答案和详解如下： 1．John Dolan, CFA, is an international fund manager with the Borderless Fund. Dolan is considering an investment in the country of Kenya. He is concerned with the inflationary environment in Kenya, but he feels that it is mitigated by the degree of high economic growth over the next year. Based on his research, Dolan found that Kenya is expecting inflation rates of 17 percent while the European Economic Community is expecting 9 percent. The current exchange rate is 90.772 Kenyan Shillings (KS) per euro (EUR). Dolan assumes that relative purchasing power parity applies. If Dolan wants to compute an exchange rate at the end of the year so that he can use it for purposes of portfolio valuation, the closest exchange rate (KS/EUR) would be: A) 84.5654 KS/EUR. B) 106.2032 KS/EUR. C) 97.4342 KS/EUR. D) 98.9415 KS/EUR. The correct answer was C) The KS is the foreign currency and the EUR is the domestic currency because the spot quote is KS/EUR:
S1 = S0 × [(1 + iFC) / (1 + iDC)]
S1 = KS90.772 × [(1 + 0.17) / (1 + 0.09)] = 97.4342 KS/EUR
The Kenyan Shilling is expected to depreciate against the euro over the next year.
2．Brian Kenny, CFA, is an economist for Borderless Fund and was instructed by his colleague, John Dolan to create a forecasted exchange rate at the end of two years, Kenny’s investment horizon for the country of Kenya. The current spot exchange rate is 90.772 Kenyan Shillings (KS) for one euro (EUR). Kenny calculates annual inflation rates of 13 percent for the next two years for Kenya and 11 percent for the Economic European Community. Assuming relative purchasing power parity holds, the expected forward exchange rate at the end of two years is: A) 92.4075 KS/EUR. B) 94.0725 KS/EUR. C) 87.5873 KS/EUR. D) 89.1654 KS/EUR. The correct answer was B) The KS is the foreign currency and the EUR is the domestic currency because the spot quote is KS/EUR:
S1 = S0 × [(1 + iFC)2 / (1 + iDC )2]
S1 = 90.772 × [(1 + 0.13)2 / (1 + 0.11)2] = 94.0725 KS/EUR
The KS is expected to depreciate against the EUR over the next two years. 3．Kathy Smith, CFA, is an analyst with the Borderless Fund and is doing research on the country of Kenya for her colleague, John Dolan. Smith wants to calculate the inflation rate implied in the forward rates that she obtains from her bank, Global Bank. The current spot exchange rate is 90.772 Kenyan Shillings (KS) for one euro (EUR). The one-year forward rate for the Kenyan Shilling is 95.7686 KS/EUR. The current rate of inflation the European Economic Community is 9 percent. Smith does not know the current inflation rate for Kenya. Assuming relative purchasing power parity (PPP) applies, the calculated expected inflation rate implied in the forward rate is: A) 17%. B) 10%. C) 15%. D) 9%. The correct answer was C) Solve for the expected inflation rate for Kenya implied in the forward rate (iK) by using the same formula for relative PPP:
S1 = S0 × [(1 + iFC) / (1 + iDC)]
S1 = KS95.7686 = KS90.772 × [(1 + iK ) / (1 + 0.09)]
iK = 15% 4．With respect to the relative purchasing power parity (PPP) equation, compounded inflation rates are applicable when: A) inflation rates are expected to hold for multiple periods over a certain stated time horizon. B) real interest rates are expected to hold for multiple periods over a certain stated time horizon. C) nominal interest rates are expected to hold for multiple periods over a certain stated time horizon. D) expected exchange rates are expected to hold for multiple periods over a certain stated time horizon. The correct answer was A) Relative PPP holds that exchange rate movements reflect differences in inflation rates between countries. The relative version depends on the growth rates of prices in two countries. It is the rate of inflation that is critical here. It is necessary to make a slight adjustment to the relative PPP equation to account for the compounded inflation rate over the time horizon if the problem involves multiple periods: St / S0 = (1 + iFC)t / (1 + iDC)t
5．Which of the following purchasing power concepts depends on the growth rate of prices in two countries? A) Relative purchasing power parity (PPP). B) Absolute PPP. C) The law of one price. D) International Fisher relation. The correct answer was A) Relative PPP holds that exchange rate movements reflect differences in inflation rates between countries. The relative version depends on the growth rates of prices in two countries. | 
发表于 2008-5-19 17:02
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