题干

题目1

读题

买10m新台币，需要花多少日元？

Cross Rate

解题

和美元的关系：

1⃣️USD/JPY=0.008852-0.008856

2⃣️USD/NT$=0.02874-0.02876

求JPY/NT$

交叉汇率：

1⃣️判断乘除

2⃣️计算口诀：相除对角

2⃣️/1⃣️

=0.02874/0.008856-0.02876/0.008852

=3.245257-3.248983

购买新台币，使用deler的卖价：

10*3.238983=32.48983m日元

正确答案

Solution: C

题目2

读题

S和C关于外汇 bid-ask spread的描述

正确的是？

解题

bid-ask spread影响因素

2⃣️interbank：benchmark

risk↑→spread↑

➡️币种：美元、英镑、欧元、日元

流动性好➡️spread↓

➡️交易时间：全球两大交易市场同时开市

纽约：

伦敦：

➡️Mkt σ↑→spread↑

➡️Forwar M期限↑→risk↑→spread↑

1⃣️Dealer

➡️benchmark↑→spread↑

➡️size↑→spread↑（外汇储备有限，占用资源多）

➡️relationship

S描述：亚洲市场出现经济危机➡️spread变宽

分析：risk↑→spread↑

【正确】

C描述：一个dealer想解决手中日元存货

降低ask price卖价➡️spread变窄

分析：spread=ask-bid

整个市场的spread不会受到单一一个dealer交易的影响

【错误】

正确答案

Solution: A

Surratt is correct.

Market conditions affect currency spreads such that the bid-ask spread on foreign currency quotations increases as exchange rate volatility (uncertainty) increases.

In this example,an economic crisis in the Asian markets would create uncertainty,thereby impacting the$/￥and $/NT$ exchange rates and increasing the bid-ask spread.

Castillo is incorrect.

Bank and other currency dealer positions are not considered to directly impact the size of foreign currency spreads.

In this example,it is true that the dealer would likely reduce her yen ask (selling price) if she

wanted to unload an excess inventory of yen. However.the dealer would also probably reduce

her bid (buying price) so that she did not buy any additional yen. The result would be that the spread would remain relatively unchanged.

题目3

读题

S关于货币政策对币值影响

是否正确？

解题

美联储，缩减货币供给量=【紧缩】货币政策➡️r$↑

对于其他国家利率水平保持不变➡️difference=(r$-rF)↑

美元升值

分析：

默认浮动的汇率制度Ifloating

资本high流通

货币：紧缩

r↑→资本流入→本币↑

消费C↓→贸易顺差→本币↑

本币↑

正确答案

Solution: A

Surratt is correct. Under the Mundell-Fleming model, restrictive monetary policy reduces the

growth rate of the money supply and will lead to appreciation of a country's currency. Restrictive

monetary policy will increase the interest rate and, consequently, the demand for domestic

physical and financial assets. This increase in financial inflows (increase in the financial account)

increases the demand for the domestic currency for investment purposes leading to its

appreciation.

Choice C is incorrect because we are given in the vignette that the foreign interest rates remain constant.

题目4

读题

C关于财政政策对币值影响

是否正确？

解题

加拿大政府非预期性减少其财政赤字

【紧缩】财政政策：政府支出减少，税收增长

在短期对加拿大币，有正面影响【错误】

分析：

默认浮动的汇率制度Ifloating

资本high流通

财政：紧缩

政府支出G↓→本币需求↓→r↓→资本流出→本币↓

消费C↓→贸易顺差→本币↑

本币↓

Mundell-Fleming模型研究短期

长期使用P.B.M

财政：紧缩

政府支出G↓税收T↑→赤字一直减少→财政盈余→增加国外投资者投资信心→资本流入→本币↑

正确答案

Solution: B

Castillo is incorrect with respect to the impact of unanticipated restrictive fiscal policies on the

value of the Canadian dollar.

A reduction in the budget deficit means that government borrowing will decline, which reduces

interest rates and causes investment funds to flow out of the country. As a result, the value of

the Canadian dollar tends to decline.

读题

⭐️covered套利

如何执行？

解题

接下来三个月套利，初始投资1m美元

考察对象：瑞士法郎SFs

标价货币：美元$

cover利率平价理论：通过签订远期合约forward方式，锁定汇率水平，cover掉汇率风险。

使用3m forward rate=0.8

1⃣️确定是否有套利机会

2⃣️套利流程

3⃣️计算profit

USD/SFs

S=0.85 F3m=0.8

rSFs=12% rUSD=18%

size=1m

1⃣️确定是否有套利机会

F/S=(1 rUSD/4)/(1 rSFs/4)

F/S(1 rSFs/4)<(1 rUSD/4)

0.9694<1.045

➡️通过两次汇率调整后，近似瑞士法郎利率<美元利率

套利：在利率低国家借款，在利率高国家投资

2⃣️套利流程

借SFs➡️t=0，S，USD➡️3m，rUSD，USD‘➡️t=3m，F，SF’还

3⃣️计算profit

初始拥有1m美元

借款瑞士法郎=1m/S=1.176470588SFs

三个月后，1m(1 18%/4)=1.045m

还SFs利息=1.176470588(1 12%/4)*0.8=0.969411765m

Profit=1.045m-0.969411765m=75588$

正确答案

Solution: C

题目6

读题

S认为B国家经常性账户有赤字：出口<进口

【重点掌握】本币贬值如何改善贸易赤字

解题

F1:未来，经常性账户赤字规模预期

F2:汇率对于本国商品价格的影响【表述不完整】

ΔFX对出口和进口弹性综合才会影响C.A.

F3：进出口需求对进出口商品价格改变反映程度【弹性，敏感程度越高】

本币贬值如何改善贸易赤字——贸易赤字：出口<进口

希望：通过本币贬值，使得贸易赤字得到改善——R出口↑，R进口↓

1⃣️本币↓→P出口（本国商品）↓→Q出口↑→ed大→R出口↑

2⃣️本币↓→P进口（外国商品变贵）↑→Q进口↓→ed大→R进口↓

正确答案

Solution: A