大学国际金融复习资料整理.docx

大学国际金融复习资料整理题型：1填空：5题10分 2选择：10题20分 3判断：10题10分 4简答：2题10分 5计算：4题40分 6论述：1题10分 第二章 Payments among Nations 国际收支 1.Accounting principles 记账原则 A credit item (+)positive items: a country must be paid; payment by a foreigner into the country. 包括：Exports of goods Purchases by foreigners in this country Foreigners investing in the countrys bonds A debit item (-)negative items： a country must pay; payment by the country to a foreigner. 包括：Imports of goods Purchases by firms in this country from foreign countries Purchases by investors in this country from foreigners 2Balance of Payments Statement国际收支平衡 u Current account:简CA u Financial account:简FA (直接投资、国际证券投资) u Official international reserves:简OR u 三个国际收支部分，根据Each transaction has two item, one positive and one negative, of equal value. double-entry bookkeeping复式记账法有： positive items + negative items = 0 positive balance: surplus negative balance: deficit Current account balance经常账户差额 经常账户差额(CA) = 商品贸易差额 + 劳务差额加上收入净额 + 无偿转移收支净额之和。 盈余：一国在与外国交易中增加了资产或减少了负债。 赤字：一国在与外国交易中减少了资产或增加了负债。 CA = If CA = S Id S = Id + If Y = C + Id + G +(X M) E = C + Id + G 据Y = E +(X M), CA = (X M) 可以推导出CA = Y E Surplus盈余 Deficit赤字 Positive net foreign investment lender) 贷款者 Net foreign borrower借款者 Saving more than investing domestically Domestic savings less than domestic 储蓄超过国内投资 investment储蓄低于国内投资 Producing more than spending on goods and Spending more than producing生产少于支出 services 生产超过支出 If CA is in deficit, then what could we do? Increase Y, or decrease E. Official settlements balance官方结算差额 OR Current account balance + Private capital balance 即B = CA + KA 因为所有项目最终差额必须为0，所以官方结算差额的不平衡必须用官方储备资产来弥补， 因此，B + OR = 0 意义： 如B>0，则 *贮备增加。 如B<0，则 *贮备减少。 l 课后作业 8. you are given the following information about a countrys international transactions during a year: Merchandise exports 商品出口 $330 Merchandise imports 商品进口 198 Service exports 劳务出口 196 Service imports 劳务进口 204 Imcome flows,net流量净额 3 Unilateral transfers,net 单方面转移金额 -8 Increase in the countrys holding of foreign assets,net 202 (excluding official reserve assets)增加在该国的净外国资产 Increase in foreign holding of the countrys assets,net 102 (excluding official reserve assets)增加在该国的本国资产 Statistical discrepancy, net净统计误差 4 A. Caculate the values of the countrys goods and services balance,current account balance经常账户余额,and official settlements balance官方储备资产余额. Merchandise trade balance: $330 - 198 = $132 Goods and services balance: $330 - 198 + 196 - 204 = $124 Current account balance: $330 - 198 + 196 - 204 + 3 - 8 = $119 Official settlements balance: $330 - 198 + 196 - 204 + 3 - 8 + 102 - 202 + 4 = $23 B.What is the value of the change in official reserve assets(net)官方储备资产?Is the country increasing or decreasing its net holding of official reserve assets? Change in official reserve assets (net) = - official settlements balance = -$23. The country is increasing its net holdings of official reserve assets. 第三章The Foreign Exchange Market *市场 Exchange rate汇率：an exchange rate is the price of one nations money in terms of another nations money. Floating exchange rate and fixed exchange rate 浮动汇率和固定汇率 Arbitrage within the spot exchange market现汇市场的套汇 Spot exchange rate 即期汇率e Forward exchange rate 远期汇率f Retail part of the market *零售市场(银行与个人、公司等一般客户之间的 *交易市场。) Interbank part of the market *批发市场(银行同业之间的 *买卖及其场所。) vehicle currency媒介货币 depreciation贬值 demand deposits活期存款 appreciation 升值 Quotations 报价 devaluation法定贬值 Par value平价 revaluation 法定升值 Arbitrage套利 Cross-rate交叉汇率 Direct arbitrage直接套利 Triangular arbitrage 三角套汇-arbitrage through three rates 1.Demand and supply for foreign exchange ( *的需求与供给) (1)U.S exports of goods and services will create a supply of foreign currency and a demand for U.S. dollars. 