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Currency Strategy A Practitioner s Guide To Currency Investing Hedging And Forecasting Wiley_1

nếu vì đối số của các phí bảo hiểm về phía trước / giảm giá đối với một số lý do đã không bằng các khác biệt giữa tỷ lệ lãi suất giữa hai đồng tiền 1 bán ngoại tệ có thể trong lý thuyết làm cho lợi nhuận phi rủi ro bằng cách đi vay một loại tiền tệ, đầu tư vào các chứng khoán của các tiền tệ khác và đồng thời mở một hợp đồng chuyển tiếp trong tỷ giá hối đoái so với cùng kỳ như các khoản vay ban đầu. | 32 Currency Strategy Thus for instance the traditional forward discount on the dollar-yen exchange rate should equal the interest rate differential between the two currencies. This is seen as the equilibrium reflecting the relationship between the exchange rate and interest rates. Because forwards are a traded instrument and thus subject to supply and demand the forward premium or discount can vary briefly from this equilibrium but should always revert to norm. After all if for argument s sake the forward premium discount for some reason did not equal the interest rate differential between the two currencies an arbitrageur could in theory make risk-free profits by borrowing in one currency investing in the securities of the other currency and simultaneously opening a forward contract in the exchange rate for the same period as the initial loan. This is called covered interest rate arbitrage. The theory of interest rate parity is a guiding principle for several economic and financial models. Under this theory it is assumed that the expected interest rate returns of a currency should be equalized through speculation in another country once converted back to the first currency. This may sound like gibberish but basically this is an interest rate version of PPP and like PPP its results are decidedly mixed. Indeed there can be significant violations of the interest rate parity theory for substantial periods of time without the immediate reversal that covered interest rate arbitrage might suggest. Not too surprisingly this is a dismal predictor of exchange rates. Indeed before we go further into the theory it is important to point out a practical flaw in the theory involving incentive which is undoubtedly a key contributing factor to its poor predictive track record the theory supposes an automatically causal relationship between interest rates and the exchange rate yet in practice most currency market practitioners trade currencies with directional rather than interest