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Q10. Suppose the yield curve becomes steeper. Which of the following is a consequence of the steepening? ffice ffice" />
A) Long-term bonds become less sensitive to interest rate changes.
B) The yield spread between long and short-term securities increases.
C) Long-term bonds become more sensitive to interest rate changes.
Correct answer is B)
This is by definition. A steepening yield curve means that the slope of the yield curve increases. The slope is the difference (i.e. the term spread) between the yields of two maturities. Consequently, as the yield curve steepens this spread increases.
Q11. A yield curve undergoes a parallel shift. With respect to the bonds described by the yield curve, the shift has least likely changed the:
A) durations.
B) yield to maturities.
C) yield spreads for bonds of different maturities.
Correct answer is C)
A yield curve is on a graph with interest rates on the vertical axis and maturities on the horizontal axis. A parallel shift of a yield curve means the spread between the interest rates or the “yield spreads” have not changed. The other possible choices to answer the question would change. By definition, the yields to maturity have changed. Since duration changes with changes in yield, all the durations would change.
Q12. Which of the following statements about yield curves is most accurate?
A) A yield curve gets steeper when spreads widen.
B) A negative butterfly means that the yield curve has become less curved.
C) A twist refers to changes to the degree to which the yield curve is humped.
Correct answer is A)
A twist refers to yield curve changes when the slope becomes either flatter or steeper. A negative butterfly means that the yield curve has become more curved.
Q13. Which of the following statements about yield curves is least accurate?
A) A positive butterfly means that the yield curve has become less curved.
B) The slope of the yield curve changes slightly following a parallel shift.
C) Twists and butterfly shifts are examples of nonparallel yield curve shifts.
Correct answer is B)
The slope of the yield curve never changes following a parallel shift.
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发表于 2009-3-16 18:05
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