美国的商品和服务的出口将造成大量的外国货币供应量和对美元的需求。 (2)U.S imports of goods and services will create a demand for foreign currency and a supply of U.S. dollars. 美国的商品和服务进口将创建一个为外国货币和美元的供给需求 (3)U.S capital outflows will create a demand for foreign currency. 美国资本外流将创建一个为外国货币的需求。 (4)U.S capital inflows will create a supply of foreign currency. 美国资本流入将创造大量的外国货币供应量。 u 一国商品和劳务的出口形成了外币的供给，进口形成对外币的需求。 u 对国外金融资产的购买形成外币的需求，外国对本国金融资产的购买形成了外币的供给。 l 课后作业 1. What are the major types of transactions or activities the result in supply of foreign currency in the spot foreign exchange market? 在即期 *市场造成外币供应的主要交易或活动有哪些？ Exports of merchandise and services 劳务和商品的出口result in supply of foreign currency in the foreign exchange market. Domestic sellers often want to be paid using domestic currency, while the foreign buyers want to pay in their currency. In the process of paying for these exports, foreign currency is exchanged for domestic currency, creating supply of foreign currency. International capital inflows 国际资本流入result in a supply of foreign currency in the foreign exchange market. In making investments in domestic financial assets, foreign investors often start with foreign currency and must exchange it for domestic currency before they can buy the domestic assets. The exchange creates a supply of foreign currency. Sales of foreign financial assets that the country's residents had previously acquired, and borrowing from foreigners by this country's residents are other forms of capital inflow that can create supply of foreign currency 8.You have access to the following three spot exchange rates即期汇率: $ 0.01 / yen $ 0.20 / krone 25 yen / krone A. how would engage in arbitrage to profit from these three rates? What is the profit for each dollar used initially? The arbitrage will be: Use dollars to buy kroner at $0.20/krone, use these kroner to buy yen at 25 yen/krone, and use the yen to buy dollars at $0.01/yen. For each dollar that you sell initially, you can obtain 5 kroner, these 5 kroner can obtain 125 yen, and the 125 yen can obtain $1.25. The arbitrage profit for each dollar is therefore 25 cents. 第四章Forward Exchange and International Financial Investment 远期交易与国际金融投资 forward foreign exchange contracts 远期 *合同 Hedging and speculating by forward foreign exchange远期 *的套期保值和投机 International Financial Investment国际金融投资 Covered International Investment 抛补性国际投资 Uncovered International Investment 非抛补性国际投资 Forward foreign exchange contract远期 *合同： 是指在约定未来某一日期以一定的 *汇率买进或卖出一定金额外币的合同。 Hedging using forward foreign exchange 远期 *合同用于套期保值： 套期保值包括获取外币资产来冲销已有的外币净债务，或者获取外币债务来冲销已有的外币净资产。 long position：有的外币净资产的数量即多头。 short position Hedging套期保值 dollar-denominated (美元面值的) speculate(投机) inheriting (继承） Speculation投机 Covered interest arbitrage receivable (应收账款). disbursed (支付） portfolio diversification (多样化) 1.Speculating using forward foreign exchange 远期 *合同用于投机 4月时预计英镑价格从 $1.98/ 下降至$1.70/ 签订3个月后卖出1百万英镑的远期合同，90天远期汇率$1.9668 / )3个月后，英镑价格如期下跌至$1.70/ 按现汇买入1百万英镑,支付$1,700,000结清合同，获利 $266,800 Principle of "buy low, sell high" Your speculation may turn out differently ： 4月时预计英镑价格从 $1.98/ 下降至$1.70/ 签订3个月后卖出1百万英镑的远期合同，90天远期汇率$1.9668 / .3个月后，英镑价格上升至$2.20/ 按现汇买入1百万英镑， 支付$2,200,000结清合同，亏损 $233,200 2.Covered International Investment 抛补性国际投资 箭头： 左至右：买入英镑卖出美元 Ius：当前美国的90天利率 右至左：卖出英镑买入美元 Iuk：当前英国的90天利率 向上：投资或放贷 e: 英镑的现汇汇率 向下：三个月后的收入贴现 f : 当前公布的90天远期汇率 Lets start with one dollar：Covered interest differential抛补利息差 CD=(1+ iuk) · f/e (1+ius) If CD>0, investing in Britain CD<0，investing in America (home country) Forward premium 远期升水远期汇率高于即期汇率 F = (f-e)/e 升水幅度 (if F is positive) Forward discount 远期贴水远期汇率低于即期汇率 If F is negative，CD = F + (iuk -ius ) 3.Covered Interest Parity抛补利息平价 CD=0 CD= F + (iuk ius ) =0 Thatis,F=iusiuk 远期升水等于两国货币利差。 