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antheac · 2020年03月04日

问一道题:NO.PZ2018123101000044

问题如下:

Tyo and her assistant are discussing the term structure theory. Tyo’s assistant asks, "Assuming investors require liquidity premiums, how can a yield curve slope downward? What does this imply about forward rates?"

Tyo answers, -Even if investors require compensation for holding longer-term bonds, the yield curve can slope downward — for example, if there is an expectation of severe deflation. Regarding forward rates, it can be helpful to understand yield curve dynamics by calculating implied forward rates.-

With respect to this discussion of yield curves, Tyo is most likely discussing which term structure theory?

选项:

A.

Pure expectations theory

B.

Local expectations theory

C.

Liquidity preference theory

解释:

C is correct.

考点:Liquidity Preference Theory, Segmented Market Theory and Preferred Habitat Theory

解析:流动性偏好理论表明流动性溢价存在以弥补投资者在长期放贷时面临的额外利率风险,流动性溢价随着期限的增加而增加。根据Tyo的描述,他所说的为Liquidity preference theory。

B为什么不行呢, 也是long term加risk premium

1 个答案

吴昊_品职助教 · 2020年03月05日

只要题干中提到liquidity premium的就只有流动性偏好理论,和pure(local) expectation无关。

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NO.PZ2018123101000044 问题如下 Tyo anher assistant are scussing the term structure theory. Tyo’s assistant asks, \"Assuming investors require liquity premiums, how ca yielcurve slope wnwar Whes this imply about forwarrates?\"Tyo answers, -Even if investors require compensation for holng longer-term bon, the yielcurve cslope wnwar— for example, if there is expectation of severe flation. Regarng forwarrates, it chelpful to unrstanyielcurve namicalculating implieforwarrates.-With respeto this scussion of yielcurves, Tyo is most likely scussing whiterm structure theory? Pure expectations theory Locexpectations theory Liquity preferentheory C is correct.考点Liquity PreferenTheory, SegmenteMarket Theory anPreferreHabitTheory解析流动性偏好理论表明流动性溢价存在以弥补投资者在长期放贷时面临的额外利率风险,流动性溢价随着期限的增加而增加。根据Tyo的描述,他所说的为Liquity preferentheory。 liquity preferentheory中的额forwarrate是upwar biaseof expectefuture spot rate~原因是其中包含了liquity premium。与题目中的wnwarcurve之间有什么关系?怎么理解

2024-03-15 11:11 2 · 回答

NO.PZ2018123101000044 对flation有点疑问,望解惑,感谢! 按照这题目答案的,flation预期会导致利率走低。但是flation不就是资产价格(Price)低迷,这样回报率应该变高啊? 很多文献里flation ten to put upwarpressure on rerates.所以一直有个印象,觉得这题假设有点反常规,还是我参照物错了?

2021-04-20 23:36 1 · 回答

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2020-01-01 21:14 1 · 回答

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2019-01-10 13:51 2 · 回答