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Groups:
Jesús Mosquera
Paul Puerta
Jennifer Villa
Alejandra Ruiz
Juliana Mosquera
Value 50%.
Delivery date: April 25th, 2020.
1. What is a spot exchange rate contract? When does delivery occur on a spot
contract?
2. What was the Japanese yen spot price of the U.S.dollar on December 21,
2010?
3. What was the U.S. dollar spot price of the Swiss franc on December 21, 2010?
4. How large are the bid–ask spreads in the spot market? What is their purpose?
5. What was the euro price of the British pound on December 21, 2010? Why?
Realizando el cálculo para las tasas cruzadas usando el dólar como factor común se
encontraría el valor €/£
6. If the direct euro price of the British pound is higher than the indirect euro price
of the British pound using the dollar as a vehicle currency, how could you make
a profit by trading these currencies?
Precio directo 1.1818 €/£ > Precio Indirecto 0,8461 £/€, utilizando el dólar como moneda
para realizar las tasas cruzadas, se tendría un arbitraje triangular
La apreciación del dólar frente a la libra significa que hay que pagar menos dólares
para comprar 1 libra, en esta situación, esto nos dice que el dólar es más fuerte en
el mercado de divisas.
8. What is a depreciation of the Thai baht relative to the Malaysian ringgit? What
happens to the baht price of the ringgit in this situation?
En esta situación una depreciación del bath tailandés frente al ringgit de Malasia
significaría que se necesitan mas bath para comprar 1 ringgit, por lo que el precio del
ringgit es ahora mayor.
10. If the yen is selling at a premium relative to the euro in the forward market, is
the forward price of EUR per JPY larger or smaller than the spot price of EUR
per JPY?
Si dado que es necesario que el euro se aprecie con relación al yen para que al
momento de la venta el Yen se venda con una prima relativa al euro en el
mercado forward, el precio del euro en este mercado EUR/JPY sería mayor que el
precio spot del euro por yen.
12. How much of the probability distribution of future spot rates is between plus or
minus 2 standard deviations?
13. If you are a U.S. firm and owe someone ¥10,000,000 in 180 days, what is
your transaction exchange risk?
16. If interest rate parity is satisfied, there are no opportunities for covered interest
arbitrage. What does this imply about the relationship between spot and
forward exchange rates when the foreign currency money market investment
offers a higher return than the domestic money market investment?
17. It is often said that interest rate parity is satisfied when the differential between
the interest rates denominated in two currencies equals the forward premium or
discount between the two currencies. Explain why this is an imprecise
statement when the interest rates are not continuously compounded.
La premisa básica de la paridad de la tasa de interés es que los retornos cubiertos
de invertir en diferentes monedas deberían ser los mismos, independientemente
del nivel de sus tasas de interés.
La diferencia entre la tasa a plazo y la tasa spot se conoce como puntos de
intercambio. Si esta diferencia (tasa forward menos tasa spot) es positiva, se
conoce como una prima forward; una diferencia negativa se
denomina descuento a plazo.
18. What does it mean for the 90-day forward exchange rate to be an unbiased
predictor of the future spot exchange rate?
19. Why is it true that the hypothesis that the forward exchange rate is an
unbiased predictor of the future spot exchange rate is equivalent to the
hypothesis that the forward premium (or discount) on a foreign currency is an
unbiased predictor of the rate of its appreciation (or depreciation)?
20. It is often argued that forward exchange rates should be unbiased predictors
of future spot exchange rates if the foreign exchange market is efficient. Is this
true or false? Why?
Siendo así el significado de la ley de precio único afirma que el precio del producto
podría ser igual en muchos mercados, ya que, de no tener esta paridad, podría
existir arbitraje de este producto entre las economías de diferentes países.
Por otro lado, las variaciones más importantes en los precios de los productos, que
pudieran ser consideradas significativas en la violación de precio único, son los
relacionados a los fletes de distribución, los mayores costos generados en las
materias primas por impuestos aduaneros, aranceles, costos de importación o
exportación y la tasa de intercambio de las monedas entre países.
22. What is the value of the exchange rate that satisfies absolute PPP?
La PPP absoluto requiere que el poder adquisitivo interno de una moneda. sea igual
a su poder adquisitivo externo (Extensión del concepto de equilibrio de mercado
“Adam Smith). Se calcula el poder adquisitivo interno tomando el recíproco del nivel
de precios, y el poder adquisitivo externo se calcula mediante el intercambio del
dinero doméstico por dinero extranjero en el mercado de divisas.
