NO.PZ2018111501000013
问题如下:
Sophia, a British analyst, finds that there is a persistent trend that the UK interest rate will be low and Chinese interest rate will be high. She decides to borrow in GBP and invest in CNY without currency hedging. Which of the following factor will benefit mostly regarding her trading strategy?
选项:
A. the interest rate difference becomes narrower.
B. a larger forward premium for CNY/GBP.
C. the volatility in CNY/GBP exchange rate becomes higher.
解释:
B is correct.
考点:Carry trade
解析:
B选项:
higher forward premium或者表述为larger forward premium,是两国利差比较大的意思,在carrytrade中看到这个表述就直接等同为两国利差变大。
可以从下面这个角度来理解:
(1)我们可以用coveredinterest rate parity(抛补的利率平价公式)来解释,根据. covered interestrate parity:F/S0=(1+r_A)/(1+r_B) (汇率标价形式为A/B); 其中r_A
(2)得到F
(3)所以,如果F/S0=(1+r_A)/(1+r_B)这个公式中r_A的程度越大,对应的低利率货币A就会有更大的forward premium。而r_A
执行carry trade策略要求两国利差比较大和波动率比较小,因此A选项和C选项说的两国利差变小和波动率变大,显然不利于执行carry trade,所以不能选,而只有B是正确的。
这句指的是GBP作为base currency 相对于CNY升值吗? (我看提问里大家其实都想问的是这个,但是老师解答好像没有关注这点。)