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

11S,(Case:NeshieWakulukNeshieWakulukisaninvestmentstrategistwhodevelopscapitalmarketexpectationsforaninvestmentfirmthatinvestsacrossassetclassesandglobalmarkets.Wakulukstartedhercareerwhentheglobalmarketswereexperiencingsignificantvolatilityandpoorreturns;asaresult,sheisnowcarefultobaseherconclusionsonobjectiveevidenceandanalyticalprocedurestomitigateanypotentialbiases.Wakuluk,sapproachtoeconomicforecastingutilizesastructuralmodelinconjunctionwithadiffusionindextodeterminethecurrentphaseofacountry,sbusinesscycle.Thisapproachhasproducedsuccessfulpredictionsinthepast,thusWakulukhashighconfidenceinthepredictions.WakulukalsodetermineswhetheranyadjustmentsneedtobemadetoherinitialestimatesoftherespectiveaggregateeconomicgrowthtrendsbasedonhistoricalratesofgrowthforCountriesXandY(bothdevelopedmarkets)andCountryZ(adevelopingmarket).Exhibit1summarizesWakuluk,spredictions:Case:NeshieWakulukSExhibit 1 Prediction for Current Phase of the Business CycleCountry XCountry YCountry ZInitial RecoveryContractionLate UpswingWakulukassumesshort-terminterestratesadjustwithexpectedinflationandareprocyclical.Wakulukreviewsthehistoricalshort-terminterestratetrendsforeachcountry,whichfurtherconfirmsherpredictionsshowninExhibit1.Case:NeshieWakulukWakulukdecidestofocusonCountryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations：cfafrmcpacmavideo,weixin:804283381Observation1MonetarypolicyhasbeenpersistentlylooseforCountryYwhilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Observation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.WakulukdecidestofocusonCountryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations:Observation1MonetarypolicyhasbeenpersistentlylooseforCountryY,whilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferObservation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.SCase:NeshieWakulukWakulukmostlikelyseekstomitigatewhichofthefollowingbiasesindevelopingcapitalmarketforecasts?Case:NeshieWakulukSolution:AWakulukstartedhercareerwhentheglobalmarketswereexperiencingsignificantvolatilityandpoorreturns.Sheiscarefultobaseherconclusionsonobjectiveevidenceandanalyticalprocedurestomitigatepotentialbiases,whichsuggestssheisseekingtomitigateanavailabilitybias.Availabilitybiasisthetendencytobeoverlyinfluencedbyeventsthathaveleftastrongimpressionand/orforwhichitiseasytorecallanexample.C.imposesnoconsistencyofanalysisacrossitemsoratdifferentpointsintime.SCase:NeshieWakulukSolution:BWakluk,sapproachtoeconomicforecastingutilizesbothastructuralmodel(e.g.,aneconometricmodelapproach)andadiffusionindex(e.g.laleadingindicator-basedapproach).However,thetwoapproacheshaveweaknesses:Aneconometricmodelapproachmaygiveafalsesenseofprecision,andaleadingindicator-basedapproachcanprovidefalsesignals.Twostrengthsofthechecklistapproachareitsflexibilityandlimitedcomplexity,althoughoneweaknessisthatitimposesnoconsistencyofanalysisacrossitemsoratdifferentpointsintime.Case:NeshieWakulukWakulukismostlikelytomakesignificantadjustmentstoherestimateofthefuturegrowthtrendforwhichofthefollowingcountries?CountryZisadevelopingmarket.Less-developedmarketsarelikelytobeundergoingmorerapidstructuralchanges,whichmayrequiretheanalysttomakemoresignificantadjustmentsrelativetopasttrends.Case:NeshieWakuluk国BasedonExhibit1andWakuluk,sassumptionsaboutshort-termratesandexpectedinflation,short-termratesinCountryXaremostlikelytobe:Case:NeshieWakulukSolution:ACountryXispredictedtobeintheinitialrecoveryphaseofthebusinesscycle,whichsuggestsshort-term(moneymarket)ratesareloworbottoming.Inflationisprocyclical.Itacceleratesinthelaterstagesofthebusinesscyclewhentheoutputgaphasclosed,anditdecelerateswhenalargeoutputgapputsdownwardpressureonwagesandprices,whichoftenhappensduringarecessionortheearlyyearsafterward.Aslongasshort-terminterestratesadjustwithexpectedinflation,cashisessentiallyazero-duration,inflation-protectedassetthatearnsafloatingrealrate,whichistypicallyprocyclical.Wakulukassumesshortterminterestratesadjustwithexpectedinflationandareprocyclical.ThUs,short-termratesaremostlikelytobelowandbottomingifCountryXisintheinitialrecoveryphaseofthebusinesscycle.SCase:NeshieWakulukBasedonExhibitLwhatcapitalmarketeffectisCountryZmostlikelytoexperienceintheshort-term?B.Monetarypolicybecomesrestrictive.C.Theyieldcurvesteepenssubstantially.Case:NeshieWakulukSolution:BWakuluk,smodelpredictsthatCountryZ,sbusinesscycleiscurrentlyinthelateupswingphase.Inthelateupswingphase,interestratesaretypicallyrisingasmonetarypolicybecomesmorerestrictive.Cyclicalassetsmayunderperform,whereastheyieldcurveisexpectedtocontinuetoflatten.BasedonObservation1,fiscalandmonetarypoliciesinCountryYwillA.lownominalrates.B.highnominalrates.C.eitherhighorlownominalrates.Case:NeshieWakulukSSolution:CMonetarypolicyhasbeenpersistentlylooseforCountryYwhilefiscalpolicieshavebeenpersistentlytight.Withthiscombinationofpersistentlylooseandtightpolicies,theimpactcouldleadtohigherorlowernominalrates(typicallylabeledasmid-nominalrates).Case:NeshieWakulukBasedonObservation2,whatimpactwillthepolicychangeshaveonthetrendrateofgrowthforCountryY?CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Bothofthesechangesarepro-growthgovernmentpoliciesandshouldhaveapositiveimpactonthetrendrateofgrowthforabusinesscyclethatisinslowdownorcontraction.Transferpaymentshelpmitigatefluctuationsindisposableincomeforthemostvulnerablehouseholds,whileprogressivetaxregimesimplythattheeffectivetaxrateontheprivatesectorisprocyclical(i.e.,risingastheeconomyexpandsandfallingastheeconomycontracts),cfafrmcpacmavideo,weixin:804283381SCase:NeshieWakulukBasedonObservation3,WakulukmostlikelyexpectsCountryY'syieldcurveintheneartermto:Case:NeshieWakulukSolution:CThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase(curveisflattoinverted),withbondyieldsstartingtoreflectcontractionaryconditions(i.e.,bondyieldsaredeclining).Thecurvewillmostlikelysteepennearterm,consistentwiththetransitiontothecontractionaryphaseofthebusinesscycle,andbethesteepestonthecuspoftheinitialrecoveryphase.