国际金融(双语)复习大纲设计

（一）论述、简答、计算题：

1、What is the current account balance of France when the French budget surplus is

348

million Euros, private saving is 256 million Euros, domestic capital formation is 134 million

Euros?

解答：

National saving = private saving + government saving = 256+348=604 million Current account balance = national saving –domestic real investment = 604-134=470 million

附：Current account balance(CA)=net foreign investment(If)

National saving(S)=domestic real investment(Id)+net foreign investment(If)

If=CA=S-Id , CA=Y(domestic production of goods and services)-E(total expenditures on goods and services)

2、Which of the following transactions could contribute to a British current account

surplus?

Explain why

a French firm sells defense equipment to the British government for 250 million pounds in bank deposits

b Great Britain makes a gift of $500 million to the Iraqi government to aid in

reconstruction.

c The Unite

d States borrows 200 million pounds on a short-term basis from th

e British government to buy 200 million pounds in textiles from Great Britain.

C：merchandise exports——current account surplus

A：merchandise imports——current account deficit

B：unilateral transfer——current account deficit

3、You are provided with the following information about a country’s international transactions

during a given year:

Service exports $346

Service imports $354

Merchandise exports $480

Merchandise imports $348

Income flows, net $153

Unilateral transfers, net $142

Increase in the country’s holding of foreign assets, net

(excluding official reserves assets) $352

Increase in foreign holdings of the country’s assets, net

(excluding official reserve assets) $252

Statistical discrepancy, net $154

a.Calculate the official settlements balance and the current account

balance.

b.Is the country increasing or decreasing its net holdings of official reserve

assets? Why?

A: Current account balance=net credits –net debits on(the flow of goods ,services ,income and unilateral transfer)=（346—354）+（480—348）+153—142 = 135

Financial account balance= foreign holdings of the country’s assets –the country’s holding of foreign assets =—352 + 252 = —100

So, official settlement balance(B)=CA balance + financial account balance= 135 —100=35

B: Current account balance = 132—8+153—142=135

B = CA + FA = 135 + （—100）= 35

B + OR + Statistical discrepancy = 0

OR = —189

Increase in net holdings of official reserve asset

4、For each case below, state whether the euro has appreciated or depreciated and

give an example of an event that could cause the change in the exchange rate.

a.The spot rate goes from 450 euros/Mexican peso to 440 euros/Mexican

peso.

b.The spot rate goes from 0.011 Mexican pesos/euro to 0.006 Mexican

pesos/euro.

c.The spot rate goes from 1.48 euros/British pound to 1.51 euros/British

pound.

d.The spot rate goes from 0.73 British pounds/euro to 0.75 British

pounds/euro.

A: indirect quotation, euro appreciated

B: direct quotation, euro depreciated

C: indirect quotation, euro depreciated

D: direct quotation, euro appreciated

5、What are the two forms of interbank foreign exchange trading? Compare and

contrast

he similarities and differences of the two forms.

Form 1 Interbank trading is conducted directly between the traders at different banks

Form 2 Interbank trading are conducted through foreign exchange broker

Similarities: Both are making the foreign exchange trades.

Differences:

①Form1,the traders know to whom they are quoting exchange rates for possible。Form2,the use of brokers provide anonymity to the traders until an exchange rate is agreed on for a trade.

②Form2,the use of brokers can also allow the bank to economize on the costs of searching for the best available exchange rates, because the broker’s business is to know the rates at which various banks are willing to trade. Brokers earn commission for their services.

6. The spot exchange rate between the dollar and the Japanese yen is a

floating rate. What effects will the following events have on the exchange

rate? In each case, draw a graph to illustrate the changes in the foreign

exchange market caused by the event.

a.Political unrest in Japan causes U.S. investors to shift their investments

out of Japan.

b.There is a large increase in Japanese demand for U.S. investments

because Japanese investors believe that the U.S. economy is

experiencing strong growth.

c.There is an increase in demand in the U.S. for Japanese exports as Japan

becomes a low-cost producer of electronic devices.

A: Selling Japanese to dollars →increase in supply of Japanese yen →shift the supply curve →reduces the exchange rate value (＄/yen) of Japanese yen →so in a floating-rate system shift the supply curve for yen to right and the demand curve remains unchanged →the dollar appreciates

Exchange rate(＄/yen)

S

D

yen

B: Increase in supply of Japanese yen, because Japanese need to sell yens to get U.S. dollars in the foreign exchange market and then use those dollars to make investment in the US

其余同part A

C: Demand for Japanese yen increase, because in most case, ten Japanese exports desire to be paid in yens but the U.S. importer desires to pay in dollars , so somewhere in the payment process dollars must be exchanged for yens

7、Assume that the spot exchange rate between the dollar and the Japanese yen is a fixed rate within a narrow band around an announced rate.

