課程名稱︰國際財務管理
課程性質︰國企系 財務領域選修
課程教師︰李志偉
開課學院：管理學院
開課系所︰國企系
考試日期（年月日）︰98.4.16
考試時限（分鐘）：160分鐘
是否需發放獎勵金：是
試題 :
1. Exchange rate pass-through may be defined as
a. the bid/ask spread on currency exchange rate transactions.
b. the degree to which the price of imported and exported goods change as
a result of exchange rate changes.
c. the PPP of lesser-developed countries.
d. the practice by Great Britain of maintaining the relative strength of the
currencies of the Commonwealth countries under the current floating regime.
2. According to the international Fisher Effect, if an investor purchases a
five-year U.S. bond that has an annual interest rate of 5% rather than a
comparable British bond that has an annual interest rate of 6% then the
investor must be expecting the _________ to __________ at a rate of at
least 1% per year over the next 5 years.
a. British pound, appreciate
b. British pound, revalue
c. U.S. dollar, appreciate
d. U.S. dollar, depreciate
3. Covered interest arbitrage moves the market _____ equilibrium because
__________.
a. toward, puchasing a currency on the spot market and selling in the forward
market narrows the differential between the two
b. toward, investors are now more willing to invest in risky securities
c. away from, purchasing a currency on the spot market and selling in the
forward market increases the differentail between the two
d. away from, demand for the stronger currency forces up interest rates on
the weaker security
4. A forward contract to deliver British pounds for the U.S. dollars could
be described either as_________ or _____________.
a. buying dollars forward, buying pounds forward
b. selling pounds forward, selling dollars forward
c. selling pounds forward, buying dollars forward
d. selling dollars forward, buying pounds forward
5. Which of the following is NOT true regarding nondeliverable forward(NDF)
contracts?
a. NDFs are used primarily for emerging market currencies.
b. Pricing of NDFs reflects basic interest rate differentials plus an
additional premium charged for dollar settlement
c. NDFs can only be traded by central banks.
d. All of the above are true.
6. Most foreign exchange transactions are through the U.S. dollar. If the
transaction is expressed as the foreign currency per dollar this is
known as _____ whereas __________ are expressed a dollars per forign
unit.
a. European terms; indirect
b. American terms; direct
c. American terms; European terms
d. European terms; American terms
7. Jack Hemmings bought a 3-month British pound futures contract for
$1.4400/pound only to see the dollar appreciate to a value of $1.4250
at which times he sold the pound futures. If the pound futures contract
is for an amount of 62,500 pounds, how much money did Jack gain or lose
from his speculation with pound futures?
a. $937.50 loss
b. $937.50 gain
c. 937.50 pounds loss
d. 937.50 pounds gain
8. Other things equal, the _______ the exercise price of the currency call
option, the _____ the call option premium price.
a. greater, greater
b. greater, lesser
d. there is no general rule for the relationship between the premium and
exercise price of a currency call option.
(選項c被老師刪除)
9. Assume that a call option has an exercise price of $1.50/pound. At a spot
price of $1.45/pound, the call option has
a. a time value of $0.04
b. a tiem value of $0.00
c. a intrinsic value of $0.00
d. a intrinsic value of -$0.04
10. Option values lend to ________ with teh length of time to maturity. The
expected change in the option premium from a small change in time to
expiration is termed ____________.
a. increase; delta
b. decrease; lambda
c. increase; theta
d. decrease; iota
11. Assuming no transaction cost (i.e. hedging is "free"), hedging currency
exposures should ______ the variability of expected cash flow to a firm
and at the same time, the expected value of the cash flows should________.
a. increase; not change
b. decrease; not change
c. not change; increase
d. not change; not change
12. __________exposure may result from a firm having a payable in a foreign
currency.
a. Transaction
b. Accounting
c. Operating
d. None of the above
13. A_________ hedge and a _________ hedge guarantee fixed payoffs but a
________ hedge or _________hedge offer uncertain outcomes.
a. money market, currency option, forward, no hedge at all
b. no hedge at all, currency option, forward, money market
c. money market, forward, currency option, no hedge at all
d. forward, money market, no hedge at all, currency option
14.Which of the following is NOT an example of a financial cash flow?
