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lz523 · 2025年06月29日

有点迷惑carry trade不是满足CIRP吗?为什么又不hedge了?

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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.

如题,记得老师讲过carry trade只违反UCIRP不违反CIPR,那意思不就是要hedge吗

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已采纳答案

发亮_品职助教 · 2025年06月30日

CIRP在任何情况下都满足。因为CIRP是强机制,有forward合约套利保证他一定成立。或者说CIRP就是forward合约的定价机制,他一定成立,否则forward合约将无从定价。

根据CIRP,对于forward合约来讲,锁定的汇率F升贬值将反应两国的息差,即高利率的货币一定贬值,低利率的货币一定相对升值,且升贬值幅度就是两国息差。那么如果USD利率是5%,CNY利率是3%,则息差是2%。

在Forward合约的定价里面,人民币将会升值2%(近似)。

于是,虽然在中国借钱,发生成本3%,跑到美国去投资,实现5%的收益,实现息差2%。但如果用Forward进行对冲的话,Forward合约里面锁定的外汇是人民币相对贬值2%,那么用forward锁定的汇率将2%的美元息差换回人民币后,净收益恰好为0。


其实本质就是forward的升贬值就等于两国的息差,高利率的货币贬值,低利率的货币升值。所以做carry trade赚到的息差,会被forward合约的升贬值恰好抹平,净收益等于0。于是为了赚到carry trade收益,carry trade我们都不用forward进行对冲。carry trade会保留外汇头寸。


UCIRP是弱机制,没有合约保证他一定成立。UCIRP是说,从长期来看,根据无套利原则,将来的外汇利率会反映两国息差,高利率国家的汇率贬值,低利率的货币升值。但是短期内套利很难完成,且短期汇率受到多方因素干扰,所以短期的外汇升贬值不等于两国息差。

那么这样的话,carry trade赚到息差,外汇的升贬值不会抹平息差收益,如高利率货币不一定贬值,那么我们做carry trade时才有利可图。


所以就是因为我们认为UCIRP中短期不成立(现实也确实是这样),所以我们才会考虑做carry trade。否则如果UCIRP一直都成立的话,carry trade的息差永远会被汇率升贬值抹平,那么净收益为0,没人会做这个策略。

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