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张大龙 · 2025年07月08日

我能不能来点死记硬背的方法。。。就是分子是不值钱的币种、分母是值钱的币种。。。

NO.PZ2023091802000069

问题如下:

You are examining the exchange rate between the U.S. dollar and the Euro and have the following information:

Current USD/EUR exchange rate is 1.25.

Current USD-denominated 1-year risk-free interest rate is 4% per year.

Current EUR-denominated 1-year risk-free interest rate is 7% per year.

According to the interest rate parity theorem, what is the 1-year forward USD/EUR exchange rate?

选项:

A.

0.78

B.

0.82

C.

1.21

D.

1.29

解释:

The forward rate, Ft, is given by the interest rate parity equation:

where S0 is the spot exchange rate, r is the domestic (USD) risk-free rate, and rf is the foreign (EUR) risk-free rate, t is the time to delivery.

Substituting the values in the equation:

我能不能来点死记硬背的方法。。。就是分子是不值钱的币种、分母是值钱的币种。。。

1 个答案

李坏_品职助教 · 2025年07月08日

嗨,从没放弃的小努力你好:


interest rate parity。


记住结论:高利率国家的货币,未来倾向于贴水(就是F会小于S)。反过来也成立:低利率国家未来会升水(F大于S)。


现在是EUR利率更高,而且EUR是base,所以你算的F应该是小于S才对。 所以括号里必定是小减大,0.04-0.07.

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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