第10讲Covered and Uncovered Interest Rate Parity(国际金融(香港大学,WONG Ka Fu)11.0汇总.pptVIP

Expectations Lottery 2 0.2 probability to win 1000 0.3 probability to win 500 0.5 probability to win 0 Expect to win 0.2 × 1000 + 0.3 × 500 + 0.5 × 0 = 350 Expectations Lottery 3 Pi = f(yi) probability to win yi Expect to win Et(y) = ?i Pi yi = ?i f(yi) yi Expectations Lottery 4 f(y) probability to win y Expect to win Et(y) = E(y| information available at time t) = ?y?? f(y) y dy Replacing assets with deposits greatly simplifies the algebra: Some unknown quantities become known: Pt+1 = 1 Pt = 1 Dt+1 = Rt= home interest rate Pt+1*= 1 Pt* = 1 Dt+1*= Rt*= foreign interest rate The onl