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Uncovered Interest Parity

Uncovered Interest Parity. 以上所说的是“抛补利率平价说” (Covered Interest Parity-CIP) 即套利者通过抛补套利活动可以赚取无风险的利润。.

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Uncovered Interest Parity

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  1. Uncovered Interest Parity • 以上所说的是“抛补利率平价说”(Covered Interest Parity-CIP)即套利者通过抛补套利活动可以赚取无风险的利润。

  2. 现在再进一步“不抛补的利率平价”说”(Uncovered Interest Parity-UIP)。套利者可以让其未来的外币收益头寸（本金+利息）在时间t不加抛补，并一直等到时间(t+1)再安排按(t+1)时的即期汇率 （直接标价法）重新换成本币。与 不同， 的值在时间t是未知的，因此，持有不抛补头寸的吸引力必须根据 的不同结果出现的概率予以评估。

  3. Uncovered Interest Parity • UIP要求市场使本币资产的收益与外币资产的未抛补头寸的收益在时间t时的预期值Et保持均衡， 即：

  4. If the forward exchange rate is equal to the expected future spot rate, then the forward premium is also equal to the expected change in the exchange rate and uncovered interest rateparity will hold. (i.e., The expected change in the exchange rate is equal to the interest differential.)

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