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SUN · 2019年01月16日

问一道题:NO.PZ201512300100000303 第3小题

* 问题详情,请 查看题干

问题如下图:

    

选项:

A.

B.

C.

解释:


解析里面那个括号as a result of the normal upward sloping yield curve感觉和括号前面的不对应吧?另外,短期利率在CAMP模型中怎么影响到长期利率的,不太明白

1 个答案
已采纳答案

maggie_品职助教 · 2019年01月18日

1、没有不对应,ERP=RM-RF,括号前说的是ERP较高,因为短期利率较低(rf较低,那么根据ERP的公式可知,ERP就会较大),括号里说的是正常利率曲线通常是短期低,长期高,因此我们用短期利率rf计算ERP,ERP会比较大

2、这道题是让你基于当前的rf 和历史的ERP来估计re:

re=rf+beta(rm-rf)

1、当前利率曲线是inverted,说明短期利率大于长期利率,因此公式第一项rf较大

2、rm-rf用历史ERP,历史上利率曲线是normal形态-upward sloping(短期小于长期),因此rm-rf较大

综上,用当前rf和历史ERP,会高估re



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