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呆小西 · 2021年02月14日

怎么算F比S高？

  1. CFA II
  2. Economics Analysis

NO.PZ2018091706000045

问题如下：

Analyst Bob is studying foreign exchange market. He observes that:

1. The spot exchange market rate is 1.5500 USD/GBP for bid and 1.5505 for ask.

2. The 6-month forward rate is 1.5532 USD/GBP for bid and 1.5540 for ask.

So, Bob can get which of the following conclusions?

选项：

A.

The 6-month USD interest rate is less than the 6-month GBP interest rate.

B.

The 6-month USD interest rate is greater than the 6-month GBP interest rate.

C.

The 6-month USD interest rate is equal to the 6-month GBP interest rate.

解释：

B is correct.

考点：Interest rate parity

解析：根据利率平价理论，我们可以得到如下公式：

FUSD/GBP=SUSD/GBP(1+iUSD(180360)1+iGBP(180360))F_{USD/GBP}=S_{USD/GBP}{(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}

现在分析师Bob观察到的结果是F>S。因此，等式右边(1+iUSD(180360)1+iGBP(180360))(\frac{1+i_{USD}{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})这一项数值一定大于1。所以该项中分子的iUSDi_{USD} 分母的iGBPi_{GBP}。所以选B。

这题目的spot rate和forward rate都需要用（bid+ask）/2的middle rate算吗？

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1 个答案

丹丹_品职答疑助手 · 2021年02月15日

嗨，爱思考的PZer你好：


同学你好，因为forward rate，不论是1.5532 >1.5500 还是1.5540 >1.5505

都是F>S

我们一般会根据题干信息选择ask 或者bid  ，当然关于本题是可以用mid rate的 因为也不会出一个bid spot大一个 forward ask大的情况。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


Russwest · 2024年08月19日

为什么观察到f>s，右边等式一定要大于1？

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NO.PZ2018091706000045 问题如下 Analyst Bob is stuing foreign exchange market. He observes that:1. The spot exchange market rate is 1.5500 USGfor bian1.5505 for ask.2. The 6-month forwarrate is 1.5532 USGfor bian1.5540 for ask.So, Bob cget whiof the following conclusions? A.The 6-month USinterest rate is less ththe 6-month Ginterest rate. B.The 6-month USinterest rate is greater ththe 6-month Ginterest rate. C.The 6-month USinterest rate is equto the 6-month Ginterest rate. B is correct.考点Interest rate parity解析根据利率平价理论，我们可以得到如下公式FUSGBP=SUSGBP(1+iUS180360)1+iGBP(180360))F_{USGBP}=S_{USGBP}{(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})}FUSGBP​=SUSGBP​(1+iGBP​(360180​)1+iUS(360180​)​)现在分析师Bob观察到的结果是F S。因此，等式右边(1+iUS180360)1+iGBP(180360))(\frac{1+i_{US{(\frac{180}{360})}}{1+i_{GBP}{(\frac{180}{360})}})(1+iGBP​(360180​)1+iUS(360180​)​)这一项数值一定大于1。所以该项中分子的iUS_{USiUS 分母的iGBPi_{GBP}iGBP​。所以选 No.PZ2018091706000045 (选择题)这道题，USGBP提高了，GBP升值，升值不应该说明利率更高吗？因为利率高，相应货币会增值，为啥反而是US率更高？

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