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金珍荣 · 2023年12月26日

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NO.PZ201601050100000303

问题如下:

3. Which of the following market developments would be most favorable for Subscriber 3's trading plan?

选项:

A.

A narrower interest rate differential.

B.

A higher forward premium for INR/USD.

C.

Higher volatility in INR/USD spot rate movements.

解释:

B is correct.

Subscriber 3's carry trade strategy is equivalent to trading the forward rate bias, based on the historical evidence that the forward rate is not the center of the distribution for the spot rate. Applying this bias involves buying currencies selling at a forward discount and selling currencies trading at a forward premium. So a higher forward premium on the lower yielding currencythe USD, the base currency in the INR/USD quotewould effectively reflect a more profitable trading opportunity. That is, a higher premium for buying or selling the USD forward is associated with a lower US interest rate compared to India. This would mean a wider interest rate differential in favor of Indian instruments, and hence potentially more carry trade profits.

A is incorrect because Subscriber 3's carry trade strategy depends on a wide interest rate differential between the high-yield country (India) and the low-yield country (the United States). The differential should be wide enough to compensate for the unhedged currency risk exposure.

C is incorrect because a guide to the carry trade‘s riskiness is the volatility of spot rates on the involved currencies, with rapid movements in exchange rates often associated with a panicked unwinding of carry trades. All things being equal, higher volatility is worse for carry trades.

中文解析:

B选项:higher forward premium或者表述为larger forward premium,是两国利差变大的意思,所以在carry trade中看到这个表述就直接等同为两国利差变大。

可以从下面这个角度来理解:

(1)我们可以用covered interest rate parity(抛补的利率平价公式)来解释,根据. covered interest rate parity:F/S0=(1+r_A)/(1+r_B) (汇率标价形式为A/B); 其中r_A

(2)得到F

(3)所以,如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A

2. 执行carry trade的条件有二,一是两国利差大,二是汇率变化很小。因此A选项和C选项的表述是错误的

答案是large forward premiun on the USD.


这道题首先borrow的是USD, 投资的是印度资产,到期的时候一定要把印度的资产换成USD 资产,如果USD 大幅升值,未来将会直接导致亏损,怎么还有有利呢。


1 个答案

pzqa31 · 2023年12月26日

嗨,努力学习的PZer你好:


这道题是要我们选什么情况下更利于做carry trade,carry trade需要两国货币有利差,并且两国汇率的波动率要较低(C选项错误)。

我们在课程中学过,在uncovered interest rate parity的情况下,利差的收益会被汇率的变化抵消,但carry trade是基于uncovered interest rate parity的违反,即covered interest parity 。一般情况下,我们认为covered interest parity 是成立的,在这个前提下,higher forward premium 可以理解为更高的两国利差,有利于做carry trade。

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