Kaplan考试和QBank二级（考友版）：Heckpoint考试1：学习环节 （题目+解析）2-8.docx

CFALevel11Questions#1-6of42Questions1-6relatetoGoldensandJewelr¾LtdIntroductionRajRShSinghistheCFOofGoldensandJewelry,Ltd,aLondon-basedretailercffinejewelryandwatches.Singhhasnoticedthatthepriceofgoldhasbeguntoincrease.IfeconomicactivitycontinuestopickURthepriceofgoldislikelytoaccelerateitsrateofincreaseasboththelevelofdemandandinflationratesincrease.ImplicationsofRisingGoldPriceSinghhasbecomeConCernedaboutthecostimplicationsfBGoldensandifgoldpricescontinuetoriseHehasrequestedameetingwithAnitaBiscayne,GoldensancTsCOO.Inprepai'ationforthemeeting,SinghaskedoneofhisstallYasunobuHara,topreparearegressionanalysiscomparingthepriceofgoldtoeaveragecostofGoldensanrfSPUrChaSeSoffinishedgold方Weiry.HaraprovidestheregressionresultsasshowninExhibitLExhibit1:1979-2009AnnualData(31Observations)VariableCoefficientStandardErroroftheCoefficientInterceptIL067.29Costfgold2.8970.615standarderroroftheforecast=117.8Exhibit2:PartialStUdenfSt-diStributionTable1.evelofSignificanceforOne-TailedTestdfQlOOQ050tt025QOloQ005Q00051.evelofSignificanceforTwo-TailedTestdfQ200ooQ050a020QOlOQOOl29L3111.69920452.46227563659301.3101.69720422.4572750&64631L3091.6962.040245327442636ReviewingtheregressionresultsBiscaynebecomesconcernedabouttheimplicationsforthecostoffinishedjewelrytoGoldensandiftheprice Biscayne worries that the regression model is misspecified because it does not include a variable to measure the cost of the highly specialized Uibor used by m anufacturing jewelers. She poits out that the effect of omitting an i mportat variable in a regression analysis is that the regression coefficients will be unbiased and inconsistent Singh adds that another com mon consequence of misspecifying a regression analysis is creating undesired stationarity.Multiple RegressionHara conducts a series f regression analyses using all possible combinations of the suggested independent VariableS based on their average quarterly values. He returns with the following regression results as shown in Exhibit 3 for the equation which uses all suggested independent variable*Exhibit 3: 1999-2009 Quarterly Data (44 Observatis)goldcontinuestoriseToremainprofitable,thecostoffinishedjewelryshouldnotexceed$2,000.RegressionConcernsOverallConcernsSingh'sprincipalconcernabouttheregressionisWhetherthetimeperiodchosenisagoodpredictorofthecu11'entsituation*Hemakesthefollowingstatement：Statement1:WemayhaveaproblemwithparameterInstabilityiftherelationshipbetweengoldpricesandjewelrycostshaschangedoverthepast30yearsSinghalsofocusesonthevalueoftheslopecoefficientHeexpectedittobe40basedonhisexperienceintheindustry,Haracomputestheappropriateteststatisticandreportsthefollowing:Statement2:Wefailtorejectthenullhypothesisthattheslopecoefficientisequalto40atthe5%levelofsignificance.Testingfa、HeteroskedasticityBiscayneremarksthatthedramaticincreaseinthepriceleveloverthepast30yearsleadshertosuspectHeteroskedasticityintheregressionresultsShesuggeststoSinghthattheyshouldconductaBreusch-Paganchi-squaretestforHeteroskedasticitybycalculatingthefollowingteststatistic：n×R2withkdegreesoffiedomwhere:n=numberofobservationsR'=RJoftheregressionofjewelrypricesongoldpricesk二numherofindependentVciriables"odelMisspeciiicationBiscayneandSinghhavevariousviewsonthepotentialfa、modelmisspecificationandtheeffectofanysuchmisspecificatbii.Intercept-393.7Goldprice714.5Silverprice1.27.8Platinumprice3.53.1Laborcosts0.822.4GDP(EU)0.0002745.7GDP(MiddleEast)0.0000493.6Personalincome(El)0.0003142.1Personalincome(MiddleEast)0098762.2IndependentVariablesR2:Q55Coefficient