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欧阳美蛋 · 2024年01月18日

A选项怎么不对

  1. CFA I
  2. Economics Analysis

NO.PZ2023061903000026

问题如下：

Q. A forward premium indicates:

选项：

A.an expected increase in demand for the base currency. B.the interest rate is higher in the base currency than in the price currency. C.the interest rate is higher in the price currency than in the base currency.

解释：

C is correct. To eliminate arbitrage opportunities, the spot exchange rate (S), the forward exchange rate (F), the interest rate in the base currency (rd, and the interest rate in the price currency (rf) must satisfy:

Ff/d/ Sf/d = (1+rfτ / 1+rdτ).

According to this formula, the base currency will trade at forward premium (F > S) if, and only if, the interest rate in the price currency is higher than the interest rate in the base currency (rf > rd).

这题A选项怎么不对，C能推出A吧

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1 个答案

笛子_品职助教 · 2024年01月19日

嗨，爱思考的PZer你好：


这题A选项怎么不对，C能推出A吧

Hello，亲爱的同学~

A的说法不够准确。

forward premium是指，forward的价格，高于spot的价格。

forward premium并不一定表示，base currency的需求会增加。


举例来说：在货币贬值的趋势里，也可以有forward价格高于spot价格，此时base currency的需求并没有增加。

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cst6666 · 2024年07月06日

在货币贬值的趋势里，也可以有forward价格高于spot价格, 这个可以论证吗？还是说因为市场的一些非理性的不确定性造成的

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