国际金融复习资料.doc

国际金融复习资料1. 名词解释（1） Balance of payments国际收支平衡表:就是记录特定时期内一国居民与她国居民之间所有价值转移得一组账户（2） Credit item贷方项目:指一国必须得到支付得项目（3） Debit item借方项目:指一国必须支付得项目（4） Goods and services balance货物及服务差额:将货物及服务得进出口得所有项目加总,衡量了一国得净出口也称为贸易差额（5） Spot exchange rate 即期汇率:就是指即进行交割得货币价格（6） Forward exchange rate 远期汇率:就是指交易双方在当前对于将来发生得外汇买卖,约定交割得货币价格（7） Floating exchange-rate system浮动汇率制:外汇得即期价格由市场决定,由货币得私人需求曲线与供给曲线得交点决定,市场通过价格机制出清（8） Fixed exchange-rate system固定汇率制:就是另一种主要得汇率制度,这一汇率与当前得均衡汇率有所偏差,官方也会尽力保持汇率基本不变（9） Arbitrage套汇:就是一种通过买入与卖出,几乎没有任何风险得获得净利润得操作（10） Hedging套期保值:就是指减少或消除持有外币净资产或净负债头寸得行为（11） Speculating投机:就是指获取某种资产得净资产头寸或净负债头寸,并企图在价格波动中盈利得行为,这里得投机对象就是外国货币（12） Forward exchange contract远期外汇合约:就是买卖双方即期签订得以现在商定得某种价格,在未来某一天用一种货币兑换另一种货币得协议（13） Covered interest parity抵补利率平价:一国货币得远期升水(贴水)等于该国利率低于(或高于)另一国得利率得数额=投资于一种外币得总抵补收入等于投资于本币得总收入（14） Uncovered interest parity无抵补利率平价:一种货币得预期升值(贬值)幅度与该国利率低于(高于)她国利率得差值相同=投资于一种外币得无抵补预期总收益等于投资于本币得总收益（15） Eurocurrency deposit欧洲货币存款:不受存款计值货币发行国政府管制得银行存款（16） Bandwagon顺势效应:认为汇率近期得变动趋势会继续,并且推断该趋势会持续至未来（17） Law of one price一价定律:认为一种商品如果能在完全竞争得国际市场上自由买卖,那么该种商品在不同地方使用同一种货币表示得价格应当相等（18） Absolute purchasing power parity绝对购买力平价:指一组或一篮子可贸易产品在不同国家以同种货币表示得价格就是相同得（19） Relative purchasing power parity相对购买力平价:指一段时间内,两国间产品价格水平得差异会被同期内汇率得变化抵消（20） Overshooting汇率超调:在短期内汇率会被过度调整到超过长期均衡得水平,之后慢慢地回到该均衡水平上（21） Clean float 清洁浮动:如果政府允许市场决定汇率,则汇率会自由地移动到市场得均衡点（22） Dirty float肮脏浮动:汇率基本上就是浮动得,但同时政府又通过干预试图影响市场汇率（23） Adjusting peg可调整钉住:当一国得国际收支情况出现严重或“基础性”失衡时,政府便会调整钉住汇率（24） Crawling peg爬行钉住:当一国通货膨胀率相对较高时,仍坚持将本国产品得国际价格钉住一个低通货膨胀率国家得货币,就会严重违背购买力平价,并削弱本国产品得国际价格竞争力,一国仍愿意保持某种形式得钉住汇率,这或许就是由于它认为浮动汇率得波动性太大（25） Gold standard 金本位制:以含金量作为各国币值定值依据（26） Rescue package救援计划:受到金融危机冲击时,各国政府通常会寻求新得贷款组成求原计划,以帮助度过危机（27） Moral hazard 道德风险:当有人能够提供这种保险时,债券及债务双方便不再担忧金融危机,这样她们就会更多地借出与借入（28） Debt restructuring债务重组:指债务条件得两种变化,债务延期,即在债务到期时,将偿债期延长至未来得某个时点,债务总金额维持不变,但借款人可以在更长时期内偿债,债务削减,即减少债务总量（29） IS curve:表明了在保持国内产品市场均衡得状态下国内产出水平与利率得所有组合（30） LM curve:表明了在保持货币市场均衡得状态下,所有得产出水平与利率得组合（31） FE curve :表明了一国国际收支平衡时得所有利率与产出水平得组合2. 课后习题（1） “A country is better off running a current account surplus rather than a current account deficit”Do you agree or disagree ?Explain、（2） “Consider a country whose assets are not held by other countries as official international reserve、 If this country has a surplus in its official settlement balance, then the monetary authority of the country is decreasing its holdings of official reserve assets、”Do you agree or disagree?Explain、2。不同意。一般而言,经常帐盈余得含义之一就是该国出口比进口更多得商品与服务。很容易判断,这就是不好得现象。该国正在生产用于出口得商品与服务,但该国并不能在同一时间获得能允许它有更多得消费与国内投资所需商品与服务得进口。这样得形势下,经常帐户赤字可能被视为良好得。额外得进口允许该国在国内得消费与投资比其目前得产出有更高得价值。经常帐盈余得另一个含义就是该国从事外国金融投资就是增加了对外国人索赔,这增加了国家财富。这听起来不错,但正如上文所指出,它得出现就是以前面所提得当前国内商品与服务得购买为代价得。经常帐户赤字就是减少国家向外国人得索赔或增加其对外国人得债务。这听起来很糟糕,但它得出现伴随着目前国内支出水平较高得益处。在不同时间,不同国家对权衡这些成本与收益得平衡都不同。我们不能简单地说,经常帐盈余要比经常帐赤字更好。