NO.PZ201512020800000103
问题如下:
3. Based on Exhibit 3, the potential all-in USD return on the carry trade is closest to:
选项:
A.1.04%.
B.1.40%.
C.1.84%.
解释:
A is correct.
The carry trade involves borrowing in a lower yielding currency to invest in a higher yielding one and netting any profit after allowing for borrowing costs and exchange rate movements. The relevant trade is to borrow USD and lend in Euros. To calculate the all-in USD return from a one-year EUR Libor deposit, first determine the current and one-year later USD/EUR exchange rates. Because one USD buys CAD 1.0055 today, and one CAD buys EUR 0.7218 today, today’s EUR/USD rate is the product of these two numbers:
1.0055 × 0.7218 = 0.7258. The projected rate one year later is: 1.0006 × 0.7279 = 0.7283. Accordingly, measured in dollars, the investment return for the unhedged EUR Libor deposit is equal to:
(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1
= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%
However, the borrowing costs must be charged against this gross return to fund the carry trade investment (one-year USD Libor was 0.80%). The net return on the carry trade is thereby closest to: 1.84% – 0.80% = 1.04%.
考点:Carry trade, 是二级经济必考的一个知识点。
解析:整体的逻辑就是从利率低的国家借钱投资到利率高的国家,这道题从表格可以看出美国的利率最低,而欧洲的利率最高,因此我们要从美国借钱投资到欧洲,然后再换回美元,再减去美元的资金成本,可以得到all-in return。
第一步,我们需要确定即期以及一年之后USD/EUR的汇率报价,根据表3,利用交叉汇率可得 EUR/USD=CAD/USD*EUR/CAD:
即期汇率:1.0055 × 0.7218 = 0.7258
一年后的汇率:1.0006 × 0.7279 = 0.7283
接着我们套用 carry trade 的公式,计算得到借美元,投欧元的投资收益:
(1.0055 × 0.7218) × (1 + 0.022) × [1/(1.0006 × 0.7279)] –1
= 0.7258 × (1.022)(1/0.7283) –1 = 1.0184 – 1 = 1.84%
注意到,借美元本身也有成本,那就是美元的利息,所以在计算all-in return时需要把这部分利息扣去这部分成本,最终得到:
1.84% – 0.80% = 1.04%.
0.018352-0.8%,如果按计算器的时候,先按0.018352,再摁减去0.008,那么结果就是1.04%。如果先按0.018352,再摁0.8,再摁百分号,得到的结果就是错的,为什么?