60-day interest rate (simple, p.a.) are 3% at home (usd) and 4% abroad (eur). The spot rate...

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60-day interest rate (simple, p.a.) are 3% at home (usd) and 4% abroad (eur). The spot rate moves from 1.000 to 1.001.

(a) What is the return differential, and what is the corresponding prediction of the change in the forward rate?

(b) What is the actual change in the forward rate?

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International Finance Putting Theory Into Practice

ISBN: 978-0691136677

1st edition

Authors: Piet Sercu

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Question Posted: Aug 07, 2017 09:42 AM

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60-day interest rate (simple, p.a.) are 3% at home (usd) and 4% abroad (eur). The spot rate...

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a The return differential is r tT r tT 0036 0046 00017 The predi...View the full answer

International Finance Putting Theory Into Practice

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