假设您遵守以下日元兑日元兑日元兑日元汇率:JPY – ¥97.3702 / $ZAR – R10.1453 / $日元和兰特之间的交叉利率目前为¥9.00 / R。一个。计算正确的交叉率并确定套利机会是否存在。如果是,请指定根据引用交叉汇率高估或低估的货币,并说明您将如何进行套利。b。解释重新调整过程,现货价格(¥/ $)和(R / $)以及交叉率(¥/ R)如何影响。C。计算您的套利利润。无息利率平价(UIRP)一个。解释远期利率无偏见假设(FRUH)的假设以及假设背后的论据。b。UIRP对利率较高的货币的预期流动进行预测?使用短期与长期汇率回报和利率数据讨论这一预测的证据。C。在第六章中,这本书指出:“如果中央银行的数量经常出现货币危机(希望防止)大量资金流出国外,就会普遍提高利率。因此,您认为在危机时期,UIRP是否更有可能在短期内持有?简要说明。3.涵盖利息套利加拿大元和新西兰元之间的现货利率目前为C $ .8646 / NZ $,i C $ = 2%,i NZ $ 6%。报价远期汇率为C $ .90 / NZ $。如果存在套利机会,确定您的套利利润(以C $或NZ $为单位)。
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