国际金融chapter11
国际金融第十一章
(3) cyclicalns that people lost their jobs as a result of business-cycle fluctuations.
3. Inflation Goals
• Those who are particularly harmed by inflation are business owners, savers, financial institutions, and people who pay the largest portion of taxes. • Policymakers, therefore, include maintaining low and stable inflation, in addition to attaining high growth in per capita real income and minimizing cyclical unemployment rates, as a part of their definition of internal balance.
2. Employment goal
Governments and central banks intended to reduce size and volatility of worker unemployment rates. The unemployment can be divided into three kinds: frictional, structural, and cyclical unemployment.
Chapter 11. Economic Policy With Fixed Exchange Rates
Fundamental Issues
第十一章-国际金融
二、世界银行集团( Word Bank Group)
最主要的机构是国际复兴开发银行（简称 世界银行）和两个附属机构（国际开发协会和 国际金融公司）。
宗旨是为解决会员国恢复和发展经济的资 金不足，提供和组织长期贷款和投资，从而资 助会员国兴办特定的基本建设工程协助其复兴 与开发。
三、国际开发协会（IDA）
造成一国国际收支失衡的原因是复杂的，主要有：
1、经济发展的不平衡 2、经济结构性原因
3、货币价值的变动
4、国民收入的变动
国际收支失衡时通常有以下几种调节政策可供选 择：
1、外汇缓冲政策
2、金融政策
3、财政政策
4、汇率政策
5、直接管制
复习提要
关键词 国际收支 汇率 国际储备 国际货币基金组织 外汇储备 即期汇率 远期汇率 直接标价法
三、汇率的分类
基本汇率和套算汇率 买入汇率和卖出汇率 即期汇率和远期汇率 电汇汇率、信汇汇率、票汇汇率 固定汇率和浮动汇率 开盘汇率和收盘汇率
四、汇率的决定
（一）金本位制下的汇率决定和调整。金本位制 下，铸币平价是决定汇率的基础。外汇汇率在 市场供求变动的影响下围绕铸币平价在黄金输 送点之间上下波动。
第二节 外汇与汇率制度
一、外汇含义及种类
外币和以外币表示的可用于国际结算的支 付手段。
外汇的种类：自由外汇 记账外汇
二、汇率的标价方法
(一)直按标价法：又称应付标价法，是用一定单 位(1个或100个，1000个单位)的外国货币为标 准，来计算应付若干单位的本国货币。
(二)间接标价法：又称应收标价法，是用一定单 位的本国货币来计算应收若干单位的外国货币。
作用：促进各国中央银行交流；推动国际 金融合作；健全国际金融监管体系；提高国际 金融抗风险能力等。
国际金融-chapter eleven 资本流动 金融危机
⑵ international institution loan
国际金融机构贷款：IMF、世界银行集团、
亚洲开发银行、非洲开发银行、等全球性和区 域性金融机构向其会员国提供的贷款。 ⑶ international banks loan 国际银行贷款：国际商业银行、国际贷款 银团提供的借贷。
（二） Short-term Capital Flows 短期资本流动 • 指为期一年以下（含一年）的国际 资本流动。短期资本流动从性质上可分 为银行资本流动、贸易资本流动、保值 性资本流动和投机性资本流动：
• 对国际债务有两个基本的判断： – 一是债权方必须是非居民，居民对非居 民的债务； – 二是债务必须具有契约性偿还义务； • 国际债务不包括外国直接投资，
国际债务的衡量指标 1.债务率= 当年外债余额/当年国民生产 总值×100%≤10% 2.负债率= 当年外债余额/当年贸易和非 贸易外汇收入×100%≤100% 3. 偿债率 = 当年还本付息额/当年贸易 和非贸易外汇收入×100% ≤20% 4. 一年及一年以下短期债务
• Capital flows among banks • 银行资本流动。是指由各国经营外汇的银 行和其他金融机构之间资金调拨而引起的国 际资本转移。 • Trade capital flows • 贸易资本流动。是指由国际贸易所引起 的国际资本转移。 • Capital flows to maintain value • 保值性资本流动。是指资本持有者为了保 证资本的安全，或保证资本的盈利性而进行 的国际资本转移。
International capital flows and international financial crisis
Key terms
国际金融 International Finance Test Bank_11
Chapter 11—Managing Transaction Exposure1. Assume zero transaction costs. If the 90-day forward rate of the euro is an accurate estimate of the spotrate 90 days from now, then the real cost of hedging payables will be:a. positive.b. negative.c. positive if the forward rate exhibits a premium, and negative if the forward rate exhibits adiscount.d. zero.ANS: D PTS: 12. Assume zero transaction costs. If the 180-day forward rate overestimates the spot rate 180 days fromnow, then the real cost of hedging payables will be:a. positive.b. negative.c. positive if the forward rate exhibits a premium, and negative if the forward rate exhibits adiscount.d. zero.ANS: A PTS: 13. Assume the following information:U.S. deposit rate for 1 year = 11%U.S. borrowing rate for 1 year = 12%Swiss deposit rate for 1 year = 8%Swiss borrowing rate for 1 year = 10%Swiss forward rate for 1 year = $.40Swiss franc spot rate = $.39Also assume that a U.S. exporter denominates its Swiss exports in Swiss francs and expects to receive SF600,000 in 1 year.Using the information above, what will be the approximate value of these exports in 1 year in U.S.dollars given that the firm executes a forward hedge?a. $234,000.b. $238,584.c. $240,000.d. $236,127.ANS: CSOLUTION: SF600,000 $.40 = $240,000PTS: 14. Assume the following information:U.S. deposit rate for 1 year = 11%U.S. borrowing rate for 1 year = 12%New Zealand deposit rate for 1 year = 8%New Zealand borrowing rate for 1 year = 10%New Zealand dollar forward rate for 1 year = $.40New Zealand dollar spot rate = $.39Also assume that a U.S. exporter denominates its New Zealand exports in NZ$ and expects to receive NZ$600,000 in 1 year. You are a consultant for this firm.Using the information above, what will be the approximate value of these exports in 1 year in U.S.dollars given that the firm executes a money market hedge?a. $238,584.b. $240,000.c. $234,000.d. $236,127.ANS: DSOLUTION:1. Borrow NZ$545,455 (NZ$600,000/1.1) = NZ$545,455.2. Convert NZ$545,455 to $212,727 (at $.39 per NZ$).3. Invest $212,727 to accumulate $236,127 ($212,727 1.11) = $236,127.PTS: 15. An example of cross-hedging is:a. find two currencies that are highly positively correlated; match the payables of the onecurrency to the receivables of the other currency.b. use the forward market to sell forward whatever currencies you will receive.c. use the forward market to buy forward whatever currencies you will receive.d. B and CANS: A PTS: 16. Which of the following reflects a hedge of net receivables in British pounds by a U.S. firm?a. purchase a currency put option in British pounds.b. sell pounds forward.c. borrow U.S. dollars, convert them to pounds, and invest them in a British pound deposit.d. A and BANS: D PTS: 17. Which of the following reflects a hedge of net payables on British pounds by a U.S. firm?a. purchase a currency put option in British pounds.b. sell pounds forward.c. sell a currency call option in British pounds.d. borrow U.S. dollars, convert them to pounds, and invest them in a British pound deposit.e. A and BANS: D PTS: 18. If Lazer Co. desired to lock in the maximum it would have to pay for its net payables in euros butwanted to be able to capitalize if the euro depreciates substantially against the dollar by the time payment is to be made, the most appropriate hedge would be:a. a money market hedge.b. purchasing euro put options.c. a forward purchase of euros.d. purchasing euro call options.e. selling euro call options.ANS: D PTS: 19. If Salerno Inc. desired to lock in a minimum rate at which it could sell its net receivables in Japaneseyen but wanted to be able to capitalize if the yen appreciates substantially against the dollar by the time payment arrives, the most appropriate hedge would be:a. a money market hedge.b. a forward sale of yen.c. purchasing yen call options.d. purchasing yen put options.e. selling yen put options.ANS: D PTS: 110. The real cost of hedging payables with a forward contract equals:a. the nominal cost of hedging minus the nominal cost of not hedging.b. the nominal cost of not hedging minus the nominal cost of hedging.c. the nominal cost of hedging divided by the nominal cost of not hedging.d. the nominal cost of not hedging divided by the nominal cost of hedging.ANS: A PTS: 111. From the perspective of Detroit Co., which has payables in Mexican pesos and receivables in Canadiandollars, hedging the payables would be most desirable if the expected real cost of hedging payables is ____, and hedging the receivables would be most desirable if the expected real cost of hedgingreceivables is ____.a. negative; positiveb. zero; positivec. zero; zerod. positive; negativee. negative; negativeANS: E PTS: 112. Use the following information to calculate the dollar cost of using a money market hedge to hedge200,000 pounds of payables due in 180 days. Assume the firm has no excess cash. Assume the spot rate of the pound is $2.02, the 180-day forward rate is $2.00. The British interest rate is 5%, and the U.S. interest rate is 4% over the 180-day period.a. $391,210.b. $396,190.c. $388,210.d. $384,761.e. none of the aboveANS: ESOLUTION:1. Need to invest £190,476 (£200,000/1.05) = £190,476.2. Need to exchange $384,762 to obtain the £190,476 (£190,476 ⨯ $2.02) = $384,762.3. At the end of 180 days, need $400,152 to repay loan ($384,762 ⨯ 1.04) = $400,152.PTS: 113. Assume that Cooper Co. will not use its cash balances in a money market hedge. When decidingbetween a forward hedge and a money market hedge, it ____ determine which hedge is preferable before implementing the hedge. It ____ determine whether either hedge will outperform an unhedged strategy before implementing the hedge.a. can; canb. can; cannotc. cannot; cand. cannot; cannotANS: B PTS: 114. Foghat Co. has 1,000,000 euros as receivables due in 30 days, and is certain that the euro willdepreciate substantially over time. Assuming that the firm is correct, the ideal strategy is to:a. sell euros forward.b. purchase euro currency put options.c. purchase euro currency call options.d. purchase euros forward.e. remain unhedged.ANS: A PTS: 115. Spears Co. will receive SF1,000,000 in 30 days. Use the following information to determine the totaldollar amount received (after accounting for the option premium) if the firm purchases and exercises a put option:Exercise price = $.61Premium = $.02Spot rate = $.60Expected spot rate in 30 days = $.5630-day forward rate = $.62a. $630,000.b. $610,000.c. $600,000.d. $590,000.e. $580,000.ANS: DSOLUTION: ($.61 - $.02) ⨯ SF1,000,000 = $590,000PTS: 116. A ____ involves an exchange of currencies between two parties, with a promise to re-exchangecurrencies at a specified exchange rate and future date.a. long-term forward contractb. currency option contractc. parallel loand. money market hedgeANS: C PTS: 117. If interest rate parity exists and transactions costs are zero, the hedging of payables in euros with aforward hedge will ____.a. have the same result as a call option hedge on payablesb. have the same result as a put option hedge on payablesc. have the same result as a money market hedge on payablesd. require more dollars than a money market hedgee. A and DANS: C PTS: 118. Assume that Parker Company will receive SF200,000 in 360 days. Assume the following interestrates:U.S. Switzerland360-day borrowing rate 7% 5%360-day deposit rate 6% 4%Assume the forward rate of the Swiss franc is $.50 and the spot rate of the Swiss franc is $.48. IfParker Company uses a money market hedge, it will receive ____ in 360 days.a. $101,904b. $101,923c. $98,769d. $96,914e. $92,307ANS: DSOLUTION:1. Borrow SF190,476 (SF200,000/1.05) = SF190,476.2. Convert SF190,476 to $91,428 (SF190,476 ⨯ $.48) = $91,428.3. Invest $91,428 at 6% to accumulate $96,914 ($91,428 ⨯ 1.06) = $96,914.PTS: 119. The forward rate of the Swiss franc is $.50. The spot rate of the Swiss franc is $.48. The followinginterest rates exist:U.S. Switzerland360-day borrowing rate 7% 5%360-day deposit rate 6% 4%You need to purchase SF200,000 in 360 days. If you use a money market hedge, the amount of dollars you need in 360 days is:a. $101,904.b. $101,923.c. $98,770.d. $96,914.e. $92,307.ANS: CSOLUTION:1. Need to invest SF192,308 (SF200,000/1.04) = SF192,308.2. Need to borrow $92,308 to exchange for SF192,308 (SF192,308 ⨯ $.48) = $92,308.3. At the end of 360 days, need $98,769 to repay the loan ($92,308 ⨯ 1.07) = $98,770.PTS: 120. Your company will receive C$600,000 in 90 days. The 90-day forward rate in the Canadian dollar is$.80. If you use a forward hedge, you will:a. receive $750,000 today.b. receive $750,000 in 90 days.c. pay $750,000 in 90 days.d. receive $480,000 today.e. receive $480,000 in 90 days.ANS: ESOLUTION: C$600,000 ⨯ $0.80 = $480,000PTS: 121. A call option exists on British pounds with an exercise price of $1.60, a 90-day expiration date, and apremium of $.03 per unit. A put option exists on British pounds with an exercise price of $1.60, a 90-day expiration date, and a premium of $.02 per unit. You plan to purchase options to cover your future receivables of 700,000 pounds in 90 days. You will exercise the option in 90 days (if at all).You expect the spot rate of the pound to be $1.57 in 90 days. Determine the amount of dollars to be received, after deducting payment for the option premium.a. $1,169,000.b. $1,099,000.c. $1,106,000.d. $1,143,100.e. $1,134,000.ANS: CSOLUTION: ($1.60 - $.02) ⨯ £700,000 = $1,106,000PTS: 122. Assume that Smith Corporation will need to purchase 200,000 British pounds in 90 days. A call optionexists on British pounds with an exercise price of $1.68, a 90-day expiration date, and a premium of $.04. A put option exists on British pounds, with an exercise price of $1.69, a 90-day expiration date, and a premium of $.03. Smith Corporation plans to purchase options to cover its future payables. It will exercise the option in 90 days (if at all). It expects the spot rate of the pound to be $1.76 in 90 days. Determine the amount of dollars it will pay for the payables, including the amount paid for the option premium.a. $360,000.b. $338,000.c. $332,000.d. $336,000.e. $344,000.ANS: ESOLUTION: ($1.68 + $.04) ⨯ £200,000 = $344,000PTS: 123. Assume that Kramer Co. will receive SF800,000 in 90 days. Today's spot rate of the Swiss franc is$.62, and the 90-day forward rate is $.635. Kramer has developed the following probabilitydistribution for the spot rate in 90 days:$.64 40%$.65 30%The probability that the forward hedge will result in more dollars received than not hedging is:a. 10%.b. 20%.c. 30%.d. 50%.e. 70%.ANS: CSOLUTION: The forward hedge will result in more dollars if the spot rate is less than theforward rate, which is true in the first two cases.PTS: 124. Assume that Jones Co. will need to purchase 100,000 Singapore dollars (S$) in 180 days. Today's spotrate of the S$ is $.50, and the 180-day forward rate is $.53. A call option on S$ exists, with an exercise price of $.52, a premium of $.02, and a 180-day expiration date. A put option on S$ exists, with an exercise price of $.51, a premium of $.02, and a 180-day expiration date. Jones has developed the following probability distribution for the spot rate in 180 days:Possible Spot Ratein 90 Days Probability$.48 10%$.53 60%$.55 30%The probability that the forward hedge will result in a higher payment than the options hedge is ____ (include the amount paid for the premium when estimating the U.S. dollars required for the options hedge).a. 0%b. 10%c. 30%d. 40%e. 70%ANS: BSOLUTION: There is a 10% probability that the call option will not be exercised. In thatcase, Jones will pay $.48 ⨯ S$100,000 = $48,000, which is less than theamount paid with the forward hedge ($.53 ⨯ S$100,000 = $53,000).PTS: 125. Assume that Patton Co. will receive 100,000 New Zealand dollars (NZ$) in 180 days. Today's spotrate of the NZ$ is $.50, and the 180-day forward rate is $.51. A call option on NZ$ exists, with an exercise price of $.52, a premium of $.02, and a 180-day expiration date. A put option on NZ$ exists with an exercise price of $.51, a premium of $.02, and a 180-day expiration date. Patton Co. hasdeveloped the following probability distribution for the spot rate in 180 days:$.55 