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不忘初心 · 2024年03月21日

If the speculator is right，该怎么操作套利呢？

  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.

t=0，speculator 借入B，买A，把A存银行赚高利息，对吗？

t=t, speculator取回A本息，买B还银行，是这样吗？

这样能套利吗？是不是要有前提条件，A的利率要超过AB的汇率才行呢？

谢谢老师。

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1 个答案

品职答疑小助手雍 · 2024年03月22日

同学你好，你说的操作少了一环。当然这样的操作前提条件解析里也提到了，就是利率评价公式成立，（虽然现在A升值）未来A会贬值。

0时刻，借B，用B换A，这样才有可能短期赚到A的高息，同时因为短期A升值（可以换很多B），所以签订一个用A换B的远期合约锁定A换B的汇率。

t时刻，期间赚了A的高息，同时虽然A变质了，但你依旧可以通过远期合约换到很多B，来偿还0时刻借的B。

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