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ruby5ltc · 2022年04月03日

rx是base currency，ry是price currency，当F大于S时，应该是基础货币利率高于标价货币利率才对呀，为什么答案恰恰相反？

  1. CFA I
  2. Economics Analysis

NO.PZ2016010802000212

问题如下：

A forward premium indicates:

选项：

A.

an expected increase in demand for the base currency.

B.

the interest rate is higher in the base currency than in the price currency.

C.

the interest rate is higher in the price currency than in the base currency.

解释：

C is correct.

To eliminate arbitrage opportunities, the spot exchange rate (S), the forward exchange rate (F), the interest rate in the base currency ( ib) , and the interest rate in the price currency ( ip) must satisfy:

F/S=(1+ip)/(1+ib)

According to this formula, the base currency will trade at forward premium (F > S) if, and only if, the interest rate in the price currency is higher than the interest rate in the base currency (ip) > (ib) .

考点：Forward Premium and Discount

解析：

F/S=(1+ip)/(1+ib)

依据公式如果F大于S，那么标价货币的利率要大于基础货币的利率。C选项正确，B选项错误。

A选项说法没有C选项好，基础货币预期的需求量增加，同时其他条件比如基础货币供给不变的情况下，才会产生 forward premium



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2 个答案

笛子_品职助教 · 2022年04月04日

嗨，努力学习的PZer你好：


区分Price currency还是base currency，要看汇率表达式，斜杠后面的为base currency。

在视频这里，我们看到汇率表达式是X/Y，X在斜杠前，是标价货币（price currency），Y在斜杠后，是基础货币（base currency）。

所以rx是X的利率，也就是标价货币的利率。ry是Y的利率，也就是基础货币（base currency）的利率。

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笛子_品职助教 · 2022年04月04日

嗨，努力学习的PZer你好：


rx是base currency，ry是price currency，当F大于S时，应该是基础货币利率高于标价货币利率才对呀，为什么答案恰恰相反？


根据利率平价理论，利率低的货币，汇率预期升值。

结合到本题，F>S，base currency预期升值，因此，base currency的利率（相对标价货币利率）更低。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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