当前位置：文档之家 › Chapter 6 Exchange Rates, Interest Rates, and Interest Parity

Chapter 6 Exchange Rates, Interest Rates, and Interest Parity

  • 格式：ppt
  • 大小：919.00 KB
  • 文档页数：26

下载文档原格式

  / 26

合集下载

Chapter six policies toward the__ foreign exchange market

Chapter six policies toward the__ foreign exchange market

FIXED EXCHANGE RATE: when and how to change the fixed rate?
Important note: The polar cases of a clean float and a permanently fixed exchange rate are useful in order to contrast the implications of a country’s choice of exchange rate policy. But we must remember the fact that there is more of a continuum in which the country permits more or less flexibility in the movements of the exchange rate value of the country’s currency. A floating rate arrangement does not necessarily allow more flexibility in the exchange rate than a pegged rate arrangement does.
Two aspects: rate flexibility and restrictions on use
Government policies toward the exchange rate are categorized according to the flexibility of the exchange rate. One polar case is floating rate, the other polar case is fixed rate. Government policies toward the use of the foreign exchange market can be very restrictive and not restrictive at all. ( This type of policy is related to the problem of currency convertibility and the problem of exchange control. Note the following concepts: fully convertible, convertible for current account transactions, capital control, exchange control.)

7-Chapter 6 Exchang-Rate Systems 精简版

7-Chapter 6 Exchang-Rate Systems 精简版
Chapter 6 Exchange-Rate Systems
汇率制度
Contents
Unit 1 Fixed Exchange-Rate System 固定汇率制
Exchange-Rate Practices
国际货 币制度 的发展
布雷顿 森林体 系
国际金 本位制
固定汇率制
牙买加 体系
浮动汇率制
2. Anchoring to a single currency 盯住单一货币 Developing nations whose trade and financial relations are mainly with a single industrial-country partner.（主要的贸易伙伴国只有一个）
Exchange-Rate Practices
（1）黄金充当国际货币制度的基础。 在各国国内实行的金铸币本位制的基础之上，黄金是国际货 币制度的基础，这主要表现在： A． 金币可以自由铸造、自由兑换、黄金可以自由进出口； B． 储备货币使用黄金，并以黄金作为国际结算工具，因此 各国的国际收支可以用黄金的输出入自动平衡。 （2）各国货币间的汇率由各自货币的含金量决定，从而形 成了极其严格的固定汇率制。 金铸币本位条件下金币和黄金的自由输出入，使得外汇市场 上汇率的波动始终维持在黄金输送点（即金平价和黄金运输费用 之和）之内。
Devaluation & Revaluation Depreciation & Appreciation
Legal redefinition of a currency’s par value under a system of fixed exchange rates
Actual impact on the market exchange rate caused by a redefinition of a par value Changes in an exchange rate Changes in the supply of or demand for foreign exchange

