Interest Rates and Arbitrage The treasurer of a major U.S. fi rm has $30 million to invest for three months. The annual interest rate in the United States is .45 percent per month. The interest rate in Great Britain is .6 percent per month. The spot exchange rate is £.56, and the three-month forward rate is £.59. Ignoring transaction costs, in which country would the treasurer want to invest the company’s funds? Why?

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