2020 国际投资(中国社会科学院大学) 最新满分章节测试答案

文章目录[隐藏]

【作业】平台测试国际收支平衡表
【作业】导论交叉汇率的计算
【作业】1. Currency Exchange Rates II 本讲作业
【作业】2. Foreign Exchange Parity Relations I 2.2-I作业
【作业】2. Foreign Exchange Parity Relations II 2.2-II 作业
【作业】4. International Asset Pricing 4.2.1作业
【作业】4 International Asset Pricing II ICAPM作业
【作业】5. Equity： Markets and Instruments 第五章课后作业
【作业】6. Equity： Concepts and Techniques II 第六章作业
【作业】7. Global Bond Investing I 作业
【作业】7. Global Bond Investing 作业
【作业】8. Derivatives 远期与期货作业
【作业】8. Derivatives II 互换与期权作业
【作业】9. Currency Risk Management I 货币风险管理作业

本答案对应课程为:点我自动跳转查看
本课程起止时间为:2020-02-28到2020-06-30
本篇答案更新状态:已完结

【作业】平台测试国际收支平衡表

1、问题:请从人民银行的网站上下载国际收支平衡表上传至平台
评分规则: 【请大家查阅同学们的国际收支平衡表并根据质量给分
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【作业】导论交叉汇率的计算

1、问题:A financial newspaper provided the following midpoint spot exchange rates. Compute all the cross exchange rates based on these quotes.€ :$=0.9119$:SFr=1.5971$:¥ =128.17
评分规则: 【交作业即得基础分4分，每一步正确得1分，满分10分，但所有步骤均错得0分€ :SFr=(€ :$)($:SFr)=0.91191.5971=1.4564SFr:€=1/(€ :SFr)=1/1.4564=0.68662€ :¥ =(€ :$)($:¥)=0.9119128.17=116.88¥:€=100/(€ :¥)=100/116.88=0.85557或¥:€=1/(€ :¥)=1/116.88=0.00856（前者更准确）SFr:¥ =($:¥ )/($:SFr)=128.17/1.5971=80.252¥：SFr=100*($:SFr)/($:¥ )=1.2461或¥：SFr=($:SFr)/($:¥ )=0.01246（前者更准确）
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【作业】1. Currency Exchange Rates II 本讲作业

1、问题:At a certain point in time, a bank quoted the following exchange rates against the dollar for the Swiss franc and the Australian dollar. $:SFr = 1.5960–70 $:A$ = 1.8225–35Simultaneously, a Swiss firm asked the bank for an SFr:A$ quote. What cross rate would the bank have quoted?
评分规则: 【 The SFr:A$ quotation is obtained as follows. In obtaining this quotation, we keep in mind that SFr:A$ = ($:As) ¸ ($:SFr), and that the price (bid or ask) for each transaction is the one that is more advantageous to the bank. The SFr:A$ bid price is the number of A$ the bank is willing to pay to buy one SFr. This transaction (buy SFr – sell A$) is equivalent to selling A$ to buy dollars (at a bid rate of 1.8225) and then selling those dollars to buy SFr (at an ask rate of 1.5970). Mathematically, the transaction is as follows:Bid SFr:A$ = (bid $:A$)/(ask $:SFr) = 1.8225/1.5970 = 1.1412 The SFr:A$ ask price is the number of A$ that the bank is asking for one SFr. This transaction (sell SFr – buy A$) is equivalent to buying A$ with dollars (at an ask rate of 1.8235) and simultaneously purchasing these dollars against SFr (at a bid rate of 1.5960). This may be expressed as follows:Ask SFr:A$ = (ask $:A$)/(bid $:SFr) = 1.8235/1.5960 = 1.1425 The resulting quotation by the bank isSFr:A$ = 1.1412 – 1.1425
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2、问题:Suppose that at a point in time, Barclays bank was quoting a dollars per pound exchange rate of £:$ = 1.4570. Industrial bank was quoting a Japanese yen per dollar exchange rate of $:¥ = 128.17, and Midland bank was quoting a Japanese yen per pound cross rate of £:¥ 183.a. Ignoring bid–ask spreads, was there an arbitrage opportunity here?b. If there was an arbitrage opportunity, what steps would you have taken to make an arbitrage profit, and how much would you have profited with $1 million available for this purpose?
评分规则: 【 The implicit cross rate between yen and pound is £:¥ = $:¥ ´ £:$ = 128.17 ´ 1.4570 = 186.74. However, Midland Bank is quoting a lower rate of ¥183 per £. So, triangular arbitrage is possible. In the cross rate of ¥183 per £ quoted by Midland, one pound is worth 183 yen, whereas the cross rate based on the direct rates implies that one pound is worth 186.74 yen. Thus, pound is undervalued relative to the yen in the cross rate quoted by Midland, and your strategy for triangular arbitrage should be based on using yen to buy pounds from Midland. Accordingly, the steps you would take for an arbitrage profit are as follows:a. Sell dollars to get yen: Sell $1,000,000 to get $1,000,000 ´ ¥128.17 per $ = ¥128,170,000.b. Use yen to buy pounds: Sell ¥128,170,000 to buy ¥128,170,000/(¥183 per £) = £700,382.51.c. Sell pounds for dollars: Sell £700,382.51 for £700,382.51 ´ ($1.4570 per £) = $1,020,457.32. Thus, your arbitrage profit is $1,020,457.32 – $1,000,000 = $20,457.32.
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3、问题:Jim Waugh specializes in cross-rate arbitrage. At a point in time, he noticed the following quotes: U.S. dollar in Swiss francs = SFr1.5971 per $ U.S. dollar in Australian dollars = A$1.8215 per $ Swiss franc in Australian dollar = A$1.1450 per SFrIgnoring transaction costs, did Jim Waugh have an arbitrage opportunity based on these quotes? If there was an arbitrage opportunity, what steps would he have taken to make an arbitrage profit, and how much would he have profited with $1 million available for this purpose?
评分规则: 【 a. The implicit cross rate between Australian dollars and Swiss francs is SFr:A$ = $:A$ ´ SFr:$ = ($:A$) ¸ ($:SFr) = 1.8215/1.5971 = 1.1405. However, the quoted cross rate is higher at A$1.1450 per SFr. So, triangular arbitrage is possible.b. The cross rate based on the direct rates implies that one Swiss franc is worth A$1.1405. Thus, the Swiss franc is overvalued relative to the A$ in the quoted cross rate, and Jim Waugh’s strategy for triangular arbitrage should be based on selling Swiss francs to buy A$ as per the quoted cross rate. Accordingly, the steps Jim Waugh would take for an arbitrage profit are as follows: i. Sell dollars to get Swiss francs: Sell $1,000,000 to get $1,000,000 ´ (SFr 1.5971 per $) = SFr 1,597,100. ii. Sell Swiss francs to buy Australian dollars: Sell SFr 1,597,100 to buy SFr 1,597,100 ´ (A$1.1450 per SFr) = A$1,828,679.50. iii. Sell Australian dollars for dollars: Sell A$1,828,679.50 for A$1,828,679.50/ (A$1.8215 per $) = $1,003,941.53. Thus, your arbitrage profit is $1,003,941.53 – $1,000,000 = $3,941.53.
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4、问题:Suppose that the spot Swiss francs per dollar exchange rate is $:SFr = 1.5960–70 and the three-month forward exchange rate is $:SFr = 1.5932–62.a. Is the Swiss franc trading at a discount or at a premium relative to the dollar in the forward market?b. Compute the annualized forward discount or premium on the Swiss franc relative to the dollar.
评分规则: 【 The midpoint of the spot Swiss franc to dollar exchange rate is $:SFr = 1.5965. The midpoint of the three-month forward Swiss franc to dollar exchange rate is $:SFr = 1.5947.a. Based on the midpoints, a dollar is worth SFr 1.5965 now and only 1.5947 three months forward. So, the dollar is trading at a discount relative to the SFr in the forward market. That is, the SFr is trading at a premium relative to the dollar in the forward market.b. Difference between midpoints of the forward and spot rates = 0.0018.
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5、问题:On the Forex market, you observe the following hypothetical quotes. Spot $:¥ = 110.00-110.10 One-year interest rate $ = 4%-4.25% One-year interest rate ¥ = 1%-1.25%What should be the quote for the one-year forward exchange rate $:¥?
评分规则: 【
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【作业】2. Foreign Exchange Parity Relations I 2.2-I作业

