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粗眉毛辣椒油 · 2024年03月10日

不明白这道题的思路

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020020601000060

问题如下：

Until recently, Country A and Country B had similar interest rates. The central bank of Country A has just increased interest rates. A speculator thinks this will lead to international investors moving funds from Country B’s currency to Country A’s currency to earn the higher interest rate. This will increase the demand for currency A, and as a result, currency A will strengthen relative to currency B. What spot or forward trades should the speculator do?

选项：

解释：

The speculator thinks that currency A will strengthen. However, interest rate parity indicates that it is weaker in the forward market. If the speculator is right, he or she will make money by buying currency A with currency B in the spot market and then selling it on the delivery date.

“However, interest rate parity indicates that it is weaker in the forward market”.和“buying currency A with currency B in the spot market and then selling it on the delivery date.”是不是没有关系啊？前一句是说根据利率平价理论，currencyA相对于B会贬值，按这个逻辑，应该做空currencyA，那就是先borrow A，投资获得收益，同时签订long forward协议，未来买A还期初借来的A。但后面这句话就是针对speculator判断的currency A相对于B会升值的做法，即期初买A，期末以高价卖A。

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已采纳答案

李坏_品职助教 · 2024年03月10日

嗨，从没放弃的小努力你好：


答案的意思是，投机者认为A货币会升值，但是如果依据利率平价理论，A货币在远期市场是贬值的。答案是在说这个投机者这么想当然的认为A货币一定升值是有风险的。

后面说的是，如果投机者的观点是正确的，那么他会通过买入货币A并在交割日卖出货币A而赚钱。这最后一句话和利率平价没啥关系，前面引入利率平价的意思是说这个人这么做交易是有风险的。

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