No.PZ2023041102000015

问题如下：

Anna Goldsworthy is the chief financial officer of a manufacturing firm headquartered in the United Kingdom. Goldsworthy is expecting to receive a customer payment of JPY 225,000,000 (Japanese yen) that she wants to convert to pounds sterling (GBP).Goldsworthy gathers the exchange rates from Dealer A in Exhibit 1.

Selected three-month Libors (annualized) are shown in Exhibit 3.

Goldsworthy states: “The JPY/GBP exchange rate in 90 days would be a valuable piece of information to know. An international parity condition can be used to provide an estimate of the future spot rate.”

The international parity condition Goldsworthy will use to provide the estimate of the future JPY/GBP spot rate is most likely:

选项：

A.covered interest rate parity. B.uncovered interest rate parity. C.relative purchasing power parity.

解释：

According to uncovered interest rate parity

the expected change in the spot exchange rate should reflect the interest rate spread between the two countries, which can be found in Exhibit 3. Given the spot exchange rate (from Exhibit 1) and the expected future change, she should be able to estimate the future spot exchange rate.