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师妃暄暄 · 2018年06月09日

问一道题：NO.PZ2016010801000115 [ CFA I ]

  1. CFA I
  2. Economics Analysis

问题如下图：

    

选项：

A.

B.

C.

解释：


请问如何理解答案 B

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1 个答案

源_品职助教 · 2018年06月09日

本题其好似考察的是上面的公式，题目的意思是现在F小于S， 那么等式右边分子也要小于分母，所以RX小于RY，这就是B答案的含义。

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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。 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？

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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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