《国际金融》第14版 (托马斯.A.普格尔 著)课后习题答案 中国人民大学出版社
Suggested answers to questions and problems(in the text)
2.a. The euro is expected to appreciate at an annual rate of approximately ((1.005 -
1.000)/1.000)(360/180)100 = 1%. The expected uncovered interest
differential is approximately 3% + 1% 4% = 0, so uncovered interest parity holds (approximately).
b. If the interest rate on 180-day dollar-denominated bonds declines to 3%, then
the spot exchange rate is likely to increase—the euro will appreciate, the
dollar depreciate. At the initial current spot exchange rate, the initial expected future spot exchange rate, and the initial euro interest rate, the expected
uncovered interest differential shifts in favor of investing in euro-denominated bonds (the expected uncovered differential is now positive, 3% + 1% 3% = 1%, favoring uncovered investment in euro-denominated bonds. The increased demand for euros in the spot exchange market tends to appreciate the euro. If the euro interest rate and the expected future spot exchange rate remain unchanged, then the current spot rate must change immediately to be
$1.005/euro, to reestablish uncovered interest parity. When the current spot rate jumps to this value, the euro's exchange rate value is not expected to change in value subsequently during the next 180 days. The dollar has
depreciated immediately, and the uncovered differential then again is zero (3% + 0% 3% = 0).
4.a. For uncovered interest parity to hold, investors must expect that the rate of
change in the spot exchange-rate value of the yen equals the interest rate differential, which is zero. Investors must expect that the future spot value is the same as the current spot value, $0.01/yen.
b. If investors expect that the exchange rate will 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 a decrease in the current spot value of the yen (the dollar appreciates). The shift to expecting that the yen will depreciate (the dollar appreciate) sometime during the next 90 days tends to cause the yen to depreciate (the dollar to appreciate) immediately in the current spot market.
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