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Sofia nice · 2024年08月07日

请问

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。

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。


这两个推论,是因为,如果base currency的利率,高于price currency,则资金涌入base货币国,即期汇率升值,远期汇率贬值。是这个意思吗?如果不是,是怎么推出来的?

2 个答案
已采纳答案

笛子_品职助教 · 2024年08月08日

嗨,爱思考的PZer你好:


这两个推论,是因为,如果base currency的利率,高于price currency,则资金涌入base货币国,即期汇率升值,远期汇率贬值。是这个意思吗?如果不是,是怎么推出来的?

Hello,亲爱的同学~

同学理解正确。


如果base currency的利率相对高,则这部分现在进入base国的钱,以后吃完利差后,总会回国的。

比如同学拿着人民币到美国做投资,只要同学还在中国生活居住,则这部分投资到美国的钱,在获取收益后,最终是要回到中国的。

而未来这部分资金回国,会造成汇率贬值。

所以远期价格低于即期价格,base currency 的forward贴水。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Sofia nice · 2024年08月22日

A为啥不对

笛子_品职助教 · 2024年08月23日

嗨,努力学习的PZer你好:


A为啥不对

Hello,亲爱的同学~

forward premium表示:forward price > spot price。

在covered 利率平价中,形成forward premium是为了消除无风险套利。

远期(F)贴水,并不表示未来价格(ES1)会上涨。


如果把题目改一下,改为:future spot exchange > spt exchange, indicates,则可以选A。



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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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