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sliang · 2024年10月27日

fixed income

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NO.PZ202112010200000704

问题如下:

Which of the following statements best describes the forward rate bias?

选项:

A.

Investors tend to favor fixed-income investments in currencies that trade at a premium on a forward basis.

B.

Investors tend to hedge fixed-income investments in higher-yielding currencies given the potential for lower returns due to currency depreciation.

C.

Investors tend to favor unhedged fixed-income investments in higher-yielding currencies that are sometimes enhanced by borrowing in lower-yielding currencies.

解释:

C is correct.

Forward rate bias is defined as an observed divergence from interest rate parity conditions under which active investors seek to benefit by borrowing in a lower-yield currency and investing in a higher-yield currency.

A is incorrect since lower-yielding currencies trade at a forward premium. B is incorrect due to covered interest rate parity; fully hedged foreign currency fixed-income investments will tend to yield the domestic risk-free rate.

请问这题的A为什么错,可以再详细的解释一下么?谢谢

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发亮_品职助教 · 2024年10月29日

这道题就是考查forward rate bias。Forward rate bias就是指不满足Uncovered interest rate parity的情况。


先说一下满足Uncovered interest rate pairty:

在uncovered interest rate parity成立时,会达到天下大同。

即,不同的货币虽然无风险利率不同,但是汇率会进行调整,最终使得在不同国家投资最终获得的收益一致(换算成同一货币后的收益)。

例如,A国的无风险利率更高为9%,B国的无风险利率更低为5%。

当uncovered interetst rate parity成立时,A国汇率会进行调整贬值,这个调整会使得A,B两国最终的投资收益率一致(换算成同一个货币后的收益)。

那这样就是相对于B国货币,A的货币会贬值4%。

这样的话A国9%的无风险收益,换算成B国货币有4%贬值,最终的收益为5%(以B国货币衡量)

这和直接投资B国无风险利率赚取5%的收益是一样的。

总之,uncovered interest rate parity成立,可以判断利率高的货币,将来会贬值;利率低的货币,将来会升值。

汇率的升贬值会恰好完全抵消利率差,最终,换算成同一货币后,两国的投资收益率一致。所以在这种情况下,投资哪个国家都一样。


而Forward rate bias是指,汇率的升贬值不到位,汇率升贬值无法抵消利率差。即,前面描述的uncovered interest parity不成立。

例如,A国无风险利率9%,B国无风险利率5%。当出现Forward rate bias时,有可能A国的货币只贬值了1%,或者A国货币不但没贬值反而还升值了。总之就是没有实现前面描述的uncovered interest parity。

在这种情况下,显然是投资高利率国家有利可图。


选项A说,在出现Forward rate bias时:

Investors tend to favor fixed-income investments in currencies that trade at a premium on a forward basis.

当Forward rate bias时,应该投资在:有forward premium的货币上(premium on a forward basis)

Forward premium和Forward discount讨论的是Forward合约里面的汇率定价。

在Forward合约定汇率价格时,已知低利率的货币,其Forward合约定出的汇率会出现Premium;而高利率的货币,其Forward合约的定出来的汇率会出现discount。

选项A说的premium on a forward basis,其实是在告诉我们,这是一个低利率货币。

所以连起来就是:在出现Forward rate bias时,我们应该投在低利率货币上。

这个说法完全错误!当出现Forward rate bias时,应该是直接投资高利率货币。


选项A就是要先通过Premium on a forward basis判断出来这是在讨论forward合约的premium,知道能出现这种合约的货币是低利率货币。

然后要知道,在出现forward rate bias时,无法实现天下大同,应该是投资高利率货币赚取更高收益。而A选项的低利率货币显然不满足。所以本题不选A。

发亮_品职助教 · 2024年10月29日

是的

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