30%The probability that the forward hedge will result in more U.S. dollars received than the options hedge is ____ (deduct the amount paid for the premium when estimating the U.S. dollars received on the options hedge).a. 10%b. 30%c. 40%d. 70%e. none of the aboveANS: DSOLUTION: The put option will be exercised in the first two cases, resulting in an amountreceived per unit of $.51 - $.02 = $.49. Thus, the forward hedge will result inmore U.S. dollars received ($.51 per unit).PTS: 126. The ____ hedge is not a technique to eliminate transaction exposure discussed in your text.a. indexb. futuresc. forwardd. money markete. currency optionANS: A PTS: 127. Money Corp. frequently uses a forward hedge to hedge its Malaysian ringgit (MYR) receivables. Forthe next month, Money has identified its net exposure to the ringgit as being MYR1,500,000. The 30-day forward rate is $.23. Furthermore, Money's financial center has indicated that the possiblevalues of the Malaysian ringgit at the end of next month are $.20 and $.25, with probabilities of .30 and .70, respectively. Based on this information, the revenue from hedging minus the revenue from not hedging receivables is____.a. $0.b. -$7,500.c. $7,500.d. none of the aboveANS: CSOLUTION: RCH(1) = (MYR1,500,000 ⨯ $0.20) - (MYR1,500,000 ⨯ $0.23)= -$45,000RCH(2) = (MYR1,500,000 ⨯ $0.25) - (MYR1,500,000 ⨯ $0.23)= $30,000E[RCH] = (.30)(-45,000) + (.7)(30,000) = 7,5000PTS: 128. Hanson Corp. frequently uses a forward hedge to hedge its British pound (£) payables. For the nextquarter, Hanson has identified its net exposure to the pound as being £1,000,000. The 90-day forward rate is $1.50. Furthermore, Hanson's financial center has indicated that the possible values of theBritish pound at the end of next quarter are $1.57 and $1.59, with probabilities of .50 and .50,respectively. Based on this information, what is the expected real cost of hedging payables?a. $80,000.b. -$80,000.c. $1,570,000.d. $1,580,000.ANS: BSOLUTION: RCH(1) = (£1,000,000 ⨯ $1.50) - (£1,000,000 ⨯ $1.57) = -$70,000RCH(2) = (£1,000,000 ⨯ $1.50) - (£1,000,000 ⨯ $1.59) = -$90,000E[RCH] = (.50)(-70,000) + (.50)(-$90,000) = -$80,000PTS: 1Exhibit 11-1U.S. Jordan360-day borrowing rate 6% 5%360-day deposit rate 5% 4%29. Refer to Exhibit 11-1. Perkins Corp. will receive 250,000 Jordanian dinar (JOD) in 360 days. Thecurrent spot rate of the dinar is $1.48, while the 360-day forward rate is $1.50. How much will Perkins receive in 360 days from implementing a money market hedge (assume any receipts before the date of the receivable are invested)?a. $377,115.b. $373,558.c. $363,019.d. $370,000.ANS: DSOLUTION:1. Borrow JOD238,095.24 (JOD250,000/1.05) = JOD238,095.24.2. Convert JOD238,095.24 to $352,380.95 (JOD238,095.24 ⨯ $1.48) = $352,380.95.3. Invest $352,380.95 at 5% to accumulate $370,000 ($352,280.95 ⨯ 1.05) = $370,000.PTS: 130. Refer to Exhibit 11-1. Pablo Corp. will need 150,000 Jordanian dinar (JOD) in 360 days. The currentspot rate of the dinar is $1.48, while the 360-day forward rate is $1.46. What is Pablo's cost fromimplementing a money market hedge (assume Pablo does not have any excess cash)?a. $224,135.b. $226,269.c. $224,114.d. $223,212.ANS: BSOLUTION:1. Need to invest JOD144,230.76 (JOD150,000/1.04) = JOD144,230.76.2. Need to convert $213,461.52 to obtain the JOD144,230.76 dinar (JOD144,230.76 ⨯ $1.48)= $213,461.52.3. At the end of 360 days, need $226,269.22 ($213,461.52 ⨯ 1.06) = $226,269.21.PTS: 131. Lorre Company needs 200,000 Canadian dollars (C$) in 90 days and is trying to determine whether ornot to hedge this position. Lorre has developed the following probability distribution for the Canadian dollar:Possible Value ofCanadian Dollar in 90 Days Probability$0.54 15%0.57 25%0.58 35%0.59 25%The 90-day forward rate of the Canadian dollar is $.575, and the expected spot rate of the Canadian dollar in 90 days is $.55. If Lorre implements a forward hedge, what is the probability that hedging will be more costly to the firm than not hedging?a. 40%.b. 60%.c. 15%.d. 85%.ANS: ASOLUTION: Since Lorre locks into the $.575 with a forward contract, the first two caseswould have been cheaper had Lorre not hedged (15% + 25% = 40%).PTS: 132. Quasik Corporation will be receiving 300,000 Canadian dollars (C$) in 90 days. Currently, a 90-daycall option with an exercise price of $.75 and a premium of $.01 is available. Also, a 90-day put option with an exercise price of $.73 and a premium of $.01 is available. Quasik plans to purchase options to hedge its receivable position. Assuming that the spot rate in 90 days is $.71, what is the net amount received from the currency option hedge?a. $219,000.b. $222,000.c. $216,000.d. $213,000.ANS: CSOLUTION: ($.73 - $.01) ⨯ 300,000 = $216,000.PTS: 133. FAB Corporation will need 200,000 Canadian dollars (C$) in 90 days to cover a payable position.Currently, a 90-day call option with an exercise price of $.75 and a premium of $.01 is available. Also,a 90-day put option with an exercise price of $.73 and a premium of $.01 is available. FAB plans topurchase options to hedge its payable position. Assuming that the spot rate in 90 days is $.71, what is the net amount paid, assuming FAB wishes to minimize its cost?a. $144,000.b. $148,000.c. $152,000.d. $150,000.ANS: ASOLUTION: ($.71 + $.01) 200,000 = $144,000. Note: the call option is not exercisedsince the spot rate is less than the exercise price.PTS: 134. You are the treasurer of Arizona Corporation and must decide how to hedge (if at all) futurereceivables of 350,000 Australian dollars (A$) 180 days from now. Put options are available for a premium of $.02 per unit and an exercise price of $.50 per Australian dollar. The forecasted spot rate of the Australian dollar in 180 days is:Future Spot Rate Probability$.46 20%$.48 30%$.52 50%The 90-day forward rate of the Australian dollar is $.50.What is the probability that the put option will be exercised (assuming Arizona purchased it)?a. 0%.b. 80%.c. 50%.d. none of the aboveANS: CSOLUTION: Arizona will exercise when the exercise price is greater than the future spot(20% + 30% = 50%).PTS: 135. If interest rate parity exists, and transaction costs do not exist, the money market hedge will yield thesame result as the ____ hedge.a. put optionb. forwardc. call optiond. none of the aboveANS: B PTS: 136. Which of the following is the least effective way of hedging exposure in the long run?a. long-term forward contract.b. currency swap.c. parallel loan.d. money market hedge.ANS: D PTS: 137. When a perfect hedge is not available to eliminate transaction exposure, the firm may considermethods to at least reduce exposure, such as ____.a. leadingb. laggingc. cross-hedgingd. currency diversificatione. all of the aboveANS: E PTS: 138. Sometimes the overall performance of an MNC may already be insulated by offsetting effects betweensubsidiaries and it may not be necessary to hedge the position of each individual subsidiary.a. Trueb. FalseANS: T PTS: 139. To hedge a ____ in a foreign currency, a firm may ____ a currency futures contract for that currency.a. receivable; purchaseb. payable; sellc. payable; purchased. none of the aboveANS: C PTS: 140. A forward contract hedge is very similar to a futures contract hedge, except that ____ contracts arecommonly