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SHAO · 2023年10月31日

老师，请问这道题能否通过spread变化来选出答案呢？

  1. CFA II
  2. Economics Analysis

NO.PZ2018091706000045

问题如下：

Analyst Bob is studying foreign exchange market. He observes that:

1. The spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask.

2. The 6-month forward rate is 1.5532 USD/GBP for bid and 1.5540 for ask.

So, Bob can get which of the following conclusions?

选项：

A.

The 6-month USD interest rate is less than the 6-month GBP interest rate.

B.

The 6-month USD interest rate is greater than the 6-month GBP interest rate.

C.

The 6-month USD interest rate is equal to the 6-month GBP interest rate.

解释：

B is correct.

考点：Interest rate parity

解析：根据利率平价理论，我们可以得到如下公式：

FUSD/GBP=SUSD/GBP(1+iUSD(180360)1+iGBP(180360))F_{USD/GBP}=S_{USD/GBP}{(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}

现在分析师Bob观察到的结果是F>S。因此，等式右边(1+iUSD(180360)1+iGBP(180360))(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})这一项数值一定大于1。所以该项中分子的iUSDi_{USD} 分母的iGBPi_{GBP}。所以选B。

老师，请问这道题能否通过spread变化来选出答案呢？现在的spread是0.5，未来的spread是0.8，USD/GBP的spread上升能否判断出两个货币谁升值谁贬值呢？请问通过这个思路能不能得到答案呀

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笛子_品职助教 · 2023年11月01日

嗨，努力学习的PZer你好：


老师，请问这道题能否通过spread变化来选出答案呢？现在的spread是0.5，未来的spread是0.8，USD/GBP的spread上升能否判断出两个货币谁升值谁贬值呢？请问通过这个思路能不能得到答案呀


Hello，亲爱的同学！

不能通过spread来得到答案哦。

升值贬值，我们是看forward和spot，对比这两个汇率，哪个高，哪个低。

并不能从forward内部的bid 、ask差价，或者spot内部的bid aks差价，来进行推断。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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