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remoo · 2021年11月14日

汇率是涨是跌？

  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。

题目中并没有明确covered parity，直观的看是美元贬值了，但是美元的利率却高于英镑？

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1 个答案

笛子_品职助教 · 2021年11月15日

嗨，从没放弃的小努力你好：


题目中并没有明确covered parity，直观的看是美元贬值了，但是美元的利率却高于英镑？


是的，题目中并没有明确用利率平价来解题，这就要自己判断，题目考的是哪个知识点。

美元贬值了，但是美元利率高于英镑。这就符合利率平价。


利率平价说的是：高利率的货币，远期贬值。

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