问题如下:
The Bureau of Labor Statistics has just reported an unexpected short-term increase in high-priced luxury automobiles. What is the most likely anticipated impact on a mean-reverting model of interest rates?
选项:
A.
The economic information is long-lived with a low mean-reversion parameter.
B.
The economic information is short-lived with a low mean-reversion parameter.
C.
The economic information is long-lived with a high mean-reversion parameter.
D.
The economic information is short-lived with a high mean-reversion parameter.
解释:
D is correct. The economic news is most likely short-term in nature. Therefore, the mean reversion parameter is high so the mean reversion adjustment per period will be relatively large.
题目说这个原本价格就很高的产品突然价格又增加了,这并不能说明这个商品回到了均值回归的水平,反而离均值更远了,所以是low mean reversion,因为是low meanreversion所以均值回归花的时间要长,long lived