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薛真 · 2020年10月08日

问一道题:NO.PZ2020020601000060

问题如下:

Until recently, Country A and Country B had similar interest rates. The central bank of Country A has just increased interest rates. A speculator thinks this will lead to international investors moving funds from Country B’s currency to Country A’s currency to earn the higher interest rate. This will increase the demand for currency A, and as a result, currency A will strengthen relative to currency B. What spot or forward trades should the speculator do?

选项:

解释:

The speculator thinks that currency A will strengthen. However, interest rate parity indicates that it is weaker in the forward market. If the speculator is right, he or she will make money by buying currency A with currency B in the forward market and then selling it on the delivery date.

A贬值,远期时,按老师讲的 short B/A,即卖A买B,即在远期用货币A换货币B,那么,在远期我们得现有货币A,故在T0时刻是用B换A。现在我们假设T0时刻汇率为2B/A,远期时刻汇率为1B/A,很明显,A贬值,符合条件。在假设,我们to时刻有10个B,那么t0时刻可以换到5个A,那么,在远期时刻我们用5个A换称5个B,原先是10个B,这不是亏了吗?我不理解。请老师解惑。

2 个答案

品职答疑小助手雍 · 2024年02月27日

他如果认为A将来会升值,那针对A货币就是long forward。现在借个A,同时签订远期约定未来拿5个B买A。

未来A升值了,需要拿10个B才能换A了,在市场上把借到的A卖了换10个B,执行远期用5个B买个A把以前借的A还了。

品职答疑小助手雍 · 2020年10月08日

嗨,从没放弃的小努力你好:


这题的意思是假设这个投机者是对的,和利率平价公式无关。

投机者认为A货币将会升值。

所以通过forward先锁定A的汇率,比如现在是那5个B换一个A。锁住。

将来A升值了要拿10个B换1一个A。这时按照forward合约,他可以用5个B换1个A,然后在市场上把1个A再换成10个B,净赚5个B。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


12345678wdv · 2024年02月27日

可以理解为 short spot , long forward吗

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NO.PZ2020020601000060 问题如下 Until recently, Country A anCountry B hsimilinterest rates. The centrbank of Country A hjust increaseinterest rates. A speculator thinks this will leto internationinvestors moving fun from Country B’s currento Country A’s currento earn the higher interest rate. This will increase the manfor currenana result, currenA will strengthen relative to currenWhspot or forwartras shoulthe speculator ? The speculator thinks thcurrenA will strengthen. However, interest rate parity incates thit is weaker in the forwarmarket. If the speculator is right, he or she will make money buying currenA with currenB in the spot market anthen selling it on the livery te. t=0,speculator 借入B,买A,把A存银行赚高利息,对吗?t=t, speculator取回A本息,买B还银行,是这样吗?这样能套利吗?是不是要有前提条件,A的利率要超过AB的汇率才行呢?谢谢老师。

2024-03-21 12:11 1 · 回答

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2024-03-10 17:34 1 · 回答

担心A贬值,所以在远期卖A,即远期是用B卖A吗?如果是,用B卖A怎么理解?老师讲,用B买A是远期时有B,然后用B换成A,那用B卖A怎么讲

2020-10-07 23:56 1 · 回答

根据李老师视频讲解,当一个国家的货币上涨,不就是long spot ,根据平价理论,又担心A货币最终会贬值,就shot forwar好像正好跟答案的讲解相反了,答案是long forwar麻烦老师讲解一下,谢谢!

2020-02-19 21:06 3 · 回答