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HG · 2020年09月01日

问一道题:NO.PZ2018091706000061

问题如下:

Assume that the DM country has what is considered a low-yield safe haven currency while the EM country has a high-yield currency whose value is more exposed to fluctuations in the global economic growth rate. All else equal, the exchange rate for the EM currency will most likely depreciate if the:


选项:

A.

long-run equilibrium value of the high-yield currency is revised upward 

B.

nominal yield spread between the EM and DM countries increases over time 

C.

expected inflation differential between the EM and DM countries is revised upward 

解释:

All else equal, an increase in the expected inflation differential should lead to depreciation of the EM currency.

解析:

real exchange rate (A/B) = equilibrium real exchange rate + (real interest rate B - real interest rate A)- (risk premium B - risk premium A)

根据上述公式。所以AB选项错误。

在其它条件相同的情况下,预期通胀率的扩大会加两国的风险溢价之差,从而应会导致新兴市场货币贬值。所以C选项正确。


老师这道题我咋都做不对,我的理解是根据covered IRP,那么F-S=rEM-rDM,如果b项,rEM-rDM变大了,那么F-S变大了,F就应该变大了,F的是EM/DM,那么DM就升值了,EM就贬值了啊,所以currency rate for EM就贬值了啊?哪里不对?

2 个答案

丹丹_品职答疑助手 · 2020年09月06日

同学你好,题干中没有提出uncovered irp,并且其使用条件是长期,所以你的分析在题目分析中不可用。短期情况请参见答案解析

丹丹_品职答疑助手 · 2020年09月02日

嗨,从没放弃的小努力你好:


同学你好,没看懂你的意思,但是答案不是说的就是em贬值?


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HG · 2020年09月02日

老师我又重新看了下,明白了这道题的意思,这道题针对的是short term的情况啊,但是题目并没有说出来啊,怎么判断是长期还是短期啊,因为结论完全相反啊。

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