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tchen · 2019年12月29日

问一道题:NO.PZ201512020800000201

* 问题详情,请 查看题干

问题如下:

1. The international parity condition McFadden is referring to in Statement 1 is:

选项:

A.

purchasing power parity.

B.

covered interest rate parity.

C.

uncovered interest rate parity.

解释:

C is correct.

The carry trade strategy is dependent upon the fact that uncovered interest rate parity does not hold in the short or medium term. If uncovered interest rate parity held, it would mean that investors would receive identical returns from either an unhedged foreign currency investment or a domestic currency investment because the appreciation/depreciation of the exchange rate would offset the yield differential. However, during periods of low volatility, evidence shows that high yield currencies do not depreciate enough and low yield currencies do not appreciate enough to offset the yield differential.

考点carry trade的大前提是什么

解析uncovered interest rate parity在短期不能成立如果uncovered interest rate parity成立那么高利率国家货币的贬值幅度正好抵消国家的收益率的优势,那么做Carry Trade就是没有意义的

不过长期实证研究表明,通常在汇率低波动的时期,高利率国家货币贬值幅度并不足以抵消高利率国家与低利率国家间的利率利差。

请问这道题为何不选A呢?PPP在短期也是一定不成立的呀?

1 个答案

源_品职助教 · 2019年12月30日

嗨,努力学习的PZer你好:


本题是考察的无法实现CARRY TRADE的理论而非短期不成立的理论

CARRY TRADE就是借入利率国家资金投资高利率国家,这个交易策略中,关注的是利率,和利率相关的定理是covered或者 uncovered interest rate parity 。

PPP是阐述汇率与通胀相关的理论,与利率没有关系。所以不选。


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