Matakuliah
Tahun
: Keuangan Internasional
: 2009
Interest Rate Parity
Pertemuan 6
Soal 1
• (Question 11)
Suppose you saw a set of quoted prices from a
U.S bank and a French bank such that you
could borrow dollars, sell the dollars in the
spot foreign exchange market for euros,
deposit the euros for 90 days, and make a
forward contract to sell euros for dollars and
make a guaranteed profit. Would this be an
arbitrage opportunity ? Why or why not ?.
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Jawaban Soal 1
It could be an arbitrage opportunity, but it could also
reflect the fact that counterparty risk differs across
banks. It may be that the market knows that the default
risk of the French bank is higher than other banks,
which has induced the French bank to increase its
promised deposit rates above rates charged by other
banks with lower default risk. The perceived arbitrage
opportunity would be illusory in this case.
Bina Nusantara University
Soal 2
• (Problem 6)
As a trader for Bear Sterns you see the following prices
from two different banks:
1 year Euro deposits/loans : 6.0 % - 6.125 % p.a
1 year Malaysian Ringgit deposits/loans : 10.5 % - 10.625 % p.a
Spot exchange rates : MYR 4.6602/EUR – MYR 4.6622/EUR
1 year forward exchange rates : MYR 4.9500/EUR – MYR 4.9650/EUR
The interest rates are quoted on a 360 day year. Is there
an opportunity for covered interest arbitrage ?
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Jawaban Soal 2
We need to check the two inequalities that characterize the absence of covered interest
arbitrage. In the first, we will borrow euros at 6.125%, convert to ringgits in the spot market at
MYR4.6602 / EUR, invest the ringgits at 10.5%, and sell the ringgit principal plus interest
forward for euros at MYR4.9650 / EUR. We find that
1.06125 >
MYR4.6602
1
× 1.105 ×
= 1.0372
EUR
MYR4.9650/EUR
Thus, it is not profitable to try to arbitrage in this direction as the amount that we would
owe is greater than the amount that we would gain.
Let’s try the other direction, arbitraging out of ringgits into euros and covering the
foreign exchange risk. We will borrow ringgits at 10.625%, convert to euros in the spot market
at MYR4.6622 / EUR, invest the euros at 6.0%, and sell the euro principal plus interest forward
for ringgits at MYR4.9500 / EUR. We find that
1.10625 <
1
MYR4.9500
× 1.06 ×
= 1.1254
MYR4.6622/EUR
EUR
Thus, there is a possible arbitrage opportunity because the amount that we owe from
borrowing ringgits is less than the amount that we gain by converting from ringgits to euros,
investing the euros, and covering the transaction exchange risk with a forward sale of euros for
ringgits.
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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 3, 9 dan Problem 7 yang
ada di halaman 211
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