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Yvonne0719 · 2024年07月16日

如何判断升水和贴水？

  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).


C正确。为了消除套利机会，即期汇率(S)、远期汇率(F)、基准货币利率(rd)和价格货币利率(rf)必须满足:
Ff/d/ Sf/d = (1+rfτ） /（ 1+rdτ)。

根据该公式，当且仅当价格货币的利率高于基础货币的利率(rf > rd)时，基础货币将以远期溢价(F > S)进行交易。

解析看不懂

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1 个答案

笛子_品职助教 · 2024年07月17日

嗨，爱思考的PZer你好：


如何判断升水和贴水？

这里需要首先掌握利率高低与升贴水的关系。知识点如下：

对于price currency/base currency的货币表达式。

如果base currency的利率，高于price currency，则base currency远期贬值，base currency的forward贴水。

如果base currency的利率，低于price currency，则base currency远期升值，base currency的forward升水。


在以上知识点的基础上，结合本题。

选C。

the interest rate is higher in the price currency than in the base currency，意味着base currency利率更低，base currency的forward升水。



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