Japanese Yen Forward. Use the following spot and forward bid-ask rates for the Japanese yen/U.S. dollar exchange rate from September 16, 2010, to answer the following questions: What is the mid-rate for each maturity? What is the annual forward premium for all maturities? Which maturities have the smallest and largest forward premiums?

Japanese Yen Forward. Use the following spot and forward bid-ask rates for the Japanese yen/U.S. dollar exchange rate from September 16, 2010, to answer the following questions: What is the mid-rate for each maturity? What is the annual forward premium for all maturities? Which maturities have the smallest and largest forward premiums?

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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Japanese Yen Forward. Use the following spot and forward bid-ask rates for the Japanese yen/U.S. dollar exchange rate from September 16, 2010, to answer the following questions:

What is the mid-rate for each maturity?
What is the annual forward premium for all maturities?
Which maturities have the smallest and largest forward premiums?

Period
spot
1 month
2 months
3 months
6 months
12 months
24 months
¥=$1.00 Bid Rate
85.41
85.02
84.86
84.37
83.17
82.87
81.79
¥=$1.00 Ask Rate
85.46
85.05
84.90
84.42
83.20
82.91
81.82

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