NO.PZ202206070100000403
问题如下：
Minglu Li Case Scenario
REDD Partners specializes in forecasting and consulting in particular sectors of the equity market. Minglu Li is one of the company’s analysts specializing in the consumer credit industry. A new consumer credit mechanism was being tested on a small scale using a smartphone application to pay for items instead of the traditional credit card. The application had proved successful in the use of microloans in developing countries and was now being applied to a much broader consumer base. The new challenge for Li’s team is to develop a model for the expected return for these new consumer credit companies, which are called “smart credit” companies because they combine the consumer credit industry and what had traditionally been considered the telecommunications industry.
Although smart credit company returns data are sparse, a five-year monthly equally weighted index called the “Smart Credit Index” (SCI) was created from the existing companies’ returns data. The number of companies in the index at a given time varies because of firms failing and also merging over time.
Li’s team also examines survey data projecting the future performance of the consumer credit and telecommunications industries over the same time period for which the actual performance data was collected. They found that projections in the survey data tended to be more volatile than the actual performance data. However, Li’s team decided not to make any adjustments to the survey data because a definitive procedure could not be determined.
Given the effect of short-term interest rates on consumer credit, Li’s team decides to determine what the short-term interest rate is expected to be in the future. The central bank’s last official statement identified 2.5% as the appropriate rate, assuming no other factors. Li’s team then estimates potential factors that may make the central bank behave differently from the 2.5% rate in the statement, shown in Exhibit 1.
Exhibit 1
Estimated Central Bank Factors
Based on Taylor’s rule, with an assumption of equal weights applied to forecast versus trend measures, the short-term rate is expected to increase from the current 1.23%, and the yield curve is expected to flatten for longer maturities.
For further insight, Li decides to consult an in-house expert on central banking, Randy Tolliver. Tolliver states the economy is likely in the early expansion phase of the business cycle based on the yield curve and consistent with this phase of the business cycle, monetary policy is becoming less stimulative.
QuestionBased on how the Taylor rule is applied by Li’s team, the central bank’s estimated optimal short-term rate is closest to:
选项：
A.2.8%.
B.1.5%.
C.2.0%.
解释：
Solution
C is correct. The Taylor rule sets the optimal short-term rate as
Neutral rate + 0.5 × (GDP growth forecast – GDP growth trend) + 0.5 × (Inflation forecast – Inflation target)
Applying numbers from Exhibit 3,
2.0% = 2.5% + 0.5 × (2.0% - 1.0%) + 0.5 × (1.5% - 3.5%).
A is incorrect. The difference between the earnings trend and forecast is included with each difference between forecast and trend being weighted by 0.333.
2.8% = 2.5% + 0.333 × (2.0% – 1.0%) + 0.333 × (1.5% -– 3.5%) + 0.333 × (4.0% – 2.0%)
B is incorrect. The inflation and GDP adjustments are not multiplied by 0.5.
本题考查的是泰勒公式
C是正确的。泰勒规则将最优短期利率设为
中性利率+ 0.5 × (GDP增长预测- GDP增长趋势)+ 0.5 ×(通胀预测-通胀目标)
2.0% = 2.5% + 0.5××(2.0% - 1.0%)+ 0.5(1.5% - 3.5%)。
A是不正确的。收益趋势和预测之间的差异被包括在内，预测和趋势之间的每个差异被错误地使用了0.333加权。
B是不正确的。通胀和GDP的调整没有乘以0.5。
还放着旧答案是什么意思，题库质量那么差的？
