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金启元 · 2024年01月15日

这道题的题干和选项是不是表述不清晰?

NO.PZ2023071902000096

问题如下:

Question

Holding other factors constant, in a well-functioning market, an increase in which of the following will lead to a decline in the forward exchange rate?

选项:

A.spot exchange rate. B.foreign risk-free interest rate. C.domestic risk-free interest rate.

解释:

Solution

  1. Incorrect, since an increase in the spot exchange rate typically pushes the forward exchange rate upward, not downward.
  2. Incorrect, as an uptick in the international risk-free interest rate typically causes the forward exchange rate to ascend, rather than decline.
  3. Correct, based on the arbitrage relationship. The equation for the forward rate is denoted as:Ff/d = Sf/d × [(1 + if)/(1 + id)]], where Ff/d represents the forward exchange rate, if stands for the international risk-free interest rate, and id signifies the home country's risk-free interest rate. This formula suggests that when the home country's risk-free interest rate rises, it leads to a drop in the forward exchange rate.

Exchange Rate Calculations

为什么解释里面forward exchange rate 是F(f/d) 而不是F(d/f) ?

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已采纳答案

笛子_品职助教 · 2024年01月16日

嗨,爱思考的PZer你好:


这道题的题干确实不是很清晰。

应该说,对于F/D汇率形式的forward汇率, an increase in which of the following will lead to a decline in the forward exchange rate?

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加油吧,让我们一起遇见更好的自己!

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