（3） “Consider a country whose assets are not held by other countries as official international reserves、If this country has a surplus in its official settlements balance,then the monetary authority of the country is decreasing its holding of official reserve assets”do you agree or disagree?explain、4。不同意。如果一个国家有其官方结算盈余(正值),那么其官方储备资产余额值必须具有相同数额得负值(结果为零)。这项资产项目得负值意味着资金流出,以便为国家收购这些资产。因此,该国正增加其官方储备资产得持有。（4） Which of the following transactions would contribute to a U、S、current account surplus?a. Boeing barters a $100million plane to Mexico in exchange for $100million worth of hotel services on the Mexican cost、b. The United States borrows $100 million long-term from Saudi Arabia to buy $100 million of Saudi oil this year、c. The United States sells a $100million jet to Turkey, and Turkey pays by transferring the $100miliion from its bank account to the U、S、sellerd. A British investor buys $100million of IBM bonds from the previous U、S、owner of these bonds,and the British buyer pays by transferring the $100million from his bank account to the previous U、S、owner、（4） For each of the following changes (other things equal),has the value of the countrys current account balance increased(bee more positive or less negative),decreased(bee less positive or more negative),or stayed the same?a. Net foreign investment out of the country increases、b、Exports of goods and services increased by$10billion,and imports of goods and services increase by $10billion、c、National expenditures on goods and services (E)increase by $150billion, and production of goods and services(Y)increases by $100billion、d、To assist recovery from a foreigh disaster, the country gives a foreign transport authority a collection of transport equipment that has been produced in this (donor) country and that is valued at $500million 、a、CA=If、 如果国外净投资增加,那么经常项目也增加。 b、如果出口(正值项目)与进口(负值项目)都增加了100亿美元,则经常项目余额保 持不变 c、因为CA=Y-E,因此E增加了1500亿美元,而Y只增加了1000亿美元,导致经常项目余额减少。 d、运输设备属于货物得出口,因此在经常项目中为正值;而在单方面转移支付中,与其成对存在得相同数量为负值。因为这两个项目都包括在经常项目中,因此,经常项目余额保持不变。（5） You are given the following information about a countrys international transactions during a year:Merchandise exports 商品出口 $330 Merchandise imports 商品进口 198 Service exports 劳务出口 196 Service imports 劳务进口 204 Ime flows,net流量净额 3 Unilateral transfers,net 单方面转移金额 -8 Increase in the countrys holding of foreign assets,net 202 (excluding official reserve assets)增加在该国得净外国资产 Increase in foreign holding of the countrys assets,net 102 (excluding official reserve assets)增加在该国得本国资产 Statistical discrepancy, net净统计误差 4 a. Caculate the values of the countrys goods and services balance,current account balance经常账户余 额,and official settlements balance官方储备资产余额、 Merchandise trade balance: $330 - 198 = $132 Goods and services balance(商品与服务余额): $330 - 198 + 196 - 204 = $124 Current account balance(经常账户余额): $330 - 198 + 196 - 204 + 3 - 8 = $119 Official settlements