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: The economic information is long-lived
with a low mean-reversion parameter.
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.
what is long lived or short lived ........no idea at all