internationalparityconditions-資料下載頁
2025-07-15 19:22本頁面
【正文】 0,000 Eurodollar rate = % per annum Dollar money market $1,000,000 $1,040,000 ? Start End Yen money market 165。 108,120,000 ? Euroyen rate = % per annum Covered Interest Arbitrage (CIA) F180 = 165。 $ Arbitrage Potential $1,044,638 23 Uncovered Interest Arbitrage (UIA) ? Uncovered interest arbitrage (UIA): investors borrow in currencies w/ low interest rates amp。 convert proceeds into currencies w/ high interest rates. ? “Uncovered” because investor does not sell the currency forward. 24 Uncovered Interest Arbitrage (UIA): The Yen Carry Trade 360 days S =165。 $ $ 83,333,333 Investors borrow yen at % per annum Japanese yen money market 165。 10,000,000 165。 10,040,000 Repay ? Start End US dollar money market $ 87,500,000 ? Invest dollars at % per annum S360 = 165。 $ 165。 10,500,000 Earn 165。 460,000 Profit Then exchanges the yen proceeds for US dollars, investing in US dollar money markets for one year 25 Interest Rate Parity (IRP) amp。 Equilibrium 2 4 5 4 1 3 1 4 2 2 4 1 3 5 3 1 2 3 6 6 Percent difference between foreign (165。) and domestic ($) interest rates Percentage premium on foreign currency (165。) X U Z Y 26 Forward Rate Unbiased Predictor? S1 Exchange rate Time t 2 t 3 t 4 t 1 S2 S3 S4 Error F2 F1 Error F3 Error
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