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1、Part .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 to thosecountries more willing to pay a high price for them. (T)2. The forward contract can hedge future receivable
2、s or payables in foreign currencies to insulate the firmagainst exchange rate risk. (T)3. The primary objective of the multinational corporation is still the same primary objective of any firm, i.e.,to maximize shareholder wealth. (T)4. A low inflation rate tends to increase imports and decrease exp
3、orts, thereby decreasing the current accountdeficit, other things equal. (F)5. A capital account deficit reflects a net sale of the home currency in exchange for other currencies.Thisplaces upward pressure on that home currency( Fs value).6. The theory of comparative advantage implies that countries
4、 should specialize in production, thereby relyingon other countries for some products. (T)7. Covered interest arbitrage is plausible when the forwardpremium reflect the interest rate differentialbetween two countries specified by the interest rate parity formula. (F)8 The total impact of transaction
5、 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 the underlyinginstrument at a specified price per unit during a specified period. (T)10. Futures must be marked-to-market. Options are not. (T)Part :Cloze (20
6、%) 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 will adjust tomaintain equal(purchasing power）2.Speculators who expect a currency to ( appreciate) could purchase currency futures contractsfor that currency.3.Covered interest arbitrage
7、 involves the short-term investmentin a foreign currency that is covered 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 isreduced and foreign competition is increased.5.(PPP) suggests a
8、relationship between the inflation differential of two countries and thepercentage change in the spot exchange rate over time.6.IFEisbased on nominal interestrate (differentials), whichare influencedby expectedinflation.7.Transaction exposure is a subset of economic exposure. Economic exposure inclu
9、des any form by whichthe firm( svalue) will be affected.8.Theoption writer is obligated to buythe underlyingcommodity at astated price ifa (putoption ) is exercised9.There are three types of long-term international bonds. They are Global bonds, (eurobonds)and (foreign bonds).10.Anygoodsecondary mark
10、etforfinance instrumentsmusthave anefficient clearingsystem. MostEurobonds are cleared through either (Euroclear)or Cedel.Part :Questions and Calculations (60%) 过程正确结果计算错误扣2 分1.Assume the following information:A BankB BankBid price of Canadian dollar$0.802$0.796Ask price of Canadian dollar$0.808$0.8
11、00Giventhis information,is locationalarbitrage possible?Ifso, explainthesteps involvedin locationalarbitrage, and compute the profit from this arbitrage if you had $1,000,000 to use. (5%)ANSWER:Yes!One could purchase New Zealand dollars at Y Bank for $.80 and sell them to X Bank for $.802.With$1 mil
12、lion available, 1.25 million New Zealand dollars could be purchased at Y Bank.These New Zealanddollars could then be sold to X Bank for $1,002,500, thereby generating a profit of $2,500.2.Assume that the spot exchange rate of the British pound is $1.90.How will this spot rate adjust in twoyearsifthe
13、 United Kingdom experiences an inflationrate of 7 percent per year while the UnitedStatesexperiences an inflation rate of 2 percent per year?(10%)精选文库ANSWER:According to PPP, forward rate/spot=indexdom/indexforthe exchange rate of the pound will depreciate by 4.7 percent. Therefore, the spot rate wo
14、uld adjust to $1.90 1 + ( .047) = $1.81073. Assume that the spot exchange rate of the Singapore dollar is $0.70. The one-year interest rate is 11 percent in the United States and 7 percent in Singapore. What will the spot rate be in one year according to the IFE? (5%)ANSWER:according to the IFE,St+1/St=(1+Rh)/(1+Rf)$.70(1 + .04) = $0
