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Endymion · 2024年08月08日

利率平价公式

  1. CFA I
  2. Economics Analysis

NO.PZ2023071902000005

问题如下：

Question When the local currency is trading at a forward premium, the interest rate in the foreign country, compared to the domestic country's interest rate, is most likely:

选项：

A.lower.

B.higher.

C.the same.

解释：

Solution


B Correct. The currency with the higher (lower) interest rate will always trade at a forward discount (premium). The lower interest rate in the domestic country will be compensated by the appreciation of the domestic currency over the investment period.

B正确。利率较高(较低)的货币总是以远期折扣(溢价)在交易。在投资期间，国内较低的利率将由本国货币的升值进行补偿。

Exchange Rate Calculations

• explain the arbitrage relationship between spot and forward exchange rates and interest rates, calculate a forward rate using points or in percentage terms, and interpret a forward discount or premium

这一题可以用利率平价公式来解决吗？

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笛子_品职助教 · 2024年08月12日

嗨，努力学习的PZer你好：


F/S=(1+rlocal)/(1+rforeign) 这了说的forawrd premium，远期升水，是指远期汇率上升，也就是F

Hello，亲爱的同学~

正如同学所说： local currency是forward premium，因此 local currency是远期升水，远期汇率上升。

 local currency是远期升水，根据利率平价，local currency的利率低。

那么对应的，foreign currency的利率高。

同学理解正确，棒棒的~

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笛子_品职助教 · 2024年08月09日

嗨，从没放弃的小努力你好：


这一题可以用利率平价公式来解决吗？

Hello，亲爱的同学~

这一题可以用利率平价公式。

根据利率平价公式：利率高货币，远期贴水。利率低的货币，远期升水。


结合本题：

 local currency是forward premium

根据利率平价，local currency的利率更低。foreign country利率高。

本题问：foreign country利率，因此选：high。


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