Luego calcular el poder adquisitivo de esa cantidad de moneda extranjera en el
exterior en una canasta de precios de bienes y servicios. Por lo tanto, la predicción
de la PPA absoluta para el tipo de cambio de la moneda nacional por unidad de
moneda extranjera se encuentra igualando el poder adquisitivo interno de la moneda
nacional al poder adquisitivo de la moneda nacional externa.
23. If the actual exchange rate for the euro value of the British pound is less than
the exchange rate that would satisfy absolute PPP, which of the currencies is
overvalued and which is undervalued? Why?
24. What market forces prevent absolute PPP from holding in real economies?
Which of these represent unexploited profit opportunities?
Las fuerzas del Mercado que impiden que se mantengan una paridad del poder
adquisitivo absoluta, son todas aquella que crean una desviación de la ley de un
precio, donde el precio de un activo o producto idéntico tendrá el mismo precio a
nivel mundial, independientemente de la ubicación, cuando se consideren ciertos
factores. Ningún bien o servicio satisface la ley de un precio. Sin embargo, las
violaciones de la ley del precio único no representan necesariamente
oportunidades de ganancias no explotadas.
25. As the vice president of finance for a U.S. firm, what do you say to your
production manager when he states, “We shouldn’t’ let foreign exchange risk
interfere with our profitability. Let’s simply invoice all our foreign customers in
dollars and be done with it.”
27. Given that real exchange rates fluctuate, when would be the best time to enter
the market of a foreign country as an exporter to that market?
En primera medida, una empresa exportadora debe tener en cuenta al momento de
entrar en mercados extranjeros, buscar la falla del Mercado existente, es decir la
posibilidad de arbitraje, que le permita entrar a competir con su producto en un
mercado eficiente con condiciones de igualdad.
Con relación a las tasas de intercambio reales, a un exportador le convendría
ingresar a países donde la moneda extrajera sea más fuerte que su moneda local, lo
cual es una falla del mercado, la cual puede aprovechar a su favor para en un inicio
poder competir con precios menores, los cuales con el tiempo los factores de
arbitraje puedan llegar a corregir como por ejemplo la asignación de aranceles de
alto costo a los productos.
Esta situación se mantendrá hasta que un cambio significativo en las tasas de
intercambio de las monedas de los dos países muestre una devaluación para la
moneda extranjera lo cual haga que el exportador pierda potencialmente su ventaja
competitiva.
28. Why would an entrepreneur find it desirable to hedge his or her foreign
exchange risk?
29. Your CFO thinks that the value of your firm fluctuates enormously with the
yen– dollar exchange rate, but he does not want to hedge because he thinks it
is an impossible risk to hedge. Can you convince him otherwise?
Lo primero que debería tener en cuenta el CFO, es que siempre existe una
especie de trayectoria de equilibrio fundamental en las monedas de los países. La
evaluación de esa trayectoria podría permitir interpretar las desviaciones positivas
o negativas que generen los conceptos de devaluación o revaluación de estas
monedas.
Lo segundo que debe tener en cuenta el CFO, es la creación de un equipo
especializado que pueda evaluar y medir los impactos de las variaciones en las
monedas, para poder aplicar estos análisis a un mercado de divisas, buscando
encontrar en los mecanismos de cobertura el más adecuado al tipo de
transacciones que tiene la empresa, en especial las relacionadas con estas dos
monedas.
Las posibilidades de instrumentos financieros como los Forward, los Futuros, Las
opciones y los Swaps, permiten que la firma pueda tener coberturas eficientes, las
cuales se trabajan desde un concepto operativo mas no especulativo, lo cual
garantice el menor riesgo cambiario posible, el cual pueda generar resultados
desfavorables en las utilidades de la organización.
También es importante tener en cuenta que las diferencias generadas por la tasa
de cambio de las monedas, son oportunidades de mercado (fallas), que permiten
el arbitraje, es decir que yo podría revertir una situación adversa en la tasa de
cambio aprovechando otros factores de la economía como las tasas de intereses
para créditos entre los países o las tasas de inversión en el mercado de capitales,
lo cual pueda disminuir aún más el riesgo generado en las coberturas realizadas.
