NO.PZ2018091706000048
问题如下:
Analyst Bob is studying foreign exchange market. He observes that:
1. The spot exchange market rate is 1.5500 USD/GBP
2. The 6-month Libor for dollars is 0.58, while the 6-month Libor for pounds is 0.62
So, Bob wants to calculate the USD/GBP exchange rate in 6 months but he finds that the forward currency contracts are not available. Which international parity condition should he use?
选项:
A.
Uncovered interest rate parity.
B.
Both covered interest rate parity and Uncovered interest rate parity.
C.
Covered interest rate parity.
解释:
A is correct.
考点:Interest rate parity
解析:解题的关键在与题目中一句话"the forward currency contracts are not available."这就表明因为没有远期合约的参与,所以没有套利机制保证covered interest rate parity成立,所以这时只能选用Uncovered interest rate parity。
老师时间久了真的彻底一点印象都没有,在哪个里回看?