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zjcjrd · 2020年02月27日

问一道题:NO.PZ2016070201000068 [ FRM II ]

问题如下:

The Bureau of Labor Statistics has just reported an unexpected short-term increase in high-priced luxury automobiles. What is the most likely anticipated impact on a mean-reverting model of interest rates?

选项:

A.

The economic information is long-lived with a low mean-reversion parameter.

B.

The economic information is short-lived with a low mean-reversion parameter.

C.

The economic information is long-lived with a high mean-reversion parameter.

D.

The economic information is short-lived with a high mean-reversion parameter.

解释:

D is correct. The economic news is most likely short-term in nature. Therefore, the mean reversion parameter is high so the mean reversion adjustment per period will be relatively large.

题目说这个原本价格就很高的产品突然价格又增加了,这并不能说明这个商品回到了均值回归的水平,反而离均值更远了,所以是low mean reversion,因为是low meanreversion所以均值回归花的时间要长,long lived

1 个答案

orange品职答疑助手 · 2020年02月28日

同学你好,本题不能这样推导,因为 luxury automobiles 本身就很昂贵啊,它的昂贵是正常的,对利率是没有影响的。本题应该把这个 luxury automobiles 价格突然提升当做是一个突发的经济冲击来看,任何经济冲击都会影响到整个经济系统,进而影响到利率上。但因为这个经济冲击是短暂的,所以利率的均值覆归也会很快。