問題四： Example 11-7 : FRM Exam 1997- Question 42

What is the relationship between yield on the current inflation- proof bond issued by the U.S. Treasury and a standard Treasury bond with similar terms？

a ) The yields should be about the same.
b ) The yield of the inflation- proof bond should approximately equal the yield on the Treasury minus the real interest.
c ) The yield of the inflation- proof bonds should approximately equal the yield on the Treasury plus the real interest.
d ) None of the above is correct.

答覆：

英文解答：

d ) The yield on the inflation- protected bond is a real yield, or nominal yield

minus expected inflation.

本題在問類似到期日的美國公債殖利率與抗通貨膨脹公債殖利率之間的關係。

由於抗通貨膨脹公債殖利率為實質殖利率，而公債殖利率為名目殖利率。

也就是抗通貨膨脹公債的實質殖利率等於美國公債名目殖利率減去預期通貨膨脹率。

答案（a）認為兩者相同而不對，應為抗通貨膨脹公債的實質殖利率等於公債殖利率減預期通貨膨脹率。

答案（b）認為抗通貨膨脹公債的實質殖利率為公債殖利率減實質殖利率而不對，應為抗通貨膨脹公債的實質殖利率等於公債殖利率減預期通貨膨脹率。

答案（c）認為抗通貨膨脹公債的實質殖利率為公債殖利率加上實質殖利率而不對，應為抗通貨膨脹公債的實質殖利率等於公債殖利率減預期通貨膨脹率。

因此，答案應為（d）以上皆非