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sina517 · 2021年07月13日

问一道题：NO.PZ2016010801000115 [ CFA I ]

  1. CFA I
  2. Economics Analysis

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。

货币贬值难道不是利率降低吗？

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1 个答案

丹丹_品职答疑助手 · 2021年07月14日

嗨，努力学习的PZer你好：


同学你好，汇率的贬值取决于两国的利率水平变化，而不是单纯的某国利率的增加或降低。

对于远期：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)。因为我们看到远期利率低于即期汇率，所以欧元利率是大于瑞士利率的

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NO.PZ2016010801000115 问题如下 In spot market, Swiss Franc (CHF) is traCHF/EUR 1.1613. In forwarmarket, the 90-y forwarrate is CHF/EUR 1.1592. Whiof the following statement is most likely correct? A.Interest rates are lower in the Euro Zone relative to Switzerlan B.Interest rates are higher in the Euro Zone relative to Switzerlan C.More CHF is neeto exchange one EUR in the forwarmarket thexchange in the spot market. B is correct.Forwarrate in CHF/EUR = spot rate* (1+interest rate in Switzerlan/(1+interest rate in Euro Zone). Forwarrate is lower thspot rate in CHF/EUR as1.1592 1.1613, therefore Interest rates are higher in the Euro Zone thin Switzerlan考点Forwarrate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。 作为price的货币利率高，远期的汇率就会升高作为base的货币利率高，远期的汇率就会降低price的货币利率高，钱应该会从base货币的国家流向price货币的国家啊，应该会升值才对啊？就像现在美国利率高，美元就在升值；这道题Euro的利率高了，1 Euro兑的CHF反而降低了，为什么？

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NO.PZ2016010801000115 问题如下 In spot market, Swiss Franc (CHF) is traCHF/EUR 1.1613. In forwarmarket, the 90-y forwarrate is CHF/EUR 1.1592. Whiof the following statement is most likely correct? A.Interest rates are lower in the Euro Zone relative to Switzerlan B.Interest rates are higher in the Euro Zone relative to Switzerlan C.More CHF is neeto exchange one EUR in the forwarmarket thexchange in the spot market. B is correct.Forwarrate in CHF/EUR = spot rate* (1+interest rate in Switzerlan/(1+interest rate in Euro Zone). Forwarrate is lower thspot rate in CHF/EUR as1.1592 1.1613, therefore Interest rates are higher in the Euro Zone thin Switzerlan考点Forwarrate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，C能否展开说下，谢谢。

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