Bắt đầu vào lúc Thứ Ba, 26 thĂ¡ng 11 2024, 9:03 PM

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Câu hỏi 1
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A currency dealer has good credit and can borrow either $1,000,000 or €800,000 for one year. The one-year interest rate in the U.S. is i$ = 2%
and in the euro zone the one-year interest rate is i€ = 6%. The one-year forward exchange rate is $1.20 = €1.00; what must the spot rate be to
eliminate arbitrage opportunities?

Select one:
A. $1.1547 = €1.00
B. $1.20 = €1.00
C. $1.2471 = €1.00 Solve the following for X: (1.06/1.02) × 1.2 = X

D. none of the options

Solve the following for X: (1.06/1.02) × 1.2 = X

Solve the following for X: (1.06/1.02) × 1.2 = X

The correct answer is: $1.2471 = €1.00

Câu hỏi 2
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Forward parity states that

Select one:
A. any forward premium or discount is equal to the expected change in the exchange rate.
B. the nominal interest rate differential reflects the expected change in the exchange rate.
C. an increase (decrease) in the expected inflation rate in a country will cause a proportionate increase (decrease) in the interest rate in the
country.
D. any forward premium or discount is equal to the actual change in the exchange rate.

The correct answer is: any forward premium or discount is equal to the expected change in the exchange rate.
Câu hỏi 3

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The Fisher effect can be written for the United States as:
A. i$ = ρ$ + E(π$) + ρ$ × E(π$)

B. ρ$ = i$ + E(π$) + i$ × E(π$)

C. q =

D. =

Select one:
A. Option D
B. Option C
C. Option B
D. Option A

The correct answer is: Option A

Câu hỏi 4
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The International Fisher Effect suggests that

Select one:
A. the nominal interest rate differential reflects the expected change in the exchange rate.
B. an increase (decrease) in the expected inflation rate in a country will cause a proportionate increase (decrease) in the interest rate in the
country.
C. any forward premium or discount is equal to the expected change in the exchange rate.
D. any forward premium or discount is equal to the actual change in the exchange rate.

The correct answer is: the nominal interest rate differential reflects the expected change in the exchange rate.
Câu hỏi 5

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If the interest rate in the U.S. is i$ = 5 percent for the next year and interest rate in the U.K. is i£ = 8 percent for the next year, uncovered IRP
suggests that

Select one:
A. the pound is expected to depreciate against the dollar by about 3 percent. 
B. the dollar is expected to appreciate against the pound by about 3 percent.
C. the pound is expected to appreciate against the dollar by about 3 percent.
D. the pound is expected to depreciate against the dollar by about 3 percent and the dollar is expected to appreciate against the pound by
about 3 percent.

The correct answer is: the pound is expected to depreciate against the dollar by about 3 percent and the dollar is expected to appreciate against
the pound by about 3 percent.

Câu hỏi 6
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Suppose that the annual interest rate is 5.0 percent in the United States and 3.5 percent in Germany, and that the spot exchange rate is $1.12/€
and the forward exchange rate, with one-year maturity, is $1.16/€. Assume that an arbitrager can borrow up to $1,000,000. If an astute trader
finds an arbitrage, what is the net cash flow in one year?

Select one:
A. $46,207
B. $21,964.29 [F/S] (1+i€) = (1.16/1.12) (1.035) = 1.0720, which is less than (1+i$) = 1.05. This suggests that IRP is not holding. After
adjusting for the exchange rates (F/S), the interest rate is lower in the U.S. than in Germany. The arbitrager should
borrow $1,000,000, and repayment in one year will be $1,050,000 = ($1,000,000 × 1.05). Then, the $1,000,000 should
be used to purchase $1,000,000 / 1.12 = €892,857. The euros will be invested in Germany, where the maturity value will
be €892,857 × 1.035 = €924.107. Finally, sell the euros in exchange for $1,071,964 (found by €924,107 × 1.16). The new
cash flow is found by $1,071,964 − $1,050,000 = $21,964.

C. $10,690
D. $15,000

[F/S] (1+i€) = (1.16/1.12) (1.035) = 1.0720, which is less than (1+i$) = 1.05. This suggests that IRP is not holding. After adjusting for the exchange
rates (F/S), the interest rate is lower in the U.S. than in Germany. The arbitrager should borrow $1,000,000, and repayment in one year will be
$1,050,000 = ($1,000,000 × 1.05). Then, the $1,000,000 should be used to purchase $1,000,000 / 1.12 = €892,857. The euros will be invested in
Germany, where the maturity value will be €892,857 × 1.035 = €924.107. Finally, sell the euros in exchange for $1,071,964 (found by €924,107 ×
1.16). The new cash flow is found by $1,071,964 − $1,050,000 = $21,964.

[F/S] (1+i€) = (1.16/1.12) (1.035) = 1.0720, which is less than (1+i$) = 1.05. This suggests that IRP is not holding. After adjusting for the exchange
rates (F/S), the interest rate is lower in the U.S. than in Germany. The arbitrager should borrow $1,000,000, and repayment in one year will be
$1,050,000 = ($1,000,000 × 1.05). Then, the $1,000,000 should be used to purchase $1,000,000 / 1.12 = €892,857. The euros will be invested in
Germany, where the maturity value will be €892,857 × 1.035 = €924.107. Finally, sell the euros in exchange for $1,071,964 (found by €924,107 ×
1.16). The new cash flow is found by $1,071,964 − $1,050,000 = $21,964.
The correct answer is: $21,964.29