1、2選擇：10題20分3判斷：10題10分4簡答：2題10分5計算：4題40分6論述：1題10分第二章 Payments among Nations 國際收支1.Accounting principles 記賬原則A credit item (+)positive items: a country must be paid; payment by a foreigner into the country.包括：Exports of goodsPurchases by foreigners in this countryForeigners investing in the countrys bo

2、ndsA debit item (-)negative items： a country must pay; payment by the country to a foreigner.包括：Imports of goodsPurchases by firms in this country from foreign countriesPurchases by investors in this country from foreigners2Balance of Payments Statement國際收支平衡u Current account（經(jīng)常賬戶）:簡CA（商品、服務的進出口、對外國

3、金融資產(chǎn)的支付和收益、單方面轉移）u Financial account（金融賬戶）:簡FA (直接投資、國際證券投資)u Official international reserves（官方國際儲備）:簡OR（黃金、外匯資產(chǎn)、在國際貨幣基金的特別提款權）u 三個國際收支部分，根據(jù)Each transaction has two item, one positive and one negative, of equal value.double-entry bookkeeping復式記賬法有：positive items + negative items = 0positive balance

4、: surplusnegative balance: deficit（1） Current account balance經(jīng)常賬戶差額經(jīng)常賬戶差額(CA) = 商品貿(mào)易差額 + 勞務差額加上收入凈額 + 無償轉移收支凈額之和。盈余（）：一國在與外國交易中增加了資產(chǎn)或減少了負債。赤字（）：一國在與外國交易中減少了資產(chǎn)或增加了負債。CA = If （Net foreign investment (If)：凈國外投資）CA = S Id （National saving (S)：國際儲備，domestic investment (Id)：國內(nèi)投資.）S = Id + If （國際儲備=國內(nèi)投資+凈國

5、外投資）Y = C + Id + G +(X M) （商品和勞務的生產(chǎn)= 消費+投資政府支出貿(mào)易差額）E = C + Id + G （對商品和勞務總支出=消費+投資政府支出）據(jù)Y = E +(X M), CA = (X M) 可以推導出CA = Y ESurplus盈余Deficit赤字Positive net foreign investment lender) 貸款者Net foreign borrower借款者Saving more than investing domestically 儲蓄超過國內(nèi)投資Domestic savings less than domestic invest

6、ment儲蓄低于國內(nèi)投資Producing more than spending on goods and services 生產(chǎn)超過支出Spending more than producing生產(chǎn)少于支出If CA is in deficit, then what could we do?（若CA是赤字，我們應該怎么做？）Increase Y, or decrease E.（增加商品和勞務的生產(chǎn)，或減少對商品和勞務的總支出）（2）Official settlements balance官方結算差額OR Current account balance + Private capital bal

7、ance 即B = CA + KA 因為所有項目最終差額必須為0，所以官方結算差額的不平衡必須用官方儲備資產(chǎn)（OR）來彌補，因此，B + OR = 0意義：如B>0，則外匯貯備增加。如B<0，則外匯貯備減少。l 課后作業(yè)8. you are given the following information about a countrys international transactions during a year:Merchandise exports 商品出口 $330Merchandise imports 商品進口 198Service exports 勞務出口 196Se

8、rvice imports 勞務進口 204Imcome flows,net流量凈額 3Unilateral transfers,net 單方面轉移金額 -8Increase in the countrys holding of foreign assets,net 202(excluding official reserve assets)增加在該國的凈外國資產(chǎn)Increase in foreign holding of the countrys assets,net 102(excluding official reserve assets)增加在該國的本國資產(chǎn) Statistical d

9、iscrepancy, net凈統(tǒng)計誤差 4A. Caculate the values of the countrys goods and services balance,current account balance經(jīng)常賬戶余額,and official settlements balance官方儲備資產(chǎn)余額.Merchandise trade balance: $330 - 198 = $132Goods and services balance: $330 - 198 + 196 - 204 = $124Current account balance: $330 - 198 + 19

10、6 - 204 + 3 - 8 = $119Official settlements balance: $330 - 198 + 196 - 204 + 3 - 8 + 102 - 202 + 4 = $23B.What is the value of the change in official reserve assets(net)官方儲備資產(chǎn)?Is the country increasing or decreasing its net holding of official reserve assets?Change in official reserve assets (net) =

