tb05文档格式.docx
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tb05文档格式.docx
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6.Realassetsaremorelikelytoconformtothelawofonepricethanfinancialassets.
False.Becausemarketfrictionsaregenerallylowerforfinancialassetsthanforrealassets,financialassetsaremorelikelytoconformtothelawofoneprice.
7.PricesintwocurrenciesarerelatedthroughtheequationPd=PfSd/f.
8.PricesintwocurrenciesarerelatedthroughtheequationPd=Pf/Sd/f.
False.PricesarerelatedthroughtheequationPd=PfSd/for,equivalently,Pd/Pf=Sd/f.
9.PricesintwocurrenciesarerelatedthroughtheequationPd=Pf/Sf/d.
True.Pd=PfSd/f=Pf/Sf/d.
10.Locationalarbitrageensuresthatbilateralexchangeratesareinequilibrium.
11.Evenifquotedexchangeratesdonotallowarbitrage,banksquotingthelowestofferpricesinacurrencywillattractthebulkofcustomerpurchasesinthatcurrency.
True.
12.Abankisinalongeuroandshortyenpositionwhenithaspurchasedeurosandsoldyen.
13.Abankisinashorteuroandlongyenpositionwhenithaspurchasedeurosandsoldyen.
False.Purchasing(selling)anassetcreatesalong(short)positioninthatasset.
14.Acurrencycrossratedoesnotinvolvethedomesticcurrency.
15.Thefollowingexchangeratesareinequilibrium:
SSFr/€=SFr1.60/€,S€/¥
=€0.0125/¥
andS¥
/SFr=¥
50.00/SFr.
True.SSFr/€S€/¥
S¥
/SFr=(SFr1.60/€)(€0.0125/¥
)(¥
50/SFr)=1.
16.Thefollowingexchangeratesareinequilibrium:
SSFr/€=SFr1.7223/€,S€/¥
=€0.009711/¥
61.740/SFr.
False.SSFr/€S€/¥
/SFr=1.0326>
1.Triangulararbitragewouldyieldaprofitsolongastransactionscostsarelessthanabout3.26%.
17.SupposeSSFr/€=SFr1.50/€andS¥
/€=¥
135/€.ThespotrateshouldbeS¥
90/SFr.
/SFr=(SFr1.5000/€)(¥
135/€)-1(¥
90/SFr)=1.
18.Interestrateparity(IRP)holdswithintheboundsoftransactionscostsintheinternationalcurrencyandEurocurrencymarkets.
19.Forwardpremiumsanddiscountsdependoninterestratedifferentials.
20.Coveredinterestarbitrageensuresthattheratioofforwardtospotexchangeratesisdeterminedbytheinflationdifferentialbetweentwocurrencies.
False.Forward/spotratiosaredeterminedbyinterestratedifferentials.
21.EmpiricalevidenceindicatesthatforwardparityholdsintheinternationalcurrencyandEurocurrencymarkets.
False.Interestrateparityistheonlyreliableinternationalparitycondition.
22.EmpiricalevidenceindicatesthatrelativepurchasingpowerparityholdsintheinternationalcurrencyandEurocurrencymarkets.
23.Empiricalevidenceindicatesthatrelativepurchasingpowerparitycanbeusedtosuccessfullypredictshort-termchangesinspotexchangerates.
False.Intheshortrun,inflationdifferentialsarenotverygoodpredictorsofactualchangesinspotexchangerates.
24.ThespotexchangeratebetweenSwissfrancsanddollarsisS0SFr/$=SFr1.7122/$.Expectedinflationis0percentinSwitzerlandand11percentintheUnitedStates.Usingrelativepurchasingpowerparity,theexpectedspotrateinoneperiodisE[S1SFr/$]=SFr1.5425/$.
True.E[S1SFr/$]=S0SFr/$(1+E[pSFr])/(1+E[p$])=(SFr1.7122/$)(1.00/1.11)=SFr1.5425/$.
25.Deviationsfrompurchasingpowerparityinrealexchangeratescanpersistforseveralyears.
26.Becausecurrenciesarestandardizedassetsthatareactivelytradedininternationalmarkets,realdeviationsfrompurchasingpowerparityarerareandfleeting.
False.Realdeviationsfrompurchasingpowerparitycanbelargeandpersistent.
27.Realchangesincurrencyvaluesreflectchangesinrelativepurchasingpower.
28.Realexchangeratechangesaredeterminedbyinflationdifferentials.
False.Realchangesequalnominalchangesadjustedforinflationdifferentials.
29.Real(inflationadjusted)exchangeratechangeshavelittleeconomicsignificance.
False.Realexchangeratechangesreflectchangesinpurchasingpower.
