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Normy · 2024年01月27日

不仅仅这个情况吧

* 问题详情,请 查看题干

NO.PZ202212300200001702

问题如下:

Determine under what circumstances the carry trade will not be executed.

选项:

解释:

Correct Answer:

Carry trade is not executed when the uncovered interest rate parity holds.

In this case, the interest rate differential is completely offset by the depreciation of the currency, making carry trade meaningless.

我觉得还有两个情况

  1. 波动率
  2. 融资货币成本变高
1 个答案

pzqa31 · 2024年01月27日

嗨,努力学习的PZer你好:


是的,是这样的。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ202212300200001702 问题如下 termine unr whcircumstances the carry trawill not execute CorreAnswer: Carry tra is notexecutewhen the uncovereinterest rate parity hol.In this case, theinterest rate fferentiis completely offset the preciation of thecurrency, making carry tra meaningless. 老师好,1)这题能否从Carry tra不适合在市场波动大的条件下执行这个角度出发回答?还是一定要回答到carry tra在uncover IRP成立的情况下不适合执行?因为题干给的表格是各个currenpair的波动率,如果按照李老师给的框架 原理+证据+结论,从uncover IRP成立,出发似乎很难在题干中找到证据(题目的解答里也没有从题干中找证据)2)如果可以从波动率出发我下面这样回答可以吗?Carry tra profit=yielof high yielcurrenA - yielof low yielcurrenB - foregin exchange rate change of A/Carry tra is not suitable for volatile maket, sinforeging exchange rate cline of B against A will rece, or even offset the profit from interest rate spreaGiven thcurrenpair of USEUR with the highest impilevolatility(9.5%), so even though yielof EUR(0.11%) is higher thyielof US0.05%), carry tra will not executefor this currenpair.主要对这几个细节没有把握1)carry tra profit 的公式中,foregin exchange rate change of A/B 这样的描述可否2)“sinforeging exchange rate cline of B against A will rece,” 这句,对于B相对于A贬值的描述是否对。

2024-05-19 11:50 1 · 回答