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《《平价理论习题》word版》由会员上传分享，免费在线阅读，更多相关内容在应用文档-天天文库。
1、1.SupposethatthetreasurerofIBMhasanextracashreserveof$100,000,000toinvestforsixmonths.Thesix-monthinterestrateis8percentperannumintheUnitedStatesand7percentperannuminGermany.Currently,thespotexchangerateis€1.01perdollarandthesix-monthforwardexchangerate
2、is€0.99perdollar.ThetreasurerofIBMdoesnotwishtobearanyexchangerisk.Whereshouldhe/sheinvesttomaximizethereturn?2.WhileyouwerevisitingLondon,youpurchasedaJaguarfor£35,000,payableinthreemonths.YouhaveenoughcashatyourbankinNewYorkCity,whichpays0.35%interest
3、permonth,compoundingmonthly,topayforthecar.Currently,thespotexchangerateis$1.45/£andthethree-monthforwardexchangerateis$1.40/£.InLondon,themoneymarketinterestrateis2.0%forathree-monthinvestment.TherearetwoalternativewaysofpayingforyourJaguar.(a)Keepthef
4、undsatyourbankintheU.S.andbuy£35,000forward.(b)BuyacertainpoundamountspottodayandinvesttheamountintheU.K.forthreemonthssothatthematurityvaluebecomesequalto£35,000.Evaluateeachpaymentmethod.Whichmethodwouldyouprefer?Why?3.Currently,thespotexchangerateis$
5、1.50/£andthethree-monthforwardexchangerateis$1.52/£.Thethree-monthinterestrateis8.0%perannumintheU.S.and5.8%perannumintheU.K.Assumethatyoucanborrowasmuchas$1,500,000or£1,000,000.a.Determinewhethertheinterestrateparityiscurrentlyholding.b.IftheIRPisnotho
6、lding,howwouldyoucarryoutcoveredinterestarbitrage?Showallthestepsanddeterminethearbitrageprofit.c.ExplainhowtheIRPwillberestoredasaresultofcoveredarbitrageactivities.4.Supposethatthecurrentspotexchangerateis€0.80/$andthethree-monthforwardexchangerateis€
7、0.7813/$.Thethree-monthinterestrateis5.6percentperannumintheUnitedStatesand5.40percentperannuminFrance.Assumethatyoucanborrowupto$1,000,000or€800,000.a.Showhowtorealizeacertainprofitviacoveredinterestarbitrage,assumingthatyouwanttorealizeprofitintermsof
8、U.S.dollars.Alsodeterminethesizeofyourarbitrageprofit.b.Assumethatyouwanttorealizeprofitintermsofeuros.Showthecoveredarbitrageprocessanddeterminethearbitrageprofitineuros.5.IntheissueofOctober23,1999,theEconomistreportsthattheint