Un ejemplo del análisis del tipo de cambio nos podría llevar a concluir que; un
fortalecimiento del yen en relación con el dólar, genera que los pasivos o activos
en yenes de la empresa se vean favorecidos con menores recursos necesarios
para el pago de las CXP, o mejores rentabilidades en las inversiones, o las CXC,
caso contrario pasaría cuando el yen es débil frente al dólar.
30. What are the differences between foreign currency option contracts and
forward contracts for foreign currency?
Para que exista una operación forward de divisas es necesario que tanto el
comprador, como el vendedor estén dispuestos a realizar la negociación, y se
requiere de un parámetro de referencia, en cuanto a tipo de cambio actual y costos
financieros de los dos países implicados durante el periodo en el cual se desea
realizar la operación.
31. What are you buying if you purchase a U.S. dollar European put option
against the Mexican peso with a strike price of MXN10.0 > $ and a maturity of
July? (Assume that it is May and the spot rate is MXN10.5 > $.)
En este caso se está comprando una opción PUT o de venta, y es importante decir
que el valor de las opciones PUT aumenta si el precio del mercado activo de la
moneda se deprecia, en este caso la relación Dólar / Peso mexicano ($ / MXN),
muestra una devaluación del peso mexicano pasando de 1/10 $/MXN a 1/ 10.5
$/MXN, lo cual representaría un margen negativo o perdida al tomar la opción en el
mes de mayo de 0.5 pesos por dólar.
32. What are you buying if you purchase a Swiss franc American call option
against the U.S. dollar with a strike price of CHF1.30 > $ and a maturity of
January? (Assume that it is November and the spot rate is CHF1.35>$.)
Se está comprando una cobertura como importador, con un diferencial de 0,5 CHF/
$, al momento de ejecutar la opción para hacer la importación, obtenemos una
cobertura con menor valor en moneda local para el pago. Así estabilizamos
nuestro costo.
33. Suppose you go long in a foreign currency futures contract. Under what
circumstances is your cumulative payoff equal to that of buying the currency
forward?
1. Mississippi Mud Pies, Inc., needs to buy 1,000,000 Swiss francs (CHF) to pay
its Swiss chocolate supplier. Its banker quotes bid–ask rates of CHF1.3990–
1.4000 > USD. What will be the dollar cost of the CHF1,000,000?
2. If the Japanese yen–U.S. dollar exchange rate is ¥104.30 > $, and it takes
25.15 Thai bahts to purchase 1 dollar, what is the yen price of the baht?
3. If the spot exchange rate of the yen relative to the dollar is ¥105.75 > $, and the
90-day forward rate is ¥103.25 > $, is the dollar at a forward premium or
discount? Express the premium or discount as a percentage per annum for a
360-day year.
4. Suppose today is Tuesday, January 18, 2011. If you enter into a 30-day
forward contract to purchase euros, when will you pay your dollars and receive
your euros? (Hints: February 18, 2011, is a Friday, and the following Monday is
a holiday.)
5. As a foreign exchange trader for JPMorgan Chase, you have just called a
trader at UBS to get quotes for the British pound for the spot, 30-day, 60-day,
and 90-day forward rates. Your UBS counterpart stated, “We trade sterling at
$1.7745-50, 47>44, 88> 81, 125 > 115.” What cash flows would you pay and
receive if you do a forward foreign exchange swap in which you swap into
£5,000,000 at the 30-day rate and out of £5,000,000 at the 90-day rate? What
must be the relationship between dollar interest rates and pound sterling
interest rates?
6. Suppose the 5-year interest rate on a dollar denominated pure discount bond is
4.5% p.a. and the interest rate on a similar pure discount euro denominated
bond is 7.5% p.a. If the current spot rate is $1.08 >: what forward exchange
rate prevents covered interest arbitrage?
7. If the 30-day yen interest rate is 3% p.a., and the 30-day euro interest rate is
5% p.a. What is the magnitude of the forward premium or discount on the yen?
8. Suppose the spot rate is CHF1.4706 > $, and the 180-day forward rate is
CHF1.4295 > $. If the 180- day dollar interest rate is 7% p.a., what is the
annualized 180-day interest rate on Swiss francs that would prevent arbitrage?
