问题如下:
What does the regression hedge assume about the hedge coefficient, beta?
选项:
A. It moves in lockstep with real rates.
B. It stays constant over time.
C. It generally tracks nominal rates over time.
D. It is volatile over time, similar to both real and nominal rate.
解释:
It should be pointed out that while it is true that the regression hedge assumes a constant beta, this is not a realistic assumption; thus, it is best to estimate beta over several time periods and compare accordingly.
讲义里好像没有提到β是恒定不变的?(如果有,麻烦老师告知在哪个地方)这是结论么?