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杨舒芃 · 2023年06月24日

C为什么对呢？为什么会在bullish flatten的时候发生flight to quality呢 既然是牛市那就是经济变好啊

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000033

问题如下：

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项：

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释：

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

C为什么对呢？为什么会在bullish flatten的时候发生flight to quality呢 既然是牛市那就是经济变好啊

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pzqa31 · 2023年06月24日

嗨，努力学习的PZer你好：


不是的，flight to quality表明预期一段时间内经济将持续变差，市场投资者都追求安全资产（一般是中长期美国国债），都买中长期国债，使得国债价格攀升，中长期收益率下降，甚至超过短期利率的下降幅度，所以收益率曲线是bullish flatten。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

杨舒芃 · 2023年06月24日

所以如果是经济变好一定是yield curve steepen吗 bear还是bull有区别吗？同样如果yc flatten 不论bear还是bull都是经济会持续变差吗？

pzqa31 · 2023年06月25日

嗨，爱思考的PZer你好：


这个其实不一定，产生Bear (bull) flattening, bear（bull）steepening的原因是多样的，原版书只是给出了每个变动情况下的其中一个解释原因。


用利率形态的改变去推测经济的状态实际是不太准的，因为影响利率改变的因素非常多，有可能是货币政策影响，也有可能是经济的影响，有时主导因素可能还不是经济环境，所以不好由利率推断经济状态。只能说是当利率发生形态变化时，可以找到一些解释的原因。


原版书关于这几个利率改变，给出了以下解释原因：

Bull steepening：Bull反映利率下降，Steepening反映短期利率下降幅度还更大，产生的原因可能是为了刺激经济央行使用货币政策降低的短期利率，因为货币政策主要是通过短期利率来影响的，短期利率下降带动长期利率也下降。


Bear steepening：Bear反映整体利率上升，同时长期利率上升幅度还更大，一个解释原因可能是，经济火热、资金需求旺盛，使得整体利率上升，同时经济火热预期未来通胀上升，所以导致长期利率上升幅度还更大，导致Steepening.


Bear flattening：Bear反映整体利率上升，同时Flattening表示短期上升幅度还更大，一个解释原因是，央行使用货币政策、通过升高短期利率来抑制经济（通胀），使得短期利率上升幅度还更大。


Bull flattening：Bull反映整体利率下降，同时flattening表示长期利率下降幅度还更大，一个解释原因就是flight-to-quality增加了长期债券的需求、压低了长期的收益率。


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加油吧，让我们一起遇见更好的自己！

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