9. You are a sales manager for Motorola and export cellular phones from the
United States to other countries. You have just signed a deal to ship phones to
a British distributor, and you will receive £700,000 when the phones arrive in
London in 180 days. Assume that you can borrow and lend at 7% p.a. in U.S.
dollars and at 10% p.a. in British pounds. Both interest rate quotes are for a
360-day year. The spot rate is $1.4945 > £, and the 180-day forward rate is
$1.4802>£.
a. Describe the nature and extent of your transaction foreign exchange
risk.
b. Describe two ways of eliminating the transaction foreign exchange risk.
c. Which of the alternatives in part b is superior? Assume that the dollar
interest rate and the exchange rates are correct.
d. Determine what sterling interest rate would make your firm indifferent
between the two alternative hedges.
10. Suppose that the price level in Canada is CAD16,600, the price level in France
is EUR11,750, and the spot exchange rate is CAD1.35>EUR.
a. What is the internal purchasing power of the Canadian dollar?
b. What is the internal purchasing power of the euro in France?
c. What is the implied exchange rate of CAD> EUR that satisfies absolute
PPP?
d. Is the euro overvalued or undervalued relative to the Canadian dollar?
e. What amount of appreciation or depreciation of the euro would be
required to return the actual exchange rate to its PPP value?
11. Pick a particular brand of appliance, like a Bosch dishwasher with certain
features, and use the Inter- net to compare its prices across countries. Be sure
to have exactly the same style of appliance in each country. How different are
the prices when expressed in a common currency?
12. Suppose that you are trying to decide between two job offers. One consulting
firm offers you $150,000 per year to work out of its New York office. A second
consulting firm wants you to work out of its London office and offers you
£100,000 per year. The current exchange rate is $1.65 > £. Which offer should
you take, and why? Assume that the PPP ex- change rate is $1.40 > £ and that
you are indifferent between working in the two cities if the purchasing power of
your salary is the same.
13. If there is 10% inflation in Brazil, 15% inflation in Argentina, and the Argentine
peso weakens by 21% relative to the Brazilian real, by how much has the peso
strengthened or weakened in real terms? What effect do you expect that this
change in the real ex- change rate would have on trade between the two
countries?
14. Fleur de France has a project that will provide £20 million in revenue in 1 year.
The project has a euro cost of :30 million that will be paid in 1 year. The cost of
the project is certain, but the fuure spot exchange rate is not. Assume that there
are only two possible future spot exchange rates. Either the spot rate in 1 year
will be :1.54 > £ with 55% probability, or it will be :1.48 > £ with 45% probability.
Assume that the French tax rate on positive income is 45%, that a firm’s losses
are immediately refunded at a rate of 35%, and that the forward rate of euros
per pound equals the expected future spot rate.
a. If Fleur de France chooses not to hedge its foreign exchange risk, what
is the expected value of its after-tax income on the unhedged project?
b. If Fleur de France chooses to hedge its foreign exchange risk, what is
the expected value of its after-tax income on the hedged project?
c. How much does Fleur de France gain by hedging?
15. Assume that U.S. Machine Tool has $50 million of debt outstanding that will
mature next year. It currently has cash flows that fluctuate with the dollar–
pound exchange rate. Over the next year, the possible exchange rates are
$1.50>£ and $1.90>£, and each exchange rate is equally likely. The company
thinks that it will generate $30 million of cash flow from its U.S. operations, and
its expected pound cash flow is £12 million.
a. If U.S. Machine Tool does not hedge its foreign exchange risk, what will
be the current market value of its debt and equity, assuming, for
simplicity, that the appropriate discount rates are 0?
b. Suppose that U.S. Machine Tool has access to forward
contracts at a price of $1.70/£. What is the value of the firm’s debt and
equity if it hedges its foreign exchange risk? Would the shareholders
want the management to hedge?
16. Assume that today is March 7, and, as the newest hire for Goldman Sachs, you
must advise a client on the costs and benefits of hedging a transaction with
options. Your client (a small U.S. exporting firm) is scheduled to receive a
payment of :6,250,000 on April 20, 44 days in the future. Assume that your
client can borrow and lend at a 6% p.a. U.S. interest rate.
b. Use the appropriate American option with an April maturity and a strike
price of 129¢>: to determine the dollar cost today of hedging the
transaction with an option strategy. The cost of the call option is 3.93¢
>:, and the cost of the put option is 1.58¢>
GENERAL BIBLIOGRAPHY
Geert Bekaert and Robert Hedrick, International Financial Management, Pearson Prentice
Hall, 2nd Edition, 2012.