NO.PZ2024092001000041
问题如下:
Which of the following international parity conditions is enforced by arbitrage?
选项:
A.Forward rate parity
B.Purchasing power parity
C.Covered interest rateparity
解释:
A Incorrectbecause covered interest rate parity is the only parity condition that isenforced by arbitrage. Therefore, forward rate parity cannot be enforced byarbitrage.
B Incorrect because coveredinterest rate parity is the only parity condition that is enforced byarbitrage. Therefore, purchasing power parity cannot be enforced byarbitrage.
C Correct because covered interest rate parity is the only parity condition that isenforced by arbitrage.
A 选项错误,因为覆盖利息平价(Covered Interest Rate Parity, CIP)是唯一由套利直接强制执行的平价条件,而远期汇率平价(Forward Rate Parity)并非独立的套利条件,而是覆盖利息平价的衍生结果。远期汇率平价的成立依赖于覆盖利息平价,但其本身并不直接通过套利维持(例如,远期汇率平价假设无风险利率差异等于远期溢价,但现实中套利主要通过即期、远期市场和货币市场操作实现,核心是 CIP)。
B 选项错误,因为购买力平价(Purchasing Power Parity, PPP)无法通过套利强制执行。PPP 基于商品价格的跨国均衡,但由于贸易壁垒、运输成本、非贸易品存在等因素,商品套利难以完全消除价格差异,导致 PPP 更多是长期理论假设,而非即时套利的结果。
C 选项正确,因为覆盖利息平价是唯一由套利直接驱动的平价条件。
如题,请用例子讲一下这题的考点