金融衍生工具英文版 第六章题库学习资料

金融衍生工具英文版 第六章题库学习资料

Fundamentals of Futures and Options Markets, 8e (Hull)Chapter 6 Interest Rate Futures1) Which of the following is applicable to corporate bonds in the United States?A) Actual/360B) Actual/ActualC) 30/360D) Actual/365Answer: C2) It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?A) 106.00B) 106.02C) 105.98D) 106.04Answer: C3) It is May 1. The quoted price of a bond with a 30/360 day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?A) 106.00B) 106.02C) 105.98D) 106.04Answer: A4) The most recent settlement bond futures price is 103.5. Which of the following four bonds is cheapest to deliver?A) Quoted bond price = 110; conversion factor = 1.0400B) Quoted bond price = 160; conversion factor = 1.5200C) Quoted bond price = 131; conversion factor = 1.2500D) Quoted bond price = 143; conversion factor = 1.3500Answer: C5) Which of the following is NOT an option open to the party with a short position in the Treasury bond futures contract?A) The ability to deliver any of a number of different bondsB) The wild card playC) The fact that delivery can be made any time during the delivery monthD) The interest rate used in the calculation of the conversion factorAnswer: D6) A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points?A) $6B) $150C) $60D) $600Answer: B7) A company invests $1,000 in a five-year zero-coupon bond and $4,000 in aten-year zero-coupon bond. What is the duration of the portfolio?A) 6 yearsB) 7 yearsC) 8 yearsD) 9 yearsAnswer: D8) The modified duration of a bond portfolio worth $1 million is 5 years. By approximately how much does the value of the portfolio change if all yields increase by 5 basis points?A) Increase of $2,500B) Decrease of $2,500C) Increase of $25,000D) Decrease of $25,000Answer: B9) A portfolio is worth $24,000,000. The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000. On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years. How many contracts are necessary for hedging the portfolio?A) 100B) 200C) 300D) 400Answer: B10) Which of the following is true?A) The futures rates calculated from a Eurodollar futures quote are always less than the corresponding forward rateB) The futures rates calculated from a Eurodollar futures quote are always greater than the corresponding forward rateC) The futures rates calculated from a Eurodollar futures quote should equal the corresponding forward rateD) The futures rates calculated from a Eurodollar futures quote are sometimes greater than and sometimes less than the corresponding forward rateAnswer: B11) How much is a basis point?A) 1.0%B) 0.1%C) 0.01%D) 0.001%Answer: C12) Which of the following day count conventions applies to a US Treasury bond?A) Actual/360B) Actual/Actual (in period)C) 30/360D) Actual/365Answer: B13) What is the quoted discount rate on a money market instrument?A) The interest rate earned as a percentage of the final face value of a bondB) The interest rate earned as a percentage of the initial price of a bondC) The interest rate earned as a percentage of the average price of a bondD) The risk-free rate used to calculate the present value of future cash flows from a bondAnswer: A14) Which of the following is closest to the duration of a 2-year bond that pays a coupon of 8% per annum semiannually? The yield on the bond is 10% per annum with continuous compounding.A) 1.82B) 1.85C) 1.88D) 1.92Answer: C15) Which of the following is NOT true about duration?A) It equals the years-to-maturity for a zero coupon bondB) It equals the weighted average of payment times for a bond, where weights are proportional to the present value of paymentsC) Equals the weighted average of individual bond durations for a portfolio, where weights are proportional to the present value of bond pricesD) The prices of two bonds with the same duration change by the same percentage amount when interest rate move up by 100 basis pointsAnswer: D16) The conversion factor for a bond is approximatelyA) The price it would have if all cash flows were discounted at 6% per annumB) The price it would have if it paid coupons at 6% per annumC) The price it would have if all cash flows were discounted at 8% per annumD) The price it would have if it paid coupons at 8% per annumAnswer: A17) The time-to-maturity of a Eurodollars futures contract is 4 years, and thetime-to-maturity of the rate underlying the futures contract is 4.25 years. The standard deviation of the change in the short term interest rate, σ = 0.011. What is the difference between the futures and the forward interest rate?A) 0.105%B) 0.103%C) 0.098%D) 0.093%Answer: B18) A trader uses 3-month Eurodollar futures to lock in a rate on $5 million for six months. How many contracts are required?A) 5B) 10C) 15D) 20Answer: B19) In the U.S. what is the longest maturity for 3-month Eurodollar futures contracts?A) 2 yearsB) 5 yearsC) 10 yearsD) 20 yearsAnswer: C20) Duration matching immunizes a portfolio againstA) Any parallel shift in the yield curveB) All shifts in the yield curveC) Changes in the steepness of the yield curveD) Small parallel shifts in the yield curve Answer: D。

Money, Interest Rates, and Exchange Rates 国际金融英文课件

Money, Interest Rates, and Exchange Rates 国际金融英文课件

• Long run effects of changes in money on prices, interest rates, and exchange rates
Copyright © 2009 Pearson Addison-Wesley. All rights reserved.
14-2
What Is Money?
Copyright © 2009 Pearson Addison-Wesley. All rights reserved.
14-6
Money Supply
• The central bank substantially controls the quantity of money that circulates in an economy, the money supply.
Chapter 14
Money, Interest Rates, and Exchange by Thomas Bishop
Copyright © 2009 Pearson Addison-Wesley. All rights reserved.
Preview
14-7
Money Demand
• Money demand is the amount of assets that people are willing to hold as money (instead of illiquid assets).
We will consider individual money demand and aggregate money demand.(The total demand for money by all households and firms in the economy)

