答案和详解如下： Q1. Which of the following economic concepts links inflation and interest rates to exchange rates? A) Relative purchasing parity (PPP). B) International Fisher relation. C) Uncovered interest Rate Parity. Correct answer is C) Combining PPP and the international Fisher relation, results in the theory of uncovered interest rate parity, which links spot exchange rates, expected spot exchange rates, and nominal interest rates. The international Fisher relation relates nominal interest rates to inflation, while relative PPP links exchange rates to inflation. Only the theory of uncovered interest rate parity links interest rates, inflation rates and exchange rates together. Q2. Which of the following economic methods is useful and easy to use in forecasting future spot exchange rates? A) Absolute purchasing power parity (PPP). B) International Fisher relation. C) Uncovered interest rate parity. Correct answer is C) Uncovered interest rate parity can be used to forecast future spot exchange rates using market interest rates. The international Fisher relation relates interest rates to inflation rates. Absolute PPP uses a basket of goods for comparative purposes in exchange rate determination. This limits its application because it requires an identical basket of goods across all countries and makes unrealistic assumptions regarding impediments to trade. Q3. Bob Bowman, CFA, is an analyst who has been recently assigned to the currency trading desk at Ridgeway Securities, a hedge fund management firm based in New York. Ridgeway’s stellar reputation as a top tier hedge fund manager has been built upon many years of its portfolio outperforming both the market and its peer group. Ridgeway’s portfolio is globally diversified, with less than 35% of its assets currently invested in U.S. securities. Ridgeway seeks to enhance its portfolio returns through the active use of currency futures that correspond to its investments. From time to time, Ridgeway will also take advantage of arbitrage opportunities that arise in the currency markets. In his new position, Bowman will be reporting to the head currency trader, Jane Anthony. Among Bowman’s new responsibilities, he will be performing an ongoing analysis of global currency rates. His analysis is expected to include projections of future exchange rates and a sensitivity analysis of exchange rates in a variety of interest rate scenarios. Using his projections as a starting point, he will then be expected to suggest possible trading strategies for Ridgeway. Bowman knows that his analysis will begin with the underlying principles of the five basic international parity relationships. However, he does realize that certain principles will be more useful than others when applied to a “real-world” situation. To test his knowledge of the subject, Anthony has asked Bowman to prepare a presentation on the interrelationships between exchange rates, interest rates, and inflation rates. For the presentation, Bowman will need to prepare a brief analysis of current market conditions and formulate some basic trading strategies based upon his projections. He also will need to demonstrate his ability to calculate predicted spot rates for currencies, given some basic inflation rate and interest rate assumptions. Bowman begins his task by gathering the following current market statistics: · 1 year U.S. Interest Rates = 8% · 1 year U.K. Interest Rates = 10% · 1 year $/₤ forward rate = 1.70 · Current $/₤ spot rate = 1.85 Bowman knows that if the forward rate is lower than what interest rate parity indicates, the appropriate strategy would be to borrow: A) pounds, convert to dollars at the forward rate, and lend the dollars. B) pounds, convert to dollars at the spot rate, and lend the dollars. C) dollars, convert to pounds at the spot rate, and lend the pounds. Correct answer is B) If the forward rate is lower than what the interest rate parity indicates, the appropriate strategy would be: borrow pounds, convert to dollars at the spot rate, and lend dollars. | 
发表于 2009-1-13 14:49
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