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前后推导不理解

NO.PZ2015120204000023

问题如下：

$Excess\ stock\ market\ return_t=a_0+a_1Default\ spread_{t-1}+a_2Term\ spread_{t-1}+a_3Pres\ party\ dummy_{t-1}+e_t$

Default spread is equal to the yield on Baa bonds minus the yield on Aaa bonds. Term spread is equal to the yield on a 10-year constant-maturity US Treasury index minus the yield on a 1-year constant-maturity US Treasury index. Pres party dummy is equal to 1 if the US President is a member of the Democratic Party and 0 if a member of the Republican Party.

The regression is estimated with 431 observations.

Exhibit 1.Multiple Regression Output

With respect to the default spread, the estimated model indicates that when business conditions are:

选项：

strong, expected excess returns will be higher.

weak, expected excess returns will be lower.

weak, expected excess returns will be higher.

解释：

C is correct.

The default spread is typically larger when business conditions are poor, i.e., a greater probability of default by the borrower. The positive sign for default spread (see Exhibit 1) indicates that expected returns are positively related to default spreads, meaning that excess returns are greater when business conditions are poor.

The positive sign for default spread (see Exhibit 1) indicates that expected returns are positively related to default spreads, meaning that excess returns are greater when business conditions are poor.

老师好，关于解析中的这句话，前半句我理解的，因为coefficient是正数，所以正相关。但是为何正相关就可以推导出“excess returns are greater when business conditions are poor.”呢？是从这个公式里面看出来的吗？谢谢

同学你好，

根据题干，回归方程中的自变量“Default spread”定义为了Baa债券收益率和Aaa债券收益率之差。

经济好的时候，这两者收益率之差会缩小。可以理解为经济好，大家认为所有债券都不会违约，所以买收益率高的Baa的债券很多，Baa债券的价格上升，进而导致Baa的yield下降，和Aaa收益率的差距缩小。

而经济差的时候这两者收益率的差距会变大，可以理解为经济差，市场整体违约率上升，投资者倾向于购买安全性高的产品，所以Aaa价格上升，yield变得更低，和Baa的差距越来越大。

以上是分析过程，二级组合里还会直接讲这个结论。

所以当经济差的时候，自变量“Default spread”会上升，而对应系数又为正，导致Y变量“Excess return”也会随之上升。C选项描述正确。

前后推导不理解

1 个答案

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763

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