Assume that each of the following scenarios will shift the intersection of private supply and demand outside the band. What policy interventions are necessary by Exchange rate (＄/yen) yen D

the monetary authorities in order to maintain the fixed rate?

a.Political unrest in Japan causes U.S. investors to shift their investments

out of Japan.

b.There is a large increase in Japanese demand for U.S. investments

because Japanese investors believe that the U.S. economy is

experiencing strong growth.

c.There is an increase in demand in the U.S. for Japanese exports as Japan

becomes a low-cost producer of electronic devices.

a、b U.S. government must intervene in the foreign exchange market by selling U.S. dollars and buying Japanese yen

c U.S. government must intervene in the foreign exchange market by selling Japanese yen an

d buying U.S. dollars

展开分析部分（见6题）

8、What is triangular arbitrage? Assume you have 100 U.S. dollars. Explain how

you can make a profit using triangular arbitrage with the following exchange rates:

U.S. dollars per Euro=1.0

Euros per British pound =6.0

British pound per U.S. dollar =3.20

triangular arbitrage：There is an opportunity to make riskless profit by arbitraging through the three rates.

Step 1 exchange 100 dollars for 320 pounds (100*3.2)

Step 2 exchange 320 pounds for 1920 euros (320*6)

Step 3 exchange 1920 euros for dollars (1920*1)

THEN, the net profit = 1920 –100 = 1820 dollars

9、The current spot exchange rate is $1.14/Euro. The current 90-day forward

exchange rate is $1.11/Euro. How could a U.S firm, who must repay a 40 million Euro loan in 90 days, use a forward exchange contract to hedge its risk exposure?

One way to hedge its risk exposure is to enter into a forward contrast to buy 40 million Euro in 90-days. If the 90-day current forward exchange rate is ＄1.11/Euro , then the company must deliver ＄44.4 million in 90 days

10、You are asked to test if the forward exchange rate is equal to the average

market expectation of the future spot exchange rate. What information will you need to prove/disprove this statement?

Prove：（Forward exchange rate = future spot exchange rate）

We hypothesize that speculators’pressure on supply and demand should drive the forward exchange rate to equal the average expected value of the future spot exchange rate

11. Covered interest parity states that the forward premium should be equal to the

difference in interest rates. Does the empirical evidence support this statement? Explain.

①一项基本的检验是考察由同一机构提供但以不同货币计值的金融资产；一种好的选择是由大型银行向其国际客户提供一套欧洲货币存款。活跃于欧洲货币市场的银行愿意接受以任何数种货币计值，而不只是以银行所在国货币计值的支付；利息存款。各种不同的检验已证明，抵补的利率平价几乎完全地适用于欧洲货币存款；例如欧洲美元和欧洲英镑之差，等于英镑的远期升水

②一项更为严格的抵补的利率平价检验是由不同机构在不同国家金融市场发行的严格可比资产，该研究检验了美国、日本和法国金融资产的抵补的利率差。大约从20世纪80年代中期起，抵补的利率平价对于这4种货币的可比短期资产来说成立

12. Will the law of one price apply better to rare gems（宝石）or to computers? Explain.

The law of one price apply better to Rare Gems. The transactions of rare gems are more convenient, so any price discrimination will lead to arbitrage activities, which will drive the price of rare gems in the same currency value to be equal. People couldn’t arbitrage the price discrimination of computers, so the price cannot be equal. If the price discrimination continues to exist, the discrimination would exist all the time, in the computer market, there is no power to drive it to be equal. P = e ·P f

13. You observe the following current rates:

Spot exchange rate: $1.25/SFr

Annual interest rate on 30-day U.S.-dollar-denominated bonds: 8% Annual interest rate on 30-day SFr-denominated bonds: 2%

a.Does uncovered interest parity hold? If so, what spot exchange rate do

investors expect in 30 days?

b.What is likely to be the effect on the spot exchange rate if the interest

rate on the 30-day SFr-denominated bond increases by 3%?

c.

a e ex—1.25

1.25

×（360÷30）= 8%—2%

e ex—1.25

1.25

= 0.005

X=1.25625

b 瑞士法郎利率到3%;瑞士法郎升值

1.25625—ex

ex

×（360÷30）= 8%—3% =

Ex=1.25103

14. Explain the various aspects of PPP. Be sure to explain the differences between absolute and relative purchasing power. Explain the strengths and weaknesses of PPP. How well has PPP done in predicting actual exchange rates?

A、PPP的有三个层面的含义：

1）一价定理：P = e ·P f

2）绝对PPP ：e = P

P f 3） 相对PPP ：e t e =P t /P 0P ft /P f0

B 、绝对PPP 和相对PPP 的区别

相对PPP 通过一段时间来考察；而绝对PPP 只是根据当期的情况来考察的

C 、PPP 的优势和劣势

对于一种大量交易的商品而言，PPP 假说的预测是准确的

对于所有的交易商品而言，PPP 假说的预测仅是中度准备的

对于整个经济中的全部产品而言，PPP 假说的预测是最差的

绝对购买力平价：在某一时点上汇率的决定，在某一时点上两种货币货币间的均衡汇率实际上就等于两国物价水平的比率

相对购买力平价：说明一定时期内汇率的变动的原则，认为汇率的涨落是由于物价或货币购买了的变动而引起的，并主张，一定时期内汇率的变化应与同期两国物价水平的相对变动成比例

