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我叫仙人涨 · 2019年11月17日

问一道题:NO.PZ2018091706000061

问题如下:

Assume that the DM country has what is considered a low-yield safe haven currency while the EM country has a high-yield currency whose value is more exposed to fluctuations in the global economic growth rate. All else equal, the exchange rate for the EM currency will most likely depreciate if the:


选项:

A.

long-run equilibrium value of the high-yield currency is revised upward 

B.

nominal yield spread between the EM and DM countries increases over time 

C.

expected inflation differential between the EM and DM countries is revised upward 

解释:

All else equal, an increase in the expected inflation differential should lead to depreciation of the EM currency.

解析:

real exchange rate (A/B) = equilibrium real exchange rate + (real interest rate B - real interest rate A)- (risk premium B - risk premium A)

根据上述公式。所以AB选项错误。

在其它条件相同的情况下,预期通胀率的扩大会加两国的风险溢价之差,从而应会导致新兴市场货币贬值。所以C选项正确。


B选项里面是说nominal interest rate spread , 讲义上面的公式是说real interest rate spread.


我的问题是针对,要是答案问nominal yield spread decrease over time, 会选B么?


我学的时候就不明白讲义上面用real interest rate spread


如果real interest rate spread 增加,EM currency appreciate

如果inflation spread 增加,其实EM currency depreciate

那么nominal spread interest rate spread (包括real interest rate 和inflation),EM currency 是appreciate还是depreciate ?


4 个答案

源_品职助教 · 2019年11月19日

抱歉给你带了困扰。

源_品职助教 · 2019年11月18日

是“忽略不计”的意思。

我叫仙人涨 · 2019年11月19日

助教的回答好烧脑

源_品职助教 · 2019年11月18日

抱歉,同学。这里想写的是因为nominal......

我叫仙人涨 · 2019年11月18日

那啥叫汇率不急?

源_品职助教 · 2019年11月17日

嗨,从没放弃的小努力你好:


一般不会问nominal spread interest rate spread

一位NOMINAL包含了通胀因素,像你写的这么分析就不容易分析清楚。

但假设题目写了NOMINAL,那么我们认为结论和REAL是一致的。因为此时我们认为题目假设通胀非常非常小,汇率不急,NOMINAL可以代替REAL.


-------------------------------
努力的时光都是限量版,加油!


我叫仙人涨 · 2019年11月18日

一位nominal? 汇率不急? 啥意思?

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