NO.PZ2018123101000042
问题如下：
Exhibit 1 shows the current government spot rates for Countries A, B, and C.
Tyo presents her market views on the respective yield curves for a five-year investment horizon.
Country A: The government yield curve has changed little in terms of its level and shape during the last few years, and I expect this trend to continue. We assume that future spot rates reflect the current forward curve for all maturities.
Country B: Because of recent economic trends, I expect a reversal in the slope of the current yield curve. We assume that future spot rates will be higher than current forward rates for all maturities.
Country C: To improve liquidity, Country C’s central bank is expected to intervene, leading to a reversal in the slope of the existing yield curve. We assume that future spot rates will be lower than today’s forward rates for all maturities.
Based on Exhibit 1 and assuming Tyo’s market views on yield curve changes are realized, the forward curve of which country will lie below its spot curve?
选项：
A.Country A
B.Country B
C.Country C
解释：
B is correct.
考点：Forward Curve与Spot curve之间的关系
解析：B国的收益率曲线目前向上倾斜，但Tyo预计当前收益率曲线的斜率会出现逆转。这意味着她预期B国的最终收益率曲线向下倾斜，得到的Forward rate曲线将位于Spot rate曲线下方。A是不正确的，因为A国的收益率曲线目前向上倾斜，而Tyo预计收益率曲线将保持该形状。该预期意味着远期利率曲线仍将高于spot rate曲线。C是不正确的，因为C国的收益率曲线目前向下倾斜，而Tyo预计当前收益率曲线的斜率会反转。这意味着她预期C国的最终收益率曲线向上倾斜，这意味着得到的Forward rate曲线将高于spot rate曲线。
Country B: Because of recent economic trends, I expect a reversal in the slope of the current yield curve. 这里说的是spot curve会反转原来上升那将来就该是下降
We assume that future spot rates will be higher than current forward rates for all maturities.这里说的是假设future spot rate 高于 current forward rate ，forward rate 是current和过去spot rate的平均 那过去的spot rate 就应该高于 future spot rate 那spot curve 就是下降的趋势。
