国际货币与金融经济学课后习题答案

1、Chapter 11. 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 and income is 719 + 279 +284 1145 - 210 269, for a deficit of 342. Adding unilateral transfers to this gives a current ac

2、count 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 without a statistical discrepancy, the capital account is a surplus of 391. In this problem, however, the statistical di

3、screpancy 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 account must be greater than the surplus on the capital account by 11. The capital account, therefore, is a surplus of 391

4、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 the private capital account balance. We cannot say, therefore, whether this country is experiencing a balance-of-payment

5、s 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, has a balance of payments deficit.5Positive aspects of being a net debtor include the possibility of financing domestic

6、 investment that is not possible through domestic savings; thereby allowing for domestic capital stock growth which may allow job, productivity, and income growth. Negative aspects include the fact that foreign savings may be used to finance domestic consumption rather than domestic savings; which w

7、ill 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 country. Further, the net creditor position also implies a net exporting position. A negative aspect of being a net creditor

8、 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 investment each represents. Portfolio investment is a financial investment while direct investment is dominated by the purchase of

9、 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 to be short-run in nature, while FDI tends to be long-run in nature. This is also addressed in much greater detail in Ch

10、apter 7.7. Domestic Savings - Domestic Investment = Current Account Balance Domestic Savings - Domestic Investment = Net Capital Flows Therefore, Current Account Balance = Net Capital Flows8Using the equations above, private savings of 5 percent of income, government savings of -1 percent, and inves

11、tment 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 could be corrected with a reduction in the government deficit (to a surplus) and/or an increase in private savings.Chapt

12、er 21.Because it costs fewer dollars to purchase a euro after the exchange rate change, the euro depreciated relative to the dollar. The rate of depreciation (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. do

13、llar. Every value has been rounded to two decimal places which may cause some differences in answers.A$£C$Sfr$Australia-2.351.061.121.53Britain0.42-0.450.470.65Canada0.952.23-1.061.45Switzerland0.902.110.94-1.37United States0.651.540.690.73-3The cross rate is 1.702/1.234 = 1.379 (/£), whic

14、h 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 in 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 i

15、n 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. Trade 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 424,861/7

16、96,280 = 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 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

17、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(116.2/111.3) = .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: (0.853

18、0/0.9187)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 real 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

19、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 relative 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

20、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 = 13.35 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 ac

21、tual 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 31.Ranking the various exchange rate arrangements by flexibility is not so clear cut. Nonetheless the arrangements described in this chapter are (from fixed to fle

22、xible): dollarization, currency board, commodity (standard) peg, dollar (standard) peg, currency basket peg, 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

23、to member nations experiencing payments imbalances.3. The value of the Canadian dollar relative to gold is CAN$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

24、).5.The currency value of the peso can be expressed as $0.50 + .50=P1. The exchange rate between the dollar and 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 e

25、uro again, the exchange rate between the peso and the euro is 0.1.048 P/ (0.952 P/$ 1.10 $/). 6.Because $1.05 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. Becau

26、se the weights must sum to unity, the weight assigned to the euro is 52.4 percent.7.The main difference between 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.

27、economic policy would be conducted in a manner conducive to a system of pegged exchange rates.8.The principle 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 lend

28、er of last resort, or set reserve requirements. 9. The Lourve accord established unofficial limits on currency 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 pegg

29、ing country and the other country should be considered. To this point of the text, the rate of inflation is a 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 exchang

30、e rate policies and monetary policies if they so desire. When a nation dollarizes and disposes of its domestic currency it no longer has this option.Chapter 41. Given that the exchange rate is expressed as dollars to euros, we treat the dollar as the domestic currency. Note also that interest rates

31、are quoted on an annual basis even though the 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 percentag

32、e, is calculated as: (F-S)/S)100 = (1.089 1.072)/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 premi

33、um. In addition, the interest rate differential 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 explan

34、ation follows. $/S0Graph 1, the spot market for the euro.S1S0D1D0Q1Q0$/S0S1S0Graph 2, the forward market for the euro.S1D0Q1Q0S0S1R0S1R1S0R1R0D0D0Q1Q0Q1Q0Graph 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-d

35、enominated instruments. In graph 2, the supply 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 equi

36、valent.) Graph 3 illustrates a decrease in 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) > (1.04

37、250)(1.4575/1.5245) = 0.9967, an arbitrage 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

38、 forward, yielding 1.5721/1.4575 = £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 i

39、s: R -R* = (Se+1 - S) /Sa.Rewriting the equation 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/dis

40、count with the UIP condition:(F - S)/S = 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 inter

41、est differential is 0.75%, still a forward 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 eq

42、ual, real interest parity does not hold.9.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

43、 future spot rate is:Se+1 = (R- R*) + 1 - 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 k30.957/3

44、0.01 = $1.0316.11. International financial 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 sh

45、are.Chapter 51. 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 = C/R.2. In this sit

46、uation, 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 rates will fall shar

47、ply. 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 percent. 4. Parity Con

48、ditions: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, we would expect the

49、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 interest parity condition

50、 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 of standard quantities

51、 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 is a derivative, becaus

52、e 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 derivative."8. a. Th

53、e 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 firm would want to purc

54、hase 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 $6,802.Second: (0.6127 - 0

55、.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, t

56、his daily change would fall beneath the maintenance margin. Thus, it remains at $1,250.c. As the dollar continues to appreciate relative to the Swiss franc, the value of the futures contract falls. However, the cost of 500,000 franc payment is becoming cheaper on terms of the U.S. dollar.9. a. The call option is currently out of the money.b. (0.0188)(62,500) = $1,175($1,175)(8 contracts) = $9,400 Net ProfitBreak Even0.9600.9801.020.9988In the moneyAt the moneyOut of the money0Net Loss9,40010,600c. At S = $0.96/ the option is not exercised and the fi