NO.PZ2021120102000010
问题如下:
Which of the following statements best describes empirical duration?
选项:
A.A common way to calculate a bond’s empirical duration is to run a
regression of its price returns on changes in a benchmark interest rate.
A bond’s empirical duration tends to be larger than its effective duration.
The price sensitivity of high-yield bonds to interest rate changes is typically
higher than that of investment-grade bonds
解释:
A is correct. A bond’s empirical duration is often estimated by running a regression of its price returns on changes in a benchmark interest rate.
助教您好。我知道A是对的,但是为什么C是错误的?不是HY bond对利率的敏感性更大?我的理解是它只有在经济趋势往上走的时候才会和investment grade bond的利差缩小。
谢谢。