CFA二级培训项目：经典题_经济学_标准版.docx

SgII皿回SUVH3nm>EnYqmnbw 6puss-pun:sn6uelpxUJAuuaunumAEdSmithisanewtraineeintheforeignexchange(FX)servicesdepartmentofamajorglobalbank.Smith,sfocusistoassistseniorFXtrader,FelizMehmet,CFA.MehmetmentionsthatanIndiancorporateclientexportingtotheUnitedKingdomwantstoestimatethepotentialhedgingcostforasaleclosinginoneyear.Smithistodeterminethepremium/discountforanannual(360day)forwardcontractusingtheexchangeratedatapresentedinExhibit1.3-165OAMehmetisalsolookingattwopossibletradestodeterminetheirprofitpotential.ThefirsttradeinvolvesapossibletriangulararbitragetradeusingtheSwiss,USandBraziliancurrencies,tobeexecutedbasedonadealer,sbid/offerratequoteof0.5161/0.5163inCHF/BRLandtheinterbankspotratequotespresentedinExhibit2.)MMraMMM-M*VMWtWUM CMMMK HMI4-165Exhibit2.InterbankMarketQuotesm>MehmetisalsoconsideringacarrytradeinvolvingtheUSDandtheEuro.Heanticipatesitwillgenerateahigherreturnthanbuyingaone-yeardomesticnoteatthecurrentmarketquoteduetolowUSinterestratesandhispredictionsofexchangeratesinoneyear.TohelpMehmetassessthecarrytrade,MehmetprovidesSmithwithselectedcurrentmarketdataandhisoneyearforecasts.(Price/Base)CADSDEUR/CAD)MMraMMM-M*VMWtWUMCMMMKHMI5-165OAFinally,MehmetasksSmithtoassistwithatradeinvolvingaUSmultinationalcustomeroperatinginEuropeandJapan.ThecustomerisaverycostconsciousindustrialcompanywithaAAcreditratingandstrivestoexecuteitscurrencytradesatthemostfavorablebid/offerspread.BecauseitsJapanesesubsidiaryisabouttocloseonamajorEuropeanacquisitioninthreebusinessdays,theclientwantstolockinatradeinvolvingtheJapaneseyenandtheEuroasearlyaspossiblethenextmorning,preferablyby8:05AMNewYorktime.OAAtlunch,SmithandotherFXtraineesdiscusshowbesttoanalyzecurrencymarketvolatilityfromongoingfinancialcrises.Thegroupagreesthatatheoreticalexplanationofexchangeratemovements,suchastheframeworkoftheinternationalparityconditions,shouldbeapplicableacrossalltradingenvironments.Theynotesuchanalysisshouldenabletraderstoanticipatefuturespotexchangerates.Buttheydisagreeonwhichparityconditionbestpredictsexchangerates,voicingseveraldifferentassessments.Smithconcludesthediscussiononparityconditionsbystatingtothetrainees:"Ibelievethatinthecurrentenvironmentbothcoveredanduncoveredinterestrateparityconditionsareineffect."OABaseduponExhibitLtheforwardpremium(discount)fora360-dayVMWVWUMOMtaM一哥T果代:Sf/disthespotratewithGBPthebasecurrencyord,andINRtheforeigncurrencyorf.SperExhibit1is79.5093,iisequalto7.52%andiisequalto5.43%.)MMraMMM-M*VMWtWUM CMMMK HMI9-165mWithGBPasthebasecurrency(i.e.the"domestic"currency)intheINR/GBPquote,substitutingintherelevantbasecurrencyvaluesfromExhibit1yieldsthefollowing:哦/-膏/留1-)(0.0752 - 0.0543)乎TQABasedonExhibit2,themostappropriaterecommendationregardingthetriangulararbitragetradeisto:A.B.declinethetrade,noarbitrageprofitsarepossible.executethetrade,buyBRLintheinterbankmarketandsellittothedealer.C.executethetrade,buyBRLfromthedealerandsellitintheinterbankmarket.ThedealerispostingabidratetobuyBRLatapricethatistoohigh.ThisoverpricingisdeterminedbycalculatingtheinterbankimpliedcrossratefortheCHF/BRLusingtheintuitiveequation-basedapproach:CHF/BRL=CHF/USD×(BRL/USD)°CHF/BRL=CHF/USD×USD/BRLInvertingtheBRL/USDgivenquotesinExhibit2determinestheUSD/BRLbid/offerratesof0.56205/0.56211(Thebidof0.56205istheinverseoftheBRL/USDoffer,calculatedas1/1.7792;theofferof0.56211istheinverseoftheBRL/USDbid,calculatedas1/1.7790