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沙子 · 2020年05月13日

问一道题：NO.PZ2018091706000045 [ CFA II ]

  1. CFA II
  2. Economics Analysis

问题如下：

Analyst Bob is studying foreign exchange market. He observes that:

1. The spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask.

2. The 6-month forward rate is 1.5532 USD/GBP for bid and 1.5540 for ask.

So, Bob can get which of the following conclusions?

选项：

A.

The 6-month USD interest rate is less than the 6-month GBP interest rate.

B.

The 6-month USD interest rate is greater than the 6-month GBP interest rate.

C.

The 6-month USD interest rate is equal to the 6-month GBP interest rate.

解释：

B is correct.

考点：Interest rate parity

解析：根据利率平价理论，我们可以得到如下公式：

FUSD/GBP=SUSD/GBP(1+iUSD(180360)1+iGBP(180360))F_{USD/GBP}=S_{USD/GBP}{(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}

现在分析师Bob观察到的结果是F>S。因此，等式右边(1+iUSD(180360)1+iGBP(180360))(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})这一项数值一定大于1。所以该项中分子的iUSDi_{USD} 分母的iGBPi_{GBP}。所以选B。

我想问一下，1）利率提高，汇率升值是什么理论啊？ 2）这个理论用在哪里啊？ 3）为什么这里要用评价理论？
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1 个答案

丹丹_品职答疑助手 · 2020年05月13日

嗨，从没放弃的小努力你好：


同学你好，解析中有明确说考点是利率平价理论哦。这部分我们根据题干，看到汇率看到远期，选型中有interest

rate的比较可以推测到利率平价理论。请知悉。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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