发布时间 : 星期三 文章托马斯国际金融课后习题答案.更新完毕开始阅读1d47d443a48da0116c175f0e7cd184254a351b50
more subtle issues regarding timing of transactions may also need to be addressed). In order to test uncovered interest parity, we need to know not only three rates—two interest rates and the current spot exchange rate—that can be observed in the market, but also one rate—the expected future spot exchange rate—that is not observed in any market. The tester then needs a way to find out about investors' expectations. One way is to ask them, using a survey, but they may not say exactly what they really think. Another way is to examine the actual uncovered interest differential after we know what the future spot exchange rate actually turns out to be, and see whether the statistical characteristics of the actual uncovered differential are consistent with an expected uncovered differential of about zero (uncovered interest parity).
Chapter 5
2. a. The euro is expected to appreciate at an annual rate of approximately ((1.005 -
1.000)/1.000)?(360/180)?100 = 1%. The expected uncovered interest differential is approximately 3% + 1% - 4% = 0, so uncovered interest parity holds (approximately).
b. If the interest rate on 180-day dollar-denominated bonds declines to 3%, then the spot
exchange rate is likely to increase—the euro will appreciate, the dollar depreciate. At the initial current spot exchange rate, the initial expected future spot exchange rate, and the initial euro interest rate, the expected uncovered interest differential shifts in favor of investing in euro-denominated bonds (the expected uncovered differential is now positive, 3% + 1% - 3% = 1%, favoring uncovered investment in euro-denominated bonds. The increased demand for euros in the spot exchange market tends to appreciate the euro. If the euro interest rate and the expected future spot exchange rate remain unchanged, then the current spot rate must change immediately to be $1.005/euro, to reestablish uncovered interest parity. When the current spot rate jumps to this value, the euro's exchange rate value is not expected to change in value subsequently during the next 180 days. The dollar has depreciated immediately, and the uncovered differential then again is zero (3% + 0% - 3% = 0).
4. a. For uncovered interest parity to hold, investors must expect that the rate of change in the
spot exchange-rate value of the yen equals the interest rate differential, which is zero. Investors must expect that the future spot value is the same as the current spot value, $0.01/yen.
b. If investors expect that the exchange rate will be $0.0095/yen, then they expect the yen
to depreciate from its initial spot value during the next 90 days. Given the other rates, investors tend to shift their investments toward dollar-denominated investments. The extra supply of yen (and demand for dollars) in the spot exchange market results in a decrease in the current spot value of the yen (the dollar appreciates). The shift to
expecting that the yen will depreciate (the dollar appreciate) sometime during the next 90 days tends to cause the yen to depreciate (the dollar to appreciate) immediately in the current spot market.
6.
The law of one price will hold better for gold. Gold can be traded easily so that any price differences would lead to arbitrage that would tend to push gold prices (stated in a common currency by converting prices using market exchange rates) back close to equality. Big Macs cannot be arbitraged. If price differences exist, there is no arbitrage pressure, so the price differences can persist. The prices of Big Macs (stated in a common currency) vary widely around the world.
According to PPP, the exchange rate value of the DM (relative to the dollar) has risen since the early 1970s because Germany has experienced less inflation than has the United States—the product price level has risen less in Germany since the early 1970s than it has risen in the United States. According to the monetary approach, the German price level has not risen as much because the German money supply has increased less than the money supply has increased in the United States, relative to the growth rates of real domestic production in the two countries. The British pound is the opposite case—more inflation in Britain than in the United States, and higher money growth in Britain.
8.
10. a. Because the growth rate of the domestic money supply (Ms) is two percentage points
higher than it was previously, the monetary approach indicates that the exchange rate value (e) of the foreign currency will be higher than it otherwise would be—that is, the exchange rate value of the country's currency will be lower. Specifically, the foreign currency will appreciate by two percentage points more per year, or depreciate by two percentage points less. That is, the domestic currency will depreciate by two percentage points more per year, or appreciate by two percentage points less.
b. The faster growth of the country's money supply eventually leads to a faster rate of
inflation of the domestic price level (P). Specifically, the inflation rate will be two
percentage points higher than it otherwise would be. According to relative PPP, a faster rate of increase in the domestic price level (P) leads to a higher rate of appreciation of the foreign currency.
12. a. For the United States in 1975, 20,000 = k?100?800, or k = 0.25. For Pugelovia in 1975, 10,000 = k?100?200, or k = 0.5.
b. For the United States, the quantity theory of money with a constant k means that the
quantity equation with k = 0.25 should hold in 2002: 65,000 = 0.25?260?1,000. It does. Because the quantity equation holds for both years with the same k, the change in the price level from 1975 to 2002 is consistent with the quantity theory of money with a constant k. Similarly, for Pugelovia, the quantity equation with k = 0.5 should hold for 2002, and it does (58,500 = 0.5?390?300).
