CFA二级培训项目：经典题_经济学_标准版.docx

《CFA二级培训项目：经典题_经济学_标准版.docx》由会员分享，可在线阅读，更多相关《CFA二级培训项目：经典题_经济学_标准版.docx（188页珍藏版）》请在课桌文档上搜索。

1、SgII皿回SUVH3nmEnYqmnbw 6puss-pun:sn6uelpxUJAuuaunumAEdSmithisanewtraineeintheforeignexchange(FX)servicesdepartmentofamajorglobalbank.Smith,sfocusistoassistseniorFXtrader,FelizMehmet,CFA.MehmetmentionsthatanIndiancorporateclientexportingtotheUnitedKingdomwantstoestimatethepotentialhedgingcostforasalec

2、losinginoneyear.Smithistodeterminethepremium/discountforanannual(360day)forwardcontractusingtheexchangeratedatapresentedinExhibit1.3-165OAMehmetisalsolookingattwopossibletradestodeterminetheirprofitpotential.ThefirsttradeinvolvesapossibletriangulararbitragetradeusingtheSwiss,USandBraziliancurrencies

3、,tobeexecutedbasedonadealer,sbid/offerratequoteof0.5161/0.5163inCHF/BRLandtheinterbankspotratequotespresentedinExhibit2.)MMraMMM-M*VMWtWUM CMMMK HMI4-165Exhibit2.InterbankMarketQuotesmMehmetisalsoconsideringacarrytradeinvolvingtheUSDandtheEuro.Heanticipatesitwillgenerateahigherreturnthanbuyingaone-y

4、eardomesticnoteatthecurrentmarketquoteduetolowUSinterestratesandhispredictionsofexchangeratesinoneyear.TohelpMehmetassessthecarrytrade,MehmetprovidesSmithwithselectedcurrentmarketdataandhisoneyearforecasts.(Price/Base)CADSDEUR/CAD)MMraMMM-M*VMWtWUMCMMMKHMI5-165OAFinally,MehmetasksSmithtoassistwithat

5、radeinvolvingaUSmultinationalcustomeroperatinginEuropeandJapan.ThecustomerisaverycostconsciousindustrialcompanywithaAAcreditratingandstrivestoexecuteitscurrencytradesatthemostfavorablebid/offerspread.BecauseitsJapanesesubsidiaryisabouttocloseonamajorEuropeanacquisitioninthreebusinessdays,theclientwa

6、ntstolockinatradeinvolvingtheJapaneseyenandtheEuroasearlyaspossiblethenextmorning,preferablyby8:05AMNewYorktime.OAAtlunch,SmithandotherFXtraineesdiscusshowbesttoanalyzecurrencymarketvolatilityfromongoingfinancialcrises.Thegroupagreesthatatheoreticalexplanationofexchangeratemovements,suchastheframewo

7、rkoftheinternationalparityconditions,shouldbeapplicableacrossalltradingenvironments.Theynotesuchanalysisshouldenabletraderstoanticipatefuturespotexchangerates.Buttheydisagreeonwhichparityconditionbestpredictsexchangerates,voicingseveraldifferentassessments.Smithconcludesthediscussiononparityconditio

8、nsbystatingtothetrainees:Ibelievethatinthecurrentenvironmentbothcoveredanduncoveredinterestrateparityconditionsareineffect.OABaseduponExhibitLtheforwardpremium(discount)fora360-dayVMWVWUMOMtaM一哥T果代:Sf/disthespotratewithGBPthebasecurrencyord,andINRtheforeigncurrencyorf.SperExhibit1is79.5093,iisequalt

9、o7.52%andiisequalto5.43%.)MMraMMM-M*VMWtWUM CMMMK HMI9-165mWithGBPasthebasecurrency(i.e.thedomesticcurrency)intheINR/GBPquote,substitutingintherelevantbasecurrencyvaluesfromExhibit1yieldsthefollowing:哦/-膏/留1-)(0.0752 - 0.0543)乎TQABasedonExhibit2,themostappropriaterecommendationregardingthetriangular

10、arbitragetradeisto:A.B.declinethetrade,noarbitrageprofitsarepossible.executethetrade,buyBRLintheinterbankmarketandsellittothedealer.C.executethetrade,buyBRLfromthedealerandsellitintheinterbankmarket.ThedealerispostingabidratetobuyBRLatapricethatistoohigh.Thisoverpricingisdeterminedbycalculatingthein

