标题: Reading 64: Understanding Yield Spreads-LOS b 习题精选 [打印本页]
作者: 1215 时间: 2011-3-30 14:48 标题: [2011]Session15-Reading 64: Understanding Yield Spreads-LOS b 习题精选
Session 15: Fixed Income: Basic Concepts
Reading 64: Understanding Yield Spreads
LOS b: Describe a yield curve and the various shapes of the yield curve.
A normally sloped yield curve has a:
A normally shaped yield curve is one in which long-term rates are greater than short-term rates, thus the curve exhibits a positive slope.
作者: 1215 时间: 2011-3-30 14:49
A downward sloping yield curve generally implies:
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A) |
interest rates are expected to decline in the future. | |
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B) |
shorter-term bonds are less risky than longer-term bonds. | |
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C) |
interest rates are expected to increase in the future. | |
Since a yield curve has time on the x-axis and rates on the y-axis, when the yield curve is downward sloping it means that rates are expected to decline.
作者: 1215 时间: 2011-3-30 14:49
If investors expect future rates will be higher than current rates, the yield curve should be:
When interest rates are expected to go up in the future the yield curve will be upward sweeping because time is on the x-axis and rates are on the y-axis, thus forming an upward sweeping curve.
作者: 1215 时间: 2011-3-30 14:49
The concept of spot and forward rates is most closely associated with which of the following explanations of the term structure of interest rates?
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A) |
Expectations hypothesis. | |
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B) |
Segmented market theory. | |
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C) |
Liquidity premium theory. | |
The pure expectations theory purports that forward rates are solely a function of expected future spot rates. In other words, long-term interest rates equal the mean of future expected short-term rates. This implies that an investor could earn the same return by investing in a 1-year bond or by sequentially investing in two 6-month bonds. The implications for the shape of the yield curve under the pure expectations theory are:
- If the yield-curve is upward sloping, short-term rates are expected to rise.
- If the curve is downward sloping, short-term rates are expected to fall.
- A flat yield curve implies that the market expects short-term rates to remain constant.
作者: 1215 时间: 2011-3-30 14:49
Which of the following best explains the slope of the yield curve?
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A) |
The term spread between the yields of two maturities. | |
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B) |
The nominal spread between two securities with different maturities. | |
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C) |
The credit spread between two securities with different maturities. | |
Since the yield curve depicts the yield on securities with different maturities, the slope of the curve between two maturities is a function of the maturity spread.
作者: 1215 时间: 2011-3-30 14:49
Which of the following is the shape of an inverted yield curve or term structure?
An inverted yield curve reflects the condition where long-term rates are less than short-term rates, giving it a downward (negative) slope.
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