國際財務(wù)管理課后習(xí)題答案解析[第六章]-文庫吧資料
2025-06-24 21:53本頁面
【正文】 e changes. Otherwise, exchange rate changes will affect relative petitiveness of countries. If a country’s currency appreciates (depreciates) by more than is warranted by PPP, that will hurt (strengthen) the country’s petitive position in the world market.6. Explain and derive the international Fisher effect.Answer: The international Fisher effect can be obtained by bining the Fisher effect and the relative version of PPP in its expectational form. Specifically, the Fisher effect holds that E(p$) = I$ r$, E(p163。 The forward exchange rate will fall.These adjustments will continue until IRP holds.4. Suppose that the current spot exchange rate is €$ and the threemonth forward exchange rate is €$. The threemonth interest rate is percent per annum in the United States and percent per annum in France. Assume that you can borrow up to $1,000,000 or €800,000. a. Show how to realize a certain profit via covered interest arbitrage, assuming that you want to realize profit in terms of . dollars. Also determine the size of your arbitrage profit.b. Assume that you want to realize profit in terms of euros. Show the covered arbitrage process and determine the arbitrage profit in euros.Solution: a. (1+ i $) = (F/S) (1+ i € ) = . Thus, one has to borrow dollars and invest in euros to make arbitrage profit.1. Borrow $1,000,000 and repay $1,014,000 in three months.2. Sell $1,000,000 spot for €1,060,000.3. Invest €1,060,000 at the euro interest rate of % for three months and receive €1,074,310 at maturity.4. Sell €1,074,310 forward for $1,053,245.Arbitrage profit = $1,053,245 $1,014,000 = $39,245.b. Follow the first three steps above. But the last step, involving exchange risk hedging, will be different. 5. Buy $1,014,000 forward for €1,034,280.Arbitrage profit = €1,074,310 €1,034,280 = €40,030 5. In the issue of October 23, 1999, the Economist reports that the interest rate per annum is % in the United States and % in Turkey. Why do you think the interest rate is so high in Turkey? Based on the reported interest rates, how would you predict the change of the exchange rate between the . dollar and the Turkish lira?Solution: A high Turkish interest rate must reflect a high expected inflation in Turkey. According to international Fisher effect (IFE), we have E(e) = i$ iLira = % % = %The Turkish lira thus is expected to depreciate against the . dollar by about 64%.6. As of November 1, 1999, the exchange rate between the Brazilian real and . dollar is R$$. The consensus forecast for the . and Brazil inflation rates for the next 1year period is % and %, respectively. How would you forecast the exchange rate to be at around November 1, 2000?Solution: Since the inflation rate is quite high in Brazil, we may use the purchasing power parity to forecast the exchange rate. E(e) = E(p$) E(pR$) = % % = % E(ST) = So(1 + E(e)) = (R$$) (1 + ) = R$$7. (CFA question) Omni Advisors, an international pension fund manager, uses the concepts of purchasing power parity (PPP) and the International Fisher Effect (IFE) to forecast spot exchange rates. Omni gathers the financial information as follows: Base price level 100 Current . price level 105 Current South African price level 111 Base rand spot exchange rate $ Current rand spot exchange rate $
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