Matakuliah
Tahun
: Keuangan Internasional
: 2009
Speculation and Risk in the
Foreign Exchange Market
Pertemuan 7
Soal 1
• (Question 6)
What does it mean for the forward exchange
rate for a particular horizon, such as 90 days,
to be an unbiased predictor of the future spot
exchange rate ?
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Jawaban Soal 1
If the forward exchange rate for 90 days is an unbiased
predictor of the future spot rate, the forward rate is
equal to the expected future spot rate. While there will
be forecast errors that may be large, there will not be
systematic errors on one side or the other. Therefore,
the expected forward market return is zero.
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Soal 2
• (Problem 2)
Consider the following hypothetical facts about Mexico : The Peso
recently lost over 40 % of its value relative to the dollar. Over the
course of the next 90 days, the Mexican government risks losing
control of the economy. If it does, the Mexican peso will lose 33
% of its value relative to the U.S dollars, and the Mexican stock
market will fall by 39 %. There is a 35 % chance that the
authorities will lose control of the economy. Alternatively, the U.S
Congress may vote to help Mexico by offering collateral for peso
will gain 27 % in value relative to the U.S dollar, and the Mexican
stock market will rise by 29 %. As a U.S investor with no current
assets or liabilities in Mexico, you have decided to speculate.
Calculate your expected dollar return from investing dollars in the
Mexican stock market for the next 90 days.
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Jawaban Soal 2
If you invest in the Mexican stock market, you must first convert dollars into pesos. Then, you
invest the pesos in the stock market. After receiving your stock return, you convert back into
dollars at the future exchange rate. The dollar return is therefore
S(t+90, $/MXN)
× R(t+90,MXN)
S(t, $/MXN)
where R(t+90,MXN) is the peso return in the Mexican stock market and S(t,$/MXN) is the
dollar-peso exchange rate. The realized dollar return has two possible values. Either the peso
will lose 33% of its value and the stock market will fall 39%, in which case the gross dollar
return is (1 - 0.33)  (1 – 0.39) = 0.4087, or the peso will gain 27% of its value and the stock
market will rise 29%, in which case the gross dollar return is (1 + 0.27)  (1 + 0.29) = 1.6383.
The expected gross dollar return is the probability weighted average of these 2 events:
(0.35  0.4087) + (0.65  1.6383) = 1.2079.
The expected net dollar rate of return to investing in the Mexican stock market is therefore
20.79%.
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Soal 3
• Home Work
Soal 3, merupakan tugas perorangan yaitu setiap
mahasiswa diwajibkan untuk menjawab pertanyaan
(Question dan Problem) yang ada disetiap akhir bagian
masing-masing chapter.
Tugas ini dikumpulkan sebelum perkuliahan pertemuan
berikutnya dimulai.
Mahasiswa menjawab Question 4, 5 dan Problem 4 yang
ada di halaman 249 - 251
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