11、 - official settlements balance = -$23.The country is increasing its net holdings of official reserve assets.第三章The Foreign Exchange Market 外匯市場Exchange rate匯率：an exchange rate is the price of one nations money in terms of another nations money.Floating exchange rate and fixed exchange rate 浮動匯率和固定匯

12、率Arbitrage within the spot exchange market現(xiàn)匯市場的套匯Spot exchange rate 即期匯率eForward exchange rate 遠期匯率fRetail part of the market 外匯零售市場(銀行與個人、公司等一般客戶之間的外匯交易市場。)Interbank part of the market 外匯批發(fā)市場(銀行同業(yè)之間的外匯買賣及其場所。)vehicle currency媒介貨幣 depreciation貶值demand deposits活期存款 appreciation 升值Quotations 報價 devalu

13、ation法定貶值Par value平價 revaluation 法定升值Arbitrage套利Cross-rate交叉匯率Direct arbitrage直接套利Triangular arbitrage 三角套匯-arbitrage through three rates1.Demand and supply for foreign exchange (外匯的需求與供給)(1)U.S exports of goods and services will create a supply of foreign currency and a demand for U.S. dollars.美國的商

14、品和服務的出口將造成大量的外國貨幣供應量和對美元的需求。(2)U.S imports of goods and services will create a demand for foreign currency and a supply of U.S. dollars.美國的商品和服務進口將創(chuàng)建一個為外國貨幣和美元的供給需求(3)U.S capital outflows will create a demand for foreign currency.美國資本外流將創(chuàng)建一個為外國貨幣的需求。(4)U.S capital inflows will create a supply of for

15、eign currency.美國資本流入將創(chuàng)造大量的外國貨幣供應量。u 一國商品和勞務的出口形成了外幣的供給，進口形成對外幣的需求。u 對國外金融資產(chǎn)的購買形成外幣的需求，外國對本國金融資產(chǎn)的購買形成了外幣的供給。l 課后作業(yè)1. What are the major types of transactions or activities the result in supply of foreign currency in the spot foreign exchange market?在即期外匯市場造成外幣供應的主要交易或活動有哪些？Exports of merchandise and

16、services 勞務和商品的出口result in supply of foreign currency in the foreign exchange market. Domestic sellers often want to be paid using domestic currency, while the foreign buyers want to pay in their currency. In the process of paying for these exports, foreign currency is exchanged for domestic currenc

17、y, creating supply of foreign currency. International capital inflows 國際資本流入result in a supply of foreign currency in the foreign exchange market. In making investments in domestic financial assets, foreign investors often start with foreign currency and must exchange it for domestic currency before

18、 they can buy the domestic assets. The exchange creates a supply of foreign currency. Sales of foreign financial assets that the country's residents had previously acquired, and borrowing from foreigners by this country's residents are other forms of capital inflow that can create supply of

19、foreign currency8.You have access to the following three spot exchange rates即期匯率:$ 0.01 / yen$ 0.20 / krone25 yen / kroneA. how would engage in arbitrage（套利） to profit from these three rates? What is the profit for each dollar used initially?For each dollar that you sell initially, you can obtain 5

20、kroner, these 5 kroner can obtain 125 yen, and the 125 yen can obtain $1.25. The arbitrage profit for each dollar is therefore 25 cents.第四章Forward Exchange and International Financial Investment 遠期交易與國際金融投資forward foreign exchange contracts 遠期外匯合同Hedging and speculating by forward foreign exchange遠期

21、外匯的套期保值和投機International Financial Investment國際金融投資 Covered International Investment 拋補性國際投資Uncovered International Investment 非拋補性國際投資Forward foreign exchange contract遠期外匯合同：是指在約定未來某一日期以一定的外匯匯率（遠期匯率）買進或賣出一定金額外幣的合同。Hedging using forward foreign exchange 遠期外匯合同用于套期保值：套期保值包括獲取外幣資產(chǎn)來沖銷已有的外幣凈債務，或者獲取外幣債務來沖

22、銷已有的外幣凈資產(chǎn)。long position（多頭）：有的外幣凈資產(chǎn)的數(shù)量即多頭。short position（空頭)：外幣凈負債(即借入待還)的數(shù)量即空頭。Expected uncovered interest differential （期非拋補利息差）Hedging套期保值dollar-denominated (美元面值的)speculate(投機)inheriting (繼承）Speculation投機 Covered interest arbitrage（補套利）receivable (應收賬款).disbursed (支付）portfolio（投資組合）diversificati

