Question
Dries is a risk-neutral investor based London. He intends to exploit the deviations from UIP between AUD and JPY since the Japanese interest rate is
Dries is a risk-neutral investor based London. He intends to exploit the deviations from UIP between AUD and JPY since the Japanese interest rate is 1% while the Australian interest rate is 10%. From the newspaper he reads that AUD is expected to depreciate by 1% against JPY, and the JPY will depreciate by 7% against GBP.
What would be the expected excess return in GBP on his carry trade strategy?
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3 spot exchange rate S between the yen and the euro is currently ...
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Spreadsheet Modeling And Decision Analysis A Practical Introduction To Management Science
Authors: Cliff T. Ragsdale
5th Edition
324656645, 324656637, 9780324656640, 978-0324656633
