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sarahjia · 2020年07月11日

问一道题：NO.PZ2016010801000115

  1. CFA I
  2. Economics Analysis

问题如下：

In spot market, Swiss Franc (CHF) is traded at CHF/EUR 1.1613. In forward market, the 90-day forward rate is CHF/EUR 1.1592. Which of the following statement is most likely correct?

选项：

A.

Interest rates are lower in the Euro Zone relative to Switzerland.

B.

Interest rates are higher in the Euro Zone relative to Switzerland.

C.

More CHF is needed to exchange one EUR in the forward market than exchange in the spot market.

解释：

B is correct.

Forward rate in CHF/EUR = spot rate* (1+interest rate in Switzerland)/(1+interest rate in Euro Zone). Forward rate is lower than spot rate in CHF/EUR as1.1592<1.1613, therefore Interest rates are higher in the Euro Zone than in Switzerland.

考点：Forward rate

解析：瑞士法郎/欧元远期利率=即期利率*(1+瑞士利率)/(1+欧元区利率)。远期利率低于即期汇率(CHF/EUR =1.1592<1.1613)，因此欧元区利率高于瑞士区利率。

“本题考的是下面的公式，题目的意思是现在F小于S， 那么等式右边分子也要小于分母，所以RX小于RY，这就是B答案的含义。”你好老师，助教老师的这个回答我明白，但是解释里面不是把spotrate移到等式右边了吗解释里面，那右边多乘了一个常数还怎么比较呢，谢谢


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1 个答案

源_品职助教 · 2020年07月11日

嗨，努力学习的PZer你好：


你可以找一个具体例子想一下

4=3×X

这里的3是常数就是SPORT RATE。要保持等式相等，那么X就要大于1.

所以和有没有常数没关系。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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