23、on (多樣化)1.Speculating using forward foreign exchange 遠期外匯合同用于投機4月時預計英鎊價格從下降至（7月）簽訂3個月后賣出1百萬英鎊的遠期合同，90天遠期匯率$1.9668 / )3個月后，英鎊價格如期下跌至按現(xiàn)匯買入1百萬英鎊,支付$1,700,000結清合同，獲利 $266,800Principle of "buy low, sell high"Your speculation may turn out differently ：4月時預計英鎊價格從下降至（7月）簽訂3個月后賣出1百萬英鎊的遠期合同，90天遠期匯率$

24、1.9668 / .3個月后，英鎊價格上升至按現(xiàn)匯買入1百萬英鎊，支付$2,200,000結清合同，虧損 $233,2002.Covered International Investment 拋補性國際投資箭頭：左至右：買入英鎊賣出美元 Ius：當前美國的90天利率（非年率）右至左：賣出英鎊買入美元 Iuk：當前英國的90天利率（非年率）向上：投資或放貸 e: 英鎊的現(xiàn)匯匯率（$/ ）向下：三個月后的收入貼現(xiàn) f : 當前公布的90天遠期匯率（$/ ）Lets start with one dollar：Covered interest differential拋補利息差CD=(1+ iuk)

25、 · f/e (1+ius)If CD>0, investing in BritainCD<0，investing in America (home country)Forward premium 遠期升水遠期匯率高于即期匯率F = (f-e)/e 升水幅度 (if F is positive)Forward discount 遠期貼水遠期匯率低于即期匯率If F is negative，CD = F + (iuk -ius ) 3.Covered Interest Parity拋補利息平價 CD=0CD= F + (iuk ius ) =0Thatis,F=iusiuk

26、 遠期升（貼）水等于兩國貨幣利差。Or F+ iuk =ius 國內(nèi)收益等于拋補性國外投資的總收益。當A國利率低于B國利率時， A國貨幣遠期升水。反之，則貼水。l 四個rates的計算：current forward exchange rate當前遠期匯率 簡f，current spot exchange rate當前即期匯率 簡e,current intreast rates in the two countries.兩國當前利率 簡 iuk、ius.4.Uncovered Interest Parity非拋補利息平價EUD=Expected appreciation + (iuk -ius

27、 ) =0 即EUD=eex-e/e + (iuk - ius)=0，其中Expected appreciation= eex-e/e（四個rates的計算，其中eex表示投資者預期的未來的即期匯率）That is, expected appreciation of the pound =ius iuk 預期英鎊升(貶）值等于兩國貨幣利差Or expected appreciation + iuk =ius 國內(nèi)收益等于非拋補性國外投資的總收益。l EUD=Expected depreciation + (iuk -ius ) < 0The U.S. investor should in

28、vest dollar-denominated bonds.EUD=Expected appreciation + (ius - iuk) > 0The U.K. investor should invest dollar-denominated bondsl 課后練習4THow would the U.S firms and people described in question 3 each use a forward foreign exchange contract遠期外匯合同 to hedge 規(guī)避their risk exposure風險 ?what are the amo

29、unts in each forward contract ?a.The U.S. firm has an asset position in yenit has a long position in yen. To hedge its exposure to exchange rate risk, the firm should enter into a forward exchange contract now in which the firm commits to sell yen and receive dollars at the current forward rate. The

30、 contract amounts are to sell 1 million yen and receive $9,000, both in 60 days.b.The student has an asset position in yena long position in yen. To hedge the exposure to exchange rate risk, the student should enter into a forward exchange contract now in which the student commits to sell yen and re

31、ceive dollars at the current forward rate. The contract amounts are to sell 10 million yen and receive $90,000, both in 60 days.c.The U.S. firm has an liability position in yena short position in yen. To hedge its exposure to exchange rate risk, the firm should enter into a forward exchange contract

32、 now in which the firm commits to sell dollars and receive yen at the current forward rate. The contract amounts are to sell $900,000 and receive 100 million yen, both in 60 days.5.The current exchange rate即期匯率 is $1.20/euro.The current 90-day forward exchange rate當前遠期匯率 is $1.18/euro.You expect the

