问题如下:
What is relationship between the level of cyclicality and the sensitivity of corporate bond’s spread to changes in the business cycle:
选项: Negative relativity.
Positive relativity.
C.uncorrelated.
解释:
B is correct.
考点:信用补偿与经济周期
解析:大家要注意这个题问的不是SPREAD,而是SPREAD的Sensitivity(敏感性).如果公司越发具有周期性,那么其SPREAD的变化也就越大,所以是正相关。
当经济好时,周期性行业好,此时credit spread小,当经济不好时,周期性行业不好,此时credit spread大,不应该时negative的关系吗?