Fakultät III Wirtschaftswissenschaften Univ.-Prof. Dr. Jan Franke-Viebach

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1 Unvrstät Sgn Fakultät III Wrtschaftswssnschaftn Unv.-rof. Dr. Jan Frank-Vbach Exam Intrnatonal Fnancal Markts Summr Smstr 206 (2 nd Exam rod) Avalabl tm: 45 mnuts Soluton For your attnton:. las do not drctly wrt your answrs nto ths problm st. Us th st of soluton pags. 2. las do not us a pncl. 3. Addtonal matrals you may us for th xam: a non-programmabl calculator. 4. ATTENTION: Th nams for varabls hav th sam manng as n th lctur. Insofar as you also us th sam symbols for th varabls as w dd n th lctur you wll not hav to dfn ths any furthr. Qa Quston Sum Mark onts achvabl onts achvd C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton

2 2 roblm : Fnancal Intgraton n Europ Th ntroducton of th uro as a common currncy for svral countrs has contrbutd to fnancal ntgraton.. a) Th ntroducton of th uro has mad t mor attractv to nvst n / borrow from othr EU countrs (that also hav th uro). las gv on rason for ths ffct. [4 ponts] lmnaton of currncy rsk (4) or: bttr comparson of fnancal assts across bordrs (4) or: lowr transacton costs (4) b) Th ntroducton of th uro has also lad to lowr crdt rats (ask rats) as wll as to hghr nvstmnt rats (bd rats). las brfly xplan ths mpact of th uro. [6 ponts] (ATTENTION: maxmum 6 ponts) - uro has ntnsfd comptton n th fnancal sctor (3) - ths has () rducd monopolstc / olgopolstc rnts (3) () forcd th fnancal sctor to produc chapr srvcs (3) (or: lad to a bttr prformanc of th fnancal sctor or: lad to xplot conoms of scal) C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton

3 3 roblm 2: Exchang Rat W ar n th uro ara. Th xchang rat btwn th US-Dollar and th uro has ncrasd from.0 [$/ ] to.30 [$/ ]. a) Dos th abov quotaton show th drct rat of th uro or ts ndrct rat? [ pont] drct () b) Has th dollar apprcatd or dprcatd aganst th uro? By whch prcntag rat? las show your calculaton of that prcntag rat. [4 ponts] dprcatd () (0.5) (0.5) () () (or : by 23. % ) C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton

4 4 roblm 3: rc Rlatons Btwn Intrnatonal Fnancal Markts W ar gvn th followng statstcs about th Chns Rnmmb ( ) and th US dollar (all prcntag rats ar annual rats): $ Inflaton / 8 % (/) $? % On-yar ntrst rat 5 % $ 3 % Spot xchang rat [ /$]? Expctd xchang rat n on yar [ /$] 7 Blow ar gvn th prcs vrsons of th ntrnatonal party condtons. Basd on ths condtons, plas rplac th quston marks (?) wth approprat answrs. las show your calculatons and gv thr dgts for th rsults. ( ) $ F f f F [ ponts] From, w fnd : $ C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton

5 5 $ Thrfor: () () (2) () From, w fnd: ( ) $ Thrfor: ( ) $ ( ) ) ( $ ( () () () (2) ( 7 () 0.08 ) ) C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton

6 6 roblm 4: Intrnatonal Mony Markt a) Th mony markt s sad to b a short-run markt and a wholsal markt. What do ths faturs man? [3.5 ponts] - short-run: clams (or: assts) (0.5) hav an ntal maturty (0.5) of on yar or lss () - wholsal: transactons (0.5) ar larg () (or: ntrbank markt) b) Not-Issuanc Faclts (NIFs) ar an mportant nstrumnt of th mony markt. las dscrb two mportant faturs of NIFs. [0 ponts] (ATTENTION: maxmum 0 ponts) - th NIF s a crdt ln (2) provdd by a syndcat of banks () for a spcfd prod of tm () - th borrowr can draw on th faclty by ssung Euronots (2) wth maturts of on month to twlv months (); th banks thn hlp to sll th nots to nvstors (2) - th ssur can draw on th ln on a rvolvng bass (2) (or: at maturty of a short-trm not h can thr rpay th mony or roll ovr); NIFs thus gv borrowrs mdum-trm or vn long-trm contnuous accss to short-trm funds (3) th banks do not gv crdt thmslvs; (2) thus, thy kp out th rsk from thr balanc sht; (2) thy thus also avod havng to add quty captal () nstad of gttng a bank loan, th borrowr gts funds from fnal nvstors by sllng thm so-calld nots; (2) ths ar ssud wth hgh fac valus (oftn $500,000 or mor) (2) thy ar thus ntndd for nsttutonal nvstors rathr than prvat ndvduals () th nots ssud undr a NIF ar unscurd short-trm dbt; (2) C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton

7 7 thy ar usually ssud by larg corporatons wth xcllnt crdt ratngs (2); thy thus offr fnal lndrs th possblty to buy tradabl assts from hghgrad borrowrs rathr than gvng thr mony to a bank () c) W ar gvn th followng quatons for th dscount rat (d) and th yld () of a not ssud undr an NIF, both xprssd as annualzd rats: d D 360, FV n D 360, n D dscount FV -, n numbr of days to maturty of th not, FV fac valu, prc c Why s th yld always hghr than th dscount rat: > d? [2 ponts] Bcaus th not s always sold at a dscount such that < FV () () c 2 A not wth a fac valu of $00,000 and 60 days to maturty s sold at a dscount of $,500 from fac valu. las calculat th yld (). [3.5 ponts] (0.5) (0.5), ( or : 9.4 % ), 00,000 -, (0.5) (0.5) (0.5) () C:/ Intrn Fnancal Markts / Klausurn \ SS 6 2T 45 mnuts Soluton