问题如下:
8. The international parity condition Goldsworthy will use to provide the estimate of the future JPY/GBP spot rate is most likely:
选项:
A.covered interest rate parity.
B.uncovered interest rate parity.
C.relative purchasing power parity.
解释:
B is correct.
According to uncovered interest rate parity
the expected change in the spot exchange rate should reflect the interest rate spread between the two countries, which can be found in Exhibit 3. Given the spot exchange rate (from Exhibit 1) and the expected future change, she should be able to estimate the future spot exchange rate.
考点:Interest rate parity
解析:解题的关键在与题目中所说,”We do not hedge the incoming Japanese yen cash flow.”,那就表明不存在汇率远期合约一类的对冲工具,因此也不存在套利机制确保利率平价公式在短期成立。这种情况下,就应该使用uncovered interest rate parity. C选项是一个打酱油的选项。
第8小题,uncovered interest rate parity不是在短期不成立吗,为什么用这个来估计远期利率啊?