAR are purchased for USD. Dollars are simultaneously sold to purchase ZAR at the rate of 6.2538 = $1 (done at the bid side because going from dollars into currency) --For every 1.5285 CHF held, 6.2538 ZAR are received; thus the cross currency rate is 1.5285 CHF/6.2538 ZAR = 0.244411398. • At the time of execution of the forward contracts, the value of the 3 million CHF equity portfolio would be 3,000,000 CHF/0.244411398 = 12,274,386.65 ZAR. • To calculate the annualized premium or discount of the ZAR against the CHF requires comparison of the spot selling exchange rate to the forward selling price of CHF for ZAR. Spot rate = 1.5343 CHF/6.2681 ZAR = 0.244779120 30 day forward ask rate 1.5285 CHF/6.2538 ZAR = 0.244411398 The premium/discount formula is: [(forward rate – spot rate) / spot rate] x (360 / # day contract) = [(0.244411398 – 0.24477912) / 0.24477912] x (360 / 30) = -1.8027126 % = -1.80% discount ZAR to CHF 第六章 4. Solution: ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. (1+ i$) = 1.014 < (F/S) (1+ i ?) = 1.0378. Thus, one has to borrow dollars and invest in euros to make arbitrage profit. Borrow $1,000,000 and repay $1,014,000 in three months. Sell $1,000,000 spot for ?800,000. Invest ?800,000 at the euro interest rate of 1.35 % for three months and receive ?810,800 at maturity. Sell ?810,800 forward for $1,037,758. Arbitrage profit = $1,037,758 - $1,014,000 = $23,758. Follow the first three steps above. But the last step, involving exchange risk hedging, will be different. Specifically, for the euro-based investor, the source of currency risk is the dollar payable, $1,014,000. Thus, he/she needs to buy $1,014,000 forward for ?792,238. Arbitrage profit = ?810,800 - ?792,238 = ?18,562. 5. Solution: A high Turkish interest rate must reflect a high expected inflation in Turkey. According to international Fisher effect (IFE), we have E(e) = i$ - iLira = 5.93% - 70.0% = -64.07% The Turkish lira thus is expected to depreciate against the U.S. dollar by about 64%. 6. Solution: Since the inflation rate is quite high in Brazil, we may use the purchasing power parity to forecast the exchange rate. E(e) = E(,$) - E(,R$) = 2.6% - 20.0% = -17.4% R$ is expected to depreciate by about 17.4% against the US dollar. Thus, the expected exchange rate would be E(ST) = So(1 + E(e)) = (R$1.95/$) (1 + 0.174) = R$2.29/$ 7. Solution:a. ZAR spot rate under PPP = [1.05/1.11](0.175) = $0.1655/rand. b. Expected ZAR spot rate = [1.10/1.08] (0.158) = $0.1609/rand. c. Expected ZAR under PPP = [(1.07)4/(1.05)4] (0.158) = $0.1704/rand. 8. Solution: a. First, note that (1+i ?) = 1.054 is less than (F/S)(1+i ?) = (1.60/1.50)(1.052) = 1.1221. You should thus borrow in euros and lend in pounds. Borrow ?1,000,000 and promise to repay ?1,054,000 in one year. Buy ?666,667 spot for ?1,000,000. Invest ?666,667 at the pound interest rate of 5.2%; the maturity value will be ?701,334. To hedge exchange risk, sell the maturity value ?701,334 forward in exchange for ?1,122,134. The arbitrage profit will be the difference between ?1,122,134 and ?1,054,000, i.e., ?68,134. b. As a result of the above arbitrage transactions, the euro interest rate will rise, the pound interest rate will fall. In addition, the spot exchange rate (euros per pound) will rise and the forward rate will fall. These adjustments will continue until the interest rate parity is restored. c. The pound-based investor will carry out the same transactions 1), 2), and 3) in a. But to hedge, he/she will buy ?1,054,000 forward in exchange for ?658,750. The arbitrage profit will then be ?42,584 = ?701,334 - ?658,750. ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. 