NO.PZ202206070100000301
问题如下：
Exeter Asset Management Case Scenario
Martin Standish is an economic analyst with Exeter Asset Management, a British firm specializing in global funds for institutional investors, most of whom are based in the United Kingdom. Standish is identifying potential countries and asset classes to include in a new developed market fund that Exeter intends to introduce later this year.
Deeba Kumar, Standish’s supervisor, stops by to see how his work is progressing. She asks him to research at least five countries for the new fund, suggesting Chile, Singapore, Great Britain, the United States, and Denmark as potential candidates. She cautions him that he needs to be aware of interest rate linkages among these economies, and she mentions three points that he should consider:
Because the Chilean peso appears to be undervalued relative to the British pound and is likely to rise, Chilean bond yields may be lower than they should be relative to British bonds.
The peg linking Denmark’s currency to the euro is considered to be at risk and likely to break. Therefore, Danish bond yields are expected to drop if the Danish krone weakens relative to the euro.
After removing expected inflation, the real bond yield is likely to be similar in Singapore and Sweden.
Standish next reviews recent political news and discovers:
The Czech Republic is holding elections next month. The KSCM party is projected to gain a majority, with a proposal to significantly reduce tax rates.
The Swiss government is considering imposing a tax on all non-resident bank accounts.
Sweden has reduced the use of oil to less than 25% of its energy supply, due to concerns about oil price instability.
Standish now begins to develop models to help him decide which countries to include in the new fund. He prefers to use the simplest forecasting method, as long as the approach will help him predict the path of the economy, and the key variables that can influence security returns. Standish asks Kumar if she can advise him as to which approach is most appropriate given his preferences.
Next, Standish begins to identify specific assets to include in the developed markets portfolio. He originally considers equally weighted positions in selected assets in Chile, Switzerland and the United States. Exhibit 1 provides his summary of whether inflation is likely to remain within the expected range in each country for his selected asset classes. Based on this summary, he ponders how he should adjust the portfolio weights to reflect these economic forecasts.
Exhibit 1
Inflation Relative to Expected Range
Of Kumar’s three points regarding interest rate linkages among countries proposed for the new fund, she is least likely correct with respect to bond yields in:
选项：
A.Singapore and Sweden.
B.Denmark.
C.Chile.
解释：
Solution
B is correct. Kumar’s second point regarding Danish bonds is incorrect. When two currencies are pegged or linked, the bond yields of the country with the weaker currency are likely to rise higher unless the market is confident that the government will maintain the peg.
C is incorrect. Kumar’s first point regarding Chilean bonds is a true statement. If a country’s exchange rate is severely undervalued and is expected to rise substantially against another country’s, then bond yields in the first country will be lower than they would otherwise be in relation to the other country. Since Chile’s exchange rate relative to Great Britain’s is undervalued, we would expect the Chilean bond yields to be lower than they should be as compared to the yields on the British bonds.
A is incorrect. Kumar’s third point with respect to Singapore and Sweden is a true statement. Although real yields can vary, they can and do tend to move together.
题目考察的是利率与汇率的关联。Kumar关于丹麦债券的第二点论述是错误的。当两种货币挂钩或联系时，货币较弱的国家的债券收益率可能会上升，除非市场坚信政府将维持汇率盯住制度。
C是错误的。因为Kumar关于智利债券的第一点是对的。如果一个国家的汇率被严重低估，并且预计其相对于另一个国家的汇率将大幅上升，那么前者的债券收益率目前是比较低的。由于智利相对于英国的汇率被低估，我们预计智利的当前债券收益率低于其相对于英国债券收益率的应有水平（言外之意，应该更高才对）。
A是错误的。因为Kumar关于新加坡和瑞典的第三点论述是正确的。尽管实际收益率可能有所不同，但它们可以倾向于共同波动。
看了答案，为什么目前比索被低估现在智利的债券收益率就是比较低的呢？如果比索未来升值，那么根据比索的收益率反而是会下降的，那么现在比索的收益率应该是higher than it should be
