题目
Which of the following statements about Macaulay duration is correct?
选项
A.A bond’s coupon rate and Macaulay duration are positively related.
B.A bond’s Macaulay duration is inversely related to its yield-to-maturity.
C.The Macaulay duration of a zero-coupon bond is less than its time-to-maturity.
答案
B
解析
： B is correct. A bond’s yield-to-maturity is inversely related to its Macaulay duration: The higher the yield-to-maturity, the lower its Macaulay duration and the lower the interest rate risk. A higher yield-to-maturity decreases the weighted average of the times to the receipt of cash flow, and thus decreases the Macaulay duration. A bond’s coupon rate is inversely related to its Macaulay duration: The lower the coupon, the greater the weight of the payment of principal at maturity. This results in a higher Macaulay duration. Zero-coupon bonds do not pay periodic coupon payments; therefore, the Macaulay duration of a zero-coupon bