（一）论述、简答、计算题：
1、What is the current account balance of France when the French budget surplus is
348
million Euros, private saving is 256 million Euros, domestic capital formation is 134 million
Euros?
解答：
National saving = private saving + government saving = 256+348=604 million Current account balance = national saving –domestic real investment = 604-134=470 million
附：Current account balance(CA)=net foreign investment(If)
National saving(S)=domestic real investment(Id)+net foreign investment(If)
If=CA=S-Id , CA=Y(domestic production of goods and services)-E(total expenditures on goods and services)
2、Which of the following transactions could contribute to a British current account
surplus?
Explain why
a French firm sells defense equipment to the British government for 250 million pounds in bank deposits
b Great Britain makes a gift of $500 million to the Iraqi government to aid in
reconstruction.
c The Unite
d States borrows 200 million pounds on a short-term basis from th
e British government to buy 200 million pounds in textiles from Great Britain.
C：merchandise exports——current account surplus
A：merchandise imports——current account deficit
B：unilateral transfer——current account deficit
3、You are provided with the following information about a country’s international transactions
during a given year:
Service exports $346
Service imports $354
Merchandise exports $480
Merchandise imports $348
Income flows, net $153
Unilateral transfers, net $142
Increase in the country’s holding of foreign assets, net
(excluding official reserves assets) $352
Increase in foreign holdings of the country’s assets, net
(excluding official reserve assets) $252
Statistical discrepancy, net $154
a.Calculate the official settlements balance and the current account
balance.
b.Is the country increasing or decreasing its net holdings of official reserve
assets? Why?
A: Current account balance=net credits –net debits on(the flow of goods ,services ,income and unilateral transfer)=（346—354）+（480—348）+153—142 = 135
Financial account balance= foreign holdings of the country’s assets –the country’s holding of foreign assets =—352 + 252 = —100
So, official settlement balance(B)=CA balance + financial account balance= 135 —100=35
B: Current account balance = 132—8+153—142=135
B = CA + FA = 135 + （—100）= 35
B + OR + Statistical discrepancy = 0
OR = —189
Increase in net holdings of official reserve asset
4、For each case below, state whether the euro has appreciated or depreciated and
give an example of an event that could cause the change in the exchange rate.
a.The spot rate goes from 450 euros/Mexican peso to 440 euros/Mexican
peso.
b.The spot rate goes from 0.011 Mexican pesos/euro to 0.006 Mexican
pesos/euro.
c.The spot rate goes from 1.48 euros/British pound to 1.51 euros/British
pound.
d.The spot rate goes from 0.73 British pounds/euro to 0.75 British
pounds/euro.
A: indirect quotation, euro appreciated
B: direct quotation, euro depreciated
C: indirect quotation, euro depreciated
D: direct quotation, euro appreciated
5、What are the two forms of interbank foreign exchange trading? Compare and
contrast
he similarities and differences of the two forms.
Form 1 Interbank trading is conducted directly between the traders at different banks
Form 2 Interbank trading are conducted through foreign exchange broker
Similarities: Both are making the foreign exchange trades.
Differences:
①Form1,the traders know to whom they are quoting exchange rates for possible。
Form2,the use of brokers provide anonymity to the traders until an exchange rate is agreed on for a trade.
②Form2,the use of brokers can also allow the bank to economize on the costs of searching for the best available exchange rates, because the broker’s business is to know the rates at which various banks are willing to trade. Brokers earn commission for their services.
6. The spot exchange rate between the dollar and the Japanese yen is a
floating rate. What effects will the following events have on the exchange
rate? In each case, draw a graph to illustrate the changes in the foreign
exchange market caused by the event.
a.Political unrest in Japan causes U.S. investors to shift their investments
out of Japan.
b.There is a large increase in Japanese demand for U.S. investments
because Japanese investors believe that the U.S. economy is
experiencing strong growth.
c.There is an increase in demand in the U.S. for Japanese exports as Japan
becomes a low-cost producer of electronic devices.
A: Selling Japanese to dollars →increase in supply of Japanese yen →shift the supply curve →reduces the exchange rate value (＄/yen) of Japanese yen →so in a floating-rate system shift the supply curve for yen to right and the demand curve remains unchanged →the dollar appreciates
Exchange rate(＄/yen)
S
D
yen
B: Increase in supply of Japanese yen, because Japanese need to sell yens to get U.S. dollars in the foreign exchange market and then use those dollars to make investment in the US 其余同part A
C: Demand for Japanese yen increase, because in most case, ten Japanese exports desire to be paid in yens but the U.S. importer desires to pay in dollars , so somewhere in the payment process dollars must be exchanged for yens
7、Assume that the spot exchange rate between the dollar and the Japanese yen is
a fixed rate within a narrow band around an announced rate.
Assume that each of the following scenarios will shift the intersection of private supply and demand outside the band. What policy interventions are necessary by
Exchange rate (＄/yen) yen
D
the monetary authorities in order to maintain the fixed rate?
a.Political unrest in Japan causes U.S. investors to shift their investments
out of Japan.
b.There is a large increase in Japanese demand for U.S. investments
because Japanese investors believe that the U.S. economy is
experiencing strong growth.
c.There is an increase in demand in the U.S. for Japanese exports as Japan
becomes a low-cost producer of electronic devices.
a、b U.S. government must intervene in the foreign exchange market by selling U.S. dollars and buying Japanese yen
c U.S. government must intervene in the foreign exchange market by selling Japanese yen an
d buying U.S. dollars
展开分析部分（见6题）
8、What is triangular arbitrage? Assume you have 100 U.S. dollars. Explain how
you can make a profit using triangular arbitrage with the following exchange rates:
U.S. dollars per Euro=1.0
Euros per British pound =6.0
British pound per U.S. dollar =3.20
triangular arbitrage：There is an opportunity to make riskless profit by arbitraging through the three rates.
Step 1 exchange 100 dollars for 320 pounds (100*3.2)
Step 2 exchange 320 pounds for 1920 euros (320*6)
Step 3 exchange 1920 euros for dollars (1920*1)
THEN, the net profit = 1920 –100 = 1820 dollars
9、The current spot exchange rate is $1.14/Euro. The current 90-day forward
exchange rate is $1.11/Euro. How could a U.S firm, who must repay a 40 million Euro loan in 90 days, use a forward exchange contract to hedge its risk exposure?
One way to hedge its risk exposure is to enter into a forward contrast to buy 40 million Euro in 90-days. If the 90-day current forward exchange rate is ＄1.11/Euro , then the company must deliver ＄44.4 million in 90 days
10、You are asked to test if the forward exchange rate is equal to the average
market expectation of the future spot exchange rate. What information will you need to prove/disprove this statement?
Prove：（Forward exchange rate = future spot exchange rate）
We hypothesize that speculators’pressure on supply and demand should drive the forward exchange rate to equal the average expected value of the future spot exchange rate
11. Covered interest parity states that the forward premium should be equal to the
difference in interest rates. Does the empirical evidence support this statement? Explain.
①一项基本的检验是考察由同一机构提供但以不同货币计值的金融资产；一种好的选择是由大型银行向其国际客户提供一套欧洲货币存款。
活跃于欧洲货币市场的银行愿意接受以任何数种货币计值，而不只是以银行所在国货币计值的支付；利息存款。
各种不同的检验已证明，抵补的利率平价几乎完全地适用于欧洲货币存款；例如欧洲美元和欧洲英镑之差，等于英镑的远期升水
②一项更为严格的抵补的利率平价检验是由不同机构在不同国家金融市场发行的严格可比资产，该研究检验了美国、日本和法国金融资产的抵补的利率差。
大约从20世纪80年代中期起，抵补的利率平价对于这4种货币的可比短期资产来说成立
12. Will the law of one price apply better to rare gems（宝石）or to computers? Explain.
The law of one price apply better to Rare Gems. The transactions of rare gems are more convenient, so any price discrimination will lead to arbitrage activities, which will drive the price of rare gems in the same currency value to be equal. People couldn’t arbitrage the price discrimination of computers, so the price cannot be equal. If the price discrimination continues to exist, the discrimination would exist all the time, in the computer market, there is no power to drive it to be equal. P = e ·P f
13. You observe the following current rates:
Spot exchange rate: $1.25/SFr
Annual interest rate on 30-day U.S.-dollar-denominated bonds: 8% Annual interest rate on 30-day SFr-denominated bonds: 2%
a.Does uncovered interest parity hold? If so, what spot exchange rate do
investors expect in 30 days?