).mmw*vmmCMara*HHLn91*rnIIBHVH-HBISaBIHaBC-PUBSUPJi.0'sM-IuS寸OOoJO'JOJdBOJJ-BpLOIEW-aspu3TOE>UBqIU-qiU-IagAnqOlA-UnlJOddOrol-roUB-lOS.0IBI-BE>|UBCPWU-一Uuo*rouv-n-eqUB二XsInq0AnqOl6三=M-lDu-S寸soHsoX66060PsJoWBSsobIUp-dlu-上UBcPwu-£0一spe-ULSaB二yoP一qlQr8clspu30sll-I-DwI-n-OABasedonExhibit3,thepotentialall-inUSDreturnonthecarrytradeisVMWVWUMOMtaMThecarrytradeinvolvesborrowinginaloweryieldingcurrencytoinvestinahigheryieldingoneandnettinganyprofitafterallowingforborrowingcostsandexchangeratemovements.TherelevanttradeistoborrowUSDandlendinEuros.Tocalculatetheall-inUSDreturnfromaone-yearEURLibordeposit,firstdeterminethecurrentandone-yearlaterUSD/EURexchangerates.BecauseoneUSDbuysCAD1.0055today,andoneCADbuysEUR0.7218today,today'sEUR/USDrateistheproductofthesetwonumbers:1.0055X0.7218=0.7258.WMMMM-m*VMmVMMCMMa*MMImTheprojectedrateoneyearlateris:1.0006×0.7279=0.7283.Accordingly,measuredindollars,theinvestmentreturnfortheunhedgedEURLibordepositisequalto:(1.0055×0.7218)×(1+0.022)×1/(1.0006×0.7279)-1=0.7258×(1.022)(1/0.7283)-1=1.0184-1=1.84%However,theborrowingcostsmustbechargedagainstthisgrossreturntofundthecarrytradeinvestment(one-yearUSDLiborwas0.80%).Thenetreturnonthecarrytradeistherebyclosestto:1.84%-0.80%=1.04%.>Thefactorleastlikelytoleadtoanarrowbid/offerspreadfortheindustrialcompany'sneededcurrencytradeisthe:A.timingofitstrade.17-165mWhilecreditratingscanaffectspreads,thetradeinvolvesspotsettlement,i.e.twobusinessdaysafterthetradedate,sothespreadquotedtothishighlyrated(AA)firmisnotlikelytobemuchtighterthanthespreadthatwouldbequotedtoasomewhatlowerrated(butstillhighquality)firm.Therelationshipbetweenthebankandclient,thesizeofthetrade,thetimeofdaythetradeisinitiated,thecurrenciesinvolvedandthelevelofmarketvolatilityarelikelytobemoresignificantfactorsindeterminingthespreadforthistrade.OAIfSmith'sstatementonparityconditionsiscorrect,futurespotexchangeratesaremostlikelytobeforecastby:A.currentspotrates.)MMraMMM-M*VMWtWUMCMMMKHMI§6w6UBXIodS号+3r-lJ。ISBuaJOPs-qun-一总rou×PJeMJO+七-SnqiB4U左P国lsoJo-一0-Bnb°一BIodSU-CTu6B1U*du×£q-M;SHL-B6UBlpxIodS5nJP：Pdx£OI-Bnb-巴6u3xPJBMJoJ二；P:U-S-AIed1BJJU-P>ojunIBlBU-IJUnSSBPUBsI3d一里ISIU-PaJ>0。6ulpUOrenbB£OSlwsI6U-6UB&AgmAConnorWagener,astudentattheUniversityofCanterburyinNewZealand,hasbeenaskedtoprepareapresentationonforeignexchangeratesforhisInternationalBusinesscourse.Wagenerhasabasicunderstandingofexchangerates,butwouldlikeapractitioner'sperspective,andhehasarrangedaninterviewwithcurrencytraderHannahMcFadden.Duringtheinterview,WagenerasksMcFadden:"Couldyouexplainwhatdrivesexchangerates?mcuriousastowhyourNewZealanddollarwasaffectedbytheEuropeandebtcrisisin2011andwhatotherfactorsimpactit."WMMMM-m*VMmVMMCMMa*MMIOAInresponse,McFaddenbeginswithageneraldiscussionofexchangerates.Shenotesthatinternationalparityconditionsillustratehowexchangeratesarelinkedtoexpectedinflation,interestratedifferences,andforwardexchangeratesaswellascurrentandexpectedfuturespotrates.McFaddenstates:Statement1:"Fortunately,theinternationalparityconditionmostrelevantforFXcarrytradesdoesnotalwayshold/*m"FXcarrytradersgolong(i.e.buy)high-yieldcurrenciesandfundtheirpositionbyshorting,thatisborrowingin,low-yieldcurrencies.Unfortunately,crashesincurrencyvaluescanoccurwhichcreatefinancialcrisesastradersunwindtheirpositions.Forexample,in2008,theNewZealanddollarwasnegativelyimpactedwhenhighlyleveragedcarrytradeswereunwound.Inadditiontoinvestors,