Chapter15MoneyInterest-Rates--and-the-ExchangeRate

Chapter15MoneyInterest-Rates--and-the-ExchangeRate
and services and repayment of debts in a given economy
• has to perform three different functions:
• a medium of exchange (most important )
• eliminates relative pricing
OCDs---narrow money
• M2: M1, savings deposits, time deposits, mutual
funds (money mkt. deposits)----broad money
• M3: M2, Large time deposits (over $100,000),
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice UPPLY OF MONEY
• Reserve requirement: • Lower r => banks can hold a smaller fraction of
Chapter 15
Money, Interest Rates, and the Exchange Rate
To accompany International Economics, 3e by Sawyer/Sprinkle PowerPoint slides created by Jeff Heyl
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
15 – 6
THE SUPPLY OF MONEY

Chapter 14 Money,Interest Rates and Exchange Rate

Chapter 14 Money,Interest Rates and Exchange Rate
– It raises the demand foemand for money can be expressed by:
Md = P x L(R,Y)
(14-1)
where:
P is the price level Y is real national income L(R,Y) is the aggregate real money demand
– Changes in the risk of holding money need not cause individuals to reduce their demand for money.
Any change in the risk of money causes an equal change in the risk of bonds.
– A rise in the average value of transactions carried out by a household or firm causes its demand for money to rise.
14-3 Aggregate Money Demand
– The total demand for money by all households and firms in the economy.
– Expected return – Risk – Liquidity
14-2-1 Expected Return
– The interest rate measures the opportunity cost of holding money rather than interest-bearing bonds. A rise in the interest rate raises the cost of holding money and causes money demand to fall.

金融英语第六章答案

金融英语第六章答案Chapter 6The Foreign Exchange MarketExercisesⅠ. Answer the following questions in English.1. How many common methods to express a foreign exchange rate?Answer:There are two common methods to express a foreign exchange rate.2. What is usefulness of settling account?Answer:Business people will pay and recieive different currencies.Therefore, they must convert the currencies that they received into the currencies thatthey could buy commodities.3. How does stop order work?Answer: Stop orders can be used to enter the market on momentuma or to limit the potential loss of a position.4. What do you think about single currency system? Is it possible to establishsingle currency system in the world now?Answer：I think a single currency system，it means no foreign exchange market，no foreign exchange rates，no foreign exchange．It is no possible to establish single currency system in the world now. Because in our world of mainly national currencies，the foreign exchange market plays the indispensable role of providing the essential machinery for making payments across borders，transferring funds and purchasing powerfrom one currency to another，and determining thatsingularly important price，the exchange rate．5. What is limit order?Answer: A limit is an order to buy or sell a currency at a specified price or better.6. How to make money for many traders through foreign exchange market?Answer：(一)You should have trading currencies with a strategy.(1) Currency Trading is Only For Part of Your Investment Money(2)You Must Limit Your Losses in Currency Trading(3)Know the Trends of the Foreign Currency Market Before Trading（二）Decide What Type of Currency Trader You Will be.(1)Trade currendes in multiple lots(2)Lose the urge to trade currencies every day(3)Stick to your trading planⅡ.Fill in the each blank with an appropriate word or expression.l. The currency trader should also decide the time __frame__ that he will be using to trade in order to determine which trend will be the most important. 2. The bid is the price at which dealers are willing to __buy__ dollars (basecurrency) in terms of yen (quote currency) and users of our trading platform can __sell__ dollars in terms of yen.3. The order remains active until the end of the trading day (5:00 PM EST),unless it is __executed__ or canceled by the trader.4. A GTC order remains active until it is canceled by the currency trader or untilthe order is executed. It is the __trade’s__ responsibility to __cancel__ aGTC order.5. The Foreign Exchange Market is where the majority of buying and selling ofworld __currencies__ takes place.6. When placing a limit order, the trader also specifies the__duration__ for whichthe order is to remain active while it is not executed.Ⅲ.Translate the following sentences into English.1.外汇交易市场，也称为“Forex”或“FX”市场，是世界上最大的金融市场，平均每天超过1兆美元的资金在当中周转——相当于美国所有证券市场交易额总和的30倍。

