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Jack Sun · 2021年10月02日

bond slope

我想问一下,这道题说的是短期和长期的 default-free government bond的slope。在recession时长期的default-free government bond的 yield变小,短期的default-free government bond的 yield变大。长期government bond和短期government bond的yield是负相关的。


所以,两者斜率都会变的更陡峭吗?(如果是这样,请分别从长期government bond和短期government bond解释一下原因。)

如果只是其中之一斜率都会变的更陡峭,那另一个斜率怎么变?谢谢!


Q. During a recession, the slope of the yield curve for default-free government bonds is most likely to:

A.flatten.

B.steepen.

C.become inverted.


Solution

B is correct. During a recession, short rates are often lower because central banks tend to lower their policy rate in these times because the output gap is likely to be negative. However, the impact of such monetary policy on longer-term rates will not be as strong, so long rates may not fall by as much as short rates. The central bank will usually be expected to bring short term rates back to normal as the recession recedes and the risk free rates will increase as economic growth recovers. Thus, the slope of the yield curve will typically steepen during a recession.

Economics and Investment Markets Learning Outcome

  1. Explain how the phase of the business cycle affects policy and short-term interest rates, the slope of the term structure of interest rates, and the relative performance of bonds of differing maturities



1 个答案

星星_品职助教 · 2021年10月04日

同学你好,

recession的时候只需要考虑短期的yield即可。

由于经济下行,央行会降息。降息主要影响的是短期的yield(下降),所以使得yield curve变陡峭。

整个过程中对于短期yield影响更大,长期的yield可以理解为不变或者下降的幅度比短期小。最后的结论就是 recession→steepen

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