购买力评价的缺陷之处

? 它以货币数量论为前提，把价格与汇率的关系完全看作是单向的因果关系其中价格

是因，汇率是果，这也有悖现实。

? 价格指数的选择亦无严格的标准，究竟应该以国内生产总值消胀指数、批发价格指

数还是消费价格指数，很难从理论上提出科学的依据实际情况中难以满足各国相同

可贸易品权数相同

评价： 购买力平价论由于抓住了货币内在的特性──货币的购买力，即价格水平这一影响汇率的核心因素，并首次使理论汇率的确定得到了量化的尺度，比较直观，因而长期以来一

直深受学术界的推崇，占据主流地位，至今仍有极大影响。尤其是在严重的通货膨胀时期，购买力平价论的可靠性更为突出。

15. Exchange controls result in considerable costs to a country whose government

imposes them. Describe these costs and the role that parallel markets play in economies with exchange controls.

外汇管制旨在限制对外汇的过度私人需求（促使本币贬值的压力。）；在外汇管制中，一些人想得到外汇，并原因为此支付高于当前汇率的价格，但他们却不能买到外汇，由于一些净边际损失，这会带来整个国家的福利损失，此外，这些不能被满足的需求者，还会转向其它方法以得到外汇，他们可能会贿赂政府官员以得到稀缺的外汇，他们还可以逃避外汇管制，从非法外汇黑市得到外汇（一般以远远高于官方平价的价格）。

（二）名词解释：

Chapter 02

balance of payments：The set of accounts recording all flows of value between a nation’s residents and the residents of the rest of the world during a period of time.

the current account：Records the values of goods and services sold and purchased abroad, + net interest and other factor payments and net unilateral transfers and gifts.

the capital account：consists of capital transfer and the buying and selling of nonproductive assets and non-financial assets.

the double-entry bookkeeping：Any exchange automatically enters the

balance-of-payment accounts twice: as a credit and as a debit of the same value.

merchandise trade balance：equals the net credits - debits, on merchandise flows.

current account balance：equals the net credits - debits on the flows of goods, services, income, and unilateral transfers. It also equals the change in the nation’s foreign assets minus foreign liabilities, also known as net foreign investment.

the overall balance：equals the sum of the current account balance + the private capital account balance.

the official reserve asset balance（OR）：官方黄金和外汇资产的余额；其它与IMF相关的官方储备的余额，以及被他国看作其官方资产的余额；称之为官方资产余额the Errors and Omissions：is a suspicious item, called statistical discrepancy.

residents：include all its governmental bodies (excluding central banks) and those individuals and organizations that reside permanently (usually more than a year) and have their economic “center of interest”in the country.

the international investment position: is a statement of the stocks of a nation’s international assets and foreign liabilities at a point in time, usually the end of a year.

the IMF：The IMF was set up with contributions of gold and foreign

exchange from member governments. It grants all member countries the right to borrow reserves to finance temporary deficits.

the reserve position in the IMF：指的是一个国家加入基金组织时，所缴纳的份额。按IMF规定，认缴份额的25%须以可兑换货币缴纳，其余75%用本国货币缴纳SDRs：（Special Drawing Right）is an artificial "basket" currency used by the IMF for internal accounting purposes. The SDR is also used by some countries as a peg for their own currency, and is used as an international reserve asset.

Chapter 03

foreign exchange：Definition in broad sense: holdings of foreign currencies: (1) foreign currencies; (2) payment instruments denominated in foreign currencies, like demand bank deposits; (3) securities in terms of foreign currencies; (4) other claims on nonresidents in terms of foreign currencies.

Definition in narrow sense: the means which is used in international settlement.

exchange rate：the price of one nation’s money in terms of another nation’s money.

spot exchange rate：The spot exchange rate is the price for “immediate”exchange(delivery).

forward exchange：the price set now for an exchange (delivery) that will take place sometime in the future

intangible market：banks and traders who work at banks are at the center of the foreign exchange market. These banks and their traders use computers and telephones to conduct foreign exchange trades with their customers and also with each other.

a vehicle currency：One foreign currency is exchanged for dollars, and these dollars are then exchanged for the other foreign currency. The dollar is often used in this way to accomplish trading between two other currencies, and the dollar is called a vehicle currency.

SWIFT (Society for Worldwide Interbank Financial Telecommunications)：which is used to transmit instructions from one member bank to another

CHIPS (Clearing House International Payments System)：This system clears dollar transfers among its member banks, which include all large and internationally active banks.

floating exchange rate：It is the exchange rate system without intervention by governments or central bankers.

the equilibrium exchange rate：(market-clearing rate) means no tendency for change. It is at the intersection point of the supply and demand curves.

fixed exchange rate：Official strive to keep the exchange rate virtually fixed ( or pegged ) even if the rate they choose differs from the current equilibrium rate.

the depreciation(the appreciation)：Under the floating-rate system a fall in the market price (the exchange rate value) of a currency is called a depreciation of that currency; a rise is an appreciation.

the devaluation(the revaluation)：We refer to a discrete official reduction (rising) in the otherwise fixed par value of a currency as a devaluation (revaluation).

arbitrage：The process of buying and selling to make a (nearly) riskless pure profit, ensures that rates in different locations are essentially the same, and that rates and cross-rates are related and consistent among themselves.

biangular arbitrage：Buy currencies where they are cheap and simultaneously sell them where they are expensive.

triangular arbitrage：There is an opportunity to make riskless profit by arbitraging through the three rates.

basic rates：Basic rates represent the dollar price of various foreign currencies

cross rates：the cross-rates are the rates between foreign currencies.

