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@_@ · 2021年02月15日

老师，这道题没有说利率平价的前提，怎么能得到这个结论?

  1. CFA I
  2. Economics Analysis

NO.PZ2016010801000115

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。

老师，这道题没有说利率平价的前提，怎么能得到这个结论?

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1 个答案

丹丹_品职答疑助手 · 2021年02月16日

嗨，爱思考的PZer你好：


同学 你好，这个公式是可以直接应用的，我们可以认为当前的远期利率也是根据即期利率以及双方当前利率的一个预期利率。


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


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