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472121 · 2020年08月20日

问一道题:NO.PZ2018091701000021

问题如下:

The data in the following table is obtained by analyst using historical information: 

The Analyst also manages to observe that the spread between the five-year default-free nominal bond and the default-free real zero-coupon bond in Country C is 2.35%, which of the following statement is correct?

选项:

A.

expected rate of inflation is less than 2.35%.

B.

expected rate of inflation is larger than 2.35%.

C.

expected rate of inflation is equal to 2.35%.

解释:

A is correct.

考点Breakeven inflation rates (BEI)

解析the difference between the default-free nominal bond and the default-free real zero-coupon bond is BEI.

BEI=expected inflation rate + uncertainty of inflation rate. 不确定性即是风险,对于风险就有风险补偿,这样的补偿通常认为是正的,所以uncertainty of inflation rate>0.

因此当BEI=2.35%时, 而uncertainty of inflation rate>0那么expected rate if inflation 小于2.35%

老师你好,请问为什么这里的default-free real zero-coupon bond 为什么不包含theta呢?

而在impact of inflation的内容里,ST bond是包含real rf + expect inflation的

请问该怎么区别和理解呢?谢谢老师

1 个答案

丹丹_品职答疑助手 · 2020年08月22日

嗨,从没放弃的小努力你好:


同学你好,bei指的是difference between the default-free nominal bond and the default-free real zero-coupon bond is BEI.

因为default-free real zero-coupn bond的,real不就说的是不含inflation吗?

确实这一章挺复杂,而且跟其他章节相对独立,需要多费些时间。


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