题目
Assume that interest rates are 1.0% per annum with annual compounding in the United States and 9.0% in Brazil. A bank can borrow (by issuing CDs) or lend (by purchasing CDs) at these rates. The USDBRL spot exchange rate is R$ 3.500 per 1.0 US dollar. Which is nearest to the forward exchange rate implied by the interest rate parity theorem (quoted USDBRL with Brazilian real as the quote currency)?
选项
A.R$ 2.85
B.R$ 3.54
C.R$ 3.78
D.R$ 4.07
答案
C
解析
The interest rate parity theorem requires that the forward rate preclude an arbitrage suchthat: (1 + US rate) = Spot rate (R$ per 1.0 dollar) * (1 + Brazilian rate) / Forward rate (R$ per 1.0 dollar), and therefore: Forward rate (R$ per 1.0 dollar) = Spot rate (R$ per 1.0 dollar) * (1 + Brazilian rate) / (1 +US rate). In this case, Forward rate (R$ per 1.0 dollar) = R$ 3.500 * 1.09 / 1.01 = R$ 3.7772 利率平价定理可计算均衡的远期利率。 F=3.5*(1＋9%)/(1＋1%)=3.7772