CFA三级培训项目：经典题_资本市场预期（Capital Market Expectations）_标准版.docx

一皿毋s1lllv工OobeZPUeX-IOMOEE £uo4etJdxUJ瑞es-e+ideu.Ssaq-B-HodAUB EOISaJnPUoJd -BUM-BUBPUB UU P>o>r; HoUoSUo-SnPUoU o- Ol -¾l-rouMOU- -s 1DS BSB-SErn OodPUBA土-40> lue-J6-S6UPU-dx MSI >03UJ-Bqo-6 >> t-o P 七3j-naBMsl -BLU-Bqo-6PUBS SS3P-SSBSsobeSlS >u-l luiluLuls>u-UB JOSUO1B:P dx一上JeUJ-de。SdOaABP 0"cMIS-6 IBeslu LUIS >u-ueS->n-CIaBM-qs N ACase:NeshieWakuluk§>Wakuluk,sapproachtoeconomicforecastingutilizesastructuralmodelinconjunctionwithadiffusionindextodeterminethecurrentphaseofacountry,sbusinesscycle.Thisapproachhasproducedsuccessfulpredictionsinthepast,thusWakulukhashighconfidenceinthepredictions.WakulukalsodetermineswhetheranyadjustmentsneedtobemadetoherinitialestimatesoftherespectiveaggregateeconomicgrowthtrendsbasedonhistoricalratesofgrowthforCountriesXandY(bothdevelopedmarkets)andCountryZ(adevelopingmarket).Exhibit1summarizesWakuluk,spredictions:1Exhibit 1 Prediction for Current Phase of the Business CycleCountry XCountry YCountry ZInitial RecoveryContractionLate Upswing>Wakulukassumesshort-terminterestratesadjustwithexpectedinflationandareprocyclical.Wakulukreviewsthehistoricalshort-terminterestratetrendsforeachcountry,whichfurtherconfirmsherpredictionsshowninExhibit1.H>WakulukdecidestofocusonCountryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations:Observation1MonetarypolicyhasbeenpersistentlylooseforCountryY,whilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Observation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.WakulukdecidestofocusonCountryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations：cfafrmcpacmavideoywei×in:804283381Observation1MonetarypolicyhasbeenpersistentlylooseforCountryYwhilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransfer>Observation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.1WakulukmostlikelyseekstomitigatewhichofthefollowingbiasesinA.AvailabilityB.TimeperiodC.Survivorship.-E×UB=BU0一-Il-LIM0JJopu3Uo-SSdull-6UOJIJ->3q1。1|1311>AqPUUnM=u->0qOlAUUPU一p-s-q三n-><s-q-z=>roUBP6三E0一6U&S-七s366nszM-Ss-q-LodW6三eOlSnp：>0d-B-l-3u3PUB°UP>-t>PqoUoSUo-SnpUo:JSq3s5qOI三右8-=S.Slunlal-JoodPUe三-0>szCTU×Ms-E-TOO-O-CT一uqMwSJt-sHC.imposesnoconsistencyofanalysisacrossitemsoratdifferentpointsintime.