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Spencer · 2022年12月20日

Inflation Expected = Inflation Forecast?

  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 1 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%


老师请问，根据现在的考纲Taylor Rule需要加上Expected Inflation, 那在这个题干里，Inflation Expected = Inflation Forecast，是吗?

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源_品职助教 · 2022年12月20日

嗨，爱思考的PZer你好：


是的，可以这么理解哦。

因为这道题是协会PRECTICE EXAMPLE 的题目，这部分题目有的协会没有按照考纲及时修改话术和答案。

比如这题，最后答案其实还是应该再加上一个预期通胀率才行。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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