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过儿 · 2022年04月15日

这题

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

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。

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0-----------------------

这题考的是不是F=S(1+RX)/(1+RY)这个考点?

我以为F要大,说明RX大于RY,所以BASE RATE>PRICE RATE,如果是的话,应该错在是我把base和price搞混了?

3 个答案

笛子_品职助教 · 2022年05月01日

嗨,爱思考的PZer你好:


我以为F要大,说明RX大于RY,所以BASE RATE>PRICE RATE,如果是的话,应该错在是我把base和price搞混了?利率平价:利率高的货币,远期汇率(F)贬值。就以这个原则来做,就不会搞混了。

这里能不能解释一下利率大的货币,远期汇率贬值?我感觉f/s=1+rx/1+ry来看,x利率高的话,右面大于1,其实左面f/s也是大于1的啊


base currency 和price currency,看表达式。/前为price,/后为base。例如,CNY/USD,CNY为price货币,USD为base 货币。

利率平价这里,只要记住,利率高的货币,远期贬值。即可。不会搞混。


利率高的货币,远期forward是贬值的。利率高,意味着,可以赚利差,这个赚到的利差必须通过汇率贬值再亏出去,否则会有无风险套利。


f/s=1+rx/1+ry,F使用X/Y汇率表达式,Y是base currency

RX利率高,RY利率低,则Y货币升值,X/Y表达式的F大于X/Y表达式的S。体现了,利率低的货币,远期升值。

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加油吧,让我们一起遇见更好的自己!

过儿 · 2022年04月30日

我以为F要大,说明RX大于RY,所以BASE RATE>PRICE RATE,如果是的话,应该错在是我把base和price搞混了?

利率平价:利率高的货币,远期汇率(F)贬值。就以这个原则来做,就不会搞混了。

这里能不能解释一下利率大的货币,远期汇率贬值?我感觉f/s=1+rx/1+ry来看,x利率高的话,右面大于1,其实左面f/s也是大于1的啊

笛子_品职助教 · 2022年04月15日

嗨,从没放弃的小努力你好:


这题考的是不是F=S(1+RX)/(1+RY)这个考点?

是的,利率平价公式


我以为F要大,说明RX大于RY,所以BASE RATE>PRICE RATE,如果是的话,应该错在是我把base和price搞混了?

利率平价:利率高的货币,远期汇率(F)贬值。就以这个原则来做,就不会搞混了。

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