9. Solution. a. Nominal rate in US = (1+ρ) (1+E(π$)) – 1 = (1.025)(1.035) – 1 = 0.0609 or 6.09%. Nominal rate in UK= (1+ρ) (1+E(π?)) – 1 = (1.025)(1.015) – 1 = 0.0404 or 4.04%. b. E(ST) = [(1.0609)3/(1.0404)3] (1.50) = $1.5904/?. c. F = [1.0609/1.0404](1.50) = $1.5296/?. 11. Solution: For six months, iSFr = 1.0% and i$ = 1.25%. the spot exchange rate is $0.8298/SFr and the forward rate is $0.8388/SFr. Thus, (1+ i$ ) = 1.0125 and (F/s) (1 + iSFr) = (0.8388/0.8298) (1.01) = 1.02095 Because the left and right sides of IRP are not equal, IRP is not holding. b. Because IRP is not holding, there is an arbitrage possibility: Because 1.0125 < 1.02095, we can say that the SFr interest rate quote is more than what it should be as per the quotes for the other three variables. Equivalently, we can also say that the $ interest rate quote is less than what it should be as per the quotes for the other three variables. Therefore, the arbitrage strategy should be based on borrowing in the $ market and lending in the SFr market. The steps would be as follows: Borrow $1,000,000 for six months at 1.25%. Need to pay back $1,000,000 × (1 + 0.0125) = $1,012,500 six months later. Convert $1,000,000 to SFr at the spot rate to get SFr 1,205,100. Lend SFr 1,205,100 for six months at 1.0%. Will get back SFr 1,205,100 × (1 + 0.01) = SFr 1,217,151 six months later. Sell SFr 1,217,151 six months forward. The transaction will be contracted as of the current date but delivery and settlement will only take place six months later. So, six months later, exchange SFr 1,217,151 for SFr 1,217,151/SFr 1.1922/$ = $1,020,929. The arbitrage profit six months later is $1,020,929 – $1,012,500 = $8,429. 第八章 1. Solution: (a) Expected gain($) = 10,000,000(1.10 – 1.05) = 10,000,000(.05) = $500,000. (b) I would recommend hedging because Cray Research can increase the expected dollar receipt by $500,000 and also eliminate the exchange risk. (c) Since I eliminate risk without sacrificing dollar receipt, I still would recommend hedging. 2. Solution: (a). Let’s first compute the PV of ?250 million, i.e., 250m/1.0175 = ?245,700,245.70 So if the above yen amount is invested today at the Japanese interest rate for three months, the maturity value will be exactly equal to ?25 million which is the amount of payable. To buy the above yen amount today, it will cost: $2,340,002.34 = ?245,700,245.70/105. The dollar cost of meeting this yen obligation is $2,340,002.34 as of today. (b) __________________________________________________________________ ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. Transaction CF0 CF1 __________________________________________________________________ 1. Buy yens spot -$2,340,002.34 with dollars ?245,700,245.70 2. Invest in Japan - ?245,700,245.70 ?250,000,000 3. Pay yens - ?250,000,000 Net cash flow - $2,340,002.34 __________________________________________________________________ 3. Solution: (a) Total option premium = (.05)(5000) = $250. In three months, $250 is worth $253.75 = $250(1.015). At the expected future spot rate of $0.63/SF, which is less than the exercise price, you don’t expect to exercise options. Rather, you expect to buy Swiss franc at $0.63/SF. Since you are going to buy SF5,000, you expect to spend $3,150 (=.63x5,000). Thus, the total expected cost of buying SF5,000 will be the sum of $3,150 and $253.75, i.e., $3,403.75. (b) $3,150 = (.63)(5,000). (c) $3,150 = 5,000x + 253.75, where x represents the break-even future spot rate. Solving for x, we obtain x = $0.57925/SF. Note that at the break-even future spot rate, options will not be exercised. (d) If the Swiss franc appreciates beyond $0.64/SF, which is the exercise price of call option, you will exercise the option and buy SF5,000 for $3,200. The total cost of buying SF5,000 will be $3,453.75 = $3,200 + $253.75. This is the maximum you will pay for SF5,000. $ Cost $3,453.75 Options hedge Forward hedge $3,150 $253.75 $/SF 0 0.579 0.64 (strike price) 4. Solution: (a) In the case of forward hedge, the future dollar proceeds will be (20,000,000)(1.10) = $22,000,000. In the case of money market hedge (MMH), the firm has to first borrow the PV of its euro receivable, i.e., 20,000,000/1.05 =?19,047,619. Then the firm should exchange this euro amount into dollars at the current spot rate to receive: (?19,047,619)($1.05/?) = $20,000,000, which can be invested at the dollar interest rate for one year to yield: $20,000,000(1.06) = $21,200,000. Clearly, the firm can receive $800,000 more by using forward hedging. (b) According to IRP, F = S(1+i$)/(1+iF). Thus the “indifferent” forward rate will be: F = 1.05(1.06)/1.05 = $1.06/?. 5. Solution: (a) The implied exercise (price) rate is: 10,000/15,000 = $0.6667/SF. (b) If the Swiss client chooses to pay $10,000, it will cost SF16,129 (=10,000/.62). Since the ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. Swiss client has an option to pay SF15,000, it will choose to do so. The value of this option is obviously SF1,129 (=SF16,129-SF15,000). (c) Baltimore Machinery faces a contingent exposure in the sense that it may or may not receive SF15,000 in the future. The firm thus can hedge this exposure by buying a put option on SF15,000. 6. Solution: (a) In the case of forward hedge, the dollar cost will be 500,000,000/110 = $4,545,455. In the case of money market hedge, the future dollar cost will be: 500,000,000(1.08)/(1.05)(124) = $4,147,465. (b) The option premium is: (.014/100)(500,000,000) = $70,000. Its future value will be $70,000(1.08) = $75,600. At the expected future spot rate of $.0091(=1/110), which is higher than the exercise of $.0081, PCC will exercise its call option and buy ?500,000,000 for $4,050,000 (=500,000,000x.0081). The total expected cost will thus be $4,125,600, which is the sum of $75,600 and $4,050,000. (c) When the option hedge is used, PCC will spend “at most” $4,125,000. On the other hand, when the forward hedging is used, PCC will have to spend $4,545,455 regardless of the future spot rate. This means that the options hedge dominates the forward hedge. At no future spot rate, PCC will be indifferent between forward and options hedges. 7. Solution: The risk to the U.S. company is that the value of the Swiss franc will decline and it will receive fewer U.S. dollars on conversion. To hedge this risk, the company should enter into a contract to sell Swiss francs forward. S0 = $0.5974 T = 90/365 r = 0.02 rf = 0.05 ，，0.597490/365F(0,T),(1.02),$0.5931,,90/365(1.05)，， St = $0.55 T = 90/365 t = 30/365 T – t = 60/365 r = 0.02 rf = 0.05 $0.55$0.5931V(0,T),,,,$0.0456t60/36560/365(1.05)(1.02) This represents a gain to the short position of $0.0456 per Swiss franc. In this problem, the U.S. company holds the short forward position. 8. Solution: The risk to you is that the value of the British pound will rise over the next 30 days and it will require more U.S. dollars to buy the necessary pounds to make payment. To hedge this risk, you should enter a forward contract to buy British pounds. ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. S0 = $1.50 T = 30/365 r = 0.055 rf = 0.045 ，，$1.5030/365F(0,T),(1.055),$1.5018,,30/365(1.045)，， c. St = $1.53 T = 30/365 t = 10/365 T – t = 20/365 r = 0.055 rf = 0.045 $1.53$1.5012V(0,T),,,$0.0295t20/36520/365(1.045)(1.055) Because you are long, this is a gain of $0.0295 per British pound. 