used for ____ transactions.a. forward; smallb. futures; largec. forward; larged. none of the aboveANS: C PTS: 141. Celine Co. will need €500,000 in 90 days to pay for German imports. Today's 90-day forward rate ofthe euro is $1.07. There is a 40 percent chance that the spot rate of the euro in 90 days will be $1.02, and a 60 percent chance that the spot rate of the euro in 90 days will be $1.09. Based on thisinformation, the expected value of the real cost of hedging payables is $____.a. -35,000b. 25,000c. -1,000d. 1,000ANS: DSOLUTION: E[RCH p] = -$35,000 ⨯ 0.40 + $25,000 ⨯ 0.60 = $1,000PTS: 142. In a forward hedge, if the forward rate is an accurate predictor of the future spot rate, the real cost ofhedging payables will be:a. highly positive.b. highly negative.c. zero.d. none of the aboveANS: C PTS: 143. If an MNC is hedging various currencies, it should measure the real cost of hedging in each currencyas a dollar amount for comparison purposes.a. Trueb. FalseANS: F PTS: 144. Samson Inc. needs €1,000,000 in 30 days. Samson can earn 5 percent annualized on a German security.The current spot rate for the euro is $1.00. Samson can borrow funds in the U.S. at an annualizedinterest rate of 6 percent. If Samson uses a money market hedge, how much should it borrow in the U.S.?a. $952,381.b. $995,851.c. $943,396.d. $995,025.ANS: BSOLUTION: 1,000,000/[1 + (5% ⨯ 30/360) = $995,851PTS: 145. Blake Inc. needs €1,000,000 in 30 days. It can earn 5 percent annualized on a Ge rman security. Thecurrent spot rate for the euro is $1.00. Blake can borrow funds in the U.S. at an annualized interest rate of 6 percent. If Blake uses a money market hedge to hedge the payable, what is the cost ofimplementing the hedge?a. $1,000,000.b. $1,055,602.c. $1,000,830.d. $1,045,644.ANS: CSOLUTION:1. Borrow $995,851 from a U.S. bank (€1,000,000 ⨯ $1.00 ⨯ [1 + (.05 ⨯ 30/360)]2. Convert $995,851 to €995,851, given the exchange rate of $1.00 per euro.3. Use the euros to purchase a German security that offers 0.42% interest over 30 days.4. Repay the U.S. loan in 30 days, plus interest; the amount owed is $1,000,830 (computed as$995,851 ⨯ [1 + (.06 ⨯ 30/360)]).PTS: 146. Since the results of both a money market hedge and a forward hedge are known beforehand, an MNCcan implement the one that is more feasible.a. Trueb. FalseANS: T PTS: 147. If interest rate parity exists, the forward hedge will always outperform the money market hedge.a. Trueb. FalseANS: F PTS: 148. To hedge a contingent exposure, in which an MNC's exposure is contingent on a specific eventoccurring, the appropriate hedge would be a(n) ____ hedge.a. money marketb. futuresc. forwardd. optionsANS: D PTS: 149. A ____ is not normally used for hedging long-term transaction exposure.a. long-term forward contactb. futures contractc. currency swapd. parallel loanANS: B PTS: 150. The ____ does not represent an obligation.a. long-term forward contractb. currency swapc. parallel loand. currency optionANS: D PTS: 151. Hedging the position of individual subsidiaries is generally necessary, even if the overall performanceof the MNC is already insulated by the offsetting positions between subsidiaries.a. Trueb. FalseANS: F PTS: 152. If an MNC is extremely risk-averse, it may decide to hedge even though its hedging analysis indicatesthat remaining unhedged will probably be less costly than hedging.a. Trueb. FalseANS: T PTS: 153. A money market hedge involves taking a money market position to cover a future payables orreceivables position.a. Trueb. FalseANS: T PTS: 154. To hedge a payable position with a currency option hedge, an MNC would write a call option.a. Trueb. FalseANS: F PTS: 155. MNCs generally do not need to hedge because shareholders can hedge their own risk.a. Trueb. FalseANS: F PTS: 156. Currency futures are very similar to forward contracts, except that they are standardized and are moreappropriate for firms that prefer to hedge in smaller amounts.a. Trueb. FalseANS: T PTS: 157. To hedge payables with futures, an MNC would sell futures; to hedge receivables with futures, anMNC would buy futures.a. Trueb. FalseANS: F PTS: 158. When the real cost of hedging is positive, this implies that hedging was more favorable than nothedging.a. Trueb. FalseANS: F PTS: 159. A futures hedge involves taking a money market position to cover a future payables or receivablesposition.a. Trueb. FalseANS: F PTS: 160. If interest rate parity (IRP) exists, then the money market hedge will yield the same result as theoptions hedge.a. Trueb. FalseANS: F PTS: 161. The price at which a currency put option allows the holder to sell a currency is called the settlementprice.a. Trueb. FalseANS: F PTS: 162. A put option essentially represents two swaps of currencies, one swap at the inception of the loancontract and another swap at a specified date in the future.a. Trueb. FalseANS: F PTS: 163. The hedging of a foreign currency for which no forward contract is available with a highly correlatedcurrency for which a forward contract is available is referred to as cross-hedging.a. Trueb. FalseANS: T PTS: 164. The exact cost of hedging with call options (as measured in the text) is not known with certainty at thetime that the options are purchased.a. Trueb. FalseANS: T PTS: 165. The tradeoff when considering alternative call options to hedge a currency position is that an MNC canobtain a call option with a higher exercise price, but would have to pay a higher premium.a. Trueb. FalseANS: F PTS: 166. When comparing the forward hedge to the options hedge, the MNC can easily determine which hedgeis more desirable, because the cost of each hedge can be determined with certainty.a. Trueb. FalseANS: F PTS: 167. When comparing the forward hedge to the money market hedge, the MNC can easily determine whichhedge is more desirable, because the cost of each hedge can be determined with certainty.a. Trueb. FalseANS: T PTS: 168. Assume zero transaction costs. If the 90-day forward rate of the euro underestimates the spot rate 90days from now, then the real cost of hedging payables will be:a. positive.b. negative.c. positive if the forward rate exhibits a premium, and negative if the forward rate exhibits adiscount.d. zero.ANS: B PTS: 169. Johnson Co. has 1,000,000 euros as payables due in 30 days, and is certain that euro is going toappreciate substantially over time. Assuming the firm is correct, the ideal strategy is to:a. sell euros forwardb. purchase euro currency put options.c. purchase euro currency call options.d. purchase euros forward.e. remain unhedged.ANS: D PTS: 1。
第11章国际金融
2、纸币制度下汇率的决定
纸币是价值符号，在金本位制下，以
纸币代表或代替金币流通。在与黄金脱钩 的纸币本位制下，纸币不代表或不代替金 币流通，“金平价”——“铸币平价”和 “黄金平价”不再是决定汇率的基础。此 时，是以两国纸币各自所代表的价值量， 也就是两国纸币所代表的购买力之比—— 即“购买力平价”是决定汇率的基础。
（二）汇率的变动与货币币值
1、汇率变动 汇率变动是指货币对外价值的上下波动。
2、货币币值 （1）直接标价法：汇率上浮，本币贬值；汇率 下浮，本币升值。
（2）间接标价法：汇率上浮，本币升值；汇率 下浮，本币贬值。
（三）、影响汇率变动的因素
汇率一旦确定下来以后，并不是一成不变的。在不同 的货币本位下，汇率波动的幅度是不同的。
3．即期外汇和远期外汇
按外汇买卖交割期限分类，外汇可分 为即期外汇和远期外汇。
即期外汇也称现汇，是指在即期外汇 买卖交易中按当天汇率成交的外汇，原则 上买卖双方须在成交日当天或在成交日后 的两个营业日内办理外汇交割。
远期外汇是指在远期外汇买卖交易中， 成交双方根据合同的规定在将来的某一日 期收付的外汇。
1、国际收支状况
当一国的国际收支出现顺差时，就会增加该 国的外汇供给和国外对该国货币汇率的需求，进 而引起外汇的汇率下降或顺差国货币汇率的上升； 反之，当一国国际收支出现逆差时，就会增加该 国的外汇需求和本国货币的供给，进而导致外汇 汇率的上升或逆差国货币汇率的下跌。在国际收 支这一影响因素中，经常性收支尤其是贸易收支， 对外汇汇率起着决定性的作用。
一、外汇概述
(一)外汇的基本定义及其特点
