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INTERNATIONALFINANCE
AssignmentProblems(3)Name:Student#:
I.Choosethecorrectanswerforthefollowingquestions(onlyONEcorrectanswer)(2creditsforeachquestion,totalcredits2x25=50)
1.InterbankquotationsthatincludetheUnitedStatesdollarsareconventionallygivenin__________,whichstatetheforeigncurrencypriceofoneU.S.dollar,suchasabidpriceofSFr0.85/$.
A.indirectquote
B.directquote
C.Americanquote
D.Europeanquote
2.Thespotexchangeratepublishedinfinancialnewspapersisusuallythe__________.
A.nominalexchangerate
B.realexchangerate
C.effectiveexchangerate
D.equilibriumexchangerate
3.Theforeignexchangereferstothe__________.
A.foreignbanknotesandcoins
B.demanddepositsinforeignbanks
C.foreignsecuritiesthatcanbeeasilycashed
D.alloftheabove
4.Thefunctionsoftheforeignexchangemarketcomedownto__________.
A.convertingthecurrencyofonecountryintothecurrencyofanother
B.providingsomeinsuranceagainsttheforeignexchangerisk
C.makingtheforeignexchangespeculationeasy
D.OnlyAandBaretrue.
5.WhichofthefollowingisNOTtrueregardingtheforeignexchangemarket?
A.Itistheplacethroughwhichpeopleexchangeonecurrencyforanother.
B.Theexchangeratenowadaysismainlydeterminedbythemarketforces.
C.Mostforeignexchangetransactionsarephysicallycompletedinthismarket.
D.Alloftheabovearetrue.
6.Theworldlargestforeignexchangemarketsare__________respectively.
A.London,NewYorkandTokyo
B.London,ParisandFrankfurt
C.London,HongKongandSingapore
D.London,ZurichandBahrain
7.TheforeignexchangemarketisNOTefficientbecause__________.
A.monetaryauthoritiesdominatetheforeignexchangemarketandeverybodyknowsthatbydefinition,centralbanksareinefficient
B.commercialbanksandotherparticipantsofthemarketdonotcompetewithoneanotherduetothefactthattransactiontakesplacearoundtheworldandnotinasinglecentralizedlocation
C.foreignexchangedealershavedifferentpricessuchasbidandaskprices
D.Noneofthereasonslistedarecorrectbecausetheforeignexchangemarketisanefficientmarket
8.__________earnaprofitbyabid-askspreadoncurrenciestheybuyandsell.__________ontheotherhand,earnaprofitbybringingtogetherbuyersandsellersofforeignexchangesandearningacommissiononeachsaleandpurchase.
A.Foreignexchangebrokers;foreignexchangedealers
B.Foreignexchangedealers;foreignexchangebrokers
C.arbitragers;speculators
D.commercialbanks;centralbanks
9.MostforeignexchangetransactionsarethroughtheU.S.dollars.Ifthetransactionisexpressedasthecurrenciesperdollar,thisisknownas__________whereas__________areexpressedasdollarspercurrency.
A.directquote;indirectquote
B.indirectquote;directquote
C.Europeanquote;Americanquote
D.Americanquote,Europeanquote
10.FromtheviewpointofaJapaneseinvestor,whichofthefollowingwouldbeadirectquote?
A.SFr1.25/€
B.$1.55/₤
C.¥110/€
D.€0.0091/¥
11.Whichofthefollowingistrueabouttheforeignexchangemarket?
A.Itisaglobalnetworkofbanks,brokers,andforeignexchangedealersconnectedbyelectroniccommunicationssystem.
B.Theforeignexchangemarketisusuallylocatedinaparticularplace.
C.Theforeignexchangeratesareusuallydeterminedbytherelatedmonetaryauthorities.
D.Themainparticipantsinthismarketarecurrencyspeculatorsfromdifferentcountries.
12.Theextenttowhichtheincomefromindividualtransactionsisaffectedbyfluctuationsinforeignexchangevaluesisconsideredtobe_________.
6.ThevolumeoftheMexicanforeigntradewiththeU.S.was__________.
7.AssumetheU.S.tradesonlywiththeGermanyandMexico.Nowifwewanttocalculatethedollareffectiveexchangeratein2009againstabasketofcurrenciesofeuroandMexicanpeso,theweightassignedtotheeuroshouldbe__________.
8.Theweightassignedtothepesoshouldbe__________.
9.Assumethe2008isthebaseyear.Thedollareffectiveexchangeratein2009was__________.
10.Wasthedollargenerallystrongerorweakerin2009accordingtoyourcalculation?
11.Thefollowingexchangeratesareavailabletoyou.
FujiBank¥80.00/$
UnitedBankofSwitzerlandSFr0.8900/$
DeutscheBank¥95.00/SFr
AssumeyouhaveaninitialSFr10million.Canyoumakeaprofitviatriangulararbitrage?Ifso,showstepsandcalculatetheamountofprofitinSwissfrancs.(8credits)
12.Ifthedollarappreciates1000%againsttheruble,bywhatpercentagedoestherubledepreciateagainstthedollar?(5credits)
13.Asapercentageofanarbitrarystartingamount,abouthowlargewouldtransactionscostshavetobetomakearbitragebetweentheexchangeratesSSFr/$=SFr1.7223/$,S$/¥=$0.009711/¥,andS¥/SFr=¥61.740/SFrunprofitable?Explain.(7credits
14.Youaregiventhefollowingexchangerates:
S¥/A$=67.05–68.75
S£/A$=0.3590–0.3670
CalculatethebidandaskrateofS¥/£:(5credits)
15.SupposethespotquotationontheSwissfranc(CHF)inNewYorkisUSD0.9442–52andthespotquotationontheEuro(EUR)isUSD1.3460–68.Computethepercentagebid-askspreadsontheCHF/EURquote.(5credits)
AnswerstoAssignmentProblems(3)
PartI
1.D
2.A
3.D
4.D
5.D
6.A
7.D
8.B
9.C
10.C
11.A
12.A
13.B
14.D
15.B
16.C
17.A
18.D
19.B
20.A
21.B
22.B
23.C
24.C
25.D
PartII
1.0.70x(105.3/102.5)=0.7x1.0273=0.7191
2.12.2x(105.3/110.5)=12.2x.9529=11.6259
3.B(0.7/.75)–1=-6.67%
4.D(1/12.2)/(1/11.8)–1=-3.28%
5.550
6.360
7.550/910=60.44%
8.360/910=39.56
9.(0.70/0.75)(60.44%)+(12.2/11.8)(39.56%)=.5641+0.4090=.9731=97.31%
10.weaker,becausedollardepreciatedby2.69%.
11.SinceS¥/$S$/SFrSSFr/¥=80x1/0.8900x1/95.00=0.946186<1,thereisanarbitrageopportunity.
Steps:①Buy¥fromDeutscheBank,SFr10millionx95.00=¥950million
②Buy$fromFuji
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