b.What is likely to be the effect on the spot exchange rate if the interest
rate on the 30-day SFr-denominated bond increases by 3%?
c.
a e ex—1.25
1.25
×（360÷30）= 8%—2%
e ex—1.25
1.25
= 0.005
X=1.25625
b 瑞士法郎利率到3%;瑞士法郎升值
1.25625—ex
ex
×（360÷30）= 8%—3% =
Ex=1.25103
14. Explain the various aspects of PPP. Be sure to explain the differences between absolute and relative purchasing power. Explain the strengths and weaknesses of PPP. How well has PPP done in predicting actual exchange rates?
A、PPP的有三个层面的含义：
1）一价定理：P = e ·P f
2）绝对PPP ：e = P
P f 3） 相对PPP ：e t e =P t /P 0P ft /P f0
B 、绝对PPP 和相对PPP 的区别
相对PPP 通过一段时间来考察；而绝对PPP 只是根据当期的情况来考察的
C 、PPP 的优势和劣势
对于一种大量交易的商品而言，PPP 假说的预测是准确的
对于所有的交易商品而言，PPP 假说的预测仅是中度准备的
对于整个经济中的全部产品而言，PPP 假说的预测是最差的
绝对购买力平价：在某一时点上汇率的决定，在某一时点上两种货币货币间的均衡汇率实际上就等于两国物价水平的比率
相对购买力平价：说明一定时期内汇率的变动的原则，认为汇率的涨落是由于物价或货币购买了的变动而引起的，并主张，一定时期内汇率的变化应与同期两国物价水平的相对变动成比例
购买力评价的缺陷之处
• 它以货币数量论为前提，把价格与汇率的关系完全看作是单向的因果关系其中价格
是因，汇率是果，这也有悖现实。
• 价格指数的选择亦无严格的标准，究竟应该以国内生产总值消胀指数、批发价格指
数还是消费价格指数，很难从理论上提出科学的依据实际情况中难以满足各国相同
可贸易品权数相同
评价： 购买力平价论由于抓住了货币内在的特性──货币的购买力，即价格水平这一影响汇率的核心因素，并首次使理论汇率的确定得到了量化的尺度，比较直观，因而长期以来一
直深受学术界的推崇，占据主流地位，至今仍有极大影响。
尤其是在严重的通货膨胀时期，购买力平价论的可靠性更为突出。
15. Exchange controls result in considerable costs to a country whose government
imposes them. Describe these costs and the role that parallel markets play in economies with exchange controls.
外汇管制旨在限制对外汇的过度私人需求（促使本币贬值的压力。
）；在外汇管制中，一些人想得到外汇，并原因为此支付高于当前汇率的价格，但他们却不能买到外汇，由于一些净边际损失，这会带来整个国家的福利损失，此外，这些不能被满足的需求者，还会转向其它方法以得到外汇，他们可能会贿赂政府官员以得到稀缺的外汇，他们还可以逃避外汇管制，从非法外汇黑市得到外汇（一般以远远高于官方平价的价格）。
（二）名词解释：
Chapter 02
balance of payments：The set of accounts recording all flows of value between a nation’s residents and the residents of the rest of the world during a period of time.
the current account：Records the values of goods and services sold and purchased abroad, + net interest and other factor payments and net unilateral transfers and gifts.
the capital account：consists of capital transfer and the buying and selling of nonproductive assets and non-financial assets.
the double-entry bookkeeping：Any exchange automatically enters the
balance-of-payment accounts twice: as a credit and as a debit of the same value.
merchandise trade balance：equals the net credits - debits, on merchandise flows.
current account balance：equals the net credits - debits on the flows of goods, services, income, and unilateral transfers. It also equals the change in the nation’s foreign assets minus foreign liabilities, also known as net foreign investment.
