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Thread: 外汇市场上的未抵补套利与抵补套利

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    Default 外汇市场上的未抵补套利与抵补套利

      总而言之,未抵补套利由于汇率的不确定性,其结果也是不确定的。

      抵补套利是指在较低的利率水平上借入一种货币,通过即期外汇交易将其兑换成利率水平较高国家的货币并用来投资以赚取利差收益。与此同时,为了防止在投资期间汇率变动的风险,这种套利通常与掉期交易结合进行,即从较高的利息收入中减去做掉期交易时买入现汇、卖出期汇所支付的成本,赚取一定的利润。

      假设,国内外汇市场上,人民币对美元的即期汇率是1美元=7.76-7.78人民币,一年期的汇率预测为1美元=7.68-7.70人民币,美国的一年期利率为5.25%,而国内的利率为3.06%。假定一外资企业在美国市场上买进现汇100万美元,存放在美国银行收取利息。同时卖出一年期期汇100万美元,以防止汇率变动的风险。

      它的掉期成本:

      买入现汇100万美元,付出778万元人民币。卖出一年期期汇100万美元,收入768万元人民币。掉期成本10万元人民币。

      其次,利息收支:
      利息收入1005.25%7.68=40.32万元,利息成本7783.06%=23.81万元,这样的话利息净收益为16.51万元人民币。套利净收入等于利息净收益减去掉期成本,为6.51万元。

      因此采用抵补套利,即使在当前某种货币汇率情势不看好的情况下,也可以根据利率之间的差异进行套利,获得一定的收益。

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    有的交易者虽然深陷困境,却仍“斗志昂扬”,硬要以自己有限的资金与市场拼个“鱼死网破”,这种交易者最终的结局只能是“鱼死”,而罕有“网破”的结果。

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    根据利率之间的差异进行套利

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    结果也是不确定的

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