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Infinite · 2020年02月19日

问一道题：NO.PZ2020020601000060

  1. FRM I
  2. Financial Markets And Products

问题如下：

Until recently, Country A and Country B had similar interest rates. The central bank of Country A has just increased interest rates. A speculator thinks this will lead to international investors moving funds from Country B’s currency to Country A’s currency to earn the higher interest rate. This will increase the demand for currency A, and as a result, currency A will strengthen relative to currency B. What spot or forward trades should the speculator do?

选项：

解释：

The speculator thinks that currency A will strengthen. However, interest rate parity indicates that it is weaker in the forward market. If the speculator is right, he or she will make money by buying currency A with currency B in the forward market and then selling it on the delivery date.

根据李老师视频讲解，当一个国家的货币上涨，不就是long spot ，根据平价理论，又担心A货币最终会贬值，就shot forward.好像正好跟答案的讲解相反了，答案是long forward，麻烦老师讲解一下，谢谢！

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3 个答案

薛真 · 2020年10月07日

担心A贬值，所以在远期卖A，即远期是用B卖A吗？如果是，用B卖A怎么理解？老师讲，用B买A是远期时有B，然后用B换成A，那用B卖A怎么讲

薛真 · 2020年03月15日

短期内上升，长期汇率下降，所以，我同意你的答案。

orange品职答疑助手 · 2020年02月19日

同学你好。我觉得本题出的有点没营养.. 主要本题问的是，如果这位投机者的想法是对的，也就是如果A货币真的会升值，那他会去怎样做？如果A货币真的将升值，那在远期市场买A货币，就说得通了。

薛真 · 2020年10月07日

担心A贬值，所以在远期卖A，即远期是用B卖A吗？如果是，用B卖A怎么理解？老师讲，用B买A是远期时有B，然后用B换成A，那用B卖A怎么讲

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NO.PZ2020020601000060 问题如下 Until recently, Country A anCountry B hsimilinterest rates. The centrbank of Country A hjust increaseinterest rates. A speculator thinks this will leto internationinvestors moving fun from Country B’s currento Country A’s currento earn the higher interest rate. This will increase the manfor currenana result, currenA will strengthen relative to currenWhspot or forwartras shoulthe speculator ? The speculator thinks thcurrenA will strengthen. However, interest rate parity incates thit is weaker in the forwarmarket. If the speculator is right, he or she will make money buying currenA with currenB in the spot market anthen selling it on the livery te. t=0，speculator 借入B，买A，把A存银行赚高利息，对吗？t=t, speculator取回A本息，买B还银行，是这样吗？这样能套利吗？是不是要有前提条件，A的利率要超过AB的汇率才行呢？谢谢老师。

2024-03-21 12:11 1 · 回答

NO.PZ2020020601000060 问题如下 Until recently, Country A anCountry B hsimilinterest rates. The centrbank of Country A hjust increaseinterest rates. A speculator thinks this will leto internationinvestors moving fun from Country B’s currento Country A’s currento earn the higher interest rate. This will increase the manfor currenana result, currenA will strengthen relative to currenWhspot or forwartras shoulthe speculator ? The speculator thinks thcurrenA will strengthen. However, interest rate parity incates thit is weaker in the forwarmarket. If the speculator is right, he or she will make money buying currenA with currenB in the spot market anthen selling it on the livery te. “However, interest rate parity incates thit is weaker in the forwarmarket”.和“buying currenA with currenB in the spot market anthen selling it on the livery te.”是不是没有关系啊？前一句是说根据利率平价理论，currencyA相对于B会贬值，按这个逻辑，应该做空currencyA，那就是先borrow A，投资获得收益，同时签订long forwar议，未来买A还期初借来的A。但后面这句话就是针对speculator判断的currenA相对于B会升值的做法，即期初买A，期末以高价卖A。

2024-03-10 17:34 1 · 回答

A贬值，远期时，按老师讲的 short B/A,即卖A买B，即在远期用货币A换货币B，那么，在远期我们得现有货币A，故在T0时刻是用B换A。现在我们假设T0时刻汇率为2B/A，远期时刻汇率为1B/A，很明显，A贬值，符合条件。在假设，我们to时刻有10个B，那么t0时刻可以换到5个A，那么，在远期时刻我们用5个A换称5个B，原先是10个B，这不是亏了吗？我不理解。请老师解惑。

2020-10-08 00:07 2 · 回答

担心A贬值，所以在远期卖A，即远期是用B卖A吗？如果是，用B卖A怎么理解？老师讲，用B买A是远期时有B，然后用B换成A，那用B卖A怎么讲

2020-10-07 23:56 1 · 回答