1. EXERCISE
Ans.
a. St-1 = $0.20, St = $0.19
Percentage change in the Mexican peso = ($0.19 – 0.20$)/$0.20 = -0.05 = -5%
b. Percentage change in the Mexican peso = 11% – 15% = -4% →DEPRECIATION
c. Percentage change in the Mexican peso = 0%
Ans.
a. S = $1.10, id = 3%. if = 5%
IFE : [E(S) – S]/S = (id – if)/(1+if)
→[E(S) – $1.10]/$1.10 = (3% – 5%)/(1+5%) = -0.0190
E(S) = (-0.0190*$1.10) + $1.10 = $1.0791
b. income = ($100,000/1.1)*1.03*1 = $93,636.36
Percentage return = ($93,636.36 – $100,000)/$100,000 = -0.0636 = -6.36%
c. income = ($100,000/1.1)*1.03*1.08 = $101,127.27
Percentage return = ($101,127.27 – $100,000)/$100,000 = 0.0113 = 1.13%
d. Assume that the spot rate of the euro in one year is $x
income = ($100,000/1.1)*1.03*x = $93,636.36*x
Percentage return = ($93,636.36*x – $100,000)/$100,000 > 0
x > $100,000/$93,636.36 ≒ 1.07
Ans.
a. Forward Premium/Discount = ($1.10 – $1.13)/$1.13 = -0.0265
Interest Rate Differential = (4% – 6%)/(1+6%) = -0.0189 ≠ -0.0265 → doesn’t hold
b. S = $1.13, E(id) = 2%, E(if) = 5%
PPP : [E(S) – S]/S = [E(id) – E(if)]/[1+E(if)]
[E(S)-$1.13]/$1.13 = (0.02 – 0.05)/1.05 = -0.0286
E(S) = -0.0286*$1.13 + $1.13 = $1.10
Ans.
IRP exists → (F – S)/S = (id – if)/(1 + if)
a. Forward Rate Premium = (0.02 – 0.1)/1.1 = -0.0727
b. F: 1-year forward rate of peso
(F – $0.14)/$0.14 = -0.0727, F = -0.0727*$0.14 + $0.14 = $0.1298
c. IFE : [E(S) – S]/S = (id – if)/(1 + if)
(id – if)/(1 + if) = (0.02 – 0.1)/(1 + 0.1) = -0.0727 = -7.27%
d. $0.14*[1 + (-0.0727)] = $0.1298
e. 因為利率平價理論成立→遠期利率溢酬與即期匯率預期變化百分比相同
Ans.
PPP exists : [E(S) – S]/S = [E(Id) – E(If)]/(1 + E(If))
US : nominal interest rate = 6%, real interest rate = 2%
CA : nominal inetrest rate = 5%, real interest rate = 3%, CAD spot rate = $.90
Expected inflation in the US = 6% – 2%=4%
Expected inflation in CA = 5% – 3% =2%
Expected percentage change in CAD = [(1 + 0.04)]/[(1 + 0.02)] – 1 = 0.0196 = 1.96%
The spot rate of the CAD in one year = $0.90*(1 + 0.0196) = $0.9176
Ans.
1,000,000F
US : interest rate = 6%
CH : interest rate = 13%, spot rate = $.80
a. spot rate in one year = $.80*1.13 = $.904
The estimated amount of dollars = 1,000,000 * $0.904 = $904,000
b. IRP hold→(F – S)/S = (id – if)/(1 + if)
(F – $0.8)/$0.8 = (0.06 – 0.13)/(1 +0.13) = -0.0619
F = (-0.0619*$0.8) + $0.8 = $0.7505→1,000,000*$0.7505 = $750,500
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2. 國際金融市場筆記
IFM_HW6Foreign Exchange Market
直接vs間接報價
International Money Market(舊教材在筆記中，以下為新教材)
緣起
銀行系統
- 外部銀行系統：與發行國家國內銀行系統平行運行
- 兩格銀行系統都從存入的資金中尋找存款並向客戶提供貸款
- 境外銀行不受準備金要求及存款保險約束→營運成本更低，因此發展迅速
境外貨幣交易
境外貨幣金融中心
International Credit Market
歐元的出現
銀行貸款 – EURIBOR
International Bond Market
Example of Floating – Rate Notes
Type of Bonds
國際債券市場信用評級
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國際金融市場課程影片中，57:20-1:03:30視窗分享錯誤