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小可爱和大灰狼 · 2020年01月30日

问一道题：NO.PZ2016010802000212

  1. CFA I
  2. Economics Analysis

问题如下：

A forward premium indicates:

选项：

A.

an expected increase in demand for the base currency.

B.

the interest rate is higher in the base currency than in the price currency.

C.

the interest rate is higher in the price currency than in the base currency.

解释：

C is correct.

To eliminate arbitrage opportunities, the spot exchange rate (S), the forward exchange rate (F), the interest rate in the base currency ( ib) , and the interest rate in the price currency ( ip) must satisfy:

F/S=(1+ip)/(1+ib)

According to this formula, the base currency will trade at forward premium (F > S) if, and only if, the interest rate in the price currency is higher than the interest rate in the base currency (ip) > (ib) .

考点：Forward Premium and Discount

解析：

F/S=(1+ip)/(1+ib)

依据公式如果F大于S，那么标价货币的利率要大于基础货币的利率。C选项正确，B选项错误。

A选项说法没有C选项好，基础货币预期的需求量增加，同时其他条件比如基础货币供给不变的情况下，才会产生 forward premium

想问一下题目中不涉及两国间投资无套利的信息，何以看出要用利率平价公式解题呢？

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已采纳答案

源_品职助教 · 2020年02月03日

嗨，努力学习的PZer你好：


如果题目没有明确说明，我们通常认为市场上是无时不刻不存在套利活动的，这也是实证观察的结果。

因为题目BC都涉及利率，所以从这一角度可以想到用利率平价公式来解题。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


小可爱和大灰狼 · 2020年02月03日

好呢 谢谢~

源_品职助教 · 2020年02月03日

不客气的

🐳Sakura · 2020年01月31日

因为题目问了f,s与两国利率的关系，公式就是F/S=(1+ip)/(1+ib)，也就是利率平价

小可爱和大灰狼 · 2020年02月01日

谢谢你的回答，我不是想问公式是什么，公式我知道。我想问的是，这个等式的得来有一个前提条件就是两国间投资无套利，类似的题目中并没有，还是说像这种的题目就隐含了这个条件？

🐳Sakura · 2020年02月01日

啊？你再仔细听课，得出公式之后就讲解了如何利用利率平价去套现的呀！怎么能没有套利呢

小可爱和大灰狼 · 2020年02月03日

。。。。

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