英文版羅斯公司理財(cái)習(xí)題答案chap020-資料下載頁(yè)
2025-01-04 22:00本頁(yè)面
【正文】 S) / (1 + RFC) = F(0,1) / S0 We can find the forward rate as: F(0,1) = [(1 + RUS) / (1 + RFC)] S0 F(0,1) = ( / )$163。 F(0,1) = $163。 Intermediate15. First, we need to forecast the future spot rate for each of the next three years. From interest rate and purchasing power parity, the expected exchange rate is: E(ST) = [(1 + RUS) / (1 + RFC)]T S0 So: E(S1) = ( / )1 $€ = $€ E(S2) = ( / )2 $€ = $€ E(S3) = ( / )3 $€ = $€ Now we can use these future spot rates to find the dollar cash flows. The dollar cash flow each year will be: Year 0 cash flow = –€$12,000,000($€) = –$14,640, Year 1 cash flow = €$2,700,000($€) = $3,316, Year 2 cash flow = €$3,500,000($€) = $4,327, Year 3 cash flow = (€3,300,000 + 7,400,000)($€) = $13,319, And the NPV of the project will be: NPV = –$14,640,000 + $3,316,+ $4,4327,+ $13,319, NPV = $914,16. a. Implicitly, it is assumed that interest rates won’t change over the life of the project, but the exchange rate is projected to decline because the Euroswiss rate is lower than the Eurodollar rate. b. We can use relative purchasing power parity to calculate the dollar cash flows at each time. The equation is: E[ST] = (SFr )[1 + (.07 – .08)]T E[ST] = (.99)T So, the cash flows each year in . dollar terms will be: t SFr E[ST] US$ 0 – –$15,697, 1 + $4,404, 2 + $4,449, 3 + $4,493, 4 + $4,539, 5 + $4,585, And the NPV is: NPV = –$15,697, + $4,404,+ $4,449,+ $4,493,+ $4,539,+ $4,585, NPV = $71, c. Rearranging the relative purchasing power parity equation to find the required return in Swiss francs, we get: RSFr = [1 + (.07 – .08)] – 1 RSFr = % So, the NPV in Swiss francs is: NPV = –SFr + SFr (%,5) NPV = SFr 123, Converting the NPV to dollars at the spot rate, we get the NPV in . dollars as: NPV = (SFr 123,)($1/SFr ) NPV = $71, Challenge17. a. The domestic Fisher effect is: 1 + RUS = (1 + rUS)(1 + hUS) 1 + rUS = (1 + RUS)/(1 + hUS)This relationship must hold for any country, that is: 1 + rFC = (1 + RFC)/(1 + hFC) The international Fisher effect states that real rates are equal across countries, so: 1 + rUS = (1 + RUS)/(1 + hUS) = (1 + RFC)/(1 + hFC) = 1 + rFC b. The exact form of unbiased interest rate parity is: E[St] = Ft = S0 [(1 + RFC)/(1 + RUS)]t c. The exact form for relative PPP is: E[St] = S0 [(1 + hFC)/(1 + hUS)]t d. For the home currency approach, we calculate the expected currency spot rate at time t as: E[St] = (€)[]t = (€)()t We then convert the euro cash flows using this equation at every time, and find the present value. Doing so, we find: NPV = – [€2M/(€)] + {€[(€)]}/ + {€[(€)]}/ + {€[(€$1)]}/ NPV = $316, For the foreign currency approach, we first find the return in the euros as: RFC = () – 1 = Next, we find the NPV in euros as: NPV = – €2M + (€)/ + (€)/ + (€)/ = €158, And finally, we convert the euros to dollars at the current exchange rate, which is: NPV ($) = €158, /(€$1) = $316,
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