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Feeling · 2022年02月20日

为什么在受到利率不能低于0的限制时,deflation让cash很有吸引力?又怎么理解“否则defaltion只是required短期实际利率的组成部分”?

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NO.PZ202105270100000301

问题如下:

Discuss the implications of Hadpret’s inflation forecast on the expected returns of the fund’s holdings of:

i. cash.

ii. bonds.

iii. equities.

iv. real estate


选项:

解释:

Cash :

The fund benefits from its cyclically low holdings of cash. With the economy contracting and inflation falling, short-term rates will likely be in a sharp decline. Cash, or short-term interest-bearing instruments, is unattractive in such an environment. However, deflation may make cash particularly attractive if a “zero lower bound” is binding on the nominal interest rate. Otherwise, deflation is simply a component of the required short-term real rate.

Bonds :

The fund’s holdings of high-quality bonds will benefit from falling inflation or deflation. Falling inflation results in capital gains as the expected inflation component of bond yields falls. Persistent deflation benefits the highest-quality bonds because it increases the purchasing power of their cash flows. It will, however, impair the creditworthiness of lower-quality debt.

Equities :

The fund’s holdings of asset-intensive and commodity-producing firms will be negatively affected by falling inflation or deflation. Within the equity market, higher inflation benefits firms with the ability to pass along rising costs. In contrast, falling inflation or deflation is especially detrimental for asset-intensive and commodity-producing firms unable to pass along the price increases

Real Estate :

The fund’s real estate holdings will be negatively affected by falling inflation or deflation. Falling inflation or deflation will put downward pressure on expected rental income and property values. Especially negatively affected will be sub-prime properties that may have to cut rents sharply to avoid rising vacancies

Cash:
该基金得益于其持有的现金处于周期性低位。随着经济收缩和通胀下降,短期利率可能会急剧下降。Cash,或短期计息工具,在这种环境下是没有吸引力的。然而,如果名义利率受到“零下限”的约束,通缩可能会让现金变得特别有吸引力。否则,通缩仅仅是必需的短期实际利率的一个组成部分。

Bonds:
持有的高质量债券将受益于通胀的下降或是通缩。通胀下降导致资本利得,因为债券收益率的通胀预期部分同样下降。持续的通货紧缩对高质量债券有利,因为它增加了债券现金流的购买力。然而,这将损害较低质量债务的信誉。

Equities:
该基金持有的资产密集型资产和大宗商品将受到通胀下降或通缩的负面影响。在股票市场中,较高的通货膨胀率有利于那些有能力将上升的成本转嫁出去的公司。相反,通货膨胀下降或通货紧对资产密集型和大宗商品生产企业尤其不利,因为它们无法将价格上涨传递出去

Real Estate :
该基金的房地产持有将受到通货膨胀下降或通货紧缩的负面影响。通货膨胀下降或通货紧缩将给预期的租金收入和房产价值带来下行压力。受影响最严重的将是次级房产,它们可能不得不大幅降低租金,以避免空置率上升。

 deflation may make cash particularly attractive if a “zero lower bound” is binding on the nominal interest rate. Otherwise, deflation is simply a component of the required short-term real rate.


为什么在受到利率不能低于0的限制时,deflation让cash很有吸引力?又怎么理解“否则defaltion只是required短期实际利率的组成部分”?



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已采纳答案

源_品职助教 · 2022年02月21日

嗨,爱思考的PZer你好:



是这样的,如果只把CASH 当成货币等价物,那么DEFLATION时候投资CASH是不好的,

因为货币等价物的收益率随着通胀变化而变化,通胀下降,收益率也下降。这算是个通用的结论。

但是呢,在咱们基础课讲义里说到的ATTRACTIVE是有一个前提的,就是此时CASH有一个最低的收益下限。

也就是收益不能低于0.那么这个时候,即便通胀和利率水平都为负数了,CASH其实也不会有负的收益

这个时候的CASH更像是人们手中的现金。那么它就具有吸引力了。这相当于是一般情况下的一个特例。


这句话强调了0下限的这个好处,如果没有这个好处,那么deflation 只是单纯影响必要收益率的组成部分。

“否则”强调了好处的消失。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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2023-08-08 15:31 1 · 回答