NO.PZ2022122601000013
问题如下:
In forecasting the Danish bonds’ expected rate of return, Perumalnotices that Denmark is facing negative short-term rates. He wonders ifnegative short-term rates will impact market relationships and complicatetraditional ways of forecasting rates. Perumal consults Josh Knight, a seniorrate strategist at the firm. Knight makes the following general statementsabout negative interest rates and their implications.
Statement 1: To calculatethe expected rate of return of Danish bonds, the observed negative short-termrates shouldn’t be used as the risk-free rate.
Statement 2: For countriesfacing negative short-term rates, market relationships (e.g., the yield curve)are unlikely to be distorted by other concurrent monetary policy measures.
Which of JoshKnight’s statements regarding negative short-term rates is most likely correct?
选项:
A.Only Statement 1 is correct
B.Only Statement 2 is correct
C.
Both statements are correct
解释:
Correct Answer: A
Statement 1 iscorrect. When short-term rates are negative, the long-run equilibrium short-termrate can be used as the risk-free rate, rather than the observed negative rate.
Statement 2 isincorrect. Market relationships (e.g., the yield curve) are likely to be distortedby other concurrent policy measures such as quantitative easing.
中文解析:
表述一是正确的。当短期利率为负时,可以使用长期均衡短期利率作为无风险利率,而不是观察到的负利率。
表述二不正确。市场关系(如收益率曲线)可能会被其他同步的政策措施(如量化宽松)扭曲。
负利率的情形中,货币政策可能是失效的,也有可能是有效的,不同的观点都有,所以这个statement 2到底以什么标准判断对错呢?