大学国际金融复习资料整理.docx

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1、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 Fore

2、igners 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

3、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:

4、 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 lende

5、r) 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. O

6、fficial 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B0，则 *贮备增加。 如B0, investing in Britain CD0，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 posit

7、ive) 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 exch

8、ange 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 exp

9、ected 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.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

10、 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 shoul

11、d 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 expo

12、sure 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

13、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

14、, 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

15、 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 fo

16、rward 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 no

17、w 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:

18、$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 forwa

19、rd 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

20、+(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 m

21、ovements 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） The long run: the monetary approach长期：货币理

22、论 The quantity theory (货币数量理论） 货币数量公式： Ms=kPY Mfs=kfPfYf 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. Medi

23、um-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

24、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

25、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 P

26、arity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

27、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% =