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Diana · 2023年01月23日

不太明白

  1. CFA I
  2. Economics Analysis

NO.PZ2016010802000212

问题如下：

A forward premium indicates:

选项：

A.

an expected increase in demand for the base currency.

B.

the interest rate is higher in the base currency than in the price currency.

C.

the interest rate is higher in the price currency than in the base currency.

解释：

C is correct.

To eliminate arbitrage opportunities, the spot exchange rate (S), the forward exchange rate (F), the interest rate in the base currency ( ib) , and the interest rate in the price currency ( ip) must satisfy:

F/S=(1+ip)/(1+ib)

According to this formula, the base currency will trade at forward premium (F > S) if, and only if, the interest rate in the price currency is higher than the interest rate in the base currency (ip) > (ib) .

考点：Forward Premium and Discount

解析：

F/S=(1+ip)/(1+ib)

依据公式如果F大于S，那么标价货币的利率要大于基础货币的利率。C选项正确，B选项错误。

A选项说法没有C选项好，基础货币预期的需求量增加，同时其他条件比如基础货币供给不变的情况下，才会产生 forward premium

题目里说higher interest rate will trade at a discount, 这是一个考点吗？那题目中是premium的话，不应该price currency interest rate低吗？

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笛子_品职助教 · 2023年01月24日

嗨，从没放弃的小努力你好：


题目里说higher interest rate will trade at a discount, 这是一个考点吗？

Hello，亲爱的同学！新年快乐。


higher interest rate will trade at a discount是考点。

根据利率平价公式：高利率的货币，forward是贴水的。同理，低利率货币，forward是升水的。


那题目中是premium的话，不应该price currency interest rate低吗？

如果base currency的forward是premium（升水），则意味着base currency的interest rate低，price currency的interest rate高。

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