IrStatisticDurbin-Watson:389HaraisconcernedabouttheequationdescribedinExhibit3Hemakesthefollowingstatement:Statement3:Themodelappearstosufferfrommultico11inearit¾Droppingoneormoreindependentvariableswillincreasethecoefficientofdetermination.Biscaynerespondswiththefollowingstatement:Statement 4:AnautocorrelationproblemcanbeaddressedbyusingtheHansenmethodtoadjustthe代Exhibit4:PartialDurbirrWatsonTableCriticalValuesfartheDurbiirWatsonStatistic(=Q05)K=3K=4K三5di%Lidu九39l+33L66L27L721.22L79401.341.661.291.721.231.7945L381.67L341.721.291.78Question#1of42QUestionID:1214287Theperouncepriceofgoldthatcorrespondstothe$2,OOOcostoffinishedjewelryisclosestto：A)$687.B)$712C)$3,240.ExplanationCostoffinishedjewelry=ILo6+2897×(costofgold)$2,000=11.06+2897×fcostofgold)Priceofgold=($2,000-11.06)/2897=$686.55ForFurtherReference:(StudySession2,Module4.3,LOS4e)SchweserNotes,Book1page126CFA«ProgTciniCurriculum,VolumeLpage250Question#2of42Question11):1214288AreSingh(Statement1)andHara(Statement2)correctorincorrectregardingtheusefulnessofregressionresultsdescribedinExhibit1andthevalueofeslopecoefficient?A)BotharecorrectB)Oneiscorrect,theotherisincorrectC)BothareincorrectExplanationSinghiscorrectthatachangeintherelationshipbetweengoldpricesandjewelrycostswouldbeanexaleofparameterinstabilityHaraiscorrecttofailtorejectthenullhypothesisthatthevalueoftheslopecoefficientisequalto40atthe5%levelofsignificance.ThecriticalCraIUefortheslopecoefficientWith31-2=29dfatthe5%levelforatwo-tailedtestis2045.Theteststatisticis(2897-4.000)/0.615=-L79.Theabsolutevalue(1.79)islessthan2.045,andthecorrectdecisionistofailtorejectthenullhypothesisIhattheslopecoefficientisequalto4QForFurtherReference:(StudySession2,ModulelZLOS4.d,6h)SchweserNotes,Book1page125CFA*ProgramCiculum,Volume1,page250SchweserNotes,Book1page207CFAProgramCurriculum,Volume1,page400Question#3of42QueslionID:1214289IsBiscaynecorrectwithregardtothespecificationoftheBreusch-Pagantest?A)No,becauseitisanstB)NqbecausethewrongRNisused.C)No,becausethedegreesoffreedomareequaltokandn-k-1.EXPlanaticnBiscayneisincorrectinthespecificationoftheformulabecausetheappropriate川touseincalculatingaBreusch-Paganchi-squarestatisticisnotthe川oftheregressionof卫WeIrypricesongoldpricesbutratherthe川oftheregressionofsquaredresidualsfromtheoriginalregressionontheindependentvariable(s).ForFurtherReference:(StudySession2»Module5.LOS5.k)SchweserNotes,Book1page167CFA”ProgramCumculum,Volume1,PagQ304Question#4of42QuestionID:1214290RegardingthecommentsonthepotentialconsequencesofmisspecificationinthesimpleIinearregression,isSinghcorrect<rincorrectregardinghiscommentonhisconcernoverStatiOnaritKandisBiscaynecorrectorincorrectabouttheeffectQfomittinganimportantvariable?A)OnlySinghisincorrectB)OnlyBiscayneisincorrectC)BothareincorrectEXPIanationSinghisincorrectbecauseapotentialresultofmisspecifyingaregressionequationisnonstationarity(notstationaritwhichisdesirable).Biscayneisincorrectbecausetheefi'ectofomittinganimportantvai'iableinaregressionisthattheregr,essioncoefficientsareoftenbiased(notunbiased)and/orinconsistentForFurtherReference:(StudySession2,Module5.9,LOS5.m)SchweserNotes,Book1page177CFAqProgramCurriculum,Volume1,page319Question#5of42QuestionID:1214291IsHaraSStatement3aboutmulticollinearityaccurate?A)Yes.B)No,becauseremovalofindependentvaluablesisaremedyforresidualautocorrelation.C)No>becausethecoefficientofdeterminationwouldnotincreasaEXPIanationWhileHaraiscorrectabouttheremedyformulticoDinearity(i,removeoneormoreofthehighlycorrelatedindependentvariables),heisincorrectabouttheeifectofreducingthenumberofindependentvariablesonthecoefficientofdeterminationR2.Rneverincreaseswhenindependentvariablesaredropped.ForFurtherReference:(StudySession2,Module5.8,LOS5,h,SDSchweserNotes,Book1page157CFA*ProgramCurriculum,Volume1,page299SchweserNotes,Book1page174CFAProgramCurriculum,Volume1,page315Question#6of42QuestionID:1214292IsBiscaynecorrectregai'dinghisstatementconcerninghowtocorrectforautocoirelation?A)No,becausetheWhitemethodisusedtoadjusttheR.B)No»becausetheHansenmethodadjuststhecoefficientstandarderrorsC)No,becausetheHansenmethodisusedtoaddressthepi'oblemofmUlticollineaiityEXPIHnatJonBiscayneisincorrectbecauseaserialCoirelationjMoblemcanbecorrectedbyusingtheHanSenmethodtoadjustthecoefficientstandarderrors,nottheR：ForFurtherReference:(StudySession2,Module5.7,LOS5.k)SchweserNotes,Book1page167CFA*Progr<Curriculum,VolumeLpage304Questions#7-12of42Questions7-12relatetoRobertWilliams.RobertWilliciTisisajunioranalystatAndersonBrothers,alargeWallStreetbrokeragefirm.HereportstoWillMcDonald,thechiefeconomistfc'AndersonBrothers.McDonaldprovideseconomicresearch,fcrecasts,andinterpretationofeconomicdatatoallofAndersonSinvestmentdepartments,aswellastothefim,sclients.McDonaldhasaskedWiilianstoanalyzeeconomictrendsinthecountryCfBundovia.BundoviahasstrictcapitalcontrolslimitingtheflowofcapitalintoandoutfthecountryThecurrencyofBundoviaisthebunco(BUN).OneOfBundoviasmajorexportsishighqualitycarpetsHowever,humanrightsactivistshaverecentlybeguntocomplainaboutchildkiborpracticesamongBundovianc<rpetmanufacturers,andthishasresultedinnegativepublicityfortheindustry;ConcernedabouttheimpactonBundovianexports»theBundoviangovernmentbannedchdlaborandprovidedoversightauthoritytotheBundoviancarpetmanufacturersassociationTheBundoviancarpetmanufacturersassociationisanindependent,membershiprbasedOrganizatioaMostIargecarpetmanufacturersinBundoviaaremembers.McDonaldbelievesthattheBundovianeconomyisexperiencingaIiypeLinflationaryevrironmentandthattheBundoviangovernmentispoisedtofollowarestrictivemonetaryandfiscalpolicytocombathighinflation.InanalyzingBundovianeconomicpertonance,WiliianSnoticesthatBundoviahasbeenabletogrowrapidlyinthepastfewyearsandhasreachedasteadystateofgrowthComparedtoitstradingpartnersBundoviahaslowCaPitaFtO-Iaborratios;thissituationisexpectedtocontinue.WilliamsisalsopermittedtotradeintheforexmarketswhenheseesanopportunitytomakeaprofitWiIIiams'bankquotesthefollowingexchangeratestohim:USD/GBP=2.OOlO-20USD/SFr=Q8550-60WilliamsasksthebankforaGBP/SFrcrossrateWilliamsreceivesthefollowingforwardratequotesftmthesamebank:30dayforwardrate:USD/GBP二2.0045-5560-dayforwardrate:USD/GBP=20075-85Williamsdecidestogolong1millionGBP(andshortUSD)inthe60daytowardcontract30daysaftertheinitiationoftheUSD/GBPforwardcontract,theexchangerateandinterestratesareasfoDows:QuotesUSD/GBPSpotZ0086/2.008930-dayforward+7.g+860dayforward+a7+9190dayforward+9.2/+9.8InterestRatesUSDGBP30day4.00%3.00%60day425%3.00%90day429%3.00%Williamsspotsanotherpotentialarbitrageopportunityintheforeignexchangemarkets.Thecurrentspotrateis$200perBUN.TheBundovianriskeeinterestIateis3%,theone-yearfmvardrateis$210perBUN>andtheU.S.risk-freerateis5%.QuestionID: 