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I Yuan · 2021年12月24日

我知道A是对的,但是为什么C是错误的

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.

B.

A bond’s empirical duration tends to be larger than its effective duration.

C.

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。

1 个答案

pzqa015 · 2021年12月24日

嗨,从没放弃的小努力你好:


公司债的折现率可以用这个公式来表示:yc=yb+spread①

C选项的interest rate changes指的是yb的change,即基准收益率的改变。

根据公式①,yb改变,会传导至yc,进而引起公司债券价格发生变化。

关于yb与spread,有个结论是:yb与spread呈负相关关系,也即,yb上升,spread通常会下降;yb下降,spread通常会上升,现实意义是:yb上升,代表经济回暖,公司债的利差spread变小;yb下降,代表经济下行,公司债的利差与spread变大,对于不同评级的债券,负相关关系的大小是不一样的,通常来说,HYB的负相关关系更大,IG的负相关关系更小,原因是相对于IG,HYB的spread更容易受经济周期的影响

讲义对这里的描述如下图:

正式由于HYB的spread与yb的负相关关系大,所以spread对yb的抵消作用大,所以同样yb变动1bp,HYB的yc变化是小于IG的yc变化的,导致HYB的price变化小于IG的price变化,所以,C选项正确的表述应该是:the price sensitivity of high yield bonds to interest rate changes is typically lower than that of investment grade bonds




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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Felix Young · 2023年01月07日

老师好,就回复继续请教下。 根据yc=yb+spread , 打比方: 初始状态下 yb=4%, hyb的spread=5%、IG的spread=2%, 则hyb的yc=9%、 ig的yc=6%; 当 yb上升△=1%后, 假设hyb spread 下降更多 △=-2%,ig spread 下降更少 △=-1%,此时 hyb yc'=5%+3%=8%, ig yc'=5%+1%=6% 这时候 hyb 的变动依旧比 IG的变动更大,进而引起HYB的债券价格变化要大于IG的债券价格变化? 不知道这么思考是哪里出问题了?

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