【良心出品】国际金融普格尔14版课后答案key to ch5 .pdfVIP

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2.a.

1.000)/1.000)(360/180)100=1%.Theexpecteduncoveredinterest

differentialisapproximately3%+1%4%=0,souncoveredinterestparity

holds(approximately).

thespotexchangerateislikelytoincrease—theeurowillappreciate,the

futurespotexchangerate,andtheinitialeurointerestrate,theexpected

bonds(theexpecteduncovereddifferentialisnowpositive,3%+1%3%=

1%,favoringuncoveredinvestmentineuro-denominatedbonds.Theincreased

demandforeurosinthespotexchangemarkettendstoappreciatetheeuro.If

theeurointerestrateandtheexpectedfuturespotexchangerateremain

unchanged,thenthecurrentspotratemustchangeimmediatelytobe

$1.005/euro,toreestablishuncoveredinterestparity.Whenthecurrentspot

ratejumpstothisvalue,theeurosexchangeratevalueisnotexpectedto

changeinvaluesubsequentlyduringthenext180days.Thedollarhas

depreciatedimmediately,andtheuncovereddifferentialthenagainiszero(3%

+0%3%=0).

4.a.Foruncoveredinterestparitytohold,investorsmustexpectthattherateof

changeinthespotexchange-ratevalueoftheyenequalstheinterestrate

thesameasthecurrentspotvalue,$0.01/yen.

b.Ifinvestorsexpectthattheexchangeratewillbe$0.0095/yen,thenthey

Giventheotherrates,investorstendtoshifttheirinvestmentstoward

dollar-denominatedinvestments.Theextrasupplyofyen(anddemandfor

dollars)inthespotexchangemarketresultsinadecreaseinthecurrentspot

valueoftheyen(thedollarappreciates).Theshifttoexpectingthattheyen

willdepreciate(thedollarappreciate)sometimeduringthenext90daystends

tocausetheyentodepreciate(thedollartoappreciate)immediatelyinth