11、terbankimpliedcrossratefortheCHF/BRLusingtheintuitiveequation-basedapproach:CHF/BRL=CHF/USD(BRL/USD)CHF/BRL=CHF/USDUSD/BRLInvertingtheBRL/USDgivenquotesinExhibit2determinestheUSD/BRLbid/offerratesof0.56205/0.56211(Thebidof0.56205istheinverseoftheBRL/USDoffer,calculatedas1/1.7792;theofferof0.56211ist

12、heinverseoftheBRL/USDbid,calculatedas1/1.7790).mmw*vmmCMara*HHLn91*rnIIBHVH-HBISaBIHaBC-PUBSUPJi.0sM-IuS寸OOoJOJOJdBOJJ-BpLOIEW-aspu3TOEUBqIU-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

13、-DwI-n-OABasedonExhibit3,thepotentialall-inUSDreturnonthecarrytradeisVMWVWUMOMtaMThecarrytradeinvolvesborrowinginaloweryieldingcurrencytoinvestinahigheryieldingoneandnettinganyprofitafterallowingforborrowingcostsandexchangeratemovements.TherelevanttradeistoborrowUSDandlendinEuros.Tocalculatetheall-i

14、nUSDreturnfromaone-yearEURLibordeposit,firstdeterminethecurrentandone-yearlaterUSD/EURexchangerates.BecauseoneUSDbuysCAD1.0055today,andoneCADbuysEUR0.7218today,todaysEUR/USDrateistheproductofthesetwonumbers:1.0055X0.7218=0.7258.WMMMM-m*VMmVMMCMMa*MMImTheprojectedrateoneyearlateris:1.00060.7279=0.728

15、3.Accordingly,measuredindollars,theinvestmentreturnfortheunhedgedEURLibordepositisequalto:(1.00550.7218)(1+0.022)1/(1.00060.7279)-1=0.7258(1.022)(1/0.7283)-1=1.0184-1=1.84%However,theborrowingcostsmustbechargedagainstthisgrossreturntofundthecarrytradeinvestment(one-yearUSDLiborwas0.80%).Thenetreturn

16、onthecarrytradeistherebyclosestto:1.84%-0.80%=1.04%.Thefactorleastlikelytoleadtoanarrowbid/offerspreadfortheindustrialcompanysneededcurrencytradeisthe:A.timingofitstrade.17-165mWhilecreditratingscanaffectspreads,thetradeinvolvesspotsettlement,i.e.twobusinessdaysafterthetradedate,sothespreadquotedtot

17、hishighlyrated(AA)firmisnotlikelytobemuchtighterthanthespreadthatwouldbequotedtoasomewhatlowerrated(butstillhighquality)firm.Therelationshipbetweenthebankandclient,thesizeofthetrade,thetimeofdaythetradeisinitiated,thecurrenciesinvolvedandthelevelofmarketvolatilityarelikelytobemoresignificantfactorsi

18、ndeterminingthespreadforthistrade.OAIfSmithsstatementonparityconditionsiscorrect,futurespotexchangeratesaremostlikelytobeforecastby:A.currentspotrates.)MMraMMM-M*VMWtWUMCMMMKHMI6w6UBXIodS号+3r-lJ。ISBuaJOPs-qun-一总rouPJeMJO+七-SnqiB4U左P国lsoJo-一0-Bnb一BIodSU-CTu6B1U*duq-M;SHL-B6UBlpxIodS5nJP：PdxOI-Bnb-巴6u

19、3xPJBMJoJ二；P:U-S-AIed1BJJU-PojunIBlBU-IJUnSSBPUBsI3d一里ISIU-PaJ0。6ulpUOrenbBOSlwsI6U-6UB&AgmAConnorWagener,astudentattheUniversityofCanterburyinNewZealand,hasbeenaskedtoprepareapresentationonforeignexchangeratesforhisInternationalBusinesscourse.Wagenerhasabasicunderstandingofexchangerates,butwouldlik

20、eapractitionersperspective,andhehasarrangedaninterviewwithcurrencytraderHannahMcFadden.Duringtheinterview,WagenerasksMcFadden:Couldyouexplainwhatdrivesexchangerates?mcuriousastowhyourNewZealanddollarwasaffectedbytheEuropeandebtcrisisin2011andwhatotherfactorsimpactit.WMMMM-m*VMmVMMCMMa*MMIOAInrespons

21、e,McFaddenbeginswithageneraldiscussionofexchangerates.Shenotesthatinternationalparityconditionsillustratehowexchangeratesarelinkedtoexpectedinflation,interestratedifferences,andforwardexchangeratesaswellascurrentandexpectedfuturespotrates.McFaddenstates:Statement1:Fortunately,theinternationalparityc

