NO.PZ201701230200000307
问题如下：
7. Based on Exhibit 1, the results of Analysis 2 should show the yield on the five-year bond:
选项：
A.decreasing by 0.8315%.
B.decreasing by 0.0389%.
C.increasing by 0.0389%.
解释：
C is correct.
Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a one standard deviation decrease in both the level factor and the curvature factor will lead to the yield on the five-year bond increasing by 0.0389%, calculated as follows:
Change in five-year bond yield = 0.4352% - 0.3963% = 0.0389%.
Statement 1 "Equilibrium term structure models are factor models that use the observed market prices of a reference set of financial instruments, assumed to be correctly priced, to model the market yield curve."
Statement 2 "In contrast, arbitrage-free term structure models seek to describe the dynamics of the term structure by using fundamental economic variables that are assumed to affect interest rates."