Or F+ iuk =ius 国内收益等于抛补性国外投资的总收益。 当A国利率低于B国利率时， A国货币远期升水。反之，则贴水。 l 四个rates的计算： current forward exchange rate当前远期汇率 简f， current spot exchange rate当前即期汇率 简e, current intreast rates in the two countries.两国当前利率 简 iuk、ius. 4.Uncovered Interest Parity非抛补利息平价 EUD=Expected appreciation + (iuk - ius ) =0 即EUD=eex-e/e + (iuk - ius)=0，其中Expected appreciation= eex-e/e That is, expected appreciation of the pound =ius iuk 预期英镑升(贬）值等于两国货币利差 Or expected appreciation + iuk =ius 国内收益等于非抛补性国外投资的总收益。 l EUD=Expected depreciation + (iuk -ius ) < 0 The U.S. investor should invest dollar-denominated bonds. EUD=Expected appreciation + (ius - iuk) > 0 The U.K. investor should invest dollar-denominated bonds l 课后练习 4The current spot exchange rate当前即期汇率 is $0.010/yen. The current 60-day forward exchange rate 当前远期汇率is $0.009/yen. How would the U.S firms and people described in question 3 each use a forward foreign exchange contract远期 *合同 to hedge 规避their risk exposure风险 ?what are the amounts in each forward contract ? a. The U.S. firm has an asset position in yenit has a long position in yen. To hedge its exposure to exchange rate risk, the firm should enter into a forward exchange contract now in which the firm commits to sell yen and receive dollars at the current forward rate. The contract amounts are to sell 1 million yen and receive $9,000, both in 60 days. b. The student has an asset position in yena long position in yen. To hedge the exposure to exchange rate risk, the student should enter into a forward exchange contract now in which the student commits to sell yen and receive dollars at the current forward rate. The contract amounts are to sell 10 million yen and receive $90,000, both in 60 days. c. The U.S. firm has an liability position in yena short position in yen. To hedge its exposure to exchange rate risk, the firm should enter into a forward exchange contract now in which the firm commits to sell dollars and receive yen at the current forward rate. The contract amounts are to sell $900,000 and receive 100 million yen, both in 60 days. 5.The current exchange rate即期汇率 is $1.20/euro.The current 90-day forward exchange rate当前远期汇率 is $1.18/euro.You expect the spot rate to be $1.22/euro in 90 days .How would you speculate投机 using a forward contract?If many speculate in this way ,what a pressure is placed on the value of the current forward exchange rate? Relative to your expected spot value of the euro in 90 days ($1.22/euro), the current forward rate of the euro ($1.18/euro) is lowthe forward value of the euro is relatively low. Using the principle of "buy low, sell high," you can speculate by entering into a forward contract now to buy euros at $1.18/euro. If you are correct in your expectation, then in 90 days you will be able to immediately resell those euros for $1.22/euro, pocketing a profit of $0.04 for each euro that you bought forward. If many people speculate in this way, then massive purchases now of euros forward (increasing the demand for