14. a. The tightening typically leads to an immediate increase in the country's interest rates. In
addition, the tightening probably also results in investors' expecting that the
exchange-rate value of the country's currency is likely to be higher in the future. The higher expected exchange-rate value for the currency is based on the expectation that the country's price level will be lower in the future, and PPP indicates that the currency will
then be stronger. For both of these reasons, international investors will shift toward
investing in this country's bonds. The increase in demand for the country's currency in the spot exchange market causes the current exchange-rate value of the currency to increase. The currency may appreciate a lot because the current exchange rate must \expected future spot value. Uncovered interest parity is reestablished with a higher interest rate and a subsequent expected depreciation of the currency.
b. If everything else is rather steady, the exchange rate (the domestic currency price of
foreign currency) is likely to decrease quickly by a large amount. After this jump, the exchange rate may then increase gradually toward its long-run value—the value consistent with PPP in the long run.
Chapter 6 2. We often use the term pegged exchange rate to refer to a fixed exchange rate, because
fixed rates generally are not fixed forever. An adjustable peg is an exchange rate policy in which the \but usually it is changed rather seldom (for instance, not more than once every several years). A crawling peg is an exchange rate policy in which the \value of a currency is changed often (for instance, weekly or monthly), sometimes according to indicators such as the difference in inflation rates. 4. Disagree. If a country is expected to impose exchange controls, which usually make it
more difficult to move funds out of the country in the future, investors are likely to try to shift funds out of the country now before the controls are imposed. The increase in supply of domestic currency into the foreign exchange market (or increase in demand for foreign currency) puts downward pressure on the exchange rate value of the country's currency—the currency tends to depreciate.
6. a. The market is attempting to depreciate the pnut (appreciate the dollar) toward a value of
3.5 pnuts per dollar, which is outside of the top of the allowable band (3.06 pnuts per dollar). In order to defend the pegged exchange rate, the Pugelovian monetary authorities could use official intervention to buy pnuts (in exchange for dollars). Buying pnuts
prevents the pnut’s value from declining (selling dollars prevents the dollar’s value from rising). The intervention satisfies the excess private demand for dollars at the current pegged exchange rate.
b. In order to defend the pegged exchange rate, the Pugelovian government could impose
exchange controls in which some private individuals who want to sell pnuts and buy dollars are told that they cannot legally do this (or cannot do this without government permission, and not all requests are approved by the government). By artificially
restricting the supply of pnuts (and the demand for dollars), the Pugelovian government can force the remaining private supply and demand to \band. The exchange controls attempt to stifle the excess private demand for dollars at the current pegged exchange rate.
c. In order to defend the pegged exchange rate, the Pugelovian government could increase
domestic interest rates (perhaps by a lot). The higher domestic interest rates shift the incentives for international capital flows toward investments in Pugelovian bonds. The increased flow of international financial capital into Pugelovia increases the demand for pnuts on the foreign exchange market. (Also, the decreased flow of international financial capital out of Pugelovia reduces the supply of pnuts on the foreign exchange market.) By increasing the demand for pnuts (and decreasing the supply), the Pugelovian government can induce the private market to clear within the allowable band. The increased domestic interest rates attempt to shift the private supply and demand curves so that there is no excess private demand for dollars at the current pegged exchange rate value.
8. a. The gold standard was a fixed rate system. The government of each country participating
in the system agreed to buy or sell gold in exchange for its own currency at a fixed price of gold (in terms of its own currency). Because each currency was fixed to gold, the exchange rates between currencies also tended to be fixed, because individuals could arbitrage between gold and currencies if the currency exchange rates deviated from those implied by the fixed gold prices.
b. Britain was central to the system, because the British economy was the leader in
industrialization and world trade, and because Britain was considered financially secure and prudent. Britain was able and willing to run payments deficits that permitted many other countries to run payments surpluses. The other countries used their surpluses to build up their holdings of gold reserves (and of international reserves in the form of
sterling-denominated assets). These other countries were satisfied with the rate of growth of their holdings of liquid reserve assets, and most countries were able to avoid the crisis of running low on international reserves.
c. During the height of the gold standard, from about 1870 to 1914, the economic shocks
to the system were mild. A major shock—World War I—caused many countries to suspend the gold standard.
d. Speculation was generally stabilizing, both for the exchange rates between the
currencies of countries that were adhering to the gold standard, and for the exchange rates of countries that temporarily allowed their currencies to float.
10. a. The Bretton Woods system was an adjustable pegged exchange rate system. Countries
committed to set and defend fixed exchange rates, financing temporary payments
imbalances out of their official reserve holdings. If a \country's international payments developed, the country could change the value of its fixed exchange rate to a new value.
b. The United States was central to the system. As the Bretton Woods system evolved, it
became essentially a gold-exchange standard. The monetary authorities of other countries committed to peg the exchange rate values of their currencies to the U.S. dollar. The U.S. monetary authority committed to buy and sell gold in exchange for dollars with other countries' monetary authorities at a fixed dollar price of gold.