国际金融题库


ANSWER. The three-month forward rate is SFr1 = $0.8192. 1.d. Is the Swiss franc selling at a forward premium or discount? ANSWER. At a forward premium. 1.e. What is the 90-day forward discount or premium on the Swiss franc?
ANSWER. The 90-day forward premium is 60 points (pips), which translates into an annualized forward premium of 2.95% (4 * (0.8192 – 0.8132)/0.8132). 2. What risks confront dealers in the foreign exchange market? How can they cope with these risks? ANSWER. Foreign exchange dealers must cope with exchange risk, because of the foreign currency positions they take. They also bear credit risk since the counterparties to the trades they enter into may not honor their obligations. They can cope with currency risk by using forward contracts and currency options, widening their bid-ask quotes, and limiting the position they are willing to take in any one currency. They can limit credit risk by restricting the position they are willing to take with any one customer and by setting margin requirements that vary with the riskiness of their customers (banks will generally not do this). 3. Suppose a currency increases in volatility. What is likely to happen to its bid-ask spread? Why? ANSWER. As a currency’s volatility increases, it becomes riskier for traders to take positions in that currency. To compensate for the added risks, traders quote wider bid-ask spreads. 4. Who are the principal users of the forward market? What are their motives? ANSWER. The principal users of the forward market are currency arbitrageurs, hedgers, importers and exporters, and speculators. Arbitrageurs wish to earn risk-free profits; hedgers, importers and exporters want to protect the home currency values of various foreign currency-denominated assets and liabilities; and speculators actively expose themselves to exchange risk to benefit from expected movements in exchange rates.

金融英语教程-Exchange Rate


Supply of dollars
A B
Supply of dollars after rise in U.S. income
Changes in U.S. real income
Changes in the dollar price of U.S. goods relative to the dollar price of foreign goods.
5.2 Key Points
5.2.5 Foreign Exchange Markets
The foreign exchange market is a global decentralized or over-the-counter (OTC) market for the trading of currencies. This includes all aspects of buying, selling and exchanging currencies at current or determined prices. In terms of trading volume, it is by far the largest market in the world, followed by the credit market.
5.2 Key Points
5.2.2 Types of Exchange Rate
Fixed exchange rate
A fixed exchange rate is a type of exchange rate regime, where a currency’s value is fixed against either the value of another single currency, to a basket of other currencies, or to another measure of value, such as gold.

新编金融英语教程 Chapter6 Financial Markets


6.2 Key Points
6.2.2 Forms of Financial Markets
Debt and equity markets
issue a debt instrument，issue equities
Primary and secondary markets
new issues of a security, such as a bond or a stock； The New York and American stock exchanges，foreign exchange markets, futures markets, and options markets.
Exchanges and Over-the-Counter Markets
dealers at different locations who have an inventory of securities stand ready to buy and sell securities “over the counter” to anyone who comes to them and is willing to accept their prices.
6.4 Follow-up Tasks
III. Short Answer Questions Directions: Answer each of the following questions briefly.
( ) 6. maturity date
F. 不对称
( ) 7. New York Stock Exchange G. 债务工具
(NYSE)
( ) 8. private investor ( ) 9. trading volume ( ) 10. The increased liquidity
  1. 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
  2. 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
  3. 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。

