答案和详解如下： Q11. The U.S. interest rate is 4%, the Jordan interest rate is 7% and the $/JOD spot rate is 2.0010. What is the $/JOD forward rate that satisfies interest rate parity? A) $1.9450 / JOD. B) $0.5142 / JOD. C) $1.0936 / JOD. Correct answer is A) Forward(DC/FC) = Spot (DC/FC)[(1 + r domestic) / (1 + r foreign)] (2.0010)(1.04/1.07) (2.0010)(0.972) = 1.9450 Q12. A resident of China can invest in Chinese yuan at 5.5% or in Egyptian pounds at 6%. The current spot rate is 80 CY/EGP. What is the one-year forward rate expressed in CY/EGP? A) 80.3792. B) 79.6226. C) 88.9876. Correct answer is B) Forward (DC/FC) = Spot (DC/FC)[(1 + rdomestic) / (1 + rforeign)] (80 CY/EGP)[(1 + 0.055) / (1 + 0.06)]
(80)(0.99528) = 79.6226 Q13. An investor can invest in Tunisian dinar at r = 6.25% or in Swiss francs at r = 5.15%. She is a resident of Tunisia and the current spot rate is 0.8105 TND/SF. What is the approximate one-year forward rate expressed in TND/SF?
A) 0.8016. B) 0.8215. C) 0.8194. Correct answer is C) The approximate forward premium/discount is given by the interest rate differential. This differential is: 6.25% − 5.15% = 1.10%. Since Tunisia has higher interest rates, its currency will be at a discount in the forward market. This discount equals: 0.011 × 0.8105 = 0.0089. Since the exchange rate is quoted in TND/SF, as a depreciating currency, it will take more TND to buy one SF. The forward rate is thus: 0.8105 + 0.0089 = 0.8194 TND/SF. In other words, the SF is stronger in the forward market. | 
发表于 2009-1-13 12:00
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