第458页共7页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第458页共7页《CorporateFinance》公司理财StephenA.Ross机械工业出版社Chapter31:InternationalCorporateFinance31.1a.Indirectterms,$1.6317/PoundInEuropeanterms,DM1.8110/$b.TheJapaneseyenissellingatapremiumtotheU.S.dollarintheforwardmarkets.Today,atthespotrate,U.S.$1buys¥143,whileatthe90-dayfuturerate,U.S.$1buysonly¥142.01.Clearly,Yenaregettingmoreexpensiveindollarterms.Thisiseveneasiertoseeindirectterms:Atthespotrate,theyencostjustunder6cents,whilethe90-dayyencostsover7cents.c.ItwillbeimportanttoJapanesecompaniesthatwillreceiveormakepaymentsindollars.ItwillalsobeimportanttootherinternationalcompaniesoutsideJapanthatmustmakeorreceivepaymentsinyen.Forthesecompanies,futurecashflowsdependontheexchangerate.d.The3monthforwardexchangerateis$0.6743/SF.TheamountofSwissfrancsreceivedwillbeSF148,301.94.=.Weshouldselldollars,becauseatthespotrate,itwouldbeSF149,454,49.e.LetbethespotrateofcurrencyXforY第459页共7页第458页共7页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第459页共7页f.Bothbanksreducetheirexposuretoforeignexchangerisk.Ifabankfindsanotherbankwithacomplimentarymismatchofcashflowsintermsofforeigncurrencies,itshouldarrangeaswapsincebothbanks’cashflowswouldbemorecloselymatched.31.2a.ItiseasiesttoseethisbyconsideringfromthepointofviewoftheDM:andwriteastheinverse:Thenwriteasaratio:Fornoarbitrage,thequoteformustbe2.0,butinsteaditis1.8.Therefore,anarbitrageopportunitydoesexist.b.Similarly,100/2=50,andthequoteis¥50/DM,soarbitragedoesnotexistc.and,butthequoteis¥14/HKD,meaningarbitragedoesexist31.3a.False.Onthecontrary,accordingtoRelativePurchasingPowerParity,anexpectationofhigherinflationinJapanshouldcausetheyentodepreciateagainstthedollar.b.False.Assumingthattheforwardmarketisefficient,anyexpectationofhigherinflationinFranceshouldbereflectedindiscountedFrenchfrancsintheforwardmarket.Therefore,noprotectionfromriskwouldbeavailablebyusingforwardcontracts.c.True.Thefactthatotherparticipantsinthemarketdonothaveinformationregardingthedifferencesintherelativeinflationratesinthetwocountrieswillmakeourknowledgeofthisfactaspecialfactorthatwillmakespeculationintheforwardmarketsuccessful.31.4Theapproximationformulagiveninthetextis:第460页共7页第459页共7页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第460页共7页Then,So,thespotrateatyearendis31.4(continued)31.5a.TheInterest-rateparitytheoremspecifies:where:Inthiscase,wehave(andsolvingfortheforwardrate):Sinceis$/FF,wemusttaketheinverseofthequotegivenintheproblem,soSincearespecifiedintheproblemannuallyandwewantthe3-monthforwardrate,wemustfindthe3-monthinterestrates,so:第461页共7页第460页共7页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第461页共7页So,nowwehave:ConvertthisbacktoFF/$(1/0.16544)andwegetFF6.04/$b.Enterthebuy-sidepositionofa3monthFFforwardcontractworth1,000,000x6.04=FF6.04million.Then,whentheybuythecosmetics3monthsfromnow,theywillhavethenecessaryFrenchFrancs,regardlessofwhathappenstotheFXmarketsduringthose3months.31.6a.Comparetheend-of-periodinvestmentvalueofeachcountry:InvestmentintheU.K.:Thetreasurercanobtain2.5millionPounds[=$5million/($2/Pound)].AfterinvestingintheU.K.forthreemonthsat9%hewillhave2,556,250pounds[=2.5millionpoundsx(1+0.09/4)]Theforwardsaleofpoundswillprovide$5,150,843.75(=2,556,250Poundsx$2.015/Pound...
