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Infinite · 2020年02月19日

问一道题:NO.PZ2020020601000058

问题如下:

Interest rates in a currency XXX increase and interest rates in currency YYY stay the same. The exchange rate is expressed as XXXYYY. Do forward rates increase or decrease?

选项:

解释:

Currency XXX becomes weaker in the forward market. Exchange rates are expressed as the number of units of YYY that would be exchanged for one unit of XXX. As a result of the increase in interest rates, it takes less units of YYY to buy one unit of XXX in the forward market and so the forward rate decreases.

答案明白,就是As a result of the increase in interest rates, it takes less units of YYY to buy one unit of XXX in the forward market and so the forward rate decreases. 这里forward rate的公式是什么,前面的解释都明白,为什么因为XXX贬值了,YYY在同样的unit里花比雨原来的钱少来购买XXX,就说明forward rate就降低了呢?XXX是base currency吧? 烦请老师解答一下,谢谢!

1 个答案

orange品职答疑助手 · 2020年02月19日

同学你好,我觉得解析这里的汇率表达形式 和我们平常学的是反过来的。在我们平常学的公式里,Forward rate = S(XXX/YYY)*e^(Rxxx-Ryyy)*T ,其中Rxxx上升,Ryyy不变,这样算出来的forward rate上升,也就是说, 在未来,一单位的YYY,需要更多的XXX货币。因此Y货币升值,XXX货币贬值。在咱们这个公式里,YYY是本币。

答案里它颠倒过来了,不过结论是一致的。YYY升值了,所以需要更少的YYY就可以买到一单位的XXX货币了。