NO.PZ202206070100000404
问题如下：
Minglu Li Case Scenario
REDD Partners specializes in forecasting and consulting in particular sectors of the equity market. Minglu Li is one of the company’s analysts specializing in the consumer credit industry. A new consumer credit mechanism was being tested on a small scale using a smartphone application to pay for items instead of the traditional credit card. The application had proved successful in the use of microloans in developing countries and was now being applied to a much broader consumer base. The new challenge for Li’s team is to develop a model for the expected return for these new consumer credit companies, which are called “smart credit” companies because they combine the consumer credit industry and what had traditionally been considered the telecommunications industry.
Although smart credit company returns data are sparse, a five-year monthly equally weighted index called the “Smart Credit Index” (SCI) was created from the existing companies’ returns data. The number of companies in the index at a given time varies because of firms failing and also merging over time.
Li’s team also examines survey data projecting the future performance of the consumer credit and telecommunications industries over the same time period for which the actual performance data was collected. They found that projections in the survey data tended to be more volatile than the actual performance data. However, Li’s team decided not to make any adjustments to the survey data because a definitive procedure could not be determined.
Given the effect of short-term interest rates on consumer credit, Li’s team decides to determine what the short-term interest rate is expected to be in the future. The central bank’s last official statement identified 2.5% as the appropriate rate, assuming no other factors. Li’s team then estimates potential factors that may make the central bank behave differently from the 2.5% rate in the statement, shown in Exhibit 1.
Exhibit 1
Estimated Central Bank Factors
Based on Taylor’s rule, with an assumption of equal weights applied to forecast versus trend measures, the short-term rate is expected to increase from the current 1.23%, and the yield curve is expected to flatten for longer maturities.
For further insight, Li decides to consult an in-house expert on central banking, Randy Tolliver. Tolliver states the economy is likely in the early expansion phase of the business cycle based on the yield curve and consistent with this phase of the business cycle, monetary policy is becoming less stimulative.
QuestionTolliver’s statement is most likely:
选项：
A.correct. B.incorrect with the phase of the business cycle. C.incorrect with regard to monetary policy.解释：
Solution
A is correct. The yield curve is becoming steeper for short-term rates and flattening for longer-term rates which is consistent with the early expansion phase of the business cycle. Also, consistent with the early expansion phase of the business cycle, monetary policy is becoming less stimulative.
B is incorrect. The yield curve is becoming steeper for short-term rates and flattening for longer-term rates which is consistent with the early expansion phase of the business cycle.
C is incorrect. Consistent with the early expansion phase of the business cycle, monetary policy is becoming less stimulative.
本题考查的是不同经济阶段收益率曲线的特点
A是正确的。短期利率的收益率曲线变得陡峭，长期利率的收益率曲线趋于平缓，这与商业周期的早期扩张阶段相一致。此外，与商业周期早期扩张阶段一致的是，货币政策正变得缺少刺激性。
B是不正确的。短期利率的收益率曲线变得陡峭，长期利率的收益率曲线趋于平缓，这与商业周期的早期扩张阶段相一致。
C是不正确的。与商业周期早期扩张阶段一致，货币政策正变得不那么具有刺激性。
看到一个解释里说“current 利率是1.23%，未来会上升。未来的短期利率高于现在的短期利率。”但这样只能看出来短期向上倾斜呢，也看不出来变陡峭呢。
