NO.PZ201601050100000303
问题如下:
3. Which of the following market developments would be most favorable for Subscriber 3's trading plan?
选项:
A. A narrower interest rate differential.
B. A higher forward premium for INR/USD.
C. Higher volatility in INR/USD spot rate movements.
解释:
B is correct.
Subscriber 3's carry trade strategy is equivalent to trading the forward rate bias, based on the historical evidence that the forward rate is not the center of the distribution for the spot rate. Applying this bias involves buying currencies selling at a forward discount and selling currencies trading at a forward premium. So a higher forward premium on the lower yielding currency—the USD, the base currency in the INR/USD quote—would effectively reflect a more profitable trading opportunity. That is, a higher premium for buying or selling the USD forward is associated with a lower US interest rate compared to India. This would mean a wider interest rate differential in favor of Indian instruments, and hence potentially more carry trade profits.
A is incorrect because Subscriber 3's carry trade strategy depends on a wide interest rate differential between the high-yield country (India) and the low-yield country (the United States). The differential should be wide enough to compensate for the unhedged currency risk exposure.
C is incorrect because a guide to the carry trade‘s riskiness is the volatility of spot rates on the involved currencies, with rapid movements in exchange rates often associated with a panicked unwinding of carry trades. All things being equal, higher volatility is worse for carry trades.
Carry trade将来要卖外币、买本币,不是应该担心INR贬值、USD升值吗?请问这么理解哪里不对?