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标题: Reading 53: Term Structure and Volatility of Interest Rates- [打印本页]

作者: 土豆妮 时间: 2010-4-20 14:47 标题: [2010]Session 14-Reading 53: Term Structure and Volatility of Interest Rates-

Session 14: Fixed Income: Valuation Concepts
Reading 53: Term Structure and Volatility of Interest Rates

LOS b: Describe the factors that drive U.S. Treasury security returns and evaluate the importance of each factor.

Change in the which of the following factors has been observed to be the most important driving force for Treasury returns?

A)
Slope of the yield curve.

B)
Level of interest rates.

C)
Coupon of Treasury securities.

In regressions, changes in the level of the interest rate have been shown to explain about 90% of the Treasury return variance.

作者: 土豆妮 时间: 2010-4-20 14:47

Change in which of the following is NOT a factor that has been observed to drive Treasury returns?

A)
The level of interest rates.

B)
The coupon of Treasury securities.

C)
The curvature of the yield curve.

The coupon for Treasury securities is constant.

作者: 土豆妮 时间: 2010-4-20 14:48

Research studies have identified three factors that explain historical Treasury returns. Which of the following is the factor with the most explanatory power? Changes in the:

A)

slope of the yield curve.

B)

level of interest rates.

C)

default risk premium.

Default risk is not relevant for Treasury securities. Changes in the level of interest rates accounts for almost 90% of the observed variation in total returns.

作者: 土豆妮 时间: 2010-4-20 14:48

Changes in all of the following have been identified as one of the three factors that explain historical Treasury returns EXCEPT the:

A)

curvature of the yield curve.

B)

level of interest rates.

C)

default risk premium.

Default risk is not relevant for Treasury securities. Research has identified the curvature of the yield curve, level of interest rates, and the slope of the yield curve as explaining over 95% of the changes in Treasury returns.

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