[开课学院]: 商学院 [开课系所]: 国贸系 [课程名称]: 国际财务管理 [老师名称]: 施雅琴 老师 [开课学期]: 98上学期 [类型]: 98-1-1小考 --------------------------------------------------- 1. (a) In 2009, Japan changed the value of the yen from ￥125/US$ to ￥115/US$. By what percent has the yen appreciated (depreciated) relative to the U.S. dollar? (b) Suppose the U.S. dollar rose 5% against the yen. By how much has the yen depreciated against the U.S. dollar? 2. (a) Suppose the 1-year interest rate is 12% on British pounds and 9% on U.S. dollars.If the current rate is $1.63/￡, what is the expected future exchange rate in year? (b) Suppose the sterling rate is 15% and the dollar rate is 11%. What is the forward premium on the dollar? 3. An economic analysis firm has published projected inflation rates for the United States and Germany for next 5 years. U.S. inflation over the next 5 years turns out to average 3.2%, Germany inflation average 1.5% per year, (a) if the current exchange rate is US$0.95/€, forecast the exchange rates after the 5 years and (b) if the exchange rate in 5 years is US$0.99/€. What has happened to the real value of the euro over this 5-year period? 4. Here are some prices in the international money markets: Spot rate = US $1.44/€, Forward rate (1 year) = US $1.48/€, interest rate (€) =3% p.a., interest rate ($)=4% p.a.. Assuming no transaction cost or taxes exist, (a) Can you find an arbitrage opportunity? (b) What steps must you take capitalize on it? (c) What is the covered arbitrage profit per dollar or dollar-equivalent borrowed? --

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