NO.PZ2018111501000013
问题如下:
Sophia, a British analyst, finds that there is a persistent trend that the UK interest rate will be low and Chinese interest rate will be high. She decides to borrow in GBP and invest in CNY without currency hedging. Which of the following factor will benefit mostly regarding her trading strategy?
选项:
A.the interest rate difference becomes narrower.
B.a larger forward premium for CNY/GBP.
C.the volatility in CNY/GBP exchange rate becomes higher.
解释:
B is correct.
考点:Carry trade
解析:
B选项:
higher forward premium或者表述为larger forward premium,是两国利差比较大的意思,在carry trade中看到这个表述就直接等同为两国利差变大。
可以从下面这个角度来理解:
(1)我们可以用covered
interest rate parity(抛补的利率平价公式)来解释,根据. covered interest
rate parity:F/S0=(1+r_A)/(1+r_B) (汇率标价形式为A/B); 其中r_A
(2)得到F
(3)所以,如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A的程度越大,对应的低利率货币A就会有更大的forward premium。而r_A
执行carry trade策略要求两国利差比较大和波动率比较小,因此A选项和C选项说的两国利差变小和波动率变大,显然不利于执行carry trade,所以不能选,而只有B是正确的。
对于forward premium for CNY/GBP我想确认是不是就是指GBP是forward premium? 对应CNY是forward discount?