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
nominal yield spread
between the EM and DM countries increases over time
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A、B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 ?