[汇率决定理论4.ppt

问题： 如果美国和荷兰的利息分别为8%， 4%， 即期汇率1美圆=1.65荷兰盾， 请计算3个月的远期汇率。 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 年利差为 8%-4%=4% 3个月的利差 1%=（1.65-F）/1.65 F=1.65-0.0165=1.6335 美国利息高, 美圆远期贴水， 3个月远期贬值1%。 远期汇率= 即期汇率-汇水 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Suppose that the annual interest rate is 5% in the US and 8% in the UK, and S=$1.50and F=$1.48. Assume that the arbitrager can borrow up to $1,000,000 or GBP666,667. Question: In the example, does IRP hold? 在这个例子中， IRP 成立吗？ Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Let us first check if IRP is holding under current market conditions. 美国的利率收益 1+Ir_US=1.05 英国的利率收益 (F/S)*(1+Ir_UK)=(1.48/1.50)*1.08=1.0656 英镑的投资收益高 The current market condition is characterized by (1+Ir_US) (F/S)*(1+Ir_UK) Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. IRP is not holding, implying a profitable arbitrage opportunity exists. 因为在美国的利率比英国低， 套利交易可以在美国借资金， 在英国贷出，获取利润。过程如下： 1。 在美国借款100万美圆。 一年后还款105万元。 2。 用100万美圆，买入即期的英镑. 3。 在英国进行投资， 一年以后可以获得?万英镑 4。 在远期外汇市场卖出英镑换成?美圆 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 一年后， 套利者利润收入为???美圆 Answer: S=$1.50and F=$1.48 $1 million=BP666,667 After a year, we get: BP666,667x1.08=BP720,000 Then we sell the pound to buy US dollar, we get: 1.48xBP720,000=$1.066million The profit from the arbitrage is: $65,600. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 即期汇率: S=$0.40/DM F=$0.42/DM. 美圆利率为10%, 马克利率为6%. 问: 是否存在套利机会. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. 购买力平价说 利率平价说 货币理论 Evaluation only. Created