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Suppose the interest rate on 6-month treasury bills is 5 percent per year in the United Kingdom and 3 percent per year in the United States. Also, today’s spot exchange price of the pound is $2.00 while the 6-month forward exchange price of the pound is $2.02. By investing in U.K. treasury bills rather than U.S. treasury bills, and covering exchange-rate risk, U.S. investors earn an approximate extra return for 6 months of:
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Suppose the interest rate on 6-month treasury bills is 5 percent per year in the United Kingdom and 3 percent per year in the United States. Also, today’s spot exchange price of the pound is $2.00 while the 6-month forward exchange price of the pound is $2.02. Consider the expected future spot rate of pounds is $2.04. By investing in U.K. treasury bills rather than U.S. treasury bills, and NOT covering exchange-rate risk, the approximate extra return earned by U.S. investors for 6 months will be:
Suppose the interest rate on 6-month treasury bills is 5 percent per year in the United Kingdom and 3 percent per year in the United States. Also, today’s spot exchange price of the pound is $2.00 while the 6-month forward exchange price of the pound is $ 2,02. If the price of the 6-month forward pound were to _____, U.S. investors would see no return difference between covered U.K. investment and domestic U.S. investment.
_____ parity is the condition where the expected uncovered differential equals zero.
Consider covered investments between the United States and Japan. If Japanese interest rates decrease, interest arbitrage operations will most likely result in a(n):
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