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HebeG · 2024年01月04日

按照目前公式计算的正确答案是多少

  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%


按照目前的公式计算，最终结果应该是2.1%+3.2%=5.3%吗？如果题目中没有给出neutral rate是real 还是nominal，是按照默认为real rate吗？

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1 个答案

笛子_品职助教 · 2024年01月05日

嗨，努力学习的PZer你好：


是的，同学理解正确。

老版的题目给的默认是real，新版的题目给的默认是nominal。

这里加上通胀即可。

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

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