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sentimentalbus · 2019年06月07日

问一道题：NO.PZ2018091706000045

  1. CFA II
  2. Economics Analysis

问题如下图：

    

选项：

A.

B.

C.

解释：


这道题可不可以用F-S/S=rx-ry来测算？因为F-S/S大于0，所以rx-ry大于0，所以USD的利率要大于GBP的利率？

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1 个答案

源_品职助教 · 2019年06月08日

这个思路也是可以的，没毛病。

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NO.PZ2018091706000045 问题如下 Analyst Bob is stuing foreign exchange market. He observes that:1. The spot exchange market rate is 1.5500 USGfor bian1.5505 for ask.2. The 6-month forwarrate is 1.5532 USGfor bian1.5540 for ask.So, Bob cget whiof the following conclusions? A.The 6-month USinterest rate is less ththe 6-month Ginterest rate. B.The 6-month USinterest rate is greater ththe 6-month Ginterest rate. C.The 6-month USinterest rate is equto the 6-month Ginterest rate. B is correct.考点Interest rate parity解析根据利率平价理论，我们可以得到如下公式FUSGBP=SUSGBP(1+iUS180360)1+iGBP(180360))F_{USGBP}=S_{USGBP}{(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}FUSGBP​=SUSGBP​(1+iGBP​(360180​)1+iUS(360180​)​)现在分析师Bob观察到的结果是F S。因此，等式右边(1+iUS180360)1+iGBP(180360))(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})(1+iGBP​(360180​)1+iUS(360180​)​)这一项数值一定大于1。所以该项中分子的iUS_{USiUS 分母的iGBPi_{GBP}iGBP​。所以选 No.PZ2018091706000045 (选择题)这道题，USGBP提高了，GBP升值，升值不应该说明利率更高吗？因为利率高，相应货币会增值，为啥反而是US率更高？

2024-04-10 22:49 1 · 回答

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2023-10-31 15:00 1 · 回答

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2023-04-02 08:02 2 · 回答

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2021-11-14 21:55 1 · 回答

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2021-02-14 22:15 1 · 回答