第十章 1. Solution: The following table provides a translation exposure report for Centralia Corporation and its affiliates under FASB 8, which is essentially the temporal method of translation. The difference between the new report and Exhibit 10.6 is that nonmonetary accounts such as inventory and fixed assets are translated at the historical exchange rate if they are carried at historical costs. Thus, these accounts will not change values when exchange rates change and they do not create translation exposure. Examination of the table indicates that under FASB 8 there is negative net exposure for the Mexican peso and the euro, whereas under FASB 52 the net exposure for these currencies is positive. There is no change in net exposure for the Canadian dollar and the Swiss franc. Consequently, if the euro depreciates against the dollar from ?1.1000/$1.00 to ?1.1786/$1.00, as the text example assumed, exposed assets will now fall in value by a smaller amount than exposed liabilities, instead of vice versa. The associated reporting currency imbalance will be $239,415, calculated as follows: Reporting Currency Imbalance= Translation Exposure Report under FASB 8 for Centralia Corporation and its Mexican and Spanish Affiliates, December 31, 2011 (in 000 Currency Units) Canadian Mexican Swiss Dollar Peso Euro Franc Assets ? 825 Cash CD200 Ps 6,000 SF 0 Accounts receivable 0 9,000 1,045 0 Inventory 0 0 0 0 Net fixed assets 0 0 0 0 ? 1,870 Exposed assets CD200 Ps15,000 SF 0 ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. Liabilities ? 1,364 Accounts payable CD 0 Ps 7,000 SF 0 Notes payable 0 17,000 935 1,400 Long-term debt 0 27,000 3,520 0 ? 5,819 Exposed liabilities CD 0 Ps51,000 SF1,400 (?3,949) Net exposure CD200 (Ps36,000) (SF1,400) 2. Solution: This problem is the sequel to Problem 1. The solution to Problem 1 showed that if the euro depreciated there would be a reporting currency imbalance of $239,415. Under FASB 8 this is carried through the income statement as a foreign exchange gain to the retained earnings on the balance sheet. The following table shows that consolidated retained earnings increased to $4,190,000 from $3,950,000 in Exhibit 10.7. This is an increase of $240,000, which is the same as the reporting currency imbalance after accounting for rounding error. Note to instructor: Since Centralia and its affiliates carry inventory and fixed assets on the books at historical values, the monetary/monetary method (essentially IAS 21) will produce the same translation. Consolidated Balance Sheet under FASB 8 for Centralia Corporation and its Mexican and Spanish Affiliates, December 31, 2011: Post-Exchange Rate Change (in 000 Dollars) Centralia Corp. Mexican Spanish Consolidated (parent) Affiliate Affiliate Balance Sheet Assets Cash $ 950a $ 600 $ 700 $ 2,250 Accounts receivable 1,450b 900 887 3,237 Inventory 3,000 1,500 1,500 6,000 Investment in Mexican affiliate -c - - - Investment in Spanish affiliate -d - - - Net fixed assets 9,000 4,600 4,000 17,600 Total assets $29,087 Liabilities and Net Worth Accounts payable $1,800 $ 700b $1,157 $ 3,657 Notes payable 2,200 1,700 1,043e 4,943 ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. Long-term debt 7,110 2,700 2,987 12,797 Common stock 3,500 -c -d 3,500 Retained earnings 4,190 -c -d 4,190 Total liabilities and net $29,087 worth aThis includes CD200,000 the parent firm has in a Canadian bank, carried as $150,000. CD200,000/(CD1.3333/$1.00) = $150,000. b$1,750,000 - $300,000 (= Ps3,000,000/(Ps10.00/$1.00)) intracompany loan = $1,450,000. c,dInvestment in affiliates cancels with the net worth of the affiliates in the consolidation. eThe Spanish affiliate owes a Swiss bank SF375,000 (? SF1.2727/?1.00 = ?294,649). This is carried on the books, after the exchange rate change, as part of ?1,229,649 = ?294,649 + ? 935,000. ?1,229,649/(?1.1786/$1.00) = $1,043,313. 