问题如下:
Exhibit 1 shows the current government spot rates for Countries A, B, and C.
Tyo presents her market views on the respective yield curves for a five-year investment horizon.
Country A: The government yield curve has changed little in terms of its level and shape during the last few years, and I expect this trend to continue. We assume that future spot rates reflect the current forward curve for all maturities.
Country B: Because of recent economic trends, I expect a reversal in the slope of the current yield curve. We assume that future spot rates will be higher than current forward rates for all maturities.
Country C: To improve liquidity, Country C’s central bank is expected to intervene, leading to a reversal in the slope of the existing yield curve. We assume that future spot rates will be lower than today’s forward rates for all maturities.
Based on Exhibit 1 and assuming Tyo’s market views on yield curve changes are realized, the forward curve of which country will lie below its spot curve?
选项:
A.Country A
B.Country B
C.Country C
解释:
B is correct.
考点:Forward Curve与Spot curve之间的关系
解析:B国的收益率曲线目前向上倾斜,但Tyo预计当前收益率曲线的斜率会出现逆转。这意味着她预期B国的最终收益率曲线向下倾斜,得到的Forward rate曲线将位于Spot rate曲线下方。A是不正确的,因为A国的收益率曲线目前向上倾斜,而Tyo预计收益率曲线将保持该形状。该预期意味着远期利率曲线仍将高于spot rate曲线。C是不正确的,因为C国的收益率曲线目前向下倾斜,而Tyo预计当前收益率曲线的斜率会反转。这意味着她预期C国的最终收益率曲线向上倾斜,这意味着得到的Forward rate曲线将高于spot rate曲线。
我的问题:
Country B: Because of recent economic trends, I expect a reversal in the slope of the current yield curve. We assume that future spot rates will be lower than today’s forward rates for all maturities.
我认为B国这样表述,yield curve 才是downward sloping。答案中的解释仅仅依据前半句话,是否不正确?