问题如下:
Sophia, a British analyst, finds that there is a persistent trend that the UK interest rate will be low and Chinese interest rate will be high. She decides to borrow in GBP and invest in CNY without currency hedging. Which of the following factor will benefit mostly regarding her trading strategy?
选项:
A.the interest rate difference becomes narrower.
B.a larger forward premium for CNY/GBP.
C.the volatility in CNY/GBP exchange rate becomes higher.
解释:
B is correct.
考点:Carry trade
解析:Sophia先从利率低的国家(UK)借钱,再把这些借来的前投资到利率高的国家(China),从而赚取利息差,这描述的是carry trade的投资策略。利差越大,汇率波动越小,carry trade的收益越高,A和C都可以排除。
B选项,Sophia作为英国分析师,低利率货币GBP本身trade at forward premium ,因此CNY/GBP?也是trade at forward premium,由于现在有更高的forward premium,所以将来的利率更低,那么利差就会更大,所以B正确。为何低利率货币会trade at forward premium,因为目前利率低,钱会大量涌入利率高的国家,但是将来钱从高利率国家撤走时会抛售该国家货币,抛售导致高利率国家货币贬值,那么相对的低利率国家货币升值,所以trade at premium。
现在有更高的forward premium,所以将来的利率更低,那么利差就会更大
这句话怎么理解