Chapter 04

exchange rate risk：the possibility of loss or gain of foreign exchange (currencies) assets (or liabilities) held by persons because of changes of exchange rates.

international financial investment：investment on foreign-currency

assets.

international investment with cover：if the rate at which the future sale of foreign currency will occur is locked in now through a forward exchange contract, we have~.

international investment without cover：involves investing in a financial asset denominated in a foreign currency without hedging or covering the future proceeds of the investment back into one’s own currency.

hedging：Hedging a position exposed to rate risk is the act of reducing or eliminating a net asset or net liability position in the foreign currency. hedgers：are persons who have a home currency and seek a balance between their liabilities and assets in foreign currencies. speculating：Speculating is the act of taking a net asset position (“long”) or a net liability position (“short”) in the foreign currency, thereby gambling on its future exchange value.

speculators：A speculator is anybody who is willing to take a net position in a foreign currency, whatever his motives or expectations about the future of the exchange rate.

the forward premium：F = (f –e)/e If F is positive, the pound is at a forward premium because it gains value between buying current spot pounds and selling current forward pounds.

the forward discount：If F is negative, the pound is at a forward discount

because it loses.

covered interest arbitrage：It is buying a country’s currency spot and selling that country’s currency forward, to make a net profit from the combination of the difference in interest rates between countries and the forward premium on that country’s currency.

uncovered interest arbitrage：

covered interest parity：The condition Covered Interest Differential (CD) = 0 is referred as covered interest parity.

uncovered interest parity：The condition Expected Uncover Interest Differential (EUD) = 0 is called the uncovered interest parity. This parity is also called the “international Fisher effect,”

Chapter 05

PPP：The principle that unit of currency will purchase the same basket of goods anywhere in the world

the law of one price：A product that is easily and freely traded in a perfectly competitive global market should have the same price everywhere, once the prices at different places are expressed in the same currency.Pi = e ·Pi*.It works well for heavily traded commodities(gold, metal, crude oil, agricultural commodities)either at a point in time or for exchanges over time.

absolute PPP：Posits that a basket or bundle of tradable products will have the same cost in different countries if the cost is stated in the same

currency.

relative PPP：Posits that the difference between changes over time in product-price levels in two countries will be offset by the change in the exchange rate over this time.

overshooting：Investors can react rationally to news by driving the exchange rate past what they know to be its ultimate long run equilibrium value. The actual exchange rate then moves slowly back to that long-run rate later on. That is, the short run the actual exchange rate overshoots its long-run value and then reverts back toward it. bandwagon effects：Some investors, especially for expectations regarding the near-term future(the next minutes, hours, days, or weeks),may expect that the recent trend in the exchange rate will continue. They extrapolate the recent trend into the future.

nominal bilateral exchange rate：is the regular market rate between two currencies.

nominal effective exchange rate：is a weighted average of the market rates across a number of foreign currencies.

real bilateral exchange rate：incorporates both the market exchange rate and the product price levels for two countries.

real effective exchange rate：is a weighted average of real bilateral exchange rates across a number of foreign countries.

Chapter 06

国际金融期末试题试卷及答案

国际金融期末试题试卷 及答案 Document serial number【KKGB-LBS98YT-BS8CB-BSUT-BST108】

（本科）模拟试卷（第一套）及答案 《国际金融》试卷 一、名词解释（共 15 分，每题 3分） 1 汇率制度 2 普通提款权 3 套汇业务 4外汇风险 5 欧洲货币市场 1、汇率制度：是指一国货币当局对本国汇率真变动的基本规定。 2、普通提款权：是指国际货币基金组织的会员国需要弥补国际收支赤字， 按规定向基金组织申请贷款的权利。 3、套汇业务：是指利用同理时刻在不同外汇市场上的外汇差异，贱买贵卖，从中套取差价利 润的行为。 4、外汇风险：是指在国际贸易中心的外向计划或定值的债权债务、资产和负债，由于有关汇 率发生变动，使交易双方中的任何一方遭受经济损失的一种可能性。 5、欧洲货币市场：是指经营欧洲货币的市场。 二、填空题（共 10 分每题 1 分） 1、外汇是以外币表示的用于国际清偿的支付手段。 2、现货交易是期货交易的，期货交易能活跃交易市场。 3、按出票人的不同，汇票可分为和。 4、国际资本流动按投资期限长短分为和两种类型。 5、第一次世界大战前后，和是各国的储备资产。 三、判断题（共 10 分每题 1 分） 1、出口信贷的利率高于国际金融市场的利率。（）。 2、短期证券市场属于资本市场。（） 3、国际储备的规模越大越好。（） 4、国际借贷和国际收支是没有任何联系的概念。（） 5、信用证的开证人一般是出口商。（） 6、参与期货交易就等于参与赌博。（X ） 7、调整价格法不可以完全消灭外汇风险。（） 8、银行收兑现钞的汇率要高于外汇汇率。（ X ）

