Exchange Rate of Six Foreign Currencies with Respect to The Usd Analysis

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- THE FINAL ASSIGNMENT –

For this assignment you need to use the Bloomberg Database, which is available for you at Douglas Hall Room 170- CME Training Lab. In order to be able to work on the Bloomberg terminal, please refer to the document titled “Bloomberg_Workshop_Material” uploaded on the Blackboard.

Part 1: 1) From Bloomberg, download the exchange rates of at least 6 foreign currencies (at least 2 of them have to be from emerging markets) including the US dollar. (The number of currencies depends on your choice, the more the better)

2) Compute the one-year appreciation or depreciation of each currency against the US dollar year to year within your chosen time window. (The time window depends on your choice, the longer the better). (\$: US dollar, X: The foreign currency that you have chosen) St(X/\$) = Beginning Rate St+1(X/\$) = Ending Rate The % appreciation (or depreciation) in X can be calculated as; [(Ending Rate – Beginning Rate) / Beginning Rate] x 100

3) Explore recent exchange rate trends for the pairs of countries that you have selected (the time window depends on your choice, the longer the better). To plot trends, download the series to a spreadsheet.

4) Try to plot examples of some fixed and floating rates. Can you tell from the data, which countries are fixed and which are floating? Please justify and explain your conclusions

5) In the plots, can you locate data for an exchange rate crisis within your time-window?

Part 2:

1) (In order to complete this part of your assignment, please refer to your lecture notes on Uncovered Interest Arbitrage)

Imagine you are a carry trader. Obtain 15-day Swap rates for some major currencies (Remember to divide the obtained swap rates by 24): US dollar, pound, euro, Japanese yen, Swiss franc, Canadian dollar, and Austrian dollar (The number of currencies depends on your choice, the more the better) Find the lowest yield currency and call it X. How much interest would you pay in X units after borrowing X 1,000,000 for 15 days? (Remember that the raw data are annualized rates.) Obtain the exchange rate between X and every other high yield currency Y. For each Y, compute how much X would be worth in Y units today, and then in 15 days time with Y-currency interest added. Revisit this question in 15 days time, find the spot rates at the moment, and compute the resulting profit from each carry trade. Did any of your imaginary trade pay off?

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Part 1:
1. Exchange rate based on United Nations \$ (6 Foreign currencies)
Table 1

Country

Currency

Exchange Rate per Dollar

United states

Dollar

1\$

India

Indian Rupee

INR 73.4463

Brazil

Brazilian Real

BRL 3.6888

Japan

Japanese yen

JPY 112.5000

French

French franc

FRF 5.7590

Great Britain

British pound

GBP 0.7810

Kuwait

Kuwait Dinar

KWD 0.3036

2) Calculation of Appreciation (Depreciation)
Exchange rate were taken within 52 weeks
Table 2
Country

Beginning Ending rate Appreciation
Rate

(Assumed

(Depreciation)

Percentage %

2

today rate)

73.4463 − 63.2463
𝑥100 = �...

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Anonymous
I was struggling with this subject, and this helped me a ton!

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