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Miss. Lovable · 2024年10月07日

短期和长期如何区分

NO.PZ2018091701000021

问题如下:

The data in the following table is obtained by analyst using historical information: 

The Analyst also manages to observe that the spread between the five-year default-free nominal bond and the default-free real zero-coupon bond in Country C is 2.35%, which of the following statement is correct?

选项:

A.

expected rate of inflation is less than 2.35%.

B.

expected rate of inflation is larger than 2.35%.

C.

expected rate of inflation is equal to 2.35%.

解释:

A is correct.

考点Breakeven inflation rates (BEI)

解析the difference between the default-free nominal bond and the default-free real zero-coupon bond is BEI.

BEI=expected inflation rate + uncertainty of inflation rate. 不确定性即是风险,对于风险就有风险补偿,这样的补偿通常认为是正的,所以uncertainty of inflation rate>0.

因此当BEI=2.35%时, 而uncertainty of inflation rate>0那么expected rate if inflation 小于2.35%

题目中five years 可以看作短期吗? 如果是短期,real default free bond 和 nominal default-free bond 之间,相差 expected inflation.

1 个答案

品职助教_七七 · 2024年10月07日

嗨,爱思考的PZer你好:


短期一般是小于等于一年,但具体需要看实际的题目是如何描述的。如果题目不认为短于一年的期限是短期,则也需要考虑uncertainty。

但本题的五年无论如何也不是短期。

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