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庄园monar · 2022年09月17日

我有一点想不明白

NO.PZ2016010801000115

问题如下:

In spot market, Swiss Franc (CHF) is traded at CHF/EUR 1.1613. In forward market, the 90-day forward rate is CHF/EUR 1.1592. Which of the following statement is most likely correct?

选项:

A.

Interest rates are lower in the Euro Zone relative to Switzerland.

B.

Interest rates are higher in the Euro Zone relative to Switzerland.

C.

More CHF is needed to exchange one EUR in the forward market than exchange in the spot market.

解释:

B is correct.

Forward rate in CHF/EUR = spot rate* (1+interest rate in Switzerland)/(1+interest rate in Euro Zone). Forward rate is lower than spot rate in CHF/EUR as1.1592<1.1613, therefore Interest rates are higher in the Euro Zone than in Switzerland.

考点:Forward rate

解析:瑞士法郎/欧元远期利率=即期利率*(1+瑞士利率)/(1+欧元区利率)。远期利率低于即期汇率(CHF/EUR =1.1592<1.1613),因此欧元区利率高于瑞士区利率。

作为price的货币利率高,远期的汇率就会升高

作为base的货币利率高,远期的汇率就会降低


price的货币利率高,钱应该会从base货币的国家流向price货币的国家啊,应该会升值才对啊?

就像现在美国利率高,美元就在升值;

这道题Euro的利率高了,1 Euro兑的CHF反而降低了,为什么?

1 个答案
已采纳答案

笛子_品职助教 · 2022年09月18日

嗨,努力学习的PZer你好:


Hello,亲爱的同学。这个问题是要区分现货和远期。


同学所说的,price的货币利率高,钱应该会从base货币的国家流向price货币的国家啊,应该会升值才对啊?

这是从spot角度来看的,货币利率高,资金会做carry trade,借低利率,投高利率,引起高利率货币的即期汇率升值。


就像同学所说的,美国利率高,美元就在升值,指的就是这种情形。

同学看的美元在升值,是美元的spot 汇率在升值。


这道题Euro的利率高了,1 Euro兑的CHF反而降低了,为什么?


这道题并不是问spot 汇率是否升值还是贬值,它问的是,forward有spot的升贴水。

F和S的关系,是用利率平价来解释的。


我么看以上利率平价,它描述的是F和S的关系(远期升贴水),而不是S的升值和贬值。


在即期汇率升值的时候,远期汇率是可以贴水的。

就像前段时间的石油价格,石油现货大幅上涨的时候,远期期货虽然也涨,但是远期价格始终低于现货价格,体现为大幅贴水。





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NO.PZ2016010801000115 问题如下 In spot market, Swiss Franc (CHF) is traCHF/EUR 1.1613. In forwarmarket, the 90-y forwarrate is CHF/EUR 1.1592. Whiof the following statement is most likely correct? A.Interest rates are lower in the Euro Zone relative to Switzerlan B.Interest rates are higher in the Euro Zone relative to Switzerlan C.More CHF is neeto exchange one EUR in the forwarmarket thexchange in the spot market. B is correct.Forwarrate in CHF/EUR = spot rate* (1+interest rate in Switzerlan/(1+interest rate in Euro Zone). Forwarrate is lower thspot rate in CHF/EUR as1.1592 1.1613, therefore Interest rates are higher in the Euro Zone thin Switzerlan考点Forwarrate解析瑞士法郎/欧元远期利率=即期利率*(1+瑞士利率)/(1+欧元区利率)。远期利率低于即期汇率(CHF/EUR =1.1592 1.1613),因此欧元区利率高于瑞士区利率。 老师,C能否展开说下,谢谢。

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Interest rates are higher in the Euro Zone relative to Switzerlan More CHF is neeto exchange one EUR in the forwarmarket thexchange in the spot market. B is correct. Forwarrate in CHF/EUR = spot rate* (1+interest rate in Switzerlan/(1+interest rate in Euro Zone). Forwarrate is lower thspot rate in CHF/EUR as1.1592<1.1613, therefore Interest rates are higher in the Euro Zone thin Switzerlan 考点Forwarrate 解析瑞士法郎/欧元远期利率=即期利率*(1+瑞士利率)/(1+欧元区利率)。远期利率低于即期汇率(CHF/EUR =1.1592<1.1613),因此欧元区利率高于瑞士区利率。 货币贬值难道不是利率降低吗?

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