金融工程课程设计论文 (1)

铝期货套期保值最佳比例的实证分析1 引言 套期保值是指以回避现货价格风险为目的的期货交易行为。企业为了回避价格波动所带来的不利影响而参与期货交易，在期货市场上买进（卖出）与其将要在现货市场上买进（卖出）的现货商品数量相当，期限相近的同种商品的期货合约。希望在未来某一时间内，在现货市场上卖出（买进）原来买进（卖出）的期货合约，从而将价格波动的风险降到最小，是交易者将现货与期货结合运作的一种经营管理模式。套期保值表明企业参与交易的目的和途径，保值是目的，即保住目前认为合理的价格和利润，回避以后价格不利带来的风险，套期是实现保值的途径，即套用期货合约，参与期货交易。 因此，我国铝期货套期保值绩效进行验证检验，分别采用OLS模型、ECM模型和B-VAM模型估计铝期货套期保值比率，并比较各种模型的优劣。 2 实证研究 数据搜集与整理 由于每个期货合约都将在一定时间到期，因此，期货价格具有不连续的特点，即对每一个期货合约，合约的时间跨度是有限，任一交割月份合约在合约到期以后，该合约将不复存在。另外，在同一个交易日，同时有若干不同交割月份的期货合约在进行交易，因此，同一期货品种在同一交易日会有若干不同交割月份的期货数据存在。为研究需要，克服期货价格不连续的缺点，必须产生连续的期货价格序列，为此，我们选取铝期货价格和现货价格（有色金属现货每日最高价格与最低价格的平均价）。 表一铝现货期货价2010年01月04日至2010年12月31日数据 序 号现货 S 期货 F 序 号现货 S 期货 F 序号现货 S 期货 F

运用单方程时间序列模型估计最优套期比 2.2.1用OLS模型估计最优套期比 建立S关于F的回归方程： Dependent Variable: S Method: Least Squares Date: 06/14/12 Time: 20:36 Sample: 1 242 Included observations: 242 Variable Coefficient Std. Error t-Statistic Prob. F C R-squared Mean dependent var Adjusted R-squared . dependent var . of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) 图1 S关于F回归方程 得回归方程： f系数的p值接近0，回归系数是显着的。回归结果得到每单位现货用单位期货进t 行空头保值，即最优套期比是。 结论1：由现货价S关于期货价F回归模型得到的套期比是。 R 离1较远，精度不太高。 评价：1）虽然模型系数显着，但是模型精度20.480612 所以不能排除此模型是伪回归。

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期货最优套期保值比率的研究1 引言： 套期保值是期货产生的根源，套保策略也是股指期货最根本的策略之一。套期保值策略就是通过使用股指期货交易与一定规模的股票现货组合进行对冲，从而规避现货市场的价格风险；如果期货头寸能够较好地与现货交匹配，套期保值交易能够消除现货市场的大部分系统性风险。从持有股指期货头寸上可以将套期保值分为多头套期保值和空头套期保值。多头套保指指持有现金未来将投资股市，为防止股市上涨抬高买入成本，先买入指数期货，对冲市场上涨风险；空头套保指已持有股票组合或预期将持有股票组合为防止股票组合随大盘下跌，卖出指数期货，对冲市场下跌风险。 从交易策略上可分为消极套期保值和积极套期保值。消极套保以风险最小化为目标，不预测市场走势，仅仅在期货和现货市场同时反向操作，以保证已有的股票仓位现货价值的稳定，完全的消极套保，头寸的性质相当于国债。积极套保相当于锁仓，预计市场不利于现货头寸时，采取套保操作锁定风险，一旦市场有利于现货头寸，则平仓期货头寸，取消套保操作，实现利润最大化。 本文运用时间序列模型估计最优套期保值比率的方法，研究比较了两种计算期货套期保值比率的效果，得出了各套期保值比率模型的优缺点。 2 预备知识： 2.1 关于最优套期比率确定方法 以空头期货保值为例 1．由套期保值收益方差风险达最小得到 （1）用价格标准差表示风险最小套期比