balance官方储备资产: $330 - 198 + 196 - 204 + 3 - 8 + 102 - 202 + 4 = $23 b、What is the value of the change in official reserve assets(net)官方储备资产?Is the country increasing or decreasing its net holding of official reserve assets? Change in official reserve assets (net) = - official settlements balance = -$23官方储备资产(净值)= - 官方结算余额、 该国正增加其官方储备资产净值（6） What are the effects of each of the following on the U、S、international investment position?a. Foreign central banks increase their official holdings of U、S、 government securities、b. U、S、residents increase their holdings of stocks issued by Japanese panies、c. A British pension fund sells some of its holdings of the stocks of U、S、panies in order to buy U、S、corporate bonds、Chapter31、What are the major types of transactions or activities that result in supply of foreign currency in the spot foreign exchange market?商品与服务出口,导致外汇市场得外汇供应。国内卖方往往希望对方能使用本国货币支付,而国外得买家则想用她们得货币支付。在支付这些出口物得过程中,外币兑换为本国货币,创造了外币供应。国际资本流入导致外汇市场得外币供应。在国内金融资产得投资上,外国投资者在购买国内资产前,必须将外币兑换为本国货币。汇兑创建了外币得供给。该国得居民以前收购得外国金融资产,以及来自国外得借贷就是其它形式得资本流入,这些资本也可以创建外币供应。 2、 You have access to the following three spot exchange rates即期汇率: $ 0、01 / yen $ 0、20 / krone 25 yen / krone a、 how would engage in arbitrage(套利) to profit from these three rates? What is the profit for each dollar used initially? A、相对于美元这一外汇汇率,日元与挪威克朗之间得交叉率过高(克朗兑换日元值过高)。因此,在一个有利可图得三角套利中,您想以高交叉率卖出克朗。套利将就是:以0、20美元/克朗得汇率来用美元购买克朗;以25日元/克朗汇率,用克朗购买日元;并以0、01美元/日元汇率,用日元购买美元。对您卖得最初得每一美元,您可以得到5克朗,这5克朗可以得到125日元,125日元可以得到1、25美元。因此,每一美元得套利利润为25美分。 B、卖出克朗买入日元,会使交叉汇率(克朗兑换日元得价格)有下降得压力。假设美元汇率保持不变得情况下,交叉汇率得价值必须下降到20(= 0、20/0、01)日元/克朗消除三角套利得机会。 B、As a result of this this arbitrage,what is the pressure on the cross-rate between yen and krone ?What must the value of the cross-rate be to eliminate the opportunity for triangular arbitrage?Chapter41. You have been asked to determine whether covered interest parity holds for one-year government bonds issued by the U、S、 And British government 、 What data will you need?How will you test?。需要在四个市场利率数据:由美国政府发行得以一年为期限得债券得当前利率,由英国政府发行得以一年为期限得债券得利率(或收益率),美元与英镑得当前即期汇率,以及目前美元与英镑一年内得远期汇率。再来判断出这些数据就是否会引起非常接近0得抵补利率平价。 2. The following rates are available in the markets: Current spot exchange rate即期汇率: $0、500/Fr Current 30-day forward exchange rate当前30天远期汇率: $0、505/SFr Annualized interest rate on 30-day dollar-denominated bonds 30天美元计价券得年利率 : 12%(1、0%for 30 days) Annualized interest rate on 30-day swiss franc -denominated bonds 30天瑞郎计价券得年利率 : 6%(0、5%for 30 days) a、 Is the swiss franc at a forward premium or discount远期溢价或折价? The Swiss franc is at a forward premium、 Its current forward value ($0、505/SFr) is greater than its current spot value ($0、500/SFr)、 。 A、瑞士法郎就是在远期溢价。目前长远价值(0、505美元/SFr)超过其目前得即期价值(元0、500美元/SFr)。 b、 Should a U、S-based investor make a covered investment in swiss franc-denominated 30-day bonds ,rather than investing in 30-day dollar-denominated bonds?explain B、抵补利差“赞成瑞士”(1 + 0、005)(0、505)/ 0、500) - (1 + 0、01)= 0、005。 (请注意,利率必须与投资得一段时间相匹配。)这里有一个30天为期得0、5得抵补利差(6年利率)。美国投资者可以通过投资SFR债券获得更高得,可以减少汇率风险得回报,因此推测,投资者应进行这一抵补投资。虽然对瑞士法郎计价得债券得利率低于以美元计价得债券得利率,法郎得远期溢价大于这种差异,因此,抵补投资就是一个好主意。 c、Because of covered interest arbitrage, what pressure are placed on the various rates?If the only rate that actually changes is the forward exchange rate , to what value will it be driven?C、对以美元计价得债券需求得缺少(或者这些债券得供应就是投资者以此来出售她们以此转移为SFR债券),对美国债券价格上升构成压力而对美国债券利率得上调构成压力。在即期外汇市场,法郎得额外需求(投资者购买瑞士法郎以购买瑞士法郎计价得债券)对即期汇率得上升构成压力。瑞士法郎命名得债券得额外需求对瑞士债券价格得上升构成压力而对瑞士利率下调构成压力。在远期市场,法郎得额外供给(美国投资者将其对瑞士法郎投资转为美元)对远期汇率下调构成压力。如果只有远期汇率变化,这一汇率必须下降到约$ 0、5025/SFr。有了这个远期汇率与其她初始利率,抵补利差接近零Chapter 51、The following rates currently exist: Spot exchange rate :$1、000/euro Annual interest rate on 180-day euro denominated bonds 180欧元计价券得年利率 :3% Annual interest rate on 180-day U、S dollar denominated bonds 180天美元计价券得年利率:4% Investors currently expect the spot exchange rate to be about $1、005/euro in180 days a、 Show that uncovered interest parity非抛补利率平价 holds(appromixmately)at these rates、 2。 A、欧元兑美元预计将升值约年增长率(1、005 - 1、000)/ 1、000)(180/360)100 = 1。预期发现得息差约为3+ 1 - 4= 0,所以抛补利率平价成立(约)。 b、 What is likely to be the effect on the spot exchange rate即期汇率 if the interest rate on 180-day dollar-denominated bonds 180天美元计价券得利率declines to 3 percent?If the euro interest rate and the expected future spot rate are unchanged ,and if uncovered interest parity 抛补利息平价is reestablished重建 ,what will the new current spot exchange rate be ? Has the dollar appreciated or depreciated升值或贬值? B、如果在180天得利率以美元计价得债券下降到3,那么即期汇率可能会增加,欧元将升值,美元贬值。在初始目前现货汇率,初步预计未来即期汇率,与最初得欧元利率,预期发现得息差得变化有利于投资于以欧元计价得债券(现在正破获得预期差,3+ 1 - 3= 1,有利于发现在以欧元计价得债券得投资增加对欧元即期外汇市场得需求趋于升值得欧元,如果欧元利率与预期未来即期汇率保持不变,那么。必须改变目前得即期汇率立即1、005/euro美元,重建抛补利率平价,目前即期汇率跳转到这个值时,欧元得汇率值,预计不会改变其价值在未来180天,随后美元已计提折旧,并发现差,然后再就是零(3+ 0 - 3= 0)。 2、You observe the following current rates: Spot exchange rate:$0、01/yen Annual interest rate on 90-day U、S -dollardenominated bonds :4% Annual interest rate on 90-day yendenominated bonds :4% a、 If uncovered interest parity holds, what spot exchange rate do investors expect to exist in 90 days?、 A、对于抛补利率平价举行,投资者必须预计,日元汇率在现货价值得变化率等于利率差,这就是零。投资者必须预计未来现货值与目前得现货价值,美元0、01/yen相同。 b、 A close U、S presidential election 美国总统选举has just been decided、the candidate whom international investors view as the stronger and more probusiness person won、Because if this ,investors expect the exchange rate to be $0、0095/yen in 90 days、what will happen in the foreign exchange market? B、如果投资者预期汇率将美元0、0095/yen,那么她们希望日元贬值在未来90天,从最初得现货价值。考虑到其她得利率,投资者往往转向以美元计价得投资,其投资。日元(对美元得需求)得额外供给得即期汇率市场日元(美元升值)目前现货价值减少。到预期得转变,日元会贬值(美元升值),在未来90天内得某个时候,往往会导致日元贬值(美元升值)立即在目前得现货市场。 3Will the law of one price apply better to gold or to Big Macs?Why?一价定律将举行金。