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Churning · 2019年11月19日

问一道题：NO.PZ2016010802000212

  1. CFA I
  2. Economics Analysis

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

老师问下 这道题为什么不能直接用f=F-S 这样的话不是base 升值 price贬值吗

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1 个答案

源_品职助教 · 2019年11月19日

嗨，努力学习的PZer你好：


可是题目选项中没有涉及两种货币升值贬值的论述。

只是问这两种货币的利率是怎样一个情况，所以如果按照同学你的思路还不足以解题。


-------------------------------
努力的时光都是限量版，加油！


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