单位现货相应的空头保值收益： Δb （k ）=b(k)-b0(k)（两边求方差解出k ） f s sf k σσρ=*1 （2）用改变量标准差表示风险最小套期比 单位现货相应的空头保值收益: Δb （k ）=Δs-k Δf （两边求方差解出k ） f s f s k ????=σσρ*2 注意到（1）与（2）两种最优化方式得到有套期比k 是不同的。 2．用收益率表示套期保值比率。 空头保值收益率（V 为现货市值） RH=[(V-V0+D)-NF(F-F0)]/V0 = (V-V0+D)/V0-(NFF0/V0)[(F-F0)/F0] =RS-h*RF 由收益率风险达最小求出套期比 3 ．由对冲原理得到 要实现期货与现货完全对冲，必须满足以下风险中性原理(现货与期货组合风险为0) Q*Δf +Q0*Δs=0 k Δf +Δs=0 k=Q/Q0=-ΔS/ΔF ≈-ds/df<0(因同方向变化) 上式表明，每单位现货需要k 单位期货对冲其风险，负号表示交易方向要相

国际金融 简答题论述题

第一章国际金融导论1、什么是金融什么是国际金融什么是国际金融学 答：金融是指货币流通和信用活动以及与之相关的经济活动的总称。国际金融是指与国际的货币流通和信用有关的一切业务活动。国际金融学是从货币金融角度研究开放经济下内外均衡同时实现问题的一门独立学科。 第二章国际收支 1、简述国际收支的定义及特征与分类。 答：含义：是指一国的居民在一定时期内与非居民之间的经济交易的系统记录。 特征：①是一国居民与非居民之间的交易②是国际收支的货币记录，以交易为基础，而非货币收支为基础③是流量的概念，变动数值④是一定时 期，会计年度。 分类：①交换：一交易者向另一交易者提供一宗经济价值并从对方得到价值相等的回报。 ②转移：一交易者向另一交易者提供一宗经济价值并未从对方得到对应的价值相等的补偿物。 ③移居：一个人把住所从一经济体搬迁到另一经济体就形成移居。 ④其他根据推论而存在的交易：投资收益再投资。 2、简述国际收支平衡表的含义及构成。 答：含义：国际收支平衡表是一国对其一定时期内的国际经济交易，根据交易的特性和经济分析的需要，分类设置科目和帐户，并按复式簿记的原理进行系统记录的报表。 构成：①经常帐户：货物、服务、收益、经常转移

②资本和金融帐户：资本帐户、金融帐户③储备资产变动④误差与遗漏 3、简述国际收支中的几个重要差额。 答：①贸易收支差额：一国在一定时期内商品出口与进口的差额。贸易收支差额是传统上常用的一个口径。②经常帐户差额：国际收支分析中最重要的收支差额之一。如果出现经常账户顺差，则意味着该国对外净投资增加。 ③资本和金融账户差额：国际收支账户中资本账户与直接投资、证券投资以及其他投资项目的净差额。它反映了一国为经常账户提供融资的能力;该差额还可以反映一国金融市场的发达和开放程度。④综合差额：指经常账户和资本金融账户所构成的差额。衡量一国官方通过变动官方储备来弥补的国际收支不平衡。 4、简述国际收支失衡（逆差）的危害、简述国际收支失衡（顺差）的危害。 ①答：导致外汇储备大量流失；导致本币汇率下跌，国际资本大量外逃，引发货 币危机；该国获取外汇的能力减弱，影响该国发展生产所需的生产资料的进口；持续性逆差还可能使该国陷入债务危机。 ②答：持续顺差导致本币汇率上升，降低了本国产品的竞争力；持续顺差会使该国丧失获取国际金融组织优惠贷款的权力。影响了其他国家经济发展，导致国际贸易摩擦。资源型国家如果发生过度顺差，意味着国内资源的持续性开发，会给这些国家今后的经济发展带来隐患。 6、简述国际收支失衡的原因。 答：①结构性失衡：当国际分工格局或国际需求结构等国际经济结构发生变化时，一国的产业结构及相应的生产要素配置不能完全适应这种变化，由此发 生的国际收支失衡。

金融工程课程总结

第一章 金融工程概述 （一）金融工程定义 通过两个典型的金融工程案例本质上都是普通债权加期权的组合增加产品的吸引力，使得问题顺利解决。说明根据市场环境很需求，不同的基础性证券和衍生证券可以构造和组合出无数种产品与解决方案，创造性地解决各种金融问题。 金融工程是以金融产品和解决方案的设计、金融产品的定价与风险管理为主要内容，运用现代金融学、工程方法与信息技术的理论与技术，对基础证券与金融衍生产品进行组合分解，已达到创造性地解决金融问题的根本募得的学科与技 （二）金融工程的作用： （1） 变化无穷的新产品：金融产品的极大丰富，一方面使得市场趋于完全；另 一方面使得套利更容易进行，有助于减少定价偏误；同时也有利于降低市场交易成本、提高市场效率； （2） 更具准确性、时效性和灵活性的低成本风险管理； （3） 风险放大与市场波动。金融工程技术和金融衍生证券本身并无好坏错对之 分，关键在于投资者如何使用，用在何处。 （三）金融工程的发展历史与背景 日益波动的全球经济环境 鼓励金融创新的制度环境 金融理论和技术的发展 信息技术进步的影响 市场追求效率的结果 综上，所有市场参与者在追求市场效率的过程中推动了金融工程的产生，而金融市场效率的提高与金融工程的发展呼啸促进、相辅相成，推动金融业的发展。 （四）金融工程的定价原理

