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台风来了 · 2024年04月24日

关于c选项的解析

NO.PZ2023040601000074

问题如下:

Lloyd Redfield, a portfolio manager on the foreign bond team, asks Simmons to review the current business cycle and yield curve in Australia. The Australian economy entered a recession approximately 6 months ago, and the Australian Central Bank has been reducing its policy rate. Simmons expects the Australian economy to gradually improve over the next 6–12 months and the government bond curve to change from its currently flat state to an upward sloping state. Simmons believes the future upward slope of the yield curve will be influenced by investor expectations for declining policy rates, increasing inflation premiums for longer dated bonds, and bond risk premiums that are negatively related to consumption hedging benefits.

Which one of Simmons’ factors is most likely accurate with regard to investors influencing the future shape of the yield curve?

选项:

A.Inflation premiums B.

Bond risk premiums

C.

Policy rate expectations

解释:

A is correct. Simmons’ forecast is supported by increasing inflation premiums for longer dated bonds. Many factors can influence an upward sloping yield curve, including higher risk premiums as maturities increase.

B is incorrect. An upward sloping curve would be associated with bond risk premiums that are positively, not negatively, related to the consumption hedging benefits of government bonds.

C is incorrect. Investor expectations for declining policy rates are more likely to result in an inverted yield curve, not an upward sloping curve.

Investor expectations for declining policy rates are more likely to result in an inverted yield curve, not an upward sloping curve.

投资者预期利率下降,一般短期利率下降大于长期利率的下降,因此更可能导致收益率曲线向上倾斜啊,怎么会是倒挂呢?麻烦解释一下,谢谢!

1 个答案

品职助教_七七 · 2024年04月24日

嗨,努力学习的PZer你好:


根据题干,目前央行已经降息,这种操作已经可以使得yield curve未来变为upward sloping的形状了,未来没有再降息的必要了。

C选项相当于在说在这个基础上,投资者预期未来还会再继续降息。如果这样操作,会让经济过热,过热会导致future yield curve变平乃至inverted。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!