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ZAA · 2021年03月12日

我没明白这是考察的哪个知识点，我没理解讲解

  1. CFA II
  2. Portfolio

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%。

能给我讲解一下吗

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1 个答案

星星_品职助教 · 2021年03月12日

同学你好，

这道题考察的是Breakeven inflation rates (BEI)的公式定性理解。

题干中说明“the spread between the five-year default-free nominal bond and the default-free real zero-coupon bond in Country C is 2.35%”

由于国债都不会违约，nominal bond和real bond的spread之间的差异只源自于通货膨胀的影响，这个影响分两部分：

①预期的通货膨胀率（expected inflation rate）；

②由于预期可能产生错误，所给予的补偿（uncertainty）；

由此可知，题干中nominal bond和real bond的spread差的那2.35%就等于①+②，题目问的只是第①部分expected rate of inflation和2.35%的对比，所以expected rate of inflation＜2.35%，选择A选项。

附讲义供参考，讲义上的定义和公式即为以上文字描述。

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