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zhou8888 · 2022年11月11日

current和neutral的区别

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202206070100000502

问题如下：

Using the data in Exhibit 3 and the investment team’s approach to predict the Fed’s next move, the new fed funds rate will most likely be:

选项：

A.2.9%. B.2.6%. C.2.1%.

解释：

Solution

C is correct. The Taylor rule is

Roptimal = Rneutral + [0.5 × (GDPgforecast – GDPgtrend)] + [0.5 × (Iforecast – Itarget)]

= 2.5 + [0.5 × (3.0 – 4.5)] + [0.5 × (3.2 – 2.5)]

= 2.5 – 0.75 + 0.35

= 2.10%


C是正确的，依据泰勒公式可得：

Roptimal = Rneutral + [0.5 × (GDPgforecast – GDPgtrend)] + [0.5 × (Iforecast – Itarget)]

= 2.5 + [0.5 × (3.0 – 4.5)] + [0.5 × (3.2 – 2.5)]

= 2.5 – 0.75 + 0.35

= 2.10%


想问一下，current rate和neutral rate的区别是，current=neutral+inflation吗？

考试的时候需要加inflation，如果没有单独给出，是不是用current rate带入taylor公式呢？

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1 个答案

源_品职助教 · 2022年11月11日

嗨，爱思考的PZer你好：


neutral更多地是一个理论值，是保值经济健康发展的，同时又不是的经济过热的这么一个理论中的利率

current rate，一般不会这么表述，至少在泰勒公式里不涉及到这个单词。教材给出的代入数值就是 netural rate

current rate可以理解为观察到的市场的一个利率，是一个真实的市场利率。

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努力的时光都是限量版，加油！

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