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472121 · 2020年08月20日

问一道题:NO.PZ2018091701000019

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θ97.5=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?

1 个答案

丹丹_品职答疑助手 · 2020年08月22日

嗨,努力学习的PZer你好:


同学你好,短期债券通常指的是一年以下的t-bill,请知悉。


-------------------------------
努力的时光都是限量版,加油!


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