internationalparityconditions(編輯修改稿)
2025-08-11 19:22 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 of return plus pensation for expected inflation. i = r + ? + r ? ? i is nominal rate, r is real rate, ? is expected rate of inflation. ? FE good for short maturity bonds, NOT long maturity ones. – Why? 14 International Fisher effect ? International Fisher effect (Fisheropen): spot exchange rate change equals opposite of interest rate differential. where S is indirect quote. ? Direct Quotes: US$/ Foreign Currency. ? Indirect Quotes: Foreign Currency / US$. ? Fisheropen not precise in shortterm. ? Why? ? Should include forex risk premium. i i 100 x SS S $221 ???FC 15 Forward Rate ? Forward Rate ? A forward rate: exchange rate quoted today for settlement @ future date ???????????????????????????36090 x i 1 36090 x i 1 x S F$FCF C / $F C / $90 16 Forward Rate ? Spot rate SF $ ? 90day euro Swiss franc deposit rate 4% . ? 90day eurodollar deposit rate 8% . $S f r 1 . 4 6 5 5 / 1 . 0 21 . 0 1 x S F 1 . 4 8 36090 x 0 . 0 8 1 36090 x 0 . 0 4 1 S F 1 . 4 8 x S F / $90F ????????????????????????????? 17 Premium or discount? ? Forward premium or discount : % difference b/n spot amp。 forward rates in annual percentage terms. ? For indirect quotes (FC
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