22、onditionmostrelevantforFXcarrytradesdoesnotalwayshold/*mFXcarrytradersgolong(i.e.buy)high-yieldcurrenciesandfundtheirpositionbyshorting,thatisborrowingin,low-yieldcurrencies.Unfortunately,crashesincurrencyvaluescanoccurwhichcreatefinancialcrisesastradersunwindtheirpositions.Forexample,in2008,theNewZ

23、ealanddollarwasnegativelyimpactedwhenhighlyleveragedcarrytradeswereunwound.Inadditiontoinvestors,consumersandbusinessownerscanalsoaffectcurrencyexchangeratesthroughtheirimpactontheircountry,sbalanceofpayments.Forexample,ifNewZealandconsumerspurchasemoregoodsfromChinathanNewZealandbusinessesselltoChi

24、na,NewZealandwillrunatradeaccountdeficitwithChinaZ,HJB-BqUU-PBB310一J03AlRPUUUJ-=-MCToSIIlst-odxPUBStOdE-JOJPUpuJplU-s3=0sroSPoo6pPBJlOu-l-EIB-PIUuJ-U-I-ns三Mrou一BCTroo.UOAePaIdPAuu3SnBU=-M-JP3-WMWBPTddBOISn-dnsU-XJlUnOUIOAuum一SnBUO-PU-=MSn-CbnsPB1cudlu-upu-lsP-PloIlSs-odElWlSaJOUoABnJUgdUULSMO-J-edsU

25、-S6ue6Sne二OU=-MA-Od-BUJPU3XJEUoLUAqPUnPU-uJlu-lllSu-Pu-AI三qou-o-rouMo.Al三qou-BdBUMo-Osuo三puou3PUnAu-Od-BusywlsPUBA。=Od0EElWlSaJBWoqS-SXJlUn0二BiuPEIlIpdde0A三-S-AUUadrDClj.OAThemostlikelyresponsetoQuestion2isa(n):A.increaseinthepricelevel.1.JaSfiiSta三2VMWVWUMOMtaMmExpansionaryfiscalpoliciesresultincur

26、rencydepreciationinthelongrun.Underaportfolio-balanceapproach,theassumptionisthatinvestorsholdamixofdomesticandforeignassetsincludingbonds.FiscalstimuluspoliciesresultinbudgetdeficitswhichareoftenfinancedbydebtAsthedebtlevelrises,investorsbecomeconcernedastohowtheon-goingdeficitwillbefinanced.Thecou

27、ntry,scentralbankmayneedtocreatemoremoneyinordertopurchasethedebtwhichwouldcausethecurrencytodepreciate.Or,thegovernmentcouldadoptamorerestrictivefiscalpolicy,whichwouldalsodepreciatethecurrency.OAThefactorthatMcFaddenismostlikelyreferringtoinStatement4is:A.FXreservelevels.1.JaSfiiSta三2mmm40-165HEMc

28、ountriesarebetterabletoinfluencetheirexchangeratesbecausetheirreservelevelsasaratiotoaveragedailyFXturnoveraregenerallymuchgreaterthanthoseofDMcountries.ThismeansthatEMcentralbanksareinabetterpositiontoaffectcurrencysupplyanddemandthanDMcountrieswheretheratioisnegligible.EMpolicymakersusetheirforeig

29、nexchangereservesasakindofinsurancetodefendtheircurrencies,asneeded.OAWhichofMcFadden1SpredictionsinStatement5isleastlikelytobecorrect?1.JaSfiiSta三2mmm42-165mPrediction1isleastlikelytobecorrectForeignexchangereservestendtodeclineprecipitously,notincrease,asacurrencycrisisapproaches.Broadmoneygrowthi

30、nnominalandrealtermstendstorisesharplyinthetwoyearsleadinguptoacurrencycrisis,peakingaround18monthsbeforeacrisishits.Intheperiodleadinguptoacurrencycrisis,therealexchangerateissubstantiallyhigherthanitsmeanlevelduringtranquilperiods.mmw*vmmCMara*HH.QAAnnaGoldsworthyisthechieffinancialofficerofamanuf

31、acturingfirmheadquarteredintheUnitedKingdom.Sheisresponsibleforoverseeingexposuretopriceriskinboththecommodityandcurrencymarkets.Goldsworthyissettlingherend-of-quartertransactionsandcreatingreports.Herintern,ScottUnderwood,assistsherinthisprocess.AThefirmhedgesinputcostsusingforwardcontractsthatarepricedinUSdollar