consumersandbusinessownerscanalsoaffectcurrencyexchangeratesthroughtheirimpactontheircountry,sbalanceofpayments.Forexample,ifNewZealandconsumerspurchasemoregoodsfromChinathanNewZealandbusinessesselltoChina,NewZealandwillrunatradeaccountdeficitwithChinaZ,HJB-BqUU-PBB3£10一J03>AlRPUUUJ-=-MCToSIIlst-odxPUBStOdE-JOJPUpuJplU-s3=0»sroSPoo6pPBJlOu-l-EIB-PIUuJ-U-I-ns三Mrou一BCTroo×.UOAePaIdPAuu3SnBU=-M'-JP3-WMWBPTddBOISn-dnsU-XJlUnOUIOAuum一SnBUO-PU-=MSn-CbnsPB1<=ZIUIUOAMcFaddennextaddressestheinfluenceofmonetaryandfiscalpolicyonexchangerates:"Countriesalsoexertsignificantinfluenceonexchangeratesthroughboththeinitialmixoftheirfiscalandmonetarypolicies,andalsobysubsequentadjustmentstothosepolicies.Variousmodelshavebeendevelopedtoidentifyhowthesepoliciesaffectexchangerates.TheMundell-Flemingmodeladdresseshowchangesinbothfiscalandmonetarypoliciesaffectinterestratesandultimatelyexchangeratesintheshort-term.z/MMMMMMMMMBLMHMMM25一165QAMcFaddendescribesmonetarymodelsbystating:Statement3:,Monetarymodelsofexchangeratedeterminationfocusontheeffectsofinflation,pricelevelchanges,andriskpremiumadjustments.w,Sofar,we,vetouchedonbalanceofpaymentsandmonetarypolicy.Theportfolio-balancemodeladdressestheimpactsofsustainedfiscalpolicyonexchangerates.Imusttakeaclientcall,butwillreturnshortly.Inthemeantime,hereissomerelevantliteratureonthemodelsImentionedalongwithacoupleofquestionsforyoutoconsider:mQuestion1:Assumeanemergingmarket(EM)countryhasrestrictivemonetaryandfiscalpoliciesunderlowcapitalmobilityconditions.Arethesepolicieslikelytoleadtocurrencyappreciation,currencydepreciation,ortohavenoimpact?Question2:Assumeadevelopedmarket(DM)countryhasanexpansivefiscalpolicyunderhighcapitalmobilityconditions.Whyisitscurrencymostlikelytodepreciateinthelong-rununderanintegratedMundell-Flemingandportfolio-balanceapproach?".OAUponherreturn,WagenerandMcFaddenreviewthequestions.McFaddennotesthatcapitalflowscanhaveasignificantimpactonexchangeratesandhavecontributedtocurrencycrisesinbothEMandDMcountries.Sheexplainsthatcentralbanks,liketheReserveBankofNewZealand,useFXmarketinterventionasatooltomanageexchangerates.McFaddenstates:Statement4:,SomestudieshavefoundthatEMcentralbankstendtobemoreeffectiveinusingexchangerateinterventionthanDMcentralbanks,primarilybecauseofoneimportantfactor.nWMMMM-m*VMmVMMCMMa*MMI.mStatement5:"Imentionedthatcapitalinflowscouldcauseacurrencycrisis,leavingfundmanagerswithsignificantlosses.Intheperiodleadinguptoacurrencycrisis,Iwouldpredictthatanaffectedcountry,s:/Prediction1:foreignexchangereserveswillincrease./Prediction2:broadmoneygrowthinnominalandrealtermswillincrease./Prediction3:realexchangeratewillbesubstantiallyhigherthanitsmeanlevelduringtranquilperiods.AAftertheinterview,McFaddenagreestomeetthefollowingweektodiscussmorerecenteventsontheNewZealanddollar.OATheinternationalparityconditionMcFaddenisreferringtoinStatement1is:1.JaSfiiSta三2VMWVWUMOMtaMm需要最新CFA、FRM视频课程和纸质资料欢迎添加VX:zyz786468331Thecarrytradestrategyisdependentuponthefactthatuncoveredinterestrateparitydoesnotholdintheshortormediumterm.Ifuncoveredinterestrateparityheld,itwouldmeanthatinvestorswouldreceiveidenticalreturnsfromeitheranunhedgedforeigncurrencyinvestmentoradomesticcurrencyinvestmentbecausetheappreciation/depreciationoftheexchangeratewouldoffsettheyielddifferential.However,duringperiodsoflowvolatility,evidenceshowsthathighyieldcurrenciesdonotdepreciateenoughandlowyieldcurrenciesdonotappreciateenoughtooffsettheyielddifferential.HB.priceelasticityofexportdemandversusimportdemand.C.lagintheresponseofimportandexportdemandtopricechanges.32-165mMcFaddenstatesthatexchangerateswillImmediatelycorrectthetradeimbalance.SheisdescribingtheFlowSupply/DemandChannel,whichassumesthattradeimbalanceswillbecorrectedasthedeficitcountry'scurrencydepreciates,causingitsexportstobecomemorecompetitiveanditsimportstobecomemoreexpensive.Studiesindicatethattherecanbelonglagsbetweenexchangeratechanges,changesinthepricesoftradedgoodsandchangesinthetradebalance.Intheshort-run,exchangeratestendtobemoreresponsivetoinvestmentandfinancingdecisions.OATheleastappropriatefactorusedtodescribethetypeofmodelsmentionedinStatement3is:VMWVWUMOMtaMmRiskpremiumsaremorecloselyassociatedwiththeportfoliobalanceapproach.Theportfoliobalanceapproachaddressestheimpactofacountry,snetforeignasset/liabilityposition.Undertheportfoliobalanceapproach,investorsareassumedtoholdadiversifiedportfolioofassetsincludingforeignanddomesticbonds.Investorswillholdacountry,sbondsaslongastheyarecompensatedappropriately.Compensationmaycomeintheformofhigherinterestratesand/orhigherriskpremium.UO-IBPaIddBAuuPQU-nS三M-5三Mu-PBI-U-IuIJU>cudlu-upu-lsP-PloIlSs-odElWlSaJOUoABnJUgdUULSMO-J-edsU-S6ue6Sne二OU=-MA-Od-BUJPU3XJEUoLUAqPUnPU-uJlu-lllSu-Pu-AI三qou-o-rouMo.Al三qou-B'dBUMo-Osuo三puou3PUnAu-Od-Busy>wlsPUBA。=Od0EElWlSaJBWoqS-SXJlUn0二>BiuPEIlIpdde0A三-S-AUUadrDClj.OAThemostlikelyresponsetoQuestion2isa(n):A.increaseinthepricelevel.1.JaSfiiSta三2VMWVWUMOMtaMmExpansionaryfiscalpoliciesresultincurrencydepreciationinthelongrun.Underaportfolio-balanceapproach,theassumptionisthatinvestorsholdamixofdomesticandforeignassetsincludingbonds.FiscalstimuluspoliciesresultinbudgetdeficitswhichareoftenfinancedbydebtAsthedebtlevelrises,investorsbecomeconcernedastohowtheon-goingdeficitwillbefinanced.Thecountry,scentralbankmayneedtocreatemoremoneyinordertopurchasethedebtwhichwouldcausethecurrencytodepreciate.Or,thegovernmentcouldadoptamorerestrictivefiscalpolicy,whichwouldalsodepreciatethecurrency.OAThefactorthatMcFaddenismostlikelyreferringtoinStatement4is:A.FXreservelevels.1.JaSfiiSta三2mmm40-165HEMcountriesarebetterabletoinfluencetheirexchangeratesbecausetheirreservelevelsasaratiotoaveragedailyFXturnoveraregenerallymuchgreaterthanthoseofDMcountries.ThismeansthatEMcentralbanksareinabetterpositiontoaffectcurrencysupplyanddemandthanDMcountrieswheretheratioisnegligible.EMpolicymakersusetheirforeignexchangereservesasakindofinsurancetodefendtheircurrencies,asneeded.OAWhichofMcFadden1SpredictionsinStatement5isleastlikelytobecorrect?1.JaSfiiSta三2mmm42-165mPrediction1isleastlikelytobecorrectForeignexchangereservestendtodeclineprecipitously,notincrease,asacurrencycrisisapproaches.Broadmoneygrowthinnominalandrealtermstendstorisesharplyinthetwoyearsleadinguptoacurrencycrisis,peakingaround18monthsbeforeacrisishits.Intheperiodleadinguptoacurrencycrisis,therealexchangerateissubstantiallyhigherthanitsmeanlevelduringtranquilperiods.mmw*vmmCMara*HH.QAAnnaGoldsworthyisthechieffinancialofficerofamanufacturingfirmheadquarteredintheUnitedKingdom.Sheisresponsibleforoverseeingexposuretopriceriskinboththecommodityandcurrencymarkets.Goldsworthyissettlingherend-of-quartertransactionsandcreatingreports.Herintern,ScottUnderwood,assistsherinthisprocess.AThefirmhedgesinputcostsusingforwardcontractsthatarepricedinUSdollar