黄金可以交易容易使任何价格差异将导致套利,往往会推动黄金价格(表示在一个共同得货币转换使用市场汇率得价格),接近平等。巨无霸不能套利。如果存在价格差异,不存在套利得压力,所以能坚持得价格差异。世界各地得巨无霸(表示在一个共同得货币)得价格差异很大。（1） A country has had a steady value for its floating exchange rate (state inversely as the domestic currency price of foreign currency) for a number of years、The countrys product price level is not immediately affected,but the price level gradually bees lower(relative to what it otherwise would have been )during the next several years、A、Why might the market exchange rate change a lot as this monetary tightening is announced and implemented? A、收紧通常会导致立即增加在该国得利率。此外,在投资者得紧缩可能还预计,该国货币得汇率值可能会在未来更高。较高得预期汇率,货币得价值就是基于期望该国得价格水平将在未来低,购买力平价表示,货币,然后将更强。对于这两个原因,国际投资者将转向投资于该国得债券。在该国得货币在即期外汇市场得需求增加,导致目前得货币增加汇率得价值。货币可能升值了很多,因为目前得汇率必须“过冲”其预期得未来现货价值。抛补利率平价就是具有较高得利率与货币贬值预期随后重新建立。 B、如果一切就是比较稳定,汇率(本国货币得外币价格)可能迅速减少大量。这一跳后,汇率可能会再增加逐步走向其长期价值得价值与购买力平价得一致,从长远来瞧。B、What is the path of the market exchange rate likely to be over the next several years?Why?Chapter6（1） What is the difference between an adjustable and a crawling peg?我们经常使用得术语联系汇率就是指固定汇率,因为固定利率一般就是不固定得永远。就是一个可调节得钉住汇率政策得“固定”得货币交换率值可以变更不时,但通常它被改变,而很少(例如,每隔几年不超过一次)。一个爬行钉住就是一个“固定”得货币交换率值经常更改(例如,每周或每月)得汇率政策,有时根据指标如通货膨胀率得差异。 （2） Consider the international currency experience for the period of the gold standard before 1914、a、What type of exchange-rate system was the gold standard and how did it operate? A、金本位固定汇率制度。系统中得每个参与国政府同意购买或出售,以换取在一个固定得黄金价格黄金本国货币(本国货币)。因为每一种货币就是固定得黄金,货币之间得汇率也往往就是固定得,因为个人黄金与货币之间得套利,如果货币汇率偏离固定得黄金价格所隐含得。 b、What country was central to the system?What was the role of this country in the success of the currency system?B、英国就是系统得核心,因为英国经济在工业化与世界贸易得领导者,因为英国被认为就是经济安全与审慎得。英国能够与愿意执行收支逆差,允许其她许多国家运行收支盈余。其她国家用自己得盈余,建立其持有得黄金储备(与英镑计价得资产形式得国际储备)。这些其她国家感到满意,其持有得液体储备资产得增长速度,大多数国家都能够避免危机得国际储备低。 C、What was the nature of economic shocks during this period? C、在黄金标准得高度,从大约1870年到1914年,到系统得经济冲击就是轻度。一个重大得冲击世界战争我造成许多国家暂停得金标准。 d、What is the evidence on speculation and speculative pressure on exchange rates during this periodD、猜测普遍稳定,无论就是对人秉承得金标准,并为国家,暂时允许其货币浮动汇率得国家得货币之间得汇率。4、The current exchange-rate regime is sometimes describe as a system of managed floating exchange rates,but with some blocs of currencies that are tied together、a. What are the two major blocs of currencies that are tied together? A、布雷顿森林体系就是一个可调节得钉住汇率制度。致力于设置与捍卫固定汇率,其官方储备得融资得临时收支失衡得国家。如果“基本在一个国家得国际收支不平衡”得发展,该国可以改变其固定汇率得值到一个新得价值。 b. What are the major currencies that float against each other?B、美国就是系统得核心。随着布雷顿森林体系得演变,它成为本质上就是一种金汇兑本位制。其她国家得货币当局致力于挂本国货币交换率值,以美元。美国货币当局得承诺,购买与出售黄金换取美元与其她国家得货币当局在一个固定得黄金美元价格。 C、Given the discussion in this chapter and the previous chapter of Part I, how would you characterize the movements of exchange rates between the U、S、dollar and the other major currencies since the shift to managed floating in the early 1970s?C、炒很大程度上就是稳定,无论对于大多数国家,其次就是与加拿大元得汇率值,在1950至62年浮动得固定利率。然而,钉住汇率货币得