国际金融第二章作业题(有答案)

Chapter 2 Foreign exchange rate and market
1. Traveling: Copenhagen to St.Peterburg. On your post-graduation celebratory
trip, you are leaving Copenhagen, Denmark, for St.Peterburg, Russia. Denmark’s currency is the kroner (Denmark, although an EU member, is not a participant in the euro adoption itself, but rather maintains a managed rate against the euro.) You leave Copenhagen with 10,000 Danish kroner still in your wallet. Wanting to exchange all of these for Russian rubles, you obtain the following quotes:
Dkr8.5515/$ R29.070/$
a. What is the Danish kroner/Russian ruble cross rate?
R Dkr R Dkr /2942.0070
.295515.8= b. How many rubles will you obtain for your leftover kroner?
48.339902942
.0000,10R =
2. Riskless profit on the Swiss franc. The following exchange rates are available to
you. (You can buy or sell at the stated rates.)
Mr. Fuji Bank ¥120.00/$
Mt. Rushmore Bank SF1.6000/$
Mt. Blanc Bank ¥80.00/SF
Assume that you have an initial SF10, 000,000. Can you make a profit via triangular arbitrage? If so, show steps and calculate the amount of profit in Swiss francs.
(1) Judge if there is an arbitrage opportunity
$1=¥120.00
¥1=SF(1/80)=SF0.0125
SF1=$(1/1.6)=$0.625
120×0.0125×0.625=0.9375<1
Since the product of these three figures is not zero, so there is an arbitrage opportunity.
(2) The process of arbitrage:
Since the product< 1, always buy the unit currencies.
Step 1: Sell SF10, 000,000 buy ¥8000000000125
.010000000= Step 2: Sell ¥800,000,000 buy $67.6666666120
800000000= Step 3: Sell $6666666.67 buy SF 67.10666666625
.067.6666666= So the profits = SF10, 000,000- SF10,666,666.67=SF 666,666.67
3. Venezuelan bolivar. The Venezuelan government officially floated the Venezuelan bolivar (Bs) in February 2002. Within weeks, its value had moved from the prefloat fix of Bs778/$ to Bs1025/$.
a. Is this a devaluation or a depreciation?
Firstly devaluation, then depreciation.
a. By what percentage did its value change?
%096.241025
1025778778
1778110251-=-=-
4. Direct quotation on the dollar. Calculate the forward discount on the dollar (the dollar is the home currency) if the spot rate is $1.8200/£ and the six-month forward rate is $1.8000/£.
The discount rate of £: %1978.2282
.102.061282.182.18.1-=⨯-=⨯-=∆ The premium rate of $: %2222.228
.18.182.161282
.1182.118.11=⨯-=⨯-=∆
Textbook:
Page 18:
Exercise 1
$/€ = $.98
$/¥ = $.0077 0786. 98
.0077. $/$/ €€== Exercise 2
(1) Judge if there is an arbitrage opportunity
¥I = $0.0077
$1 = SF2
SF1 = ¥65
0.0077×2×65=1.001﹥1
Since the product of these three figures is not zero, so there is an arbitrage opportunity.
(2) The process of arbitrage:
Since the product ﹥1, always sell the unit currencies.
First, sell yen for dollars in London. Then, use these dollars to buy Swiss
francs in New York. Finally, exchange the francs for yen in Paris.
i. ¥10,000 = $77.0
ii. $77 = SF154
iii. SF154 = ¥10,010
Thus the total arbitrage profit is 10,010 - 10,000 = ¥10
To find the profit per yen, we divide 10/10,000 = ¥.001
Exercise 5
There is no profit opportunity since the lowest price to buy dollars is 110.40 at Mitsubishi and the highest price to sell dollars is 110.40 at Tokai. Since these are the same, then no profit can be made. It is important for us to realize that the bank’s selling rate is the customer’s buying rate and the bank’s buying rate is the customer’s selling rate.
Exercise 6
a. C$/$ ⨯ $/€= C$/€= 1.5613 ⨯ 1.0008 = 1.5625
b. ¥/$ ⨯ $/£= ¥/£= 124.84 ⨯ 1.5720 = 196.25
c. (SF/$)/(C$/$) = SF/C$ = 1.4706/1.5613 = 0.94。