国际财务管理课后习题答案(第六章)VIP免费

IM-0CHAPTER6INTERNATIONALPARITYRELATIONSHIPSSUGGESTEDANSWERSANDSOLUTIONSTOEND-OF—CHAPTERQUESTIONSANDPROBLEMSQUESTIONS1。Giveafulldefinitionofarbitrage。Answer:Arbitragecanbedefinedastheactofsimultaneouslybuyingandsellingthesameorequivalentassetsorcommoditiesforthepurposeofmakingcertain，guaranteedprofits。2。Discusstheimplicationsoftheinterestrateparityfortheexchangeratedetermination.Answer：Assumingthattheforwardexchangerateisroughlyanunbiasedpredictorofthefuturespotrate，IRPcanbewrittenas:S=[(1+I£）/(1+I$)］E[St+1It].Theexchangerateisthusdeterminedbytherelativeinterestrates，andtheexpectedfuturespotrate,conditionalonalltheavailableinformation，It,asofthepresenttime。Onethuscansaythatexpectationisself—fulfilling.Sincetheinformationsetwillbecontinuouslyupdatedasnewshitthemarket，theexchangeratewillexhibitahighlydynamic，randombehavior。3。Explaintheconditionsunderwhichtheforwardexchangeratewillbeanunbiasedpredictorofthefuturespotexchangerate。Answer：Theforwardexchangeratewillbeanunbiasedpredictorofthefuturespotrateif（I)theriskpremiumisinsignificantand(ii）foreignexchangemarketsareinformationallyefficient.4。Explainthepurchasingpowerparity,boththeabsoluteandrelativeversions。Whatcausesthedeviationsfromthepurchasingpowerparity?IM-1Answer:Theabsoluteversionofpurchasingpowerparity(PPP）：S=P＄/P£。Therelativeversionis:e=$-£.PPPcanbeviolatediftherearebarrierstointernationaltradeorifpeopleindifferentcountrieshavedifferentconsumptiontaste。PPPisthelawofonepriceappliedtoastandardconsumptionbasket。IM-28。Explaintherandomwalkmodelforexchangerateforecasting.Canitbeconsistentwiththetechnicalanalysis?Answer:Therandomwalkmodelpredictsthatthecurrentexchangeratewillbethebestpredictorofthefutureexchangerate。Animplicationofthemodelisthatpasthistoryoftheexchangerateisofnovalueinpredictingfutureexchangerate.Themodelthusisinconsistentwiththetechnicalanalysiswhichtriestoutilizepasthistoryinpredictingthefutureexchangerate.*9。Deriveandexplainthemonetaryapproachtoexchangeratedetermination。Answer：ThemonetaryapproachisassociatedwiththeChicagoSchoolofEconomics.Itisbasedontwotenets：purchasingpowerparityandthequantitytheoryofmoney.Combingthesetwotheoriesallowsforstating,say,the＄/£spotexchangerateas:S(＄/£)=（M$/M£)(V$/V£）(y£/y$)，whereMdenotesthemoneysupply，Vthevelocityofmoney,andythenationalaggregateoutput.Thetheoryholdsthatwhatmattersinexchangeratedeterminationare:1。Therelativemoneysupply，2.Therelativevelocitiesofmonies,and3.Therelativenationaloutputs。10.CFAquestion：1997,Level3。A.Explainthefollowingthreeconceptsofpurchasingpowerparity（PPP）：a.Thelawofoneprice。b.AbsolutePPP.c。RelativePPP。B.EvaluatetheusefulnessofrelativePPPinpredictingmovementsinforeignexchangerateson:a.Short—termbasis（forexample，threemonths)b.Long-termbasis(forexample,sixyears）Answer:A.a。Thelawofoneprice(LOP）referstotheinternationalarbitrageconditionforthestandardIM-3consumptionbasket.LOPrequiresthattheconsumptionbasketshouldbesellingforthesamepriceinagivencurrencyacrosscountries。A.b。AbsolutePPPholdsthatthepricelevelinacountryisequaltothepricelevelinanothercountrytimestheexchangeratebetweenthetwocountries。A.c.RelativePPPholdsthattherateofexchangeratechangebetweenapairofcountriesisaboutequaltothedifferenceininflationratesofthetwocountries。B.a。PPPisnotusefulforpredictingexchangerateson...