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Nicole Xiang · 2024年11月13日

请问A为什么错了呢？

  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。

请问A为什么错了呢？

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1 个答案

品职助教_七七 · 2024年11月13日

嗨，爱思考的PZer你好：


A选项是一个非常常见的误区，直觉上很多人都会选A，但具体的判断需要根据公式来。

由于选项在说利率，将forward premium（即F-S）和利率联系在一起的是Interest rate parity。

从公式可以看出，F-S 只跟两国利率差有关系，并不直接体现对于某种货币的“demand”。F＞S只能说明rx＞ry。即X/Y的标价形式下，price currency X的利率更高。


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