the overall balance：equals the sum of the current account balance + the private capital account balance.
the official reserve asset balance（OR）：官方黄金和外汇资产的余额；其它与IMF相关的官方储备的余额，以及被他国看作其官方资产的余额；称之为官方资产余额the Errors and Omissions：is a suspicious item, called statistical discrepancy.
residents：include all its governmental bodies (excluding central banks) and those individuals and organizations that reside permanently (usually more than a year) and have their economic “center of interest”in the country.
the international investment position: is a statement of the stocks of a nation’s international assets and foreign liabilities at a point in time, usually the end of a year.
the IMF：The IMF was set up with contributions of gold and foreign
exchange from member governments. It grants all member countries the right to borrow reserves to finance temporary deficits.
the reserve position in the IMF：指的是一个国家加入基金组织时，所缴纳的份额。
按IMF规定，认缴份额的25%须以可兑换货币缴纳，其余75%用本国货币缴纳SDRs：（Special Drawing Right）is an artificial "basket" currency used by the IMF for internal accounting purposes. The SDR is also used by some countries as a peg for their own currency, and is used as an international reserve asset.
Chapter 03
foreign exchange：Definition in broad sense: holdings of foreign currencies: (1) foreign currencies; (2) payment instruments denominated in foreign currencies, like demand bank deposits; (3) securities in terms of foreign currencies; (4) other claims on nonresidents in terms of foreign currencies.
Definition in narrow sense: the means which is used in international settlement.
exchange rate：the price of one nation’s money in terms of another nation’s money.
spot exchange rate：The spot exchange rate is the price for “immediate”exchange(delivery).
forward exchange：the price set now for an exchange (delivery) that will take place sometime in the future
intangible market：banks and traders who work at banks are at the center of the foreign exchange market. These banks and their traders use computers and telephones to conduct foreign exchange trades with their customers and also with each other.
a vehicle currency：One foreign currency is exchanged for dollars, and these dollars are then exchanged for the other foreign currency. The dollar is often used in this way to accomplish trading between two other currencies, and the dollar is called a vehicle currency.
SWIFT (Society for Worldwide Interbank Financial Telecommunications)：which is used to transmit instructions from one member bank to another
CHIPS (Clearing House International Payments System)：This system clears dollar transfers among its member banks, which include all large and internationally active banks.
floating exchange rate：It is the exchange rate system without intervention by governments or central bankers.
the equilibrium exchange rate：(market-clearing rate) means no tendency for change. It is at the intersection point of the supply and demand curves.
fixed exchange rate：Official strive to keep the exchange rate virtually fixed ( or pegged ) even if the rate they choose differs from the current equilibrium rate.
the depreciation(the appreciation)：Under the floating-rate system a fall in the market price (the exchange rate value) of a currency is called a depreciation of that currency; a rise is an appreciation.
the devaluation(the revaluation)：We refer to a discrete official reduction (rising) in the otherwise fixed par value of a currency as a devaluation (revaluation).
arbitrage：The process of buying and selling to make a (nearly) riskless pure profit, ensures that rates in different locations are essentially the same, and that rates and cross-rates are related and consistent among themselves.
biangular arbitrage：Buy currencies where they are cheap and simultaneously sell them where they are expensive.
triangular arbitrage：There is an opportunity to make riskless profit by arbitraging through the three rates.
basic rates：Basic rates represent the dollar price of various foreign currencies
cross rates：the cross-rates are the rates between foreign currencies.