3. Solution: As in example 10.2, if the potential translation loss is $110,704, the equivalent amount in functional currency that needs to be hedged is ?3,782,468. If in fact the euro does 1.1786/$1.00 ($0.8485/?1.00), ?3,782,468 can be purchased in the spot market for depreciate to ? $3,209,289. At a striking price of ?1.1393/$1.00, the ?3,782,468 can be sold through the put for $3,319,993, yielding a gross profit of $110,704. The put option cost $33,286 (= ?3,782,468 x $0.0088). Thus, at an exchange rate of ?1.1786/$1.00, the put option will effectively hedge $110,704 - $33,286 = $77,418 of the potential translation loss. At terminal exchange rates of ? 1.1393/$1.00 to ?1.1786/$1.00, the put option hedge will be less effective. An option contract does not have to be exercised if doing so is disadvantageous to the option owner. Therefore, the put will not be exercised at exchange rates of less than ?1.1393/$1.00 (more than $0.8777/?1.00), in which case the “hedge” will lose the $33,286 cost of the option. 1. ( D )能够有效地对或有风险暴露套期保值。 ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. A(远期合约 B(互换合约 C(逆汇交易 D(期权交易 2. ( B )理论表明:两国货币间的汇率应该等于这两个国家物价水平的比率。 A(利率平价 B(购买力平价 C(费雪效应 D(远期预期平价 3. 企业的契约现金流量折算受汇率波动影响所产生的外汇风险是( ) A(交易风险 B(经济风险 C(换算风险 D(财务风险 4. 假设某企业买入10万美元的看跌期权，期权的执行价格为6.1012元，当即期汇率为S(CNY/USD)=6.0712，则该期权合约的内在价值为( );当即期汇率为S(CNY/USD)=6.1712，则该期权合约的内在价值为( ) A.610 120元 B.0元 C.3 000 元 D.7 000元 5. 企业的对外投资过程中，在国外建立一家全新的生产企业称为( ) A(直接投资 B(间接投资 C(绿地投资 D(跨国并购 6. S(CAD/$)=1.1242, F6(CAD/$)=1.1442, 假设每个月有30天，在欧式标价法下，加拿大元的远期升水或贴水是( ) A.1.8% B.-1.8% C.3.6% D.-3.6% 7. 只有在合约到期日才可以被执行的期权是( ) A. 看涨期权 B. 看跌期权 C. 欧式期权 D. 美式期权 8. 中国现行的汇率 制度 关于办公室下班关闭电源制度矿山事故隐患举报和奖励制度制度下载人事管理制度doc盘点制度下载 是( ) A. 自由浮动汇率 B. 有管理的浮动汇率 C. 钉住一种货币 D. 没有本国货币 9. 如果是( )，客户希望提前支付，而公司希望推迟收回，使其从它的升值中获益。 A. 金币 B. 银币 C. 强币 D. 弱币 二、 1. 日本和韩国企业对墨西哥进行对外直接投资的原因主要包括( ) A(贸易壁垒B(不完全的劳动力市场C(无形资产D(纵向一体化 E. 产品生命周期 2. 外汇风险是由于汇率变动给企业收益带来的不确定性，主要分为( ) A.经济风险B.政治风险 C.换算风险 D.交易风险 E.法律风险 3. 国际财务的特点主要有( ) A. 价值管理 B. 外汇风险 C. 政治风险D. 市场的不完全性 E. 市场机会的增加 4(处理代理问题的主要对策有 A(独立的董事会 B(激励机制 C(所有权集中D(会计透明度 E. 债务机制 5. 跨国公司在编制合并财务报表时，( )将资产负债表中的长期负债项目以现行汇率进行换算。A流动和非流动项目法 B货币和非货币项目法C时态法D现行汇率法 E. 市场分析法 三、( )1. 根据海外投资因素中的产品寿命周期原理，在新产品时期，发达国家从发展中国家进口消费该新产品。 修改: ( )2. 其他条件不变时，两种货币间利率较低的货币，其远期汇率升水，利率较高的货币则相反。 修改: ( )3. 自由现金流是指满足了所有盈利性投资项目所需资金后的企业的内生资金。 修改: ( )4. 公司可以卖出外币看涨期权来对它的外币应付款套期保值。 修改: ( )5. 期权到期日前，欧式期权的价值高于美式期权;在到期日，欧式期权的价值低于美式期权价值。 ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part. 修改: 四、1.解释在金本位制下国际收支失衡的恢复机制。 2. 简述理想的国际货币体系应具备的条件。 A good international monetary system should provide (i) sufficient liquidity to the world economy, (ii) smooth adjustments to BOP disequilibrium as it arises, and (iii) safeguard against the crisis of confidence in the system. 3. 解释控制权与现金流量权之间的“楔子(wedge)”，并讨论其与公司治理间的关系, When there is a separation of ownership and control, managers have control rights with insignificant cash flow rights, whereas shareholders have cash flow rights but no control rights. This wedge gives rise to the conflicts of interest between managers and shareholders. The wedge is the source of the agency problem. 5. 近来，很多发达国家和发展中国家的公司收购了美国的高科技公司。是什么原因促使这 些公司收购美国公司呢, Many foreign firms might have been motivated to gain access to technical know-how residing in U.S. firms and at the same time monopolize its use. Refer to the reverse-internalization hypothesis discussed in the text. 五、计算题(共40分。所有计算保留到小数点后3位。) 1. 2011年11月25日，欧元、日元、英镑和人民币的汇率如下。 S(USD/EUR)=1.2044, S(USD/JPY)=0.0112, S(USD/GBP)=1.4867, S(USD/CNY)=0.1506。 利用美式标价法，计算欧元、日元、英镑和人民币的套算汇率矩阵。(12分) 2. 当前的即期汇率是$1.46/,,6个月的远期汇率是$1.50/,。美国6个月期的年利率是6.5%， 英国6个月期的年利率是4.8%。假设你能够贷款$1 000 000。 (1)判断利率平价现在是否成立。 (2)如果IRP不成立，如何进行抵补套利,列出所有步骤，并计算套利收益。 (3)解释作为抵补套利的结果，IRP是如何重建的,(12分) 3. 美国石油公司从三菱重工公司购买了一艘轮船，1年后支付3亿日元。目前的即期汇率是 104日元/美元，1年期的远期汇率是90日元/美元。日本的年利率为2%，美国的年利率为 5%。美国石油公司还可以购买一个1年期的日元看涨期权，执行价为每日元0.0098美元， 期权费为每日元0.014美分(1美元 = 100美分)。(16分) (1) 试计算使用货币市场和远期合约套期保值时，支付这笔债务的美元成本。 (2) 假设远期汇率是未来即期汇率的最佳估计，如果使用期权来套期保值，计算支付这笔债 务的美元成本。 (3) 当未来即期汇率为多少时，美国石油公司认为期权和远期合约套期保值没有区别。 ? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part.