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mino酱是个小破货 · 2025年05月13日

烦请问下老师这么回答可以吗?谢谢老师

* 问题详情,请 查看题干

NO.PZ202212300200001701

问题如下:

Based on the information in Exhibit 2, determine a carry trade for BC. Justify your response.

选项:

解释:

Correct Answer:

Implement a carry trade for BC by borrowing in USD and invest in GBP.

The spread in yields is widest between the United Kingdom and the United States, and the USD/GBP currency pair has the lowest implied volatility, which is better for a carry trade.

UK interest rates are the highest, so the GBP would be an appropriate currency to invest, not to borrow. US interest rates are the lowest, so the USD would be an appropriate funding currency, not an investment currency.

The Eurozone has higher one-year yield levels compared to the US, so this would not be the appropriate funding currency. Furthermore, one-year implied volatility for the Eurozone is the highest, which does not benefit a carry trade.

BC should implement a carry trade by borrowing low interest yield in United States and investing in high interest yield in United Kingdom since this currency pair has widest yield spread.What’s more, USD/EUR has lowest implied volatility, which means highest stability.

1 个答案

李坏_品职助教 · 2025年05月13日

嗨,从没放弃的小努力你好:


不是borrow interest yield,应该是borrow USD because USD has low interest rate and invest in GBP because GBP has high interest rate.


其他的没问题。

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