王同学2019-01-16 20:48:39

原版书Reading49的4. THE YIELD CURVE AND THE BUSINESS CYCLE里有这样两句话。 第一句话：This difference suggests that, on average, investors have been willing to pay a premium for shorter-dated US and UK government bonds, which, in turn, means that longer-dated bonds may not be such a good hedge against economic bad times. One interpretation of an upward-sloping yield curve is that short-dated bonds are less positively (or more negatively) correlated with bad times than are long-dated bonds. 第二句话：If bond market participants expect interest rates to decline, then reinvestment of the principal amounts of maturing short-term bonds at declining interest rates would offset the initial yield advantage of the shorter-dated bonds. These expectations caused the UK’s yield curve to be downward sloping or inverted. 根据第一句话的意思，在经济不好的时候短期债券会比长期债券价格涨得快；第二句话说如果人们预期利率会下降，短期债券的YTM高于长期债券的YTM；老师上课讲过，GDP增长率和真实利率、通货膨胀率还有通货膨胀率的波动率都是负相关，所以经济不好的时候人们应该预期利率下降，根据第二句话短期的YTM高于长期的YTM形成downward的形状，但是第一句话又说短期债券价格涨得快，那为啥会YTM高于长期呢？