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Darkblanca · 2024年01月26日

B为什么错了？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000010

问题如下：

Which of the following statements best describes empirical duration?

选项：

A.

A common way to calculate a bond’s empirical duration is to run a regression of its price returns on changes in a benchmark interest rate.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

The price sensitivity of high-yield bonds to interest rate changes is typically higher than that of investment-grade bonds

解释：

A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.

B为什么错了？没看懂其他的回答

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1 个答案

pzqa31 · 2024年01月26日

嗨，从没放弃的小努力你好：


empirical duration是观察到的债券价格对基准利率变动的敏感程度，effecive duration是理论上计算的债券价格对基准利率变动的敏感程度。empirical duration小于effective duration，尤其是HYB，二者的差异更大，这是一个实证检验观察到的一个现象。具体原因如下：

由于yc=yb+spread且yb与credit spread有负相关关系（理论基础是△yb＞0表明经济好，此时，投资者对市场未来看好，对债券credit premium要求较低，因此credit spread变小），所以△yb＞0，credit spread下降，也就是△spread＜0，进而△yc＜△yb，抵消作用就是credit spread与基准利率的负相关导致的。

假设△yb=1%，那么根据上面的分析，△yc＜1%，△yc引起的△%P＜△yb引起的△%P，前者是empirical duration，后者是effective duration，所以，empirical duration 通常要比 effective duration小。

相比于IG，因为HYB的credit spread与yb负相关关系更大，所以相对于IG，HYB的empirical duration比effective duration小的更多。





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