E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange...
Transcript of E L IS K 1 / 47static.zybuluo.com/fanxy/o5s16eb0bx40owoj33p9cr9y/Ch1-2.pdf · 1 fi˙£exchange...
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Uribe, M. 2019: International Macroeconomics, Textbook Manuscripts
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France
Germany
Japan
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1
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Data Source: US dollar exchange rates (daily), BIS.
Note: The unit is 100 JPY, DEM, FRF, and GBP per 1 USD. After 1999, the currency is EUR for Germany and France.
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Source: Krugman et al.(2011).
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Source: Wikipedia.
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ELondonUSD/GBP = EN.Y .
USD/GBP
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SK1
The NZD is trading at 0.3500USD/NZD and the SEK is trading at
0.3100NZD/SEK. The USD/SEK exchange rate is:
A. 8.8573 USD/SEK
B. 9.2166 USD/SEK
C. 0.1085 USD/SEK
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SK2
Suppose that the quote for GBP in New York is 1.7574-84 USD/GBP. The
equivalent quote for U.S. dollars in London would be:
A. 0.5687-90 GBP/USD
B. 0.5690-87 GBP/USD
C. 1.7584-09 GBP/USD
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SK3
Given the following quotes:
1.25 CHF/USD
1.80 USD/GBP
2.30 CHF/GBP
How much arbitrage profit could be made on an initial 1,000 USD
position?
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SK4
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6 Month 1 Year Spot
Data Source: Wind database. Future rate is NDF(Non-deliverable Forwards) in Hongkong interbank market. Spot rate is from
CFTES.
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1 + i =F
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CIP�yâ
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E(1 + i∗) − (1 + i)
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= E e/E − 1︸ ︷︷ ︸Expected rate of depreciation
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E − 1)
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E − 1)
i∗ = i − i∗
E e
E− 1︸ ︷︷ ︸
Expected rate of depreciation
≈ i − i∗︸ ︷︷ ︸Interest rate gap
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