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

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1、11S,(Case:NeshieWakulukNeshieWakulukisaninvestmentstrategistwhodevelopscapitalmarketexpectationsforaninvestmentfirmthatinvestsacrossassetclassesandglobalmarkets.Wakulukstartedhercareerwhentheglobalmarketswereexperiencingsignificantvolatilityandpoorreturns;asaresult,sheisnowcarefultobaseherconclusion

2、sonobjectiveevidenceandanalyticalprocedurestomitigateanypotentialbiases.Wakuluk,sapproachtoeconomicforecastingutilizesastructuralmodelinconjunctionwithadiffusionindextodeterminethecurrentphaseofacountry,sbusinesscycle.Thisapproachhasproducedsuccessfulpredictionsinthepast,thusWakulukhashighconfidence

3、inthepredictions.WakulukalsodetermineswhetheranyadjustmentsneedtobemadetoherinitialestimatesoftherespectiveaggregateeconomicgrowthtrendsbasedonhistoricalratesofgrowthforCountriesXandY(bothdevelopedmarkets)andCountryZ(adevelopingmarket).Exhibit1summarizesWakuluk,spredictions:Case:NeshieWakulukSExhibi

4、t 1 Prediction for Current Phase of the Business CycleCountry XCountry YCountry ZInitial RecoveryContractionLate UpswingWakulukassumesshort-terminterestratesadjustwithexpectedinflationandareprocyclical.Wakulukreviewsthehistoricalshort-terminterestratetrendsforeachcountry,whichfurtherconfirmsherpredi

5、ctionsshowninExhibit1.Case:NeshieWakulukWakulukdecidestofocusonCountryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservations：cfafrmcpacmavideo,weixin:

6、804283381Observation1MonetarypolicyhasbeenpersistentlylooseforCountryYwhilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferpaymentsandintroduceamoreprogressivetaxregime.Observation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisinthe

7、slowdownphase,withbondyieldsstartingtoreflectcontractionaryconditions.WakulukdecidestofocusonCountryYtodeterminethepathofnominalinterestrates,thepotentialeconomicresponseofCountryY,seconomytothispath,andthetimingforwhenCountryY,seconomymaymoveintothenextbusinesscycle.Wakulukmakesthefollowingobservat

8、ions:Observation1MonetarypolicyhasbeenpersistentlylooseforCountryY,whilefiscalpolicieshavebeenpersistentlytight.Observation2CountryYisexpectedtosignificantlyincreasetransferObservation3ThecurrentyieldcurveforCountryYsuggeststhatthebusinesscycleisintheslowdownphase,withbondyieldsstartingtoreflectcont

9、ractionaryconditions.SCase:NeshieWakulukWakulukmostlikelyseekstomitigatewhichofthefollowingbiasesindevelopingcapitalmarketforecasts?Case:NeshieWakulukSolution:AWakulukstartedhercareerwhentheglobalmarketswereexperiencingsignificantvolatilityandpoorreturns.Sheiscarefultobaseherconclusionsonobjectiveev

10、idenceandanalyticalprocedurestomitigatepotentialbiases,whichsuggestssheisseekingtomitigateanavailabilitybias.Availabilitybiasisthetendencytobeoverlyinfluencedbyeventsthathaveleftastrongimpressionand/orforwhichitiseasytorecallanexample.C.imposesnoconsistencyofanalysisacrossitemsoratdifferentpointsint

11、ime.SCase:NeshieWakulukSolution:BWakluk,sapproachtoeconomicforecastingutilizesbothastructuralmodel(e.g.,aneconometricmodelapproach)andadiffusionindex(e.g.laleadingindicator-basedapproach).However,thetwoapproacheshaveweaknesses:Aneconometricmodelapproachmaygiveafalsesenseofprecision,andaleadingindica

12、tor-basedapproachcanprovidefalsesignals.Twostrengthsofthechecklistapproachareitsflexibilityandlimitedcomplexity,althoughoneweaknessisthatitimposesnoconsistencyofanalysisacrossitemsoratdifferentpointsintime.Case:NeshieWakulukWakulukismostlikelytomakesignificantadjustmentstoherestimateofthefuturegrowt

13、htrendforwhichofthefollowingcountries?CountryZisadevelopingmarket.Less-developedmarketsarelikelytobeundergoingmorerapidstructuralchanges,whichmayrequiretheanalysttomakemoresignificantadjustmentsrelativetopasttrends.Case:NeshieWakuluk国BasedonExhibit1andWakuluk,sassumptionsaboutshort-termratesandexpec

14、tedinflation,short-termratesinCountryXaremostlikelytobe:Case:NeshieWakulukSolution:ACountryXispredictedtobeintheinitialrecoveryphaseofthebusinesscycle,whichsuggestsshort-term(moneymarket)ratesareloworbottoming.Inflationisprocyclical.Itacceleratesinthelaterstagesofthebusinesscyclewhentheoutputgaphasc

15、losed,anditdecelerateswhenalargeoutputgapputsdownwardpressureonwagesandprices,whichoftenhappensduringarecessionortheearlyyearsafterward.Aslongasshort-terminterestratesadjustwithexpectedinflation,cashisessentiallyazero-duration,inflation-protectedassetthatearnsafloatingrealrate,whichistypicallyprocyc

16、lical.Wakulukassumesshortterminterestratesadjustwithexpectedinflationandareprocyclical.ThUs,short-termratesaremostlikelytobelowandbottomingifCountryXisintheinitialrecoveryphaseofthebusinesscycle.SCase:NeshieWakulukBasedonExhibitLwhatcapitalmarketeffectisCountryZmostlikelytoexperienceintheshort-term?B.Monetarypolicybecomesrestrictive.C.Theyieldcurvesteepenssubstan