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Aaabby · 2020年02月21日

问一道题:NO.PZ2018111501000018 [ CFA III ]

请问c选项是什意思,谢谢!

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

xiaowan_品职助教 · 2020年02月22日

同学你好,这个选项的意思是,当有国家进行资本管制时,国际间套利所遵循的covered interest parity可能会不成立,那么NDFs的价格会和根据CIP理论定出的价格有所偏差,NDFs的价格更多体现了其本身的供需关系。

我这边把原版书的解释贴在下方,你可以参考一下~

Finally, we note that when capital controls exist, the free cross-border flow of capital that enforces the arbitrage condition underlying covered interest rate parity no longer functions consistently. Therefore, the pricing on NDFs need not be exactly in accord with the covered interest rate parity theorem. Instead, NDF pricing will reflect the individual supply and demand conditions (and risk premia) in the offshore market, which need not be the same as the onshore market of the specific emerging market country.

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