euros forward) will tend to drive up the forward value of the euro, toward a current forward rate of $1.22/euro. 8.The following rates are available in the markets: Current spot exchange rate即期汇率: $0.500/Fr Current 30-day forward exchange rate当前30天远期汇率: $0.505/SFr Annualized interest rate on 30-day dollar-denominated bonds 30天美元计价券的年利率 : 12%(1.0%for 30 days) Annualized interest rate on 30-day swiss franc -denominated bonds 30天瑞郎计价券的年利率 : 6%(0.5%for 30 days) A. Is the swiss franc at a forward premium or discount远期溢价或折价? The Swiss franc is at a forward premium. Its current forward value ($0.505/SFr) is greater than its current spot value ($0.500/SFr). B. Should a U.S-based investor make a covered investment in swiss franc-denominated 30-day bonds ,rather than investing in 30-day dollar-denominated bonds?explain. CD=F+ iuk -ius =( 0.505-0.5)/0.5+(0.005-0.01)=0.005, there is a covered interest differential of 0.5% for 30 days (6 percent at an annual rate). The U.S. investor can make a higher return, covered against exchange rate risk, by investing in SFr-denominated bonds. 第五章What Determines Exchange Rates? 汇率是由什么决定的？ focuses on short-run movements in exchange rates. 短期内汇率变动 focuses on long-term trends. 长期内汇率变动 shows one way in which the short term flows into the medium term and then into the long term.短期汇率变动对中长期的影响。 Asset market approach to exchange rates 资产市场说portfolio repositioning (投资组合重置） Ø The long run: the monetary approach长期：货币理论 The quantity theory (货币数量理论） 货币数量公式： Ms=k×P×Y Mfs=kf×Pf×Yf Ms： Money supply 货币供给 k： proportional relationships between money holdings and the nominal value of GDP货币持有量和GDP的名义价值之比 P： price level 价格水平 Y： real domestic products 实际国内产出 1.Three types of variability for exchange rates Long-term trends. Medium-term (over periods of several years) trends. Short-term (month to month) variability. 2.短期汇率的决定因素 变量的变化 国内利率 (i) 增加 减少 国外利率 (if) 增加 减少 预期远期现汇汇率(eex) 增加 减少 转向外币资产 转向本币资产 转向外币资产 转向本币资产 e 增加 (本币贬值） e 减少 (本币升值） 转向本币资产 转向外币资产 e 增加 (本币贬值） e 减少 (本币升值） e 减少 (本币升值） e 增加 (本币贬值） 国际金融资产重组方向 对当前现汇汇率的影响 分析基于三个变量中一个发生变化时，其他两个不变,对现汇汇率的影响。 n If domestic i increases, while if and eex投资者预期的未来的即期汇率 remained constant,the return comparison shifts in favor of investments in domestic bonds.Why? This increase demand for domestic currency increases the current spot exchange rate value of domestic currency ,so e当前即期汇率 decreases. n If foreign i increases, while i and eex remained constant, the return comparison shifts in favor of investments in foreign bonds. This increase demand for foreign currency increases the current spot exchange rate e (the domestic currency depreciates) 3.The Long Run: Purchasing Power Parity长期：购买力平价说 英国减少10的货币供给英镑减少，变得更值钱从紧货币政策，银行缩减信贷造成借贷困难，减少了总需求，产出，就业。价格水平下降10根据相对购买力平价说, 英镑汇率上升10 The effect of real incomes on an exchange rate 实际收入对汇率的影响 Example: 英国生产力上升，实际收入增加了10增加了人们对英镑的需求但假定英国货币存量没有增加，则物价会下降10根据相对购买力平价说，英镑汇率上升10 l 课后作业 2.The following rates currently exist: Spot exchange rate即期汇率 :$1.000/euro Annual interest rate on 180-day euro denominated bonds 180欧元计价券的年利率 :3% Annual interest rate on 180-day U.S dollar denominated bonds 180天美元计价券的年利率:4% Investors currently expect the spot exchange rate to be about $1.005/euro in180 days A. Show that uncovered interest parity抛补利率平价 holds(appromixmately)at these rates. The euro is expected to appreciate at an annual rate of approximately (1.005 - 1.000)/1.000)×(360/180) = 1%. The expected uncovered interest differential is approximately 1% + 3% - 4% =