Chapter 04
exchange rate risk：the possibility of loss or gain of foreign exchange (currencies) assets (or liabilities) held by persons because of changes of exchange rates.
international financial investment：investment on foreign-currency
assets.
international investment with cover：if the rate at which the future sale of foreign currency will occur is locked in now through a forward exchange contract, we have~.
international investment without cover：involves investing in a financial asset denominated in a foreign currency without hedging or covering the future proceeds of the investment back into one’s own currency.
hedging：Hedging a position exposed to rate risk is the act of reducing or eliminating a net asset or net liability position in the foreign currency. hedgers：are persons who have a home currency and seek a balance between their liabilities and assets in foreign currencies. speculating：Speculating is the act of taking a net asset position (“long”) or a net liability position (“short”) in the foreign currency, thereby gambling on its future exchange value.
speculators：A speculator is anybody who is willing to take a net position in a foreign currency, whatever his motives or expectations about the future of the exchange rate.
the forward premium：F = (f –e)/e If F is positive, the pound is at a forward premium because it gains value between buying current spot pounds and selling current forward pounds.
the forward discount：If F is negative, the pound is at a forward discount
because it loses.
covered interest arbitrage：It is buying a country’s currency spot and selling that country’s currency forward, to make a net profit from the combination of the difference in interest rates between countries and the forward premium on that country’s currency.
uncovered interest arbitrage：
covered interest parity：The condition Covered Interest Differential (CD) = 0 is referred as covered interest parity.
uncovered interest parity：The condition Expected Uncover Interest Differential (EUD) = 0 is called the uncovered interest parity. This parity is also called the “international Fisher effect,”
Chapter 05
PPP：The principle that unit of currency will purchase the same basket of goods anywhere in the world
the law of one price：A product that is easily and freely traded in a perfectly competitive global market should have the same price everywhere, once the prices at different places are expressed in the same currency.Pi = e ·Pi*.It works well for heavily traded commodities(gold, metal, crude oil, agricultural commodities)either at a point in time or for exchanges over time.
absolute PPP：Posits that a basket or bundle of tradable products will have the same cost in different countries if the cost is stated in the same
currency.
relative PPP：Posits that the difference between changes over time in product-price levels in two countries will be offset by the change in the exchange rate over this time.
overshooting：Investors can react rationally to news by driving the exchange rate past what they know to be its ultimate long run equilibrium value. The actual exchange rate then moves slowly back to that long-run rate later on. That is, the short run the actual exchange rate overshoots its long-run value and then reverts back toward it. bandwagon effects：Some investors, especially for expectations regarding the near-term future(the next minutes, hours, days, or weeks),may expect that the recent trend in the exchange rate will continue. They extrapolate the recent trend into the future.
nominal bilateral exchange rate：is the regular market rate between two currencies.
nominal effective exchange rate：is a weighted average of the market rates across a number of foreign currencies.
real bilateral exchange rate：incorporates both the market exchange rate and the product price levels for two countries.
real effective exchange rate：is a weighted average of real bilateral exchange rates across a number of foreign countries.
Chapter 06
convertible currency：the currency is fully convertible into foreign currency for all uses, for both trade in goods and services and international financial activities.
exchange control：the government places some restrictions on the conversation of the domestic currency into foreign currency or vice versa.
a clean float：The float of exchange rate which goes where private supply and demand drive it is called a clean float.
a dirty float(a managed float)：The float of exchange rate which is generally floating but with official intervention is called a managed float (if you are an optimist, commendatory) or a dirty float(if you are an pessimist, derogatory).
adjustable peg：In the face of a substantial or “fundamental”disequilibrium in the country’s international position, the government may change the pegged-rate value. This approach is called an adjustable peg.
crawling peg：In other situations, the government may recognize that a specific pegged-rate value cannot be maintained for long. For instance, if the country has a relatively high inflation rate, then an attempt to maintain a pegged rate against the currency of a low-inflation country will quickly lead to large violations of purchasing power parity and declining international price competitiveness.
Nonetheless, the country may prefer to maintain some form of pegged exchange rate, perhaps because it believes that floating exchange rate would be too volatile. The solution chosen by some countries in this position is a crawling peg.
reserve currencies：
foreign exchange market intervention：
sterilized intervention：If the authority does take action to prevent the domestic money supply from changing, then the authority is relying only on intervention to defend the fixed rate. This is called sterilized intervention.
non-sterilized intervention：If the authority instead allows the intervention to reduce the monetary supply, then we have a clear interrelationship with two of the other defense methods. The change in the domestic money supply is likely to alter domestic interest rates, and these changes are likely to influence the entire macro-economy of the country. This is called non-sterilized intervention.。
