NO.PZ202212300200001702
问题如下：
Determine under what circumstances the carry trade
will not be executed.
选项：
解释：
Correct Answer:
Carry trade is not
executed when the uncovered interest rate parity holds.
In this case, the
interest rate differential is completely offset by the depreciation of the
currency, making carry trade meaningless.
老师好，
1）这题能否从Carry trade不适合在市场波动大的条件下执行这个角度出发回答？还是一定要回答到carry trade在uncover IRP成立的情况下不适合执行？因为题干给的表格是各个currency pair的波动率，如果按照李老师给的框架： 原理+证据+结论，从uncover IRP成立，出发似乎很难在题干中找到证据（题目的解答里也没有从题干中找证据）
2）如果可以从波动率出发
我下面这样回答可以吗？
Carry trade profit=yield of high yield currency A - yield of low yield currency B - foregin exchange rate change of A/B.
Carry trade is not suitable for volatile maket, since foreging exchange rate decline of B against A will reduce, or even offset the profit from interest rate spread.
Given that currency pair of USD/EUR with the highest impiled volatility(9.5%), so even though yield of EUR(0.11%) is higher than yield of USD(0.05%), carry trade will not be executed for this currency pair.
主要对这几个细节没有把握
1）carry trade profit 的公式中，foregin exchange rate change of A/B 这样的描述可否
2）“since foreging exchange rate decline of B against A will reduce,” 这句，对于B相对于A贬值的描述是否对。
