NO.PZ201512020800000201
问题如下：
1. The international parity condition McFadden is referring to in Statement 1 is:
选项：
A.purchasing power parity.
B.covered interest rate parity.
C.uncovered interest rate parity.
解释：
C is correct.
The carry trade strategy is dependent upon the fact that uncovered interest rate parity does not hold in the short or medium term. If uncovered interest rate parity held, it would mean that investors would receive identical returns from either an unhedged foreign currency investment or a domestic currency investment because the appreciation/depreciation of the exchange rate would offset the yield differential. However, during periods of low volatility, evidence shows that high yield currencies do not depreciate enough and low yield currencies do not appreciate enough to offset the yield differential.
考点：做carry trade的大前提是什么。
解析：uncovered interest rate parity在短期不能成立。如果uncovered interest rate parity成立，那么高利率国家货币的贬值幅度正好抵消该国家的收益率的优势，那么做Carry Trade就是没有意义的。
不过长期实证研究表明，通常在汇率低波动的时期，高利率国家货币贬值幅度并不足以抵消高利率国家与低利率国家间的利率利差。
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