外汇有动态的和静态的两种含义: 动态的外汇是国际汇兑的简称，是指经过银行等金 融机构把一国货币兑换成另一国货币，借以清偿国际间 债权、债务关系的的一种行为或活动。
国际金融 第11章 答案
V. Answers to End of Chapter Questions1. Achieving a balance-of-payments surplus requires that the sum of the capitalaccount balance and current account balance is positive, which requires a higher interest rate to attract greater capital inflows and lower real income to dampen import spending. Consequently, the BP schedule would lie above and to the left of the position it otherwise would have occupied if the external-balanceobjective were to ensure only a balance-of- payments equilibrium. Undoubtedly, if the central bank felt pressure to sterilize under the latter objective, the pressure to do so would be greater if it seeks to attain a balance-of-payments surplus, which would require the central bank to steadily acquire foreign-exchangereserves. In the absence of sterilization, the nation's money stock would steadily decline.2. In this situation, variations in the domestic interest rate relative to interest rates inother nations would have not effect on the nation's capital account balance and its balance of payments. Its BP schedule, therefore, would be vertical. Anexpansionary fiscal policy, given a fixed exchange rate (as assumed in thischapter), would cause the IS schedule to shift rightward, initially inducing a rise in equilibrium real income. This, however, would cause import spending toincrease, and the nation would experience a balance-of-payments deficit, which would place downward pressure on the value of its currency. To prevent achange in the exchange rate, the central bank would have to sell foreign exchange reserves. If this intervention is unsterilized, then the nation's money stock would decline, ultimately causing the LM schedule to shift back too a final IS-LMequilibrium at a point vertically above the initial equilibrium point, along thevertical BP schedule.3. A reduction in the quantity of money shifts the LM schedule leftward. At thenew IS-LM equilibrium, the nominal interest rate rises and real income declines.Irrespective of the shape of the BP schedule, this would result in a balance ofpayment surplus, which would tend to place upward pressure on the value of the nation's currency. To maintain a fixed exchange rate, the central bank would have to purchase foreign exchange reserves. If this foreign-exchange-market intervention is unsterilized, then the nation's money stock increases, causing the LM schedule to shift back to the right. Ultimately, the original IS-LMequilibrium is re-attained.4. If capital is highly mobile, a drop in government spending will likely cause aprivate payments deficit. The fall in income will cause a decrease in imports anda trade surplus. As the domestic interest rate increases, however, the capitaloutflow will lead to a private payments deficit. If capital is not mobile, thecapital outflows are likely not large enough to counteract the effect of a drop in imports. Therefore, a private payments surplus would result.5. A contractionary fiscal policy action, such as a reduction in government spending,causes the IS schedule to shift leftward, inducing an initial decline in the nominal interest rate and reduction in real income. As a result, there is a capital outflow and fall in import spending. Because capital is highly mobile, thecapital-outflow effect dominates, and the nation experiences abalance-of-payments deficit. This places downward pressure on the value of the nation's currency, which induces the central bank to sell foreign exchange reserves.If this action is unsterilized, then the nation's money stock declines, causing the LM schedule to shift back to the left was well, which yields a new IS-LMequilibrium along the BP schedule to the left of the original equilibrium point.6. If, on the other hand, there is low capital mobility, the nation experiences abalance-of-payments surplus. This places upward pressure on the value of the nation's currency, which induces the central bank to purchase foreign exchange reserves. If this action is unsterilized, then the nation's money stock rises,causing the LM schedule to shift to the right.7. A foreign fiscal contraction leads to the foreign IS schedule to shift to the left,resulting in a lower y* and r*. Financial resources will flow from the foreign country to the domestic country, placing pressure on the domestic currency to gain value. In response, therefore, the domestic central bank purchases foreignexchange to maintain the fixed exchange rate. Consequently, the domesticmoney supply rises, leading the domestic country's LM schedule to shift rightward.The lower foreign income level also leads to lower domestic exports (few foreign imports). Therefore, the domestic country's IS schedule shifts left and theforeign country's IS schedule shifts to the right. In both countries' graphs, the BP schedule shifts down to reflect lower interest rates.8. A domestic fiscal contraction leads to a leftward shift in the domestic ISschedule, resulting in a lower domestic income level and interest rate.Consequently, domestic imports fall (foreign exports fall). Further, as foreign exports fall, the foreign IS schedule shifts left and decreases foreign income. In turn, domestic exports fall and domestic IS schedule shifts further left. Thelower domestic interest rate leads to a capital outflow of the domestic country and puts pressure on the value of the domestic currency to fall. The domestic central bank responds by selling foreign exchange in order to maintain the fixed exchange rate. As the domestic money supply falls, the domestic LM schedule shifts to the left. Finally, both countries' BP lines shift down to the new lower equilibrium interest rate.9. A domestic monetary expansion shifts the domestic LM schedule rightward,which reduces the domestic interest rate. This tends to induce a domesticbalance-of-payments deficit and places downward pressure on the value of thedomestic currency relative to the foreign currency. Now, both central banks work together to keep the exchange rate unchanged, so the foreign central bank must increase its own money stock, shifting its LM schedule to the right and reducing the equilibrium foreign interest rate as well. In the end, therefore, both BP schedules shift downward, and the nations' interest rates are equalized, sopayments imbalances are eliminated. Equilibrium real income rises in bothnations, so there is a locomotive effect on the foreign country as a result of the domestic monetary expansion, assuming unchanging price levels.10. A domestic fiscal expansion causes the domestic IS schedule to shift to the right, which raises the domestic interest rate. This tends to induce a domesticbalance-of-payments surplus and places upward pressure on the value of the domestic currency relative to the foreign currency. Both central banks work together to keep the exchange rate fixed, so the foreign central bank must reduce its own money stock, shifting its LM schedule leftward and increasing the foreign interest rate as well. In the end, both BP schedules shift upward, and the nations' interest rates are equalized, so payments imbalances are eliminated. Equilibrium real income rises in the domestic country but declines in the foreign country. Thus, there is abeggar-thy-neighbor effect on the foreign country as a result of the domestic fiscal expansion, assuming unchanging price levels.。
