1． investor can invest in Tunisian dinar at r = 6.25 percent or in Swiss francs at r = 5.15 percent. 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)   0.8194.

C)   0.8215.

D)   0.7995.

2．resident of China can invest in Chinese yuan at 5.5 percent or in Egyptian pounds at 6 percent. The current spot rate is 80 CY/EGP. What is the one-year forward rate expressed in CY/EGP?

A)   79.6226.

B)   88.9876.

C)   89.8976.

D)   80.3792.

3.e U.S. interest rate is 4 percent, the Jordan interest rate is 7 percent and the $/JOD spot rate is 2.0010. What is the $/JOD forward rate that satisfies interest rate parity?

A)   $1.0936 / JOD.

B)   $0.5142 / JOD.

C)   $0.9141 / JOD.

D)   $1.9450 / JOD.

4.e domestic interest rate is 9 percent and the foreign interest rate is 7 percent. If the forward rate is 5 domestic units per foreign unit, what should the spot exchange rate be for interest rate parity to hold?

A)   5.09.

B)   4.91.

C)   5.72.

D)   4.83.

5.e-year interest rates are 7.5% in the U.S. and 6.0% in New Zealand. The current spot exchange rate is $0.55/NZD. If interest rate parity holds, today’s one-year forward rate ($/NZD) must be:

A)   $0.54233/NZD.

B)   $0.55778/NZD.

C)   $0.55000/NZD.

D)   $0.56675/NZD.

[此贴子已经被作者于2008-5-12 12:37:04编辑过]

1． investor can invest in Tunisian dinar at r = 6.25 percent or in Swiss francs at r = 5.15 percent. 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)   0.8194.

C)   0.8215.

D)   0.7995.

The correct answer was B)

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 x 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.

2．resident of China can invest in Chinese yuan at 5.5 percent or in Egyptian pounds at 6 percent. The current spot rate is 80 CY/EGP. What is the one-year forward rate expressed in CY/EGP?

A)   79.6226.

B)   88.9876.

C)   89.8976.

D)   80.3792.

The correct answer was A)

Forward (DC/FC) = Spot (DC/FC)[(1 + r_domestic)/(1 + r_foreign)]

= (80 CY/EGP)[(1 + 0.055)/(1 + 0.06)]

= (80)(0.99528)

= 79.6226

3.e U.S. interest rate is 4 percent, the Jordan interest rate is 7 percent and the $/JOD spot rate is 2.0010. What is the $/JOD forward rate that satisfies interest rate parity?

A)   $1.0936 / JOD.

B)   $0.5142 / JOD.

C)   $0.9141 / JOD.

D)   $1.9450 / JOD.

The correct answer was D)

Forward(DC/FC) = Spot (DC/FC)[(1 + r domestic)/(1 + r foreign)]

= (2.0010)(1.04/1.07)

= (2.0010)(0.972)

= 1.9450

4.e domestic interest rate is 9 percent and the foreign interest rate is 7 percent. If the forward rate is 5 domestic units per foreign unit, what should the spot exchange rate be for interest rate parity to hold?

A)   5.09.

B)   4.91.

C)   5.72.

D)   4.83.

The correct answer was B)

F/S = (1 + r domestic) / (1 + r foreign). Note in this equation exchange rates are quoted as Domestic/Foreign

S = F (1 + rF)/(1 + rD) = (5)(1.07)/(1.09) = 4.908

5.e-year interest rates are 7.5% in the U.S. and 6.0% in New Zealand. The current spot exchange rate is $0.55/NZD. If interest rate parity holds, today’s one-year forward rate ($/NZD) must be:

A)   $0.54233/NZD.

B)   $0.55778/NZD.

C)   $0.55000/NZD.

D)   $0.56675/NZD.

The correct answer was B)

Interest rate parity is given by:

Forward (DC/FC) = $0.55/NZD x (1.075/1.06) = $0.55778/NZD