30.Arealappreciationinthevalueofacurrencyincreasesthepurchasingpowerofthatcurrencyrelativetoothercurrencies.
31.Anominalappreciationofthedomesticcurrencyraisesthepriceofdomesticgoodsrelativetoforeigngoods.
False.Onlyarealappreciationofthedomesticcurrencyraisesthepriceofdomesticgoodsrelativetoforeigngoods.
32.Fordailymeasurementintervals,bothnominalandrealexchangeratesareclosetoarandomwalk.
33.Thereisnocorrelationbetweenannualchangesinrealexchangerates.
False.Realexchangeratesareautocorrelated(thatis,autoregressive).
34.Anappreciationofthedomesticcurrencybeyondthatnecessarytooffsettheinflationdifferentialbetweenaforeigncountryandthedomesticcountrylowersthepriceofforeigngoodsrelativetodomesticgoods.
35.Anincreaseintherealvalueofforeigncurrencieshelpsthedomesticeconomyasimportedgoodsandrawmaterialscostless.
False.Althoughanappreciationofaforeigncurrencymayhelpdomesticexporters,itwillhurtimportersandconsumersasforeigngoodswillcostmore.
36.Anincreaseinthenominalexchangeratehelpsthedomesticeconomyasimportedgoodsandrawmaterialscostless.
False.Changesinrealexchangeratesaremuchmoreimportantinfluences.
37.Relativepurchasingpowerparityholdsovertheshortrun.
False.RPPPmayholdinthelongrun,butgenerallydoesnotholdintheshortrun.
38.Empiricaltestsindicatethatpersistentinflationdifferentialsbetweentwocurrencieseventuallyhaveanimpactonnominalexchangerates.
39.Realexchangeratesarenominalexchangeratesminustheforward/spotpremiumordiscount.
False.Realexchangeratesarenominalexchangeratesadjustedfordifferentialinflation.
40.Internationalparityconditionsareusefulforpredictingchangesintherealexchangerate.
False.Theinternationalparityconditionspredictthatnominalexchangerateschangetoaccommodateinflationandinterestratedifferentials.Realexchangeratesremainthesame.
41.Empiricaltestsofforwardparityovershortforecastingperiodssuggestthatforwardexchangeratesarepoorpredictorsoffuturespotexchangerates.
42.Empiricalstudiesindicatethatforwardparityholdsateachpointintime.
False.Deviationsfromforwardparityarepositivelyautocorrelated.Atanypointintime,thedeviationfromforwardparityislikelytobeofthesamesignasinthepreviousperiod.
43.Technicalanalysisusespastpricepatternstoforecastexchangerates.
44.Technicalanalystsbelievethatthecurrencymarketsareweakformefficient.
False.Weakformefficientmarketshavenomemory.Technicalanalystssearchforexchangeratepatternsthatwouldnotbeapparentinaweakformefficientmarket.
45.Fundamentalanalysisusesmacroeconomicdatatoforecastexchangerates.
46.Fundamentalanalystsbelievethatthecurrencymarketsaresemi-strongformefficient.
False.Semi-strongformefficientmarketsareinformationallyefficientwithrespecttopubliclyavailableinformation.Fundamentalanalystsbasetheirforecastsonrelationshipsbetweenexchangeratemovementsandpubliclyavailablemacroeconomicdatasuchasbalanceofpaymentsstatistic,inflation,andrealandnominalinterestratemovements.
MultipleChoice
1.Therelationbetweeninterestratedifferentialsandexpectedinflationdifferentialsiscalled____.
a.forwardparity
b.interestrateparity
c.relativepurchasingpowerparity
d.theinternationalFisherrelation
e.noneoftheabove
D
2.Therelationbetweenexpectedfuturechangesinthespotrateandexpectedinflationdifferentialsiscalled____.
C
3.Therelationbetweentheforwardexchangeratesandexpectedfuturespotratesiscalled____.
A
4.Therelationbetweentheforward/spotratioandinterestratedifferentialsiscalled____.
B
5.S$/ArPeso=$0.35/ArPesoandSArPeso/Rand=ArPeso0.31/Rand.WhatisSRand/$?
a.Rand0.886/$
b.Rand1.129/$
c.Rand3.226/$
d.Rand3.459/$
e.Rand9.217/$
E
6.Annualinterestratesare6%ineurosand5%indollars.ThespotrateisS0$/€=$1.20/€.Whatistheone-yearforwardexchangerate?
a.$1.18/€
b.$1.19/€
c.$1.20/€
d.$1.21/€
e.$1.22/€
7.Ifannualinterestratesare10%intheU.S.and4%inS
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