33、 spot rate to be $1.22/euro in 90 days .How would you speculate投機 using a forward contract?If many speculate in this way ,what a pressure is placed on the value of the current forward exchange rate?Relative to your expected spot value of the euro in 90 days ($1.22/euro), the current forward rate of

34、the euro ($1.18/euro) is lowthe forward value of the euro is relatively low. Using the principle of "buy low, sell high," you can speculate by entering into a forward contract now to buy euros at $1.18/euro. If you are correct in your expectation, then in 90 days you will be able to immedi

35、ately resell those euros for $1.22/euro, pocketing a profit of $0.04 for each euro that you bought forward.8.The following rates are available in the markets:CCAnnualized interest rate on 30-day dollar-denominated bonds 30天美元計價券的年利率 : 12%(1.0%for 30 days)Annualized interest rate on 30-day swiss fran

36、c -denominated bonds 30天瑞郎計價券的年利率 : 6%(0.5%for 30 days)A. Is the swiss franc at a forward premium or discount遠期溢價或折價?The Swiss franc is at a forward premium. Its current forward value ($0.505/SFr) is greater than its current spot value ($0.500/SFr).B. Should a U.S-based investor make a covered inves

37、tment in swiss franc-denominated 30-day bonds ,rather than investing in 30-day dollar-denominated bonds?explain.CD=F+ iuk -ius =( 0.505-0.5)/0.5+(0.005-0.01)=0.005, there is a covered interest differential of 0.5% for 30 days (6 percent at an annual rate). The U.S. investor can make a higher return,

38、 covered against exchange rate risk, by investing in SFr-denominated bonds.第五章What Determines Exchange Rates? 匯率是由什么決定的？focuses on short-run movements in exchange rates. 短期內(nèi)匯率變動focuses on long-term trends. 長期內(nèi)匯率變動shows one way in which the short term flows into the medium term and then into the long

39、 term.短期匯率變動對中長期的影響。Asset market approach to exchange rates 資產(chǎn)市場說portfolio repositioning (投資組合重置）Ø The long run: the monetary approach長期：貨幣理論The quantity theory (貨幣數(shù)量理論）貨幣數(shù)量公式：Ms=k×P×Y （1）Mfs=kf×Pf×Yf （2）Ms： Money supply 貨幣供給k： proportional relationships between money holdin

40、gs and the nominal value of GDP貨幣持有量和GDP的名義價值之比（代表消費者的行為）P： price level 價格水平Y： real domestic products 實際國內(nèi)產(chǎn)出1.Three types of variability for exchange rates（三種變異類型的匯率）Long-term trends.Medium-term (over periods of several years) trends.Short-term (month to month) variability.變量的變化國際金融資產(chǎn)重組方向?qū)Ξ斍艾F(xiàn)匯匯率的影響（

41、e =本幣/外幣）國內(nèi)利率 (i)  增加轉向本幣資產(chǎn)e 減少 (本幣升值）減少轉向外幣資產(chǎn)e 增加 (本幣貶值）國外利率 (if)  增加轉向外幣資產(chǎn)e 增加 (本幣貶值）減少轉向本幣資產(chǎn)e 減少 (本幣升值）預期遠期現(xiàn)匯匯率(eex)  增加轉向外幣資產(chǎn)e 增加 (本幣貶值）減少轉向本幣資產(chǎn)e 減少 (本幣升值）分析基于三個變量中一個發(fā)生變化時，其他兩個不變,對現(xiàn)匯匯率的影響。n If domestic i increases, while if and eex投資者預期的未來的即期匯率 remained constant,the

42、 return comparison shifts in favor of investments in domestic bonds.Why?This increase demand for domestic currency increases the current spot exchange rate value of domestic currency ,so e當前即期匯率 decreases.n If foreign i increases, while i and eex remained constant, the return comparison shifts in fa

43、vor of investments in foreign bonds.This increase demand for foreign currency increases the current spot exchange rate e (the domestic currency depreciates)3.The Long Run: Purchasing Power Parity長期：購買力平價說（PPP)Three versions：² The law of one price 一價定律：商品的國內(nèi)價格等于國外價格乘以現(xiàn)匯匯率。P = e × Pf該定律對交易大宗

