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明明要加油 · 2023年09月17日

请问老师关于real的含义

NO.PZ2015121810000027

问题如下:

The prices of one-period, real default-free government bonds are likely to be most sensitive to changes in:

选项:

A.

investors’ inflation expectations.

B.

the expected volatility of economic growth.

C.

the covariance between investors’ inter-temporal rates of substitution and the expected future prices of the bonds.

解释:

B is correct.

Only changes in default-free real interest rates will affect the price of real, default-free bonds. The average level of default-free real interest rates is positively related to the volatility of economic growth in the economy; thus, changes in the expected volatility of economic growth would likely lead to changes in real default-free real interest rates, which in turn would affect the prices of real, default-free government bonds.

考点:Discount Rate on Real Default-free Bonds

解析:排除法

A 选项,real bonds 不会受到通货膨胀的影响,nominal bonds 才会

B 选项,volatility of economic growth 影响分母 l,即 real default-free interest rate,所以 B 正确

C 选项,one-period 的债券价格不受 covariance 的影响,因为 one-period default free bond 的 covariance=0。只有多期债券才会受covariance 影响

我有点不太明白,这个是定义吗,

为什么说real就是考虑了通货膨胀因素呢?


1 个答案
已采纳答案

星星_品职助教 · 2023年09月18日

同学你好,

real bond给投资者的coupon是经过了inflation调整的,即无论此时通货膨胀是多少,最后给投资者的都是约定好的real interest rate,对应的购买力不变。即real bond不会受到inflation的影响。这就是“考虑了通货膨胀因素”。

相比之下,nominal bond的coupon没有考虑通货膨胀,如果inflation很高,相当于投资者拿到的coupon的购买力是下降的。

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