答案和详解如下： 1．An economy is in long-run equilibrium and the values of its imports and exports are equal. If the growth rate of the money supply is unexpectedly decreased, what are the most likely effects on real GDP and the country’s current account balance?
A) Increase Suplus B) Increase Deficit C) Decrease Deficit D) Decrease Surplus The correct answer was C) Real GDP is likely to decrease as higher real interest rates (resulting from slower money supply growth) reduce business investment and consumers’ purchases of durable goods. The current account initially moves into surplus as decreasing real GDP reduces domestic incomes and the demand for imports. However, higher real interest rates will cause the domestic currency to appreciate, making imports less expensive and exports more expensive. Thus imports are likely to increase while exports decrease, which should more than offset the initial effect and result in a current account deficit. 2．George Gao, CFA, is a currency portfolio manager who believes that the asset market approach can be applied to make short run forecasts of exchange rates based on the long-term effects of the changes in a country’s money supply. Recently, Japan unexpectedly reduced its money supply by 5 percent, increasing interest rates from 1.5 percent to 2.0 percent. Japan’s current spot rate is 108.74 Japanese yen per United States dollar (JY/USD). George believes that it will take two years for the effects of the decrease in the money supply to reduce the inflation rate in Japan. The current interest rate in the U.S. is 1.5 percent. Based on George’s calculations, the decrease in the money supply will translate to an immediate spot exchange rate of: A) 115.59 JY/USD. B) 103.30 JY/USD. C) 102.29 JY/USD. D) 108.74 JY/USD. The correct answer was C) The yen is the DC and the U.S. dollar is the FC. The quotes are in yen/USD, or DC/FC. The pricing of exchange rate expectations by the asset market approach requires two steps:
Step 1: Identify the long-run expected exchange rate value [E(S1)] based on purchasing power parity.
E (S1) = S0 × [(1 + iDC) / (1 + iFC)] where S is quoted in DC/FC. Step 2: Infer the short-run value of the exchange rate, S0, assuming the uncovered interest rate parity holds. Remember that the uncovered interest parity is a relationship between the spot rate, the expected spot rate, and the interest rate differential: E (S1) / S0 = [(1 + rFC) / (1 + rDC)] Assuming this relationship holds, then solve for the value of the spot rate today, given the long-run expected value and current interest rates: S0 = E(S1) × [(1 + rDC) / (1 + rFC)] If the price adjustment occurs over a longer time period, say t periods, then: S0 = E(St) × [(1 + rDC)t / (1 + rFC)t] This problem has two steps: Step 1 and Step 2, hence: E(S1) = 108.74 JY/USD × ( 1 - 0.05/(1.00)) = 103.3 JY/USD
S0 = 103.3 JY/USD × [1.0152)/(1.022)] = 102.29 JY/USD
The Japanese Yen should immediately appreciate against the U.S. dollar to 102.29 JY/USD. 3．Seth Antonio, CFA, is an international currency trader for the Mega Currency Fund. Recently, Japan unexpectedly reduced its money supply by 5 percent increasing interest rates from 1 percent to 1.5 percent. Japan’s current spot rate is 108.74 Japanese yen per United States dollar (JPY/USD). Seth believes that it will take two years for the effects of the decrease in the money supply to reduce the inflation rate in Japan. The current interest rate in the U.S. is 2 percent. A firm believer in the asset markets approach, he computed a value of 102.29 for the current spot rate. What was the immediate percentage change in the value of the yen as a result of the unexpected change in the money supply? A) 5.93% depreciation in the Japanese yen against the U.S. dollar. B) 6.31% appreciation in the Japanese yen against the U.S. dollar. C) 6.31% depreciation in the Japanese yen against the U.S. dollar. D) 5.93% appreciation in the Japanese yen against the U.S. dollar. The correct answer was D) Since the current spot rate was already computed using the asset markets approach, an investor only needs to determine the immediate percentage change: %ΔS0 = (102.29 / 108.74) – 1 = 5.93% Since an investor is expected to receive 5.93% less Japanese yen per U.S. dollar, the yen has appreciated against the U.S. dollar. 4．George Gao, CFA, is a currency portfolio manager who believes that the asset market approach can be applied to make short run forecasts of exchange rates based on the long-term effects of the changes in a country’s money supply. Recently, Japan unexpectedly reduced its money supply by 5 percent, increasing interest rates from 1 percent to 1.5 percent. Japan’s current spot rate is 108.74 Japanese yen per United States dollar (JY/USD). George believes that it will take one year for the effects of the decrease in the money supply to reduce the inflation rate in Japan. Based on George’s calculations, the decrease in the money supply will translate to an expected spot exchange rate at the end of the first year of: A) 114.46 JY/USD. B) 114.18 JY/USD. C) 103.30 JY/USD. D) 108.74 JY/USD. The correct answer was C) Identify the long-run expected exchange rate value [E (S1)] based on purchasing power parity. E (S1) = S0 × [(1 + iFC) / (1 + iDC)]
E(S1) = 108.74 JY/USD × ((1 - 0.05) /1.00) = 103.30 JY/USD
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发表于 2008-5-19 18:11
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