第二章远期与期货概述 （一）金融远期合约及种类 金融远期合约：是指双方约定在未来的某一确定时间，按确定的价格买卖一定数量的某种金融资产的合约。在合约中，未来将买入标的物的一方为多方(long position),而将在未来卖出标的物的一方为空方(short position)。 如果到期标的资产的市场价格高于交割价格K，远期多头就会盈利而空头则会亏损;反之，远期多头就会亏损而空头则会盈利。 根据标的资产不同，常见的金融远期合约包括： ①远期利率协议（FRA）是买卖双方同意从未来某一商定的时刻开始，在某一特定时期内按协议利率借贷一笔数额确定，以特定货币表示的名义本金的协议。例如1X4远期利率，即表示1个月之后开始的期限三个月的远期利率；3X6远期利率，表示3个月之后开始的期限为3个月远期利率。 ②远期外汇合约（FEC）是指双方约定在将来某一时间按约定的汇率买卖一定金额的某种外汇合约。远期外汇合约可分为直接远期和远期外汇综合协议（SAFE）。前者的期限是直接从现在开始算的，后者的远期起先是从未来的某个十点开始算的，可视为远期的远期外汇合约。 ③远期股票合约（equity forwards）是指在将来某一特定日期按特定价格交付一定数量单个股票或者一揽子股票的协议。 远期市场的交易机制两大特征：分散的场外交易和非标准化合约。 （二）金融期货合约及其交易机制 金融期货合约是指在交易所交易的、协议双方约定在将来某个日期按事先确定的条件（交割价格、交割地点、交割方式）买入或者卖出一定标准数量的特定金融工具的标准化协议。合约双方都要缴纳表征金，并且每天结算盈亏，合约双方均可单方通过平仓结束合约。常见的金融期货主要可分为股票指数期货、外汇期货和利率期货等。 期货交易市场的交易机制： （1）集中交易与统一清算

金融工程课程设计论文相关论文总结

铝期货套期保值最佳比例的实证分析 1 引言 套期保值是指以回避现货价格风险为目的的期货交易行为。企业为了回避价格波动所带来的不利影响而参与期货交易，在期货市场上买进（卖出）与其将要在现货市场上买进（卖出）的现货商品数量相当，期限相近的同种商品的期货合约。希望在未来某一时间内，在现货市场上卖出（买进）原来买进（卖出）的期货合约，从而将价格波动的风险降到最小，是交易者将现货与期货结合运作的一种经营管理模式。套期保值表明企业参与交易的目的和途径，保值是目的，即保住目前认为合理的价格和利润，回避以后价格不利带来的风险，套期是实现保值的途径，即套用期货合约，参与期货交易。 因此，我国铝期货套期保值绩效进行验证检验，分别采用OLS模型、ECM模型和B-VAM模型估计铝期货套期保值比率，并比较各种模型的优劣。 2 实证研究 2.1数据搜集与整理 由于每个期货合约都将在一定时间到期，因此，期货价格具有不连续的特点，即对每一个期货合约，合约的时间跨度是有限，任一交割月份合约在合约到期以后，该合约将不复存在。另外，在同一个交易日，同时有若干不同交割月份的期货合约在进行交易，因此，同一期货品种在同一交易日会有若干不同交割月份的期货数据存在。为研究需要，克服期货价格不连续的缺点，必须产生连续的期货价格序列，为此，我们选取铝期货价格和现货价格（有色金属现货每日最高价格与最低价格的平均价）。 表一铝现货期货价2010年01月04日至2010年12月31日数据 序 号现货 S 期货 F 序 号现货 S 期货 F 序号现货 S 期货 F

2.2运用单方程时间序列模型估计最优套期比 2.2.1用OLS 模型估计最优套期比 建立S 关于F 的回归方程： Dependent Variable: S Method: Least Squares Date: 06/14/12 Time: 20:36 Sample: 1 242 Included observations: 242 Variable Coefficient Std. Error t-Statistic Prob. F 0.652882 0.043810 14.90241 0.0000 C 5358.104 695.8423 7.700170 0.0000 R-squared 0.480612 Mean dependent var 15715.37 Adjusted R-squared 0.478448 S.D. dependent var 734.6375 S.E. of regression 530.5448 Akaike info criterion 15.39392 Sum squared resid 67554674 Schwarz criterion 15.42275 Log likelihood -1860.664 F-statistic 222.0820 Durbin-Watson stat 0.115910 Prob(F-statistic) 0.000000 图1 S 关于F 回归方程 得回归方程： 5358.1040.652882(7.700170)(14.90241)(0.0004)(0.0000) t t t s f p ε=++= t f 系数的p 值接近0，回归系数是显著的。回归结果得到每单位现货用 0.652882单位期货进行空头保值，即最优套期比是0.652882。 结论1：由现货价S 关于期货价F 回归模型得到的套期比是0.652882。

