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2 FX6.2 Suppose that the spot exchange rates for polish zloty (PLN) are as follows: EUR/PLN = 4.2748 (i.e.: how much PLN is per 1.00
2 FX6.2 Suppose that the spot exchange rates for polish zloty (PLN) are as follows: EUR/PLN = 4.2748 (i.e.: how much PLN is per 1.00 EUR) USD/PLN = 3.8109 (i.e.: how much PLN is per 1.00 USD) At the same time, the interest rate in U.S.A., Eurozone and Poland are as follows (in a table): LIBOR USD EURIBOR EUR 3 months 1.1976% -0.3290% 6 months 1.4174% -0.2540% 1.81% 1 year 1.7257% -0.1310% 1.85% WIBOR PLN 1.73% Based on these rates, what forward exchange rates are consistent with no arbitrage? Follow covered interest rate parity and calculate forward exchange rates EUR/PLN and USD/PLN, i.e.: analyze and answer how much PLN would be per 1.00 EUR (or per 1.00 USD) in future as the interest rate parity model works. k Fill in the blanks with the relevant answers (round 4 digits after decimal point). Forward exchange rate EUR/PLN in 1 year is: Forward exchange rate EUR/PLN in 3 months is: Forward exchange rate USD/PLN in 6 months is: Reset
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