标题: 请教二级NOTES 2第77页的第9题 [打印本页]
作者: zmmengxue 时间: 2009-2-9 17:15 标题: 请教二级NOTES 2第77页的第9题
请教二级NOTES 2第77页的第9题，对NOTES上给的答案解释不是很懂啊
原题：Assuming no transaction costs, if a U.S. investor can make risk-free profits by borrowing the Japanese yen,then,
A. the hedged Japanese interest rate is low relative to the U.S. interet rate.
B.the hedged Japanese interest rate is high relative to the U.S. interet rate.
C.the interest rate differential is approximately equal to the forward premium.
NOTE 上的答案是A。请教各位高人应该怎么去做这个题目？
作者: Dong86 时间: 2009-2-10 13:31
you're borrowing YEN and selling USD, YEN interest rate (what you pay) has to be lower than the USD interest rate (what you get) in order to make a risk-free profit.
作者: tweety0930 时间: 2009-2-11 16:01
(direct quote)
earning risk-free profit is possible buy borrowing yen, thus assuming borrowing 1 jpy for time period t, S (1+ R usd)^t - F (1 + R jpy)^t > 0
(unannualized) hedged japanese interest (relative) return = F (1+R jpy)^t / S < (1+ R usd)^t
(annualized) hedged jpy return = F (1+R jpy) / S - 1 < R usd
[此贴子已经被作者于2009-2-11 16:04:18编辑过]
| 欢迎光临 FRM论坛 (http://bbs.frmspace.com/) |
Powered by Discuz! 7.2 |