国际金融试题及参考答案

国际金融试题（1） 第一部分选择题 一、单项选择题1．广义的国际收支建立的基础是 ( B) A．收付实现制B．权责发生制 C．实地盘存制 D．永续盘存制 2．一国的国际收支出现逆差，一般会导致 ( A) A．本币汇率下浮 B．本币汇率上浮 C．利率水平上升 D．外汇储备增加3．在共同体内取消成员国之间商品的关税和限额，使商品得以自由流通，而对成 员国之外的第三国实行共同关税税率，称为 ( C) A．自由贸易区 B．共同市场 C．关税同盟D．经济和货币联盟 4．以一定整数单位的外国货币作为标准，折算为若干数量的本国货币的汇率标价 方法是( A) A．直接标价法 B．间接标价法本文来源:考试大网C．欧式标价法D．美元标价法 5．一国货币当局实施外汇管制一般要达到的目的是 ( C) A．控制资本的国际流动 B．加强黄金外汇储备 C．稳定汇率 D．增加币信6．人民币现行汇率制度的特征是 ( C) A．固定汇率制 B．自由的浮动汇率制 C．有管理的浮动汇率制D．钉住汇率制度 7．IMF最基本的资金来源是 ( A) A．会员国缴纳的份额 B．在国际金融市场筹资借款 C．IMF的债权有偿转让D．会员国的捐赠 8．下列属于欧洲货币市场经营的货币的是 (B ) A．纽约市场的美元 B．新加坡市场的美元 C．东京市场的日元D．伦敦市场的英镑 9．欧洲货币的存款利率一般利率。 ( A)

A．高于同币种国内市场存款 B．低于同币种国内市场存款 C．高于同币种国内市场贷款 D．低于同币种国内市场贷款 10. -项10年期的贷款，宽限期为3年，宽限期满后，每半年平均还款一次，该项贷款的实际年限是( D) A．10年 B．13年 C．7年 D．6.5年 11.根据证券的发行对象不同，可以把证券发行分为 (B ) A．直接发行和间接发行 B．公募发行和私募发行 C．出售发行和投标发行 D．募集发行和投标发行 12.外汇市场上最传统、最基本的外汇业务是 ( A) A．即期外汇业务 B．远期外汇业务 C．外汇期货业务 D．外汇期权业务 13.假设伦敦外汇市场上的即期汇率为l英镑=1.4571美元，3个月的远期外汇升水为0.41美分，则远期外汇汇率为 (B ) A．1. 0471 B．1.4530 C．1. 4622 D．1.8671 14.下列关于黄金的说法不正确的是 (D ) A．黄金是财富的象征 B．金银天然不是货币，货币天然是金银 C．黄金具有价值相对稳定性 D．黄金不易于分割 15. IS曲线右上方任意一点代表 (A ) 来源：考试大 A．产品市场供过于求 B．产品市场供不应求 C．货币市场供过于求 D．货币市场供不应求 16.特里芬在《黄金与美元危机》一书中指出：一国的国际储备额应同其进口额保 持一定的比例关系，这个比例关系的最高限与最低限应该分别是 (A ) A．40%和20% B.．30%和25% C．25%和30% D．20%和40% 二、多项选择题17.资本与金融账户记录的项目有 ( ABCE) A．资本转移 B．直接投资 C．证券投资 D．投资收入 E．国际商业银行贷款 18. -国货币满足以下哪些条件，即为可自由兑换货币？ ( ABE A．是全面可兑换货币B．在国际支付中被广泛采用 C．是各个国家必持有的储备

国际金融英文版习题

Chapter1 balance of payments Balance of Payments Accounting 1Balance of payments a)is defined as the statistical record of a country’s international transactions over a certain period of time presented in the form of a double-entry bookkeeping b)provides detailed information concerning the demand and supply of a country’s currency c)can be used to evaluate the performance of a country in international economic competition d)all of the above Answer: d 2Generally speaking, any transaction that results in a receipt from foreigners a)Will be recorded as a debit, with a negative sign, in the U.S. balance of payments b)Will be recorded as a debit, with a positive sign, in the U.S. balance of payments c)Will be recorded as a credit, with a negative sign, in the U.S. balance of payments d)Will be recorded as a credit, with a positive sign, in the U.S. balance of payments Answer d 3 Generally speaking, any transaction that results in a payment to foreigners e)Will be recorded as a debit, with a negative sign, in the U.S. balance of payments f)Will be recorded as a debit, with a positive sign, in the U.S. balance of payments g)Will be recorded as a credit, with a negative sign, in the U.S. balance of payments h)Will be recorded as a credit, with a positive sign, in the U.S. balance of payments Answer a) 4 Suppose the McDonalds Corporation imports 100 tons of Canadian beef, paying for it by transferring the funds to a New York bank account kept by the Canadian Beef Conglomerate. i)Payment by McDonalds will be recorded as a debit j)The deposit of the funds by the seller will be recorded as a debit k)Payment by McDonalds will be recorded as a credit l)The deposit of the funds by the buyer will be credit Answer: a 5Since the balance of payments is presented as a system of double-entry bookkeeping, a)Every credit in the account is balanced by a matching debit