a. dividend paid to parent company
b. interest on inrefirm lending
c. rent and lease payments
d. intrafirm priciple payments
15. A U.S. products firm has a long-term contract to import unprocessed
logs from Canada. To avoid occasional and unpredictable changes in
the exhange rate between the U.S. dollar and the Canadian dollar, the
firms agree to split between the two firms the impact of any exchange rate
movement. This type of agreement is referred to as________________.
a. risk-sharing
b. currency-switching
c. matching
d. a natural hedge
16. A __________ resembles a back-to-bask loan except that it does not appear
on a firm's balance sheet
a. forward loan
b. currency hedge
c. counterparty
d. currency swap
17. The primary method by which a firm may protect itself against operating
exposure impact is:
a. money market hedges
b. diversification
c. forward contract hedges
d. balance sheet hedging
18. Under the U.S. method of transaction procedures, if the financial
statements of the foreign subsidary of a U.S. company are maintained in
the local currency and the local currency si the functional currency, then
a. the translation method to be used is not obvious
b. translation is accomplished through the temporal method
c. translation is not required
d. translation is accomplished through the current rate method
19. if the Indian subsidary of a U.S. firm has net exposed assets of
Rp. 900,000,000 and the Indian rupee drops in value from Rp. 45.00/$
to Rp. 55.00/$ the U.S. firm has a translation:
a. loss of $20,000
b. gain of $20,000
c. loss of $25,000
d. gain of $25,000
20. Portland Lumber Company sold old growth Douglas fir logs to a Japanese
firm for 120,000,000 yens. When the logs were shipped the spot rate was
120 yens/$ and Portland recorded an accounts receivable of $1,000,000.
Portland accepts the transaction risk and remains unhedged. At the end of
90 days Portland receives the 120,000,000 yen at the then current spot
rate of 125yens/$. Portland realizes a foreign exchange ______ of_______.
a. gain; 40,000yens
b. loss; 40,000yens
c. gain; $40,000
d. loss; $40,000
計算題
Plains States Manufacturing has just signed a contract to sell agricultural
equipment to Boschin, a German firm, for 1,250,000 euros. The sale was made
in June with paymetn due 6 months later in December. Because this is a sizable
contract for the firm and because the contract is in Euros rather than dollars,
Plains States is considering several hedging alternatives to reduce the
exchange rate risk arising from the sale. To help the firm make a hedging
decision you have gathered teh following information.
。The spot rate is $1.1740/Euro
。The 6-month forward rate is $1.1480/Euro
。Plains States' cost of capital is 12% per annum
。The Euro zone 6-month borrowing rate is 7% per annum(or 3.5% for 6 months)0
。The Euro zone 6-month lending rate is 5% per annum(or 2.5% for 6 months)
。The U.S. 6-month borrowing rate is 6% per annum(or 3% for 6 months)
。The U.S. 6-month lending rate is 4.5% per annum(or 2.25% for 6 months)
。December put options for 625,000 Euros; strike price $1.18, premium price
is 1.5%
。Plains States' forcast for 6-month spot rates is $1.19/Euro
。The budget rate or the lowest acceptable sales price for this project,
is $1,425,000 or $1.14/Euro
1. Plains States chooses to hedge its transaciton exposure in the forward
market at the available forward rate. The payoff in 6 months will be______
a. $1,467,500
b. $1,125,000
c. $1,435,000
d. $1,425,000
2. Plains States could hedge the Euro receivables in the money market.
Using the information provided how much would the money market hedge
return in 6 months assuming Plains States reinvests the proceeds at the
U.S. investment rate?
a. $1,250,000
b. $1,449,777
c. $1,460,411
d. $1,502,947
3. The Polish subsidary of a U.S. parent has the following balance sheet( in
Polish zloty, Z):
____________________________________________________
Cash Z200,000 Curren Liabilities Z400,000
Receivables 300,000 Long-term debt 100,000
Inventory 400,000
Net plant&
equipment 500,000 Owner's equity 900,000
____________________________________________________
Z1,400,000 Z1,400,000
____________________________________________________
The Zloty drops in value from Z4/$ to Z5/$. By the current rate method the U.S
parent investment in the subsidary:
Increase or decrease by $45,000 or $20,000?
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