44、商品來說是正確的。如，黃金，其他金屬，原油和農(nóng)產(chǎn)品?！耙粌r定律”在現(xiàn)實中已失去意義。² Absolute purchasing power parity絕對購買力平價說：匯率取決于以不同貨幣衡量的多種可貿(mào)易商品價格水平之比。 P = Pf×e -or- e = P/Pf絕對購買力平價不成立。² Relative purchasing power parity相對購買力平價說：Rate of appreciation of the foreign currency=f國外貨幣的升貶值率 = 國內(nèi)通脹率國外通脹率若 > 0,本幣貶值< 0,本幣升值4.Th

45、e effect of money supplies on an exchange rate貨幣供給對匯率的影響Example: （英國為外國，美國為本國）英國減少10的貨幣供給英鎊減少，變得更值錢從緊貨幣政策，銀行縮減信貸造成借貸困難，減少了總需求，產(chǎn)出，就業(yè)。價格水平下降10根據(jù)相對購買力平價說, 英鎊匯率上升10The effect of real incomes on an exchange rate 實際收入對匯率的影響Example: （英國為外國，美國為本國）英國生產(chǎn)力上升，實際收入增加了10增加了人們對英鎊的需求但假定英國貨幣存量沒有增加，則物價會下降10根據(jù)相對購買力平價說，

46、英鎊匯率上升10l 課后作業(yè)2.The following rates currently exist:SAnnual interest rate on 180-day euro denominated bonds 180歐元計價券的年利率 :3%Annual interest rate on 180-day U.S dollar denominated bonds 180天美元計價券的年利率:4%IA. Show that uncovered interest parity拋補利率平價 holds(appromixmately)at these rates.The euro is expec

47、ted to appreciate at an annual rate of approximately (1.005 - 1.000)/1.000)×(360/180) = 1%. The expected uncovered interest differential is approximately 1% + 3% - 4% = 0, so uncovered interest parity holds (approximately)B. What is likely to be the effect on the spot exchange rate即期匯率 if the i

48、nterest rate on 180-day dollar-denominated bonds 180天美元計價券的利率declines to 3 percent?If the euro interest rate and the expected future spot rate are unchanged ,and if uncovered interest parity 拋補利息平價is reestablished重建 ,what will the new current spot exchange rate be ? Has the dollar appreciated or dep

49、reciated升值或貶值?If the interest rate on 180-day dollar-denominated bonds declines to 3%, the expected uncovered interest differential shifts in favor of investing in euro-denominated bonds. The increased demand for euros in the spot exchange market tends to appreciate the euro. Since ieu=3%, eex =$1.0

50、05/euro, EUD=0, e?(1.005-e)/e + (3% - 3%)= 0With e increasing, U.S. dollar depreciates4.You observe the following current rates:SAnnual interest rate on 90-day U.S -dollardenominated bonds :5%Annual interest rate on 90-day yendenominated bonds :4%A. If uncovered interest parity holds, what spot exch

51、ange rate do investors expect to exist in 90 days?For uncovered interest parity holds, (eex-0.01)/0.01 + 4% - 4%=0 B. A close U.S presidential election 美國總統(tǒng)選舉has just been decided.the candidate whom international investors view as the stronger and moreIf investors expect that the exchange rate will

52、be $0.0095/yen, then they expect the yen to depreciate from its initial spot value during the next 90 days. Given the other rates, investors tend to shift their investments toward dollar-denominated investments. The extra supply of yen (and demand for dollars) in the spot exchange market results in

53、a decrease in the current spot value of the yen (the dollar appreciates). Thus, the yen will depreciate (the dollar to appreciate) immediately in the current spot market10.To aid its efforts to get reelected,the current government of a contry decides to increase the growth rate of the demostic money

54、 supply by two percentage points.The increased growth rate becomes “permanent”永久because once started it is difficult to reverse相反.A. according to the monetary approach 貨幣理論,how will this affected the long-run trend for the exchange rate value of the contrys currency?Because the growth rate of the do

55、mestic money supply (Ms) is two percentage points higher than it was previously, the monetary approach indicates that the exchange rate value (e) of the foreign currency will be higher than it otherwise would bethat is, the exchange rate value of the country's currency will be lower. Specificall

56、y, the foreign currency will appreciate by two percentage points more per year. That is, the domestic currency will depreciate by two percentage points more per year.第六章Government Policies toward the Foreign Exchange Market 政府的外匯市場政策Possible government policies toward the foreign exchange market.政府對外匯市場的政策Official intervention on this market and restrictions.對市場的官方干預和限制Lessons of history of exchange rate system. 匯率體制的exchange controls 外匯控制1.Types of floa