NO.PZ2015121810000033
问题如下：
One interpretation of an upward sloping yield curve is that the returns to short-dated bonds are:
选项：
A.uncorrelated with bad times.
B.more positively correlated with bad times than are returns to long-dated bonds.
C.more negatively correlated with bad times than are returns to long-dated bonds.
解释：
C is correct.
One interpretation of an upward sloping yield curve is that returns to short-dated bonds are more negatively correlated with bad times than are returns to long-dated bonds. This interpretation is based on the notion that investors are willing to pay a premium and accept a lower return for short-dated bonds if they believe that long-dated bonds are not a good hedge against economic "bad times".
考点：The Yield Curve on Nominal Default-free Bonds
解析：经济越差，短期债的表现越好，因为短期债是投资者在熊市的避险工具。这里的return指的是持有期收益率，也就是在价格低的时候买入短期债，在经济变差的时候短期债需求变大，价格上涨，因此持有期收益率高。所以经济越差，returns to short-dated bonds越高，两者是负相关的。
这里的upward sloping yield curve可以从两个方面考虑：
一是yield curve反映的是要求回报率（也就是债券的折现率）。由于经济差的时候，短期债比长期债稳健，大家都更愿意去投资短期债，所以对短期债的要求回报率是比较低的，对长期债的要求回报率高，所以yield curve呈现向上倾斜的趋势。
二是经济差的时候，央行会降息，降息对短期利率影响更大，所以yield curve也是向上倾斜的。
老师，您这个解释一边说经济差的时候【持有期收益率高】，因为很多人追捧导致价格上涨；又同时说投资者的【要求回报率低】；那这里到底是站在谁的角度来衡量回报率？价格涨上去了，回报率已经变低了，为什么又能说持有期收益率高？
