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1、精选优质文档-倾情为你奉上题型:(范围28章)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 goodsPurchases by foreigners in this countryForeign
2、ers investing in the countrys bondsA debit item (-)negative items: a country must pay; payment by the country to a foreigner.包括:Imports of goodsPurchases by firms in this country from foreign countriesPurchases by investors in this country from foreigners2Balance of Payments Statement国际收支平衡u Current
3、 account(经常账户):简CA(商品、服务的进出口、对外国金融资产的支付和收益、单方面转移)u Financial account(金融账户):简FA (直接投资、国际证券投资)u Official international reserves(官方国际储备):简OR(黄金、外汇资产、在国际货币基金的特别提款权)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 + n
4、egative items = 0positive balance: surplusnegative balance: deficit(1) 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 (Net foreign investment (If):净国外投资)CA = S Id (National saving (S):国际储备 ,domestic investment (I
5、d):国内投资.) S = Id + If (国际储备=国内投资+净国外投资)Y = C + Id + G +(X M) (商品和劳务的生产= 消费+投资政府支出贸易差额)E = C + Id + G (对商品和劳务总支出=消费+投资政府支出)据Y = E +(X M), CA = (X M) 可以推导出CA = Y ESurplus盈余Deficit赤字Positive net foreign investment lender) 贷款者Net foreign borrower借款者Saving more than investing domestically 储蓄超过国内投资Domesti
6、c savings less than domestic investment储蓄低于国内投资Producing more than spending on goods and services 生产超过支出Spending more than producing生产少于支出If CA is in deficit, then what could we do?(若CA是赤字,我们应该怎么做?)Increase Y, or decrease E.(增加商品和劳务的生产,或减少对商品和劳务的总支出)(2)Official settlements balance官方结算差额OR Current ac
7、count 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(OR)来弥补,因此,B + OR = 0意义: 如B0,则外汇贮备增加。 如B0, investing in BritainCD0,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 negat
8、ive,CD = F + (iuk -ius ) 3.Covered Interest Parity抛补利息平价 CD=0CD= F + (iuk ius ) =0Thatis,F=iusiuk 远期升(贴)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 interest rates in the two c
9、ountries.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(四个rates的计算,其中eex表示投资者预期的未来的即期汇率)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 =
10、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 ) 0The U.K. investor should invest dollar-denominated bondsl 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
11、each use a forward foreign exchange contract远期外汇合同 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 co
12、ntract 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 stud
13、ent 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
14、. 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 exchan
15、ge 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?R
16、elative 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
17、/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
18、 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/FrCurrent 30-day forward exchange rate当前30天远期汇率: $0.505/SFrAnnualized interest rate on 30-day
19、 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/SF
20、r) 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 d
21、ifferential 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-t
22、erm 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:货币理论The quantity theory (货币数量理论)货币数量公式:Ms=kPY (1)Mfs=kfPfY
23、f (2)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(代表消费者的行为)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(三种变异类型的汇率)Long-term trends.Medium-term (over periods of several year
24、s) trends.Short-term (month to month) variability.2.短期汇率的决定因素变量的变化国际金融资产重组方向对当前现汇汇率的影响 (e =本币/外币)国内利率 (i)增加转向本币资产e 减少 (本币升值)减少转向外币资产e 增加 (本币贬值)国外利率 (if)增加转向外币资产e 增加 (本币贬值)减少转向本币资产e 减少 (本币升值)预期远期现汇汇率(eex)增加转向外币资产e 增加 (本币贬值)减少转向本币资产e 减少 (本币升值)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,
25、 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 r
26、emained 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 (PPP)Three versions: The law of one price 一价定律:商品的国内价格等于国外价格乘以现汇汇率。P = e Pf该定律对交易大宗商品来说是正确的。如,黄金,其他金属,原油和农产品。“一价定律”在现实中已失去意义。 Absolute purchasing power parity 绝对购买力平价说:汇率取决于以不同货币衡量的多种可贸易商品价格水平之比。 P = Pfe -or- e = P/Pf绝对购买力平价不成立。 Relative purchasing power parity 相对购买力平价说:Rate of appreciation of the foreign currency=f国外货币