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Zunniyaki · 2021年10月05日

能否通过EUR against the foreign currency USD这种表达方式判断?

NO.PZ2018111501000001

问题如下:

Aron wants to analyze the movement of EUR against the foreign currency USD for portfolio X. It is known that the domestic-currency return is 15% and the foreign-currency asset return is 12%. Which of the following is correct?

选项:

A.

the percentage movement in the spot exchange rate is -2.61%, EUR relative to USD is appreciated.

B.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is appreciated.

C.

the percentage movement in the spot exchange rate is 2.68%, EUR relative to USD is depreciated.

解释:

C is correct.

考点:Currency Risk & Portfolio Return and Risk

解析:

RDC=(1+RFC)(1+RFX)1R_{DC}=(1+R_{FC})(1+R_{FX})-1

已知domestic-currency return is 15%,即RDC=15%R_{DC}=15\%,foreign-currency asset return is 12%,即RFC=12%R_{FC}=12\% ,代入公式,则RFX=2.68%R_{FX}=2.68\% 。根据EUR/USD(DC/FC)的外汇报价方式,由于RFX>0R_{FX}>0,因此USD相对于EUR是升值的,也就是说, EUR相对于USD是贬值的。

老师,您好!请问下,通过这道题的题干的描述:“EUR against the foreign currency USD”,能否直接判断出来是USD/EUR还是EUR/USD?

1 个答案

pzqa015 · 2021年10月07日

嗨,爱思考的PZer你好:


可以的。

一般我们都采用DC/FC这种表达方式来做外汇管理的题目,根据题中的表述foreign currency USD,且告诉DC和FC的return,就可以推断出应该是EUR/USD这种汇率表达形式。

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