1、问题:Suppose that the spot €:$ is equal to 1.1795. The annual one-year interest rates on the Eurocurrency market are 4 percent in euros and 5 percent in U.S. dollars. The annualized one-month interest rates are 3 percent in euros and 4 percent in U.S. dollars.a. What is the one-year forward exchange rate?b. What is the one-month forward exchange rate?
评分规则: 【 a、b各5分，根据回答情况酌情给分
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2、问题:You are given the following hypothetical quotes.Spot exchange rates:€:$ 1.1865-1.1870$:¥ 108.10-108.20Three-month interest rates (percent per year):In $ 5-5.25In € 3.25-3.5In ¥ 1.25-1.5What should the quotes be for the following?a. €:¥ spot exchange rate.b. €:$ three-month forward ask exchange rate. Hint: Buying euros forward is equivalent to borrowing dollars to buy euros spot and investing the euros.c. $:€ three-month forward bid exchange rate.d. $:¥ three-month forward bid and ask exchange rate.
评分规则: 【每小题2.5分，根据回答情况酌情给分
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3、问题:Jason Smith is a foreign exchange trader. At a point in time, he noticed the following quotes.Spot exchange rate $:SFr = 1.6627Six-month forward exchange rate $:SFr = 1.6558Six-month $ interest rate 3.5% per yearSix-month SFr interest rate 3.0% per yeara. Ignoring transaction costs, was the interest rate parity holding?b. Was there an arbitrage possibility? If yes, what steps would have been needed to make an arbitrage profit? Assuming that Jason Smith was authorized to work with $1 million for this purpose, how much would the arbitrage profit have been in dollars?
评分规则: 【每小题5分，根据回答情况酌情给分
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4、问题:At a point in time, foreign exchange arbitrageur noticed that the Japanese yen to U.S. dollar spot exchange rate was $:¥ = 108 and the three-month forward exchange rate was $:¥ = 107.30. The three-month $ interest rate was 5.20 percent per annum and the three-month ¥ interest rate was 1.20 percent per annum.a. Was interest rate parity holding?b. Was there an arbitrage possibility? If yes, what steps would have been needed to make an arbitrage profit? Assuming that the arbitrageur was authorized to work with $1 million for this purpose, how much would the arbitrage profit have been in dollars?
评分规则: 【 a2分，b8分，合计10分，根据回答情况酌情给分
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【作业】2. Foreign Exchange Parity Relations II 2.2-II 作业

1、问题:Suppose that the one-year interest rate is 12 percent in the United Kingdom. The expected annual rate of inflation for the coming year is 10 percent for the United Kingdom and 4 percent for Switzerland. The current spot exchange rate is £:SFr = 3. Using the precise form of the international parity relations, compute the one-year interest rate in Switzerland, the expected Swiss franc to pound exchange rate in one year, and the one-year forward exchange rate.
评分规则: 【利率、即期利率和远期利率的计算各10分，根据回答情况酌情给发
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2、问题:Paf is a small country whose currency is the pif. Twenty years ago, the exchange rate with the U.S. dollar was 2 pifs per dollar, and the inflation indexes were equal to 100 in both the United States and Paf. Now, the exchange rate is 0.9 pifs per dollar, and the inflation indexes are equal to 400 in the United States and 200 in Paf.a. What should the current exchange rate be if PPP prevailed?b. Is the pif over- or undervalued according to PPP?
评分规则: 【
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【作业】4. International Asset Pricing 4.2.1作业

