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

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1、一皿毋s1lllv工OobeZPUeX-IOMOEE uo4etJdxUJ瑞es-e+ideu.Ssaq-B-HodAUB EOISaJnPUoJd -BUM-BUBPUB UU Por; HoUoSUo-SnPUoU o- Ol -l-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 luiluLulsu-UB JOSUO1B:P dx一上JeUJ-de。SdOaABP 0cMIS-6 IBeslu LU

2、IS u-ueS-n-CIaBM-qs N ACase:NeshieWakulukWakuluk,sapproachtoeconomicforecastingutilizesastructuralmodelinconjunctionwithadiffusionindextodeterminethecurrentphaseofacountry,sbusinesscycle.Thisapproachhasproducedsuccessfulpredictionsinthepast,thusWakulukhashighconfidenceinthepredictions.Wakulukalsodet

3、ermineswhetheranyadjustmentsneedtobemadetoherinitialestimatesoftherespectiveaggregateeconomicgrowthtrendsbasedonhistoricalratesofgrowthforCountriesXandY(bothdevelopedmarkets)andCountryZ(adevelopingmarket).Exhibit1summarizesWakuluk,spredictions:1Exhibit 1 Prediction for Current Phase of the Business

4、CycleCountry XCountry YCountry ZInitial RecoveryContractionLate UpswingWakulukassumesshort-terminterestratesadjustwithexpectedinflationandareprocyclical.Wakulukreviewsthehistoricalshort-terminterestratetrendsforeachcountry,whichfurtherconfirmsherpredictionsshowninExhibit1.HWakulukdecidestofocusonCou

5、ntryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations:Observation1MonetarypolicyhasbeenpersistentlylooseforCountryY,whilefiscalpolicieshavebeenpe

6、rsistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Observation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.WakulukdecidestofocusonCountr

7、yYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations：cfafrmcpacmavideoyweiin:804283381Observation1MonetarypolicyhasbeenpersistentlylooseforCountryY

8、whilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferObservation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.1Wakulukmostlikelyseekstomitigatewhichofthefol

9、lowingbiasesinA.AvailabilityB.TimeperiodC.Survivorship.-EUB=BU0一-Il-LIM0JJopu3Uo-SSdull-6UOJIJ-3q1。1|1311AqPUUnM=u-0qOlAUUPU一p-s-q三n-roUBP6三E0一6U&S-七s366nszM-Ss-q-LodW6三eOlSnp：0d-B-l-3u3PUBUP-tPqoUoSUo-SnpUo:JSq3s5qOI三右8-=S.Slunlal-JoodPUe三-0szCTUMs-E-TOO-O-CT一uqMwSJt-sHC.imposesnoconsistencyofanaly

10、sisacrossitemsoratdifferentpointsintime.*a*MMBMMMWMWWUMOMTMflBMM1Wakuluk,sapproachtoeconomicforecastingutilizesbothastructuralmodel(e.g.,aneconometricmodelapproach)andadiffusionindex(e.g.,aleadingindicator-basedapproach).However,thetwoapproacheshaveweaknesses:Aneconometricmodelapproachmaygiveafalses

11、enseofprecision,andaleadingindicator-basedapproachcanprovidefalsesignals.Twostrengthsofthechecklistapproachareitsflexibilityandlimitedcomplexity,althoughoneweaknessisthatitimposesnoconsistencyofanalysisacrossitemsoratdifferentpointsintime.1Wakulukismostlikelytomakesignificantadjustmentstoherestimate

12、A.CountryYonlyB.CountryZonlyC.CountriesYandZSPU匕ISBdOl-SlUEISn(PBIUBSJ-UkSOEBaBEOJJSA-BUBL-nbAeLUuz66UB-52nuruP-dpl-0E6UOPPUnq0一-W-Bs-roEPdo-ooplss-jl3UJ6u-do-PB-zAJlUnoD1ABasedonExhibit1andWakuluk,sassumptionsaboutshort-termratesandexpectedinflation,short-termratesinCountryXaremostlikelytobe:pPMI+p

13、sPAsLJouosu6unpSUddB-c-IPZMSWdPU3S6bmUol-PJBMUMoPSIndde6Indlnoo6J3-B5SIeJ-UPl-PUB-PSoPSBqd36IndlnoPA。SS仁一Snq一IIOS&S-Wlu-S-B-XJB=-e-poQ-U04JIJI.6U-UJOIloq0Mo-saw-l-EAUoLU)IlUt-o-css66nsuz.-ssU-Snq一ora-n-XJ0u-3三u-lU-qOlp-pJd-XXJIUnoDMUSsu-Snqj-lJ。SBlldXJ0u-ro三u-wU-S-XXJlUnoDJ-6三UJ011OqPUBMO-eq。1W-ISOL

14、UBSIBJuJTlJoj-SKn-cl-ep&cudv-roPUBUO-IB-JU-p-2dx一Mpes-0IsalwB9toqsSEnSSBa-WM.-S-MZJCUds-三M一一更-B6u4bo-4BSEBJBW-SsepuOJdluo-IB-JUO-WnPICWZB-lUSSS-IlSs、UO4p-udxISnPBS一B=SIU-El-vtora6uo-s七SBaiBLjME.JOJSdSPUnABLUsSSB-S-PAU.三sOESEOZJBqA-odXJBUOLUSB6u-JA-BydAlaipssISu-0-Ou-Msdn1一UISB6uisdn一LU-luet3-MuSSU-S

15、nqSNXJlUnOUIBqISI-PaJd-PouJS-n-nIB1BasedonObservation1,fiscalandmonetarypoliciesinCountryYwillC.eitherhighorlownominalrates.(S9B-E0-SBpqp-A-S-dl)S9PBU-EoUJBMO-W6Z0一PBqP-noutiedLU-一!二SP-Od14PUBSoo-ARUas9dUO-IBU一quous三lq-v.11164A-IUalBSJBdUBqBllSP-Od一J-三MAtUnoD0M-Soo-1Uw-odn-t-A-odAJBuo工Case:NeshieWak

16、uluk1BasedonObservation2,whatimpactwillthepolicychangeshaveonA.NegativeB.NeutralC.Positive1CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Bothofthesechangesarepro-growthgovernmentpoliciesandshouldhaveapositiveimpactonthetrendrateofgrowthforabusinesscyc

17、lethatisinslowdownorcontraction.Transferpaymentshelpmitigatefluctuationsindisposableincomeforthemostvulnerablehouseholds,whileprogressivetaxregimesimplythattheeffectivetaxrateontheprivatesectorispro-cyclical(i.e.,risingastheeconomyexpandsandfallingastheeconomycontracts),cfafrmcpacmavideo,weiin:80428

18、3381Case:NeshieWakuluk1ABasedonObservation3,WakulukmostlikelyexpectsCountryY,syieldA.invert.B.flatten.C.steepen.XJOE-,三llljodsnuUoISd一SjL-PUPSSeU-Snq一jora-l-XJBUo5!JoU一0一UO三SUBJl9七Ill-MIU一-suou、一U一BUUd一SA-W-一SoiU=-M3一Il(6u-pPBSPAPUoqa)SUo三puoJeuoe匕Uout3-右Ol6uelsSP-一APUoqq-M-(P1OlIJ-J3)UMoPMo-S一U-S-MuSSU-Snq一|二、SIS66nsAAUUnOU-IOJAJsP-ACFDIll