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Weike · 2024年02月05日

Exchange rate calculation

  1. CFA I
  2. Economics Analysis

NO.PZ2023071902000005

问题如下：

Question When the local currency is trading at a forward premium, the interest rate in the foreign country, compared to the domestic country's interest rate, is most likely:

选项：

A.lower.

B.higher.

C.the same.

解释：

Solution


B Correct. The currency with the higher (lower) interest rate will always trade at a forward discount (premium). The lower interest rate in the domestic country will be compensated by the appreciation of the domestic currency over the investment period.

Exchange Rate Calculations

• explain the arbitrage relationship between spot and forward exchange rates and interest rates, calculate a forward rate using points or in percentage terms, and interpret a forward discount or premium

可以解释一下这道题么

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1 个答案

笛子_品职助教 · 2024年02月05日

嗨，爱思考的PZer你好：


可以解释一下这道题么

Hello，亲爱的同学~

这里需要先了解一个知识点：covered 利率平价。

意思是：

在利差上赚的钱，会在汇率衍生品上亏掉。

或者在汇率衍生品上赚的钱，会在利差上亏掉。

盈亏相等，形成均衡。


在以上知识点的基础上，再看本题

本题，汇率远期是升水，即本国F -S >0，在衍生品上对冲只盈利的。

因此，利差就必须是亏钱的。

也就是持有本国货币赚的利息，要小于外国货币。

也就是B选项，外国货币的利率更高。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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