5.国际收支
cross the line… … … … . … … … … … … … … … … … …
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Three George University
Serial Number
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name
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2010 Fall Semester
6.零息债券
International Investments Final Examination A
7.风险溢价
8.修正的久期
9.价格驱动市场
Attention ：Please answer the questions in 110 minutes.
10.集合竞价
11.美国存托凭证
Scorer
12.执行成本
Ⅰ
Number
Ⅱ
Ⅲ
Ⅳ
Total
Part Ⅲ.
Answer the following questions briefly(3*6’)
1. what are the factors that affect Foreign exchange rate?
score
Part Ⅰ. Decide whether the following statements are true or false by writing “√” for true
and “×” for false in the bracket beside each statement. （10*1.5’）
1. When quotations involve the U.S. dollar, the dollar price of one unit of the second currency is referred to as
European terms. (
)
2. Expansionary monetary policy will generally lead to a depreciation of the home currency. (
3. The euro is the sole currency of the European countries. (
)
)
4. Electronic crossing networks anonymously match buy-and-sell orders by a pool of participants, generally
institutional investors and broker-dealers. ( )
5. Compared with the equal-weighted indexes, market value-weighted indexes are better representative of
movements in the market. (
)
6. The day count for U.S. Treasury bonds is based on the “30/360”. (
)
7. It is not necessary that a bond be denominated in Euros for it to be termed a Eurobond. (
)
8. Dividends and various investment incomes should be covered by the financial account. (
)
9. Shares of the closed-end funds are trade in the stock market at a price determined by supply and demand for
that fund. (
)
10. ETFs are generally designed to closely track the performance of a specific index. (
)
Part Ⅱ. Please translate the following terms into English。 （12*2’）
1.买入-卖出价差
2.三角套汇
3.经常账户赤字
4.弹性汇率制
2. Irving Fisher postulated the domestic relation between the interest rate and expected inflation rate in 1930,
inspired by the domestic relation, he stated the international Fisher relation, what is the domestic relation? How
did the international Fisher relation derive from the domestic one?
3. Why PPP is not verified in the short run?
PartⅣ. Calculations (43’)
1.(12’) The shares of Microsoft were trading on Nasdaq on January 1 at $41. A Swedish investor purchased 100
shares of Microsoft at that price. The Swedish kroner to dollar exchange rate then was Skr/$ = 9.4173-9.4188.
One year later, the investor received a dividend of $2 per share, and the investor then sold the shares at a price
of $51 per share. The exchange rate at that time was Skr/$ = 9.8710-9.8250. The dividend withholding tax rate
in the United States is 15 percent and there is a tax treaty between the United States and Sweden that allows the
U.S. withholding tax to be used as a tax credit in Sweden. Suppose the Swedish investor is taxed at 50 percent
on income and 15 percent on capital gains, and ignore any commissions on purchase and sale of shares.
a. What is the gross rate of return on the investment, in dollars?
b. What is the gross rate of return on the investment, in kroners?
c. What is the rate of return on the investment, in kroners, net of taxes?
2. (14’)Dustin Green likes to invest in the foreign exchange market. After an analysis of the last 10 years of U.S.
dollar to British pound exchange rate data, he has come up with his own model to forecast the $/£ exchange rate
one year ahead. Based on this model, the forecast for the one-year ahead exchange rate is $1.5315/£. The spot
$/£ is equal to 1.5620. The annual one-year interest rates on the Eurocurrency market are 2 percent in dollars
and 4.25 percent in pounds.
a. What is the one-year forward exchange rate?
b. If Dustin Green invests based on his model, which currency would he buy forward? and explain it
c. If everyone were to start using Dustin Green's model and follow his transaction, what would happen to the
exchange and interest rates?
3. (17’)A Swiss investor has purchased a US. Treasury bond priced at 100. Its yield is 4.5 percent, and the
investor expects the U.S. yields to move down by 15 basis points over the year. The duration of the bond is 6.
The Swiss franc cash rate is 1 percent and the dollar cash rate is 2 percent. The one-year forward exchange rate
is SFr1.4600/$.
a. The Swiss investor has come up with his own model to forecast the SFr/$ exchange rate one year ahead. This
model forecasts the one-year ahead exchange rate to be SFr1.3500/$. Based on this forecast, should the Swiss
investor hedge the currency risk of his investment using a forward contract?
b. If the Swiss investor decides to hedge using a forward contract, give a rough estimate of his expected return.
c. Verify for the hedged investment that the risk premium in Swiss francs is the same as the risk premium on the
same U.S. Treasury bond for a U.S. investor.