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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

可以解释一下答案么，为什么利率变化与forward rate成反比

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1 个答案

笛子_品职助教 · 2024年02月06日

嗨，从没放弃的小努力你好：


可以解释一下答案么，为什么利率变化与forward rate成反比

Hello，亲爱的同学~

同学这里需要先了解一个知识点：covered 利率平价。

covered 利率平价的含义是：

人们在利差上的盈利，会在升贴水中亏掉。

或者：人们在利差上的亏损，会在升贴水中赚到

盈亏相等，因此是均衡。


在以上知识点基础上，我们再来看本题。

本国F是升水交易，即F-S>0，因此在升贴水上，持有本币是盈利。

那么在利差上，持有本币就必须是亏损的。也就是本国利率低于外国利率。

因此选B，外国利率相对本国利率是higher



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