⑤ convert the £ into $ at s3
④receive principal amount in £
Detailed Explanation
In spot FOREX market,
① borrow 1$ at the cost of i$ X 3/12 ② sell 1$ buy £at S($/ £ ), have 1/ S($/ £ ) in £ ③ Invest 1/ S($/ £ ) in £financial asset, a predicted £return is 1/ S($/ £ ) X (1+ i£ X 3/12) ④ receive principal amount in £ , 1/ S($/ £ ) X (1+ i£ X 3/12), ⑤ convert the £into $, 1/ S($/ £ ) X (1+ i£ X 3/12) X S3 ⑥ repay principal amount in $, 1 X (1+i$ X 3/12)
Presumption for his interest arbitrage:
------------No obstacle for international capital flow; No transaction cost; Size of arbitrage is unlimited; This investor is risk neutral.
3 £ $ 3 £ $ 3 £ $
Uncovered IRP Condition
Rewrite the equation, then get the uncovered IRP condition
(S3 /S)(1 + i£) = (1 + i$)
or if you prefer,
(/S
Presumption of Uncovered Interest Arbitrage
An American investor who has two choices for his investment:
---- to invest in T-Bill issued by the U.S.A. government ---- to invest in T-Bill issued by the British government
② sell 1$ buy £at S($/ £ ), have 1/ S($/ £ ) in £ , ③ Invest 1/ S($/ £ ) in £financial asset, a predicted £ return is 1/ S($/ £ ) X (1+ i£ X 3/12), ④ buy forward $ sell forward £in 3months at F3 ($/£ ),
Interest Arbitrage
Interest arbitrage refers to the process of moving funds into foreign currencies to take advantage of higher investment yields abroad. Covered interest arbitrage occurs when an investor eliminates an exchange risk by obtaining „cover‟ in the forward market. Uncovered interest arbitrage occurs when an investor does not eliminate an exchange risk by obtaining „cover‟ in the forward market.
Chapter 6
Exchange Rates, Interest Rates, and Interest Parity
Outline of Chapter 6
Interest Parity Interest Arbitrage Interest Rates and Inflation Exchange Rates, Interest Rates, and Inflation
Interest Parity
Interest Parity theory illustrates the relation between interest rate and exchange rate. The theory holds that differences in nominal interest rates between currencies determine the premiums or discounts on currencies in the forward foreign exchange market. Main points:
Rules of Interest Arbitrage
Taking advantage of interest rate differentials “Borrow Low - Lend High” If someone is deciding where to invest, they will move their money to a market where it earns the highest return
90 days
End
⑦repay principal amount in $
⑥deliver the forward contract
⑤receive principal amount in £
Detailed Explanation
In spot FOREX market, ① borrow 1$ at the cost of i$ X 3/12
The Covered Interest Arbitrage
S($/£ ) is the spot dollar price for £ ; 1/S($/£ ) is the spot pound price for $; F3 ($/£ ) is the forward dollar price for £in 3 months; i£ is the annual return on assets in pound; i$ is the annual return on assets in dollar.
Major Conclusions
In summary, under an uncovered interest arbitrage the extra rate of return on a foreign asset equals to the interest rate differential adjusted for any change in the value of the foreign currency. R ≈ i* - i - % depreciation of the foreign currency Or: R ≈ i* - i + % appreciation of the foreign currency
Presumption Main conclusions Application
Uncovered Interest Parity
Uncovered Interest Parity is a condition relating the nominal interest rate differential on similar financial instruments of two nations to the expected change in the spot exchange rate between the two nations. In brief, the UIP is a condition relating interest differentials to an expected change in the spot exchange rate of the domestic currency. Under uncovered interest parity, transactions are not covered and are subject to foreign exchange risk.
Procedures for Uncovered Interest Arbitrage
Start
①Borrow $ 3 month i$
②sell $ buy £at S($/ £ )
③Invest £ 3month i£
90 days
End
⑥ repay principal amount in $
Both sides subtract 1,then we get
(i$ - i£ ) /(1 + i£ ) =(S3 - S)/S

When i is as low as enough, the uncovered IRP condition is approximated as:
£
i$ - i£≈(S3 - S)/S
Covered Interest Parity
Covered Interest is a condition that says the difference between the interest rate on a domestic financial asset and interest rate on a foreign financial asset should approximately equal the forward premium or discount. In brief, the CIP is an arbitrage condition relating interest differentials to the forward premium or discount.