*a*MMBMMMWMW>WUMOMTMflBMM1Wakuluk,sapproachtoeconomicforecastingutilizesbothastructuralmodel(e.g.,aneconometricmodelapproach)andadiffusionindex(e.g.,aleadingindicator-basedapproach).However,thetwoapproacheshaveweaknesses:Aneconometricmodelapproachmaygiveafalsesenseofprecision,andaleadingindicator-basedapproachcanprovidefalsesignals.Twostrengthsofthechecklistapproachareitsflexibilityandlimitedcomplexity,althoughoneweaknessisthatitimposesnoconsistencyofanalysisacrossitemsoratdifferentpointsintime.1WakulukismostlikelytomakesignificantadjustmentstoherestimateA.CountryYonlyB.CountryZonlyC.CountriesYandZSPU匕ISBdOl>-SlUEISn(PBIUBSJ-UkSOEBaBEOJJSA-BUBL-nbAeLUuz»66UB-52nuruP-dpl-0E6UOPPUnq0一-W-Bs-roEPdo-o>oplss-jl>3UJ6u-do->°PB-zAJlUnoD1ABasedonExhibit1andWakuluk,sassumptionsaboutshort-termratesandexpectedinflation,short-termratesinCountryXaremostlikelytobe:pPMI+psPAsLJouosu6unpSUddB-c-IPZMSWdPU3S6bmUol-PJBMUMoPSIndde6Indlnoo6J3-B5SIeJ-UPl-PUB-PSoPSBqd36Indlno>>PA。SS仁一Snq一IIOS&S-Wlu-S-B-XJB=-e-p'oQ-U04JIJI.6U-UJOIloq0Mo-saw-l-EAUoLU)IlUt-o-css66nsuz».-ssU-Snq一ora-n-XJ>0u-3三u-lU-qOlp-pJd-XXJIUnoDMUSsu-Snqj-lJ。SBlldXJ>0u-ro三u-wU-S-XXJlUnoDJ-6三UJ011OqPUBMO-eq。1W-ISOLU£BSIBJuJTlJoj-SKn-cl-ep&cudv-roPUBUO-IB-JU-p-2>dx£一Mpes-0IsalwB9toqsSEnSSBa-WM.-S-MZJCUds-三M一一更-B6u4bo-4BSEBJBW-SsepuOJdluo-IB-J'UO-WnPICWZB-lUSSS-IlSs、UO4p-udx»ISnPBS一B=SIU-El-vtora6uo-s<1ABasedonExhibitlzwhatcapitalmarketeffectisCountryZmostlikelytoB.Monetarypolicybecomesrestrictive.C.Theyieldcurvesteepenssubstantially.U一*H=FIU-IUOUOlp-udx-/UfDP>七SBaiBLjME.JOJSdSPUnABLUsSSB-S-PAU.三sOESEOZJBqA-odXJBUOLUSB6u-JA-BydAlaipssISu-0-Ou-Msdn1一UISB6u'isdn一LU-luet3-MuSSU-SnqSNXJlUnOUIBqISI-PaJd-PouJS-n-n>IB1BasedonObservation1,fiscalandmonetarypoliciesinCountryYwillC.eitherhighorlownominalrates.(S9B-E0'-SBpqp-A-S-d>l)S9PBU-EoUJBMO-W6Z0一PBqP-noutiedLU-一!二SP-Od14PUBSoo-ARUas9dUO-IBU一quous三lq-v.11164A-IUalBSJBdUBq>BllSP-Od一J-三M>AtUnoD0M-Soo-1Uw-odn-t-A-odAJBuo工Case:NeshieWakuluk1BasedonObservation2,whatimpactwillthepolicychangeshaveonA.NegativeB.NeutralC.Positive1CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Bothofthesechangesarepro-growthgovernmentpoliciesandshouldhaveapositiveimpactonthetrendrateofgrowthforabusinesscyclethatisinslowdownorcontraction.Transferpaymentshelpmitigatefluctuationsindisposableincomeforthemostvulnerablehouseholds,whileprogressivetaxregimesimplythattheeffectivetaxrateontheprivatesectorispro-cyclical(i.e.,risingastheeconomyexpandsandfallingastheeconomycontracts),cfafrmcpacmavideo,wei×in:804283381Case:NeshieWakuluk1ABasedonObservation3,WakulukmostlikelyexpectsCountryY,syieldA.invert.B.flatten.C.steepen.XJ>OE-,三llljodsnu£UoISd一SjL-PUPSSeU-Snq一jora-l-XJBUo'5£!JoU一0一UO三SUBJl9七Ill-MIU一-suou、一U一BUUd一SA-W-一SoiU=-M>3一Il(6u-pPBSPAPUoqa)SUo三puo°Jeuoe匕Uout3-右Ol6uelsSP-一APUoqq-M-(P1>£OlIJ-J3)UMoPMo-S一U-S-MuSSU-Snq一|二、£SIS66nsAAUUnOU-IOJAJsP-ACFDIll