问题如下:
An investor proposes buying a one-year government zero-coupon bond with face value of $100 and priced at $97.5, investor also collected some market information, the one-year real risk-free rate at 1.56% and unexpected inflation is 2.12% last year, please calculate the implied expected inflation rate for the one-year government zero-coupon bond:
选项:
A.1.1%
B.-1.1%
C.2.5%
解释:
B is correct.
考点:计算公式:P t= ( C F t+s )/( 1+ l t,1 + θ t,1+ π t,1 ) s
解析:根据题干提供的已知变量,倒推出未知变量θ:97.5=100/(1+ 1.56%+θ+2.12%)
可以计算出θ=-0.011 or -1.1%
老师你好,短期债券不是忽略“预期通胀不确定性”(PAI)的风险吗?