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cfa-y · 2023年08月06日

这题用利率平价理论思考

NO.PZ2018091706000061

问题如下:

Assume that the DM country has what is considered a low-yield safe haven currency while the EM country has a high-yield currency whose value is more exposed to fluctuations in the global economic growth rate. All else equal, the exchange rate for the EM currency will most likely depreciate if the:


选项:

A.

long-run equilibrium value of the high-yield currency is revised upward

B.

nominal yield spread between the EM and DM countries increases over time

C.

expected inflation differential between the EM and DM countries is revised upward

解释:

All else equal, an increase in the expected inflation differential should lead to depreciation of the EM currency.

解析:

real exchange rate (A/B) = equilibrium real exchange rate + (real interest rate B - real interest rate A)- (risk premium B - risk premium A)

根据上述公式。所以AB选项错误。

在其它条件相同的情况下,预期通胀率的扩大会加两国的风险溢价之差,从而应会导致新兴市场货币贬值。所以C选项正确。


这题不能用平价理论思考的原因是,平价利率评判的是E(S)吗?

平价理论中,如果Ra-Rb(名义利率)差值增加,a/b的汇率上升

但和real exchange rate(A/B)这个公式进行比较,Rb-Ra(实际利率)差值增加,a/b的汇率上升

虽然公式不一样,计算的东西不一样,但是名义利率和实际利率之间不应该有一个同向的关系吗

1 个答案

笛子_品职助教 · 2023年08月07日

嗨,努力学习的PZer你好:


这题不能用平价理论思考的原因是,平价利率评判的是E(S)吗?

利率平价有两个。

一是covered 利率平价,评判F。

一是uncover 利率平价,评判E(S)


平价理论中,如果Ra-Rb(名义利率)差值增加,a/b的汇率上升

是的,低利率的国家,汇率上升。


但和real exchange rate(A/B)这个公式进行比较,Rb-Ra(实际利率)差值增加,a/b的汇率上升

不能这么比较。

利率平价的汇率是指名义汇率,并不是指实际汇率。名义汇率 = 实际汇率 + 通胀率。


虽然公式不一样,计算的东西不一样,但是名义利率和实际利率之间不应该有一个同向的关系吗

没有必然的同向的关系。

名义汇率上升,实际汇率下降,这种情况也是存在的。比如通胀率上升,实际汇率下降,但通胀上升得更多,最后名义汇率也是上升。

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