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luckygrace · 2024年04月23日

forward premium

  1. CFA I
  2. Economics Analysis

NO.PZ2023061903000026

问题如下：

Q. A forward premium indicates:

选项：

A.an expected increase in demand for the base currency.

B.the interest rate is higher in the base currency than in the price currency.

C.the interest rate is higher in the price currency than in the base currency.

解释：

C is correct. To eliminate arbitrage opportunities, the spot exchange rate (S), the forward exchange rate (F), the interest rate in the base currency (rd, and the interest rate in the price currency (rf) must satisfy:

Ff/d/ Sf/d = (1+rfτ / 1+rdτ).

According to this formula, the base currency will trade at forward premium (F > S) if, and only if, the interest rate in the price currency is higher than the interest rate in the base currency (rf > rd).

A 预期价格要上涨，不就是远期升水吗？ 还有C为什么对？怎么推出了的？

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1 个答案

笛子_品职助教 · 2024年04月23日

嗨，努力学习的PZer你好：


A 预期价格要上涨，不就是远期升水吗？ 还有C为什么对？怎么推出了的？

Hello，亲爱的同学~

总需求增加，与forward premium并没有太大的关系。

我们学到的利率平价中，与forward premium有关的，只有covered 利率平价。

根据covered URP，利率高的国家，forward贴水。

A是凑选项的。


汇率衡量的是base currency的货币。

C选项里，price currency的利率更高，意味着base currency 国家的利率更低。

根据covered IRP，利率更低的国家，forward升水。

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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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