1、问题:Consider an asset that has a beta of 1.25. If the risk-free rate is 3.25 percent and the market risk premium is 5.5 percent, calculate the expected return on the asset.
评分规则: 【 expected return=3.25%+1.25*5.5%=10.125%
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2、问题:An asset has a beta of 0.9. The variance of returns on a market index, , is 90. If the variance of returns for the asset is 120, what proportion of the asset’s total risk is systematic, and what proportion is residual risk?
评分规则: 【 The total risk of the asset is 120%. The systematic risk = 72.9. Thus, the portion of total risk that can be attributed to market risk is 72.9/120 = 60.75%. The balance, 39.25%, can be attributed to asset-specific risk.
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3、问题:Assume that the Eurozone risk-free interest rate on bonds with one year to maturity is 4.78 percent and the U.S. risk-free interest rate on one-year bonds is 3.15 percent. The current exchange rate is $0.90 per euro. Assume that the United States is the domestic country.a. Calculate the one-year forward exchange rate.b. Is the euro trading at forward premium or discount?
评分规则: 【 a. The forward rate = 0.90(1.0315/1.0478) = $0.886 per euro.b. The euro is trading at a forward discount = (0.886 − 0.90)/0.90 = −0.0156, or −1.56%.
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4、问题:Take the case of a U.S. firm that wishes to invest some funds (U.S. dollars) for a period of one year. The choice is between investing in a U.S. bond with one year to maturity, paying an interest rate of 2.75 percent, and a U.K. bond with one year to maturity, paying an interest rate of 4.25 percent. The current exchange rate is $1.46 per pound, and the one-year forward exchange rate is $1.25 per pound. Should the U.S. firm invest in U.S. bonds or in U.K. bonds?
评分规则: 【 If the U.S. firm invests funds (say, $1) in one-year U.S. bonds, at the end of one year it will have 1(1 + 0.0275) = $1.0275.Alternatively the U.S. firm could convert $1 into £(1/1.46) = £0.6849. This amount would be invested in one-year U.K. bonds, and at the end of one year it will have 0.6849(1 + 0.0425) = £0.714. This can be converted back to U.S. dollars at the forward exchange rate = 0.714(1.25) = $0.8925.The firm is better off investing domestically in U.S. bonds.
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5、问题:Consider a German firm that wishes to invest euro funds for a period of one year. The firm has a choice of investing in a euro bond with one year to maturity, paying an interest rate of 3.35 percent, and a U.S. dollar bond with one year to maturity, paying an interest rate of 2.25 percent. The current exchange rate is €1.12 per U.S. dollar, and the one-year forward exchange rate is €1.25 per U.S dollar. Should the German firm invest in euro bonds or in U.S. dollar bonds?
评分规则: 【 If the German firm invests funds (say, €1) in one-year euro bonds, at the end of one year it will have 1(1 + 0.0335) = €1.0335.Alternatively the German firm could convert €1 into $(1/1.12) = $0.8929. This amount would be invested in one-year U.S. bonds, and at the end of one year it will have 0.8929(1 + 0.0225) = $0.913.This can be converted back to euros = 0.913(1.25) = €1.1412.The firm is better off investing in U.S. bonds.
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【作业】4 International Asset Pricing II ICAPM作业

1、问题:A portfolio manager based in the United Kingdom is planning to invest in U.S. bonds with a maturity of one year. Assume that the ratio of the price levels of a typical consumption basket in the United Kingdom versus the United States is 1.2 to 1. The current exchange rate is £0.69 per dollar. The one-year interest rate is 1.76 percent in the United States and 4.13 percent in the United Kingdom. Assume that inflation rates are fully predictable, and expected inflation over the next year is 1.5 percent in the United States and 3.75 percent in the United Kingdom.a. Assuming that real exchange rates remain constant, calculate the real exchange rate, the expected exchange rate in one year, and the expected return over one year on the U.S. bonds in pounds.b. Now assume that the inflation rate over the one-year period has been 1.5 percent in the United States and 3.75 percent in the United Kingdom. Further, assume that the exchange rate at the end of one year is £0.67 per dollar. Calculate the real exchange rate at the end of one year. What is the return on the U.S. bond investment now? Is the return on the U.S. bond the same as in part (a)? Explain.
评分规则: 【
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