国际金融课件完整版
目录
• 目录 • 国际金融市场 • 国际金融机构 • 国际货币体系 • 国际金融业务 • 国际金融风险与管理
01
目录
国际金融概述
国际金融的定义与特点
01
探讨国际金融的基本概念、研究范围及其在全球经济中的地位
和作用。
国际金融市场的构成与功能
02
分析国际货币市场、国际资本市场、外汇市场、黄金市场等的
种类与特点
国际金融机构种类繁多，包括全球性、区域性和专门性机构等，具 有专业性、国际性和政策性等特点。
功能与作用
国际金融机构在国际经济体系中发挥着提供资金援助、维护国际货币 稳定、促进国际贸易与投资等重要作用。
国际货币基金组织
成立背景与宗旨
国际货币基金组织（IMF）成立于1944年，旨在促进国际货币合 作，稳定汇率，扩大国际货币流通等。
贸易融资的种类
包括进口押汇、出口押汇、打包放款、福费廷等。
贸易融资的风险管 理
银行需对贸易背景、客户资信、单据真实性等进行严格审 核，以控制风险。
国际信贷业务
国际信贷的定义
指一国银行或其他金融机构向另一国借款人所 发放的贷款。
国际信贷的种类
包括政府贷款、国际金融机构贷款、国际商业 银行贷款等。
国际信贷的条件与程序
外汇市场监管
各国政府通过制定外汇管理政策、加强外汇市场 监管等措施来降低外汇风险。
利率风险及管理
利率风险类型
包括重新定价风险、收 益率曲线风险、基准风 险和期权性风险。
利率风险管理策略
包括加强资产负债管理 、使用利率衍生工具进 行套期保值、建立利率 风险管理制度等。
利率市场化改革
各国政府通过推进利率 市场化改革、完善金融 市场体系等措施来降低 利率风险。
(完整word版)托马斯国际金融课后习题答案解析
Suggested answers to questions and problems（in the textbook）Chapter 22. Disagree, at least as a general statement。
One meaning of a current accountsurplus is that the country is exporting more goods and services than it isimporting. One might easily judge that this is not good-the country is producing goods and services that are exported, but the country is not at the same timegetting the imports of goods and services that would allow it do moreconsumption and domestic investment. In this way a current account deficitmight be considered good—the extra imports allow the country to consume and invest domestically more than the value of its current production。
Anothermeaning of a current account surplus is that the country is engaging in foreign financial investment—it is building up its claims on foreigners, and this adds to national wealth。
国际金融第十一章.pptx
2、货币市场均衡：LM曲线
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证实现产品市场和货币市
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4.BP曲线
• BP曲线代表国际收支平衡。 • 由于大部分对外经济联系最终总要反映为外汇市场 的交易行为,因此可认为,BP曲线代表了外汇市场供求 平衡。 • 国际收支平衡可以理解为经常账户差额与资本和金 融账户差额之和为零。
11.1 开放经济的宏观分析框架
11.1.1 开放条件下的宏观经济均衡
开放条件下的宏观经济政策目标
（1）经济增长 （2）价格稳定
低失业率下的国内经济稳步增长
（3）充分就业
（4）国际收支均衡
适应宏观经济的合理的国际收支结构
内部均衡和外部均衡
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11.1.2 IS-LM-BP模型
IS-LM-BP模型是开放经济宏观均衡分析的常用工具。该模型的成功在于, 既可以给出我们关于内外均衡的直观解释,也在宏观经济政策运用方面有很 高的价值。
11.1.3 内外均衡的关系
1.外部不均衡会影响国内宏观经济运行
固定汇率制下： 逆差 本币贬值 顺差 本币升值 浮动汇率制下： 逆差 本币贬值 加； 顺差 本币升值 少
买入本币、卖出外币 通货紧缩； 买入外汇、卖出本币 通货膨胀
出口增加、短期资本外流 国民收入增
进口增加、短期资本流入 国民收入减
11.1.3 内外均衡的关系
容易知道,货币需求与收入Y正相关,与利率i负相关。假定国内外相对物价和汇率 固定不变,这意味着即使在可自由兑换的情况下,本国居民也没有动机以外币替代手中 持有的本币。于是,要实现货币市场均衡,就要求外生决定的货币供给等于货币需求:
第十一章 国际金融市场 《国际金融学》PPT课件
• 现阶段，国际股票市场的主要特点主要有： • 第一，存在着数量庞大的跨国界股票买卖。 • 第二，公司喜欢多方上市。 • 第三，存在着欧洲股权市场。
• 3）国际债券
• 国际债券按是否受发行国所在地政府管辖划分， 可分为外国债券和欧洲债券。
• 外国债券是发行者在某外国的金融市场上通过 该国的金融机构发行的以该国货币为面额并主 要由该国居民购买的债券。
• 国际金融创新主要表现在金融体系和金融市场 上出现的金融工具、融资技术、融资方式、融 资市场、支付手段等的创新，而这其中最为核 心的是国际金融市场上金融工具的创新。
• 狭义的短期政府债券则仅指国库券。
• 3）大额可转让定期存单
• 同传统的定期存款相比，大额可转让定期存单 具有不记名、可以流通转让、金额较大、利率 可固定可浮动、不能提前支取等特点。
• 按照发行者的不同，大额可转让存单可分为以 下四种：
• 由本国银行发行的国内存单； • 以美元为标值，在美国之外发行的欧洲美元存
• 第四，随着80年代并购活动的增多，商业票据 有时会用于过渡性融资来为公司兼并提供资金。
• 5）银行承兑票据
• 银行承兑票据（bankers acceptance）是指经 银行承兑过的商业票据。
• 票据一经银行承兑，其信用就得以提高，从而 易于流通，是货币市场的重要融资工具。
• 银行承兑票据最常见的期限是90天，一般为 30~180天。
• 二为广义，指从事各种国际金融业务活动的场 所，既包括国际资金市场，也包括外汇市场、 黄金市场、衍生金融市场和离岸金融市场。
• 本章论述的是广义的国际金融市场。
11.1.2国际金融市场的类型
• 1）传统的国际金融市场
• 传统的国际金融市场，是从事市场所在国货币的 国际借贷，并受市场所在国政府政策与法令管辖 的金融市场。
Chap11 The Global Capital Market
山东经济学院·国际贸易学院 School of International Trade, Shandong Economic University
❖ Borrowers include individuals, companies, and governments
❖ Markets makers are the financial service companies that connect investors and borrowers, either directly or indirectly
In 2006, the stock of cross-border bank loans was about a) $3,600 b) $7,800 c) $17,800 d) $33,600
山东经济学院·国际贸易学院 School of International Trade, Shandong Economic University
1-12
Classroom Performance System
Which of the following is not true of global capital markets a) they benefit borrowers b) they benefit sellers c) they raise the cost of capital d) they provide a wider range of investment opportunities
国际金融(英文版第二版)Chapter 11
risk arises because of the possibility of losses due to country – specific economic, political and social events. country risk analysis in capital budgeting
Political Tax
instability and political risk
policies
Government
Strategic
regulations
and long-term factors
11.4 More about taxation
Types
of taxes
Step
3 and 4 involve FDI.
11.3 Theories of FDI
The
The The The The
differential rates of return hypothesis
diversification hypothesis output and market size hypothesis industrial organization hypothesis internalization hypothesis
In
setting transfer pricing policies, many factors are considered.
--Tax considerations --Global regulation --Management incentives and performance evaluation --Fund positioning --Marketing considerations and competition --Risk and uncertainty --Government policies --The interests of joint ventures partners --The negotiating power of the subsidiary
Ch11 金融课件
Solutions to Chapter 11Risk, Return, and Capital Budgeting1. a. False. Investors require higher expected rates of return on investments with highmarket risk, not high total risk. Variability of returns is a measure of total risk.b.False. If beta = 0, then the asset’s expected return should equal the risk-free rate,not zero.c. False. The portfolio is invested one-third in Treasury bills and two-thirds in themarket. Its beta will be:(1/3× 0) + (2/3 × 1.0) = 2/3d.True.e. True.2. The risks of deaths of individual policyholders are largely independent, and aretherefore diversifiable. The insurance company is satisfied to charge a premiumthat reflects actuarial probabilities of death, without an additional risk premium. In contrast, flood damage is not independent across policyholders. If my coastal home floods in a storm, there is a greater chance that my neighbor’s will too. Becauseflood risk is not diversifiable, the insurance company may not be satisfied to chargea premium that reflects only the expected value of payouts.3. The actual returns for the Snake Oil fund exhibit considerable variation around theregression line. This indicates that the fund is subject to diversifiable risk: it is notwell diversified. The variation in the fund’s returns is influenced by more than just market-wide events.4. Investors would buy shares of firms with high levels of diversifiable risk, and earnhigh risk premiums. But by holding these shares in diversified portfolios, they would not necessarily bear a high degree of portfolio risk. This would represent a profitopportunity, however. As investors seek these shares, we would expect their prices to rise, and the expected rate of return to investors buying at these higher prices to fall.This process would continue until the reward for bearing diversifiable risk dissipated.5.a. Required return = r f + β(r m – r f ) = 4% + [0.6 × (14% – 4%)] = 10% With an IRR of 14%, the project should be accepted.b. If beta = 1.6, then required return increases to:4% + [1.6 × (14% – 4%)] = 20% This is greater than the project IRR. You should now reject the project.c. Given its IRR, the project is attractive when its risk and therefore its required return are low. At a higher risk level, the IRR is no longer higher than the expected return on comparable-risk assets available elsewhere in the capital