课程名称︰国际金融 课程性质︰系必修 课程教师︰陈旭昇 开课学院：社会科学院 开课系所︰经济学系 考试日期（年月日）︰2011.06.22 考试时限（分钟）：210分 是否需发放奖励金：是 （如未明确表示，则不予发放） 试题 : Problem 1 (15%) Suppose that the expected change in the log of the exchange rate is equal to the difference between the Home and Foreign interest rate: e St,t+1 - St = it-it* e where St,t+1 is the log of the exchange rate for time t+1 that is expected at time t. Now suppose that expectations are not rational. That is e St,t+1 ≠ Et(St+1) . We can rewrite the above equation as: e St+1 - St = it-it*+(St+1 -St,t+1)= it-it*+ μt+1 e where μt+1 = St+1-St,t+1 is the forecast error of the log the exchange rate. Suppose we run a regression of (St+1 - St) on (it-it*), St+1 - St = a+b(it-it*)+εt Clearly, b= Cov(St+1 - St,it-it*)/Var(it-it*) 1.Find the condition such that b=1 2.Find the condition such that b<0 3.Provide an explanation of the condition you found in Question2. Problem 2 (15%) Suppose the British pound (GBP) is pegged to the euro (EUR). You think there is a 5% probability that the GBP will be devalued by 10%, and a 95% probability that the exchange rate would be fixed over the course of the next month. What interest differential (percentage per annum) would prevent you from speculating by borrowing GBP and lending EUR? Problem 3 (20%) Suppose that the following conditions all hold: uncovered and covered interest rate parity (no risk premium), real interest rate parity, relative and absolute purchasing power parity. And suppose you read the following information in the newspaper: ‧The current normal interest rate for a one year deposit in Malaysian bank is 12% ‧The current normal interest rate for a one year deposit in New Zezland bank is 2% ‧The current spot exchange rate between New Zealand and Malaysia is 0.2 (NZ dollar/Malasian ringgit) ‧The New Zealand national bank credibly commits itself to keep inflation at the level of 0% for the next year. For each of the following variables, compute the value implied by the information above. Show your work in each case and name which parity conditions you are using. 1. the one-year forward exchange rate (NZ dollar/Malasian ringgit). 2. expected future spot exchange rate for one year in the future. (NZ dollar/Malasiab ringgit) m 3. expected inflation in Malasia, Et(π,t+1) 4. the ex ante real interest rate in Malasia, γm,t Problem 4 (30%) Define the (log) real exchange rate as qt = st + pt* - pt 1. Show that it - Etπt+1 -(it*-Etπt+1)=Et(qt+1)-qt 2. Assume that PPP dose not hold and Et(qt+1)=αqt According to the Taylor Rule model of exchange rates we presented in the lectures, solve for the real exchange rate, qt, as a funtion of the relative monetary policy shocks, μt-μt* only. Does qt increase or decrease when μt-μt* increase? 3. Show that it must be the case that Et(μt+1-μt+1*)=α(μt-μt*). Problem 5 (20%) Consider the following simple model, ∞ s-t max Σβ u(Cs), 0 < β < 1 s=t s.t. Bt+1 - Bt = Yt + γBt - Ct - Gt 1. Write down the lifetime budget constraint where the transversality conditiong is imposed. 2. Suppose that (1+γ)β= 1, using the euler equation, lifetime budget constraint, the definition of current account and the annuity value ~ Xt defined by ∞ s-t ~ ∞ s-t Σ(1/1+γ) Xt = Σ(1/1+γ) Xs s=t s=t ~ ∞ s-t ( Xt = (γ/1+γ) Σ(1/1+γ) Xs s=t 助教补充) to derive the Fundamental Current Account Equation: ~ ~ CAt = (Yt-Yt) - (Gt-Gt) 加分题(20%) ~ ~ 3. 请说明 CAt = (Yt-Yt) - (Gt-Gt) 的经济意义。 (hint: 举例:解释为何会有经常帐的赤字 ) --

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