若本题是EUR本币贬值7%，是否可以直接认为是外币GBP升值7%，直接带入计算？

NO.PZ2018111501000002

问题如下：

Aron wants to analyze the foreign-currency return for Portfolio Y. The domestic currency is EUR and the foreign currency is GBP. It is known that the domestic-currency return is 2%, and GBP appreciated 7% against the EUR.

The foreign-currency portfolio return is:

选项：

-4.67%

9.68%

4.90%

解释：

A is correct.

考点：Currency Risk & Portfolio Return and Risk

$R_{DC}=(1+R_{FC})(1+R_{FX})-1$

已知domestic-currency return is 2%, 即 $R_{DC}=2\%$ 。GBP appreciated 7% against the EUR，根据EUR/GBP（DC/FC）的外汇报价方式，GBP升值7%，即 $R_{FX}=7\%$ 。代入公式，可以求出 $R_{FC}=-4.67\%$ 。

如题

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1 个答案

Hertz_品职助教 · 2022年08月03日

嗨，努力学习的PZer你好：

同学你好

不可以。

因为一个币种升值的幅度，精确计算起来并不等于另一个币种贬值的幅度。

举例来说：

加入A/B=1，然后B升值了7%，那么A/B变成了1.07；

对应的一开始B/A=1，后来B/A=1/1.07=0.934579；计算一下A的贬值幅度等于0.934579-1/1= - 6.5421%。

即B升值了7%；对应的是A贬值了6.5421，并不是7%。

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

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若本题是EUR本币贬值7%，是否可以直接认为是外币GBP升值7%，直接带入计算？

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