market.6.a. The expected cash flows from the firm are in the form of a perpetuity. The discount rate is:r f + β(r m – r f ) = 4% + 0.4 × (11% – 4%) = 6.8%Therefore, the value of the firm would be:82.058,147$068.0000,10$r flow Cash P 0===b. If the true beta is actually 0.6, the discount rate should be:r f + β(r m – r f ) = 4% + [0.6 × (11% – 4%)] = 8.2%Therefore, the value of the firm is:22.951,121$082.0000,10$r flow Cash P 0===By underestimating beta, you would overvalue the firm by:$147,058.82 – $121,951.22 = $25,107.607.Required return = r f + β(r m – r f ) = 6% + [1.25 × (13% – 6%)] = 14.75%Expected return = 16%The security is underpriced. Its expected return is greater than the required return given its risk.8. Beta tells us how sensitive the stock return is to changes in market performance. Themarket return was 4 percent less than your prior expectation (10% versus 14%).Therefore, the stock would be expected to fall short of your original expectation by:0.8 × 4% = 3.2%The ‘updated’ expectation for the stock return is: 12% – 3.2% = 8.8%9.a. A diversified investor will find the lowest-beta stock safest. This is General Electric, which has a beta of 0.97.b. General Electric has the lowest total volatility; the standard deviation of itsreturns is 24.3%.c. β = (1.34 + 0.97+ 1.53)/3 = 1.28d. The portfolio will have the same beta as Microsoft (1.53). The total risk of theportfolio will be (1.53 times the total risk of the market portfolio) because theeffect of firm-specific risk will be diversified away. Therefore, the standarddeviation of the portfolio is: 1.53 × 20% = 30.6% e. Using the CAPM, we compute the expected rate of return on each stock from theequation: r = r f + β(r m – r f )In this case: r f = 4% and (r m – r f ) = 8%Ford: r = 4% + (1.34 × 8%) = 14.72% General Electric: r = 4% + (0.97 × 8%) = 11.76%Microsoft: r = 4% + (1.53 × 8%) = 16.24%10. The following table shows the average return on Tumblehome for various values of themarket return. It is clear from the table that, when the market return increases by 1%, Tumblehome’s return increases, on average, by 1.5%. Therefore, β = 1.5. If you prepare a plot of the return on Tumblehome as a function of the market return, you will find that the slope of the line through the points is 1.5.Market return(%) Average return on Tumblehome(%)−2 −3.0−1 −1.50 0.01 1.52 3.011. a. Beta is the responsiveness of each stock’s return to changes in the market return.Then: 2.14048)8(32)10(38r Δr Δβm A A ==−−−−==75.04030)8(32)6(24r r m D D ==−−−−=ΔΔ=βStock D is considered a more defensive stock than Stock A because the return of Stock D is less sensitive to the return of the overall market. In a recession, Stock D will usually outperform both Stock A and the market portfolio.b. We take an average of returns in each scenario to obtain the expected return:r m = (32% – 8%)/2 = 12%r A = (38%– 10%)/2 = 14%r D = (24% – 6%)/2 = 9% c. According to the CAPM, the expected returns investors will demand of eachstock, given the stock betas and the expected return on the market, are determined as follows:r = r f + β(r m – r f )r A = 4% + [1.2 × (12% – 4%)] = 13.6%r D = 4% + [0.75 × (12% – 4%)] = 10.0%d.The return you actually expect for Stock A (14%) is above the fair return (13.6%). The return you expect for Stock D (9%) is below the fair return (10%). Therefore stock A is the better buy.12. Figure shown below. Beta Cost of capital (from CAPM) 0.754% + (0.75 × 7%) = 9.25% 1.754% + (1.75 × 7%) = 16.25% betar11%SMLBeta Cost of capitalIRR NPV 1.0 11.0% 14% +0.0 4.0% 6% +2.0 18.0% 18%0 0.4 6.8% 7%+ 1.6 15.2% 20% +13. The appropriate discount rate for the project is:r = r f + β(r m – r f ) = 4% + 1.4 × (12% – 4%) = 15.2% Therefore:NPV = –$100 + [$15 × annuity factor(15.2%, 10 years)] = –$100 + $15 29.25$(1.152)0.15210.152110−=⎥⎦⎤⎢⎣⎡×−× You should reject the project.14. Find the discount rate (r) which:$15 × annuity factor(r, 10 years) = 100 $15 100$r)(1r 1r 110=⎥⎦⎤⎢⎣⎡+×−× Solving this equation using trial-and-error or a financial calculator, we find that theproject IRR is 8.14%. The IRR is less than the opportunity cost of capital (15.2%). Therefore you should reject the project, just as you found from the NPV rule.15. From the CAPM, the appropriate discount rate is:r = r f + β(r m – r f ) = 4% + (0.75 × 7%) = 9.25% r = 0.0925 = ⇒+=+5050)-P (2price gain capital DIV 1P 1 = $52.62516. If investors believe the year-end stock price will be $52, then the expected return on thestock is:%0.808.050$)50$52($2$==−+This is less than the opportunity cost of capital. Alternatively, the ‘fair’ price of the stock (that is, the present value of the investor’s expected cash flows) is: ($2 + $52)/1.0925 = $49.43This is less than the current price. Investors will want to sell the stock, in the processreducing its price until it reaches $49.43. At that point, the expected return is a ‘fair’ 9.25%:%25.90925.043.49$)43.49$52($2$==−+17. a. The expected return of the portfolio is equal to the weighted average of the returnson the S&P 500 and T-bills. Similarly, the beta of the portfolio is equal to theweighted average of the beta of the S&P (which is 1.0) and the beta of T-bills(which is zero):(i) E(r) = (0 × 13%) + (1.0 × 5%) = 5%β = (0 × 1) + (1 × 0) = 0 (ii) E(r) = (0.25 × 13%) + (0.75 × 5%) = 7%β = (0.25 × 1) + (0.75 × 0) = 0.25 (iii) E(r) = (0.50 × 13%) + (0.50 × 5%) = 9%β = (0.50 × 1) + (0.50 × 0) = 0.50 (iv) E(r) = (0.75 × 13%) + (0.25 × 5%) = 11%β = (0.75 × 1) + (0.25 × 0) = 0.75(v) E(r) = (1.00 × 13%) + (0 × 5%) = 13% β = (1.0 × 1) + (0 × 0) = 1.0b. For every increase of 0.25 in the β of the portfolio, the expected return increases by 2%. The slope of the relationship (additional return per unit of additional risk) is therefore: 2%/0.25 = 8%c. The slope of the return per unit of risk relationship is the market risk premium:r m – r f = 13% – 5% = 8%This is exactly what the SML predicts, i.e., that the risk premium equals beta times the market risk premium.18. a.Call the weight in the S&P 500 w and the weight in T-bills (1 – w ). Then w must satisfy the equation:w × 10% + (1 – w ) × 4% = 8% ⇒ w = 2/3Therefore, invest 2/3 in the S&P 500 and 1/3 in T-bills.b. To form a portfolio with beta = 0.4, use a weight of 0.40 in the S&P 500 and aweight of 0.60 in T-bills. Then, the portfolio beta is:β = (0.40 × 1) + (0.60 × 0) = 0.40c. Both portfolios have the same ratio of risk premium to beta:%64.0%4%4.6%4%832=−=− Notice that the ratio of risk premium to risk (i.e., beta) equals the market riskpremium (6%) for both stocks.19. If the systematic risk were comparable to that of the market, the discount rate would be12.5%. The property would be worth: $50,000/0.125 = $400,00020.The CAPM states that: r = r f + β(r m – r f )If β < 0 then r < r fInvestors would invest in a security with an expected return below the risk-free ratebecause of the hedging value such a security provides for the rest of the portfolio.Investors get their ‘reward’ in terms of risk reduction rather than in the form of high expected return.21.We can use the CAPM to derive the cost of capital for these firms:r = r f + β(r m – r f ) = 5% + (β× 7%)Beta Cost of capitalCisco 2.13 19.91%CitiGroup 1.31 14.17%Merck 0.29 7.03%Disney 1.15 13.05%Walt22. r = r f + β(r m – r f)5 = r f + 0.5(r m – r f ) (stock A)13 = r f + 1.5(r m – r f ) (stock B)Solve these simultaneous equations to find that: r f = 1% and r m = 9%23. r = r f + β(r m – r f)10 = 6 + β(13 – 6) ⇒β = 4/7 = 0.571424. Cisco should use the beta of Merck (which is 0.29) to find that the required rate ofreturn is 7.03%. The project is a pharmaceutical venture and the beta of Merck reflects the risk of pharmaceutical firms. The beta of Cisco does not reflect that risk.25. a. False. The stock’s risk premium, not its expected rate of return, is twice as high asthe risk premium of the market portfolio.b. True. The stock’s unique risk does not affect its contribution to portfolio risk.c. False. A stock plotting below the SML offers too low an expected return relativeto the expected return indicated by the CAPM. The stock is over priced.d. True. If the portfolio is diversified to such an extent that it has negligible uniquerisk, then the only source of volatility is its market exposure. A beta of 2 thenimplies twice the volatility of the market portfolio.e. False. An undiversified portfolio has more than twice the volatility of the market.In addition to the fact that it has double the sensitivity to market risk, it also hasvolatility due to unique risk.26. The CAPM implies that the expected rate of return that investors will demand of theportfolio is:r = r f + β(r m – r f) = 4% + 0.8 × (14% – 4%) = 12%If the portfolio is expected to provide only an 11% rate of return, it’s an unattractiveinvestment. The portfolio does not provide an expected return that is sufficiently high relative to its risk.27. A portfolio that is invested 80% in a stock index mutual fund (with a beta of 1.0) and20% in a money market mutual fund (with a beta of zero) would have the same beta as this manager’s portfolio:β = (0.80 × 1.0) + (0.20 × 0) = 0.80However, it would provide an expected return of:× 14%) + (0.20 × 4%) = 12%(0.80This is better than the portfolio manager’s expected return.28. The security market line provides a benchmark expected return that an investor can earnby mixing index funds with money market funds. Before an investor places funds with a professional mutual fund manager, the investor must be convinced that the mutual fund can earn an expected return (net of fees) in excess of the expected return available on an equally risky index fund strategy.29. a.r = r f + β(r m – r f ) = 5% + [(–0.2) × (15% – 5%)] = 3% b. Portfolio beta = (0.90 × βmarket ) + (0.10 × βlaw firm )= (0.90 × 1.0) + [0.10 × (−.2)] = 0.8830. Expected income on stock fund: $2 million × 0.12 = $0.24 millionInterest on borrowed funds: $1 million × 0.04 = $0.04 millionNet expected earnings: $0.20 millionExpected rate of return on the $1 million you invest is:%0.2020.0million 1$million 20.0$==Risk premium = 20% – 4% = 16%This is double the risk premium of the market index fund. The risk is also double that of holding a market index fund. You have $2 million at risk,but the net value of your portfolio is only $1 million. A 1% change in the rate of return on the market index will change your profits by: 0.01 × $2 million = $20,000But this changes the rate of return on your portfolio by: $20,000/$1,000,000 = 2%This is double that of the market. So your risk is in fact double that of the market index.。
国际金融chapter11
国际储备管理
o 规模管理
n 影响国际储备适度规模的因素
o 结构管理
n 黄金储备管理 n 外汇储备管理
国际金融chapter11
国际收支理论
o 国际收支失衡原因 o 经济周期 o 经济结构 o 国民收入 o 货币币值
国际金融chapter11
主要国际收支理论
o 价格－现金流动机制 o 弹性分析理论 o 吸收分析理论 o 货币分析理论
国际金融chapter11
弹性分析理论
o 针对汇率战，提出本币贬值未必能够改善国 际收支
o 马歇尔－勒纳条件dx+dm>1
n 假设前提：
o 其他条件不变，只考察汇率变动对进出口的影响 o 国内外商品具有无限供给弹性 o 初始状态为国际收支平衡
国际金融chapter11
推导马歇尔－勒纳条件
o 本币贬值对出口额的影响
国际金融chapter11
主要评价
o 政策意义重大
n 强调内外均衡的自动调节机制，无需贸易政策或货 币政策干预
n 有效消除人们对黄金和外汇无限流失的恐惧
o 存在理论与现实相脱离的局限性
n 多数国家实行关税、贸易管制等保护主义政策，无 法保证国际收支自动调节机制的前提
n 各国普遍采取货币冲销政策或直接进入国际资本市 场，而不是牺牲内部稳定等待国际收支自动平衡国际金融chapter来自1国际收支平衡表的编制
o 四、借：经常转移 100万美元 贷：储备资产 40万美元 货物 60万美元
五、借：储备资产 75万美元 甲国在外直接投资 75万美元
贷：收益——投资收益 150万美元
国际金融chapter11
国际收支平衡表的编制
o 五、借：甲国在外直接投资 50万美元 贷：货物 50万美元
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Balance of Payments
中国人民大学财政金融学院国际金融精品课程
1
教学要点
掌握国际收支平衡表编制方法和内容 熟悉国际储备的构成和管理 国际收支理论
中国人民大学财政金融学院国际金融精品课程
2
国际收支
指一个国家或地区与世界上其他国家或地区 之间发生的跨国资金转移而引起的国际间资 金收支行为
15
BOPs记账实例
甲国政府动用外汇库存40万美元向外国提 供无偿援助，另提供相当于60万美元的粮 食药品援助。
甲国企业在海外投资所得利润150万美元。 其中75万美元直接用于当地的再投资，75 万美元调回国内向中央银行结售，换得本币 后，将相当于25万美元的本币用于股东分 红，将相当于50万美元的本币用于购买国 产设备后重新投资于国外企业。
国际收支平衡表国家资产负债表
中国人民大学财政金融学院国际金融精品课程
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正确理解BOP和BOPs（续）
理论上全球国际收支差额可以彼此抵消，但 事实并不如此
存在巨大的全球贸易逆差
国际收支经常不平衡，但国际收支平衡表永 远账面平衡
设置“储备资产变动”和“错误与遗漏”项目
中国人民大学财政金融学院国际金融精品课程
每一笔对外交易需要同时留下两个记录，金 额相同，方向相反
借方记录国内居民对国外支付的交易 贷方记录国内居民接受国外支付的交易
中国人民大学财政金融学院国际金融精品课程
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正确理解BOP和BOPs
强调居民与非居民的交易而不是资金收付
国际收支外汇收支
考察流量而不是存量，记录发生额而不是持 有额
五、借：储备资产 75万美元 甲国在外直接投资 75万美元
贷：收益——投资收益 150万美元
中国人民大学财政金融学院国际金融精品课程
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国际收支平衡表的编制
五、借：甲国在外直接投资 50万美元 贷：货物 50万美元
六、借：甲国对外证券投资 40万美元 贷：其他投资——银行存款 40万美
元 七、借：其他投资——银行存款 5万美元
单方面转移
记录个人或政府间的国际转移或赠与
中国人民大学财政金融学院国际金融精品课程
10
单方面转移
不以获取收入或支出为目的的单方面交易行为，包 括侨汇、无偿援助和捐赠等
《国际收支手册》第五版明确界定了经常转移与资 本转移，后者包括：
固定资产所有权的资产转移 同固定资产收买/放弃相联系的或以之为条件的资产转
移 债权人不索取任何回报而取消的债务
按实施转移的主体分为政府单方面转移和个人单方 面转移
中国人民大学财政金融学院国际金融精品课程
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资本和金融项目(capital & financil account)
资本项目
资本转移 非生产、非金融资产的收买/放弃
金融项目
直接投资 证券投资 其他投资 储备资产变动
中国人民大学财政金融学院国际金融精品课程
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BOPs记账实例
甲国居民动用外汇存款40万美元购买外国 公司的股票。
甲国居民通过劳务输出取得收入5万美元， 并将收入汇回国内，存入银行。
甲国某公司在海外上市，获得100万美元的 资金，甲国公司将融资所得现金结算成本币。
中国人民大学财政金融学院国际金融精品课程
中国人民大学财政金融学院国际金融精品课程
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储备资产变动
记录中央银行或财政部门等官方政府机构的 国际交易活动
官方储备资产包括货币性黄金、特别提款权、 在国际货币基金的储备头寸、外汇储备等
往往是出于对冲私人部门国际交易影响的目 的而发生，也被称作平衡项目，制表时单独 列示
中国人民大学财政金融学院国际金融精品课程
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国际收支平衡表的内容
经常项目
货物和服务 收入 经常转移
资本和金融项目
资本项目 金融项目
错误与遗漏
中国人民大学财政金融学院国际金融精品课程
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经常项目(current account)
货物
记录有形货物的进出口数量
服务
记录服务、观光旅游和军需交易的进出口数量
收入
记录涉外的职工报酬和投资收入
中国人民大学财政金融学院国际金融精品课程
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BOPs记账实例
甲国企业出口价值100万美元的设备，所得 收入存入银行。
甲国居民到外国旅游花销1万美元，该居民 用国际信用卡支付了该款项，并在回国后用 自己的外汇存款偿还。
外商以价值1000万美元的设备投入甲国， 兴办合资企业。
中国人民大学财政金融学院国际金融精品课程
中国人民大学财政金融学院国际金融精品课程
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国际收支平衡表
按照一定的编制原则和格式，排列组合特定 时期内一国经济主体与他国经济主体之间的 各项经济交易
是全面系统地记录和总结一国国际收支状况 的统计报表
是宏观经济政 策的重要依据
中国人民大学财政金融学院国际金融精品课程
贷：收益——职工报酬 5万美元
中国人民大学财政金融学院国际金融精品课程
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国际收支平衡表的编制
4
国际收支平衡表编制原则
复式记账原则
任意国际经济交易都应在借贷双方同时反映
权责发生制原则
交易的记录时间以所有权转移为标准
市场价格原则 单一记账货币原则
中国人民大学财政金融学院国际金融精品课程
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复式记账原则
会计科目划分为借方和贷方
借方科目为资金占用类科目，反映对外支付 贷方科目为资金来源类科目，反映接受付款 借方科目增加记“－”，贷方科目增加记“＋”
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错误与遗漏项目(errors & omissions)
国际收支平衡表专门设置的平衡项目 设置原因
隐瞒交易导致原始资料失真 技术困难造成交易记录不完全 各子项目分别统计，口径难以一致
功能
使国际收支平衡表的借贷双方实现平衡 根据前三个项目的汇总结果，以相同数字记入
会计账户的相反方向
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国际收支平衡表的编制
一、借：其他投资——银行存款 100万美 元
贷：货物 100万美元 二、借：服务——旅游 1万美元
贷：其他投资——银行存款 1万美元 三、借：货物 1000万美元
贷：外国对甲国的直接投资 1000万 美元
中国人民大学财政金融学院国际金融精品课程
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国际收支平衡表的编制
四、借：经常转移 100万美元 贷：储备资产 40万美元 货物 60万美元