1214294Question#7of42TocarryouttheobjectivesoftheBundovianChiIdlaborregulations,themostImpoitantrequireraentisthattheBundoviancarpetmanufacturersassociationshould:A)havetheabilitytoeffectivelysupervisetheindustrypractice&B)beproperlysupervisedbythegovernment.C)beabletoimposesanctions.EXDIanationWhileabilyoftheself-regulatingorganizations(SROs)andtheirenforcementpowersareimportant,themostimportantelementisbeingproperlysupervisedbyformalgovernmentauthoities.ForFurtherReference:(StudySession4,Module12.LLOS12.e)SchweserNotes,Book1page306CFA*ProgramCurriculum,Volume1,page785Question#8of42QuestionID:1214295BasedonMCDOnaldSbeliefsaboutBundoviangovernmentmonetaryandfiscalpolicies,undertheMundelbRemingmodeltheBuncoismostIiceJyexpectedto：A)depreciate.B)appreciate.C)remainunchangedinvaluaEXDlanatiOnGivenlowcapitalmobilityarestrictivemonetai'yandfiscalpolicyshouldleadtodomesticcurrencyappreciationundertheMundell-Flemingmodel.ForFurtherReference:(StudySession4,Module10.3,LOS10.k)SchweserNotes,Book1page266CFA«ProgTciniCurriculum,VolumeLPage661Question#9of42QuestionID:1214296Underneoclassicalgrowththeory>theBundoviangrowthrateismostJikelyloincreasedueto:A)capitaldeepening.B)technologicalgrowth.C)eithercapitaldeepeningortechnologicalgrowth.EXmanationUndertheneoclassicalgrowththeory,capitaldeepeningaffectsthelevelofoutputbutnotthegrowthrateinthelongrunOnceaneconomyreachessteady-stategrowth,onlyfurthertechnologicalpr*ogi'esswillincreasethegrowthrate.ForFurtherReference:(StudySession4,Module11.3LOSILi)SchweserNotes,Book1page293CFA艮ProgiamCumculum,Volume1,page734QuestionID: 1214297Question#10of42Basedonthebank*sUSD/GBPandUSD/SFrquotes,WilliamssbankismostUielylQquoteacrossrateof:A)GBPSFr=Q4271-78.B)GBPZSFr=23375-14.C)GBPSFrQ4273-76.EXPIanationGBP/SFr=GBP/USD×USD/SFr.WearegivenUSD/GBP,soweconverttheprovidedquotes:andNo w+andGBP二 2.0020 二 0,4995GBPI USD人./ oner=2.0010 = 0,4998GBP、 _GBPUSD(豆Vbid=0.4995 × 0.8550 = 0.4271GBP k"SFfferGBPk USD Affer=0.4998 × 0.8560 = 0.4278TheGBP/SFrquoteshouldbe:GBP/SFr=Q4271-78.ForFurtherReference:(StudySession4,Module10.1»LOS10.b)SchweserNotes,Book1page248CFA<ProgramCumculum,Volume1,page620Q uestion ID: 1214298Question#11of4230daysafterinitiationoftheUSD/GBPforwardcontract,themark-o-marketvaluefthecontractisclosestto:A)USD86QB)USD1,195.C)USDZ190.ExplanationTheoriginal60dayforwardcontractcallsforlongGBP.Sotheall-infcrwardpriceFP二20085.After30days,thecontractwouldstillhave30daysremainingtoexpiration.Thenew30-dayalHnforwardpricetosellGBPis2.0086+(7.&10,000)=2.00936.Therelevant30-dayUSDinterestrateis4%.(FPt -FP) (Contract size)(2.00936-2.0085)(1,000,000)1+Rl+004(翡)=USD 857.14ForFurtherReference:(StudySession4,Module10.2,LOS10.d)SchweserNotes,Book1page253CFA*ProgiamCurnculum,Volume1,page630Question ID: 1214299Question#12of42ThemaximumprofitavailablefromcoveredinterestarbitrageintheUSD/BUNmarketbyborrowing$1,000ortheBUNequivalentisclosestto：A)$19.05.B)$3L5QC)$72.s(+¾).(l+¾u) s°EXDlanationCoveredinterestrateparityrequiresthatF=F=(1.05/L03)×200=S20388BUTheBUNshouldtradeataforwardpremiumofL9%.However,theBUNisactuallytradingatapremimof5%.Therefore,theappropriatearbitragestrategyistosellBUNintheforwardmarketasbelow：1.Borrow$1,000at5%.Attheendofoneyear;Williamswillbeobligatedtorepay$1,000(1.05)=$1,050.2Convertthe$lt000toBUNatthespotratewhichyields$1,000/(52BUN)-BUN500.3Simultaneouslyenterintoa1-yearforwardcontracttoconvertBUNtoUSDattheforwardrateof$21000/BUN.4InvestBUN500at3%.Inoneyear;WilliamswillreceiveproceedsofBUN500(L03)=BUN515.5lConverttheBIN515backtoUSDattheforwardrate,whichwaslockedinatthebeginningoftheyearandyieldsBIN515(52.1BUN)二$1,081.50.6Arbitrageprofits=$1,081.50-$L050=$31.50.ForFurtherReference:(StudySession4,Module10.2LOS10.e)SchweserNotes,Book1page255CFA*ProgiamCurriculum,Volume1,page633Questions#13-18of42Questions13-18relatetoValleyAirlines.JasonBennettisananalystforValleyAirlines(VallejO,aU.S.firm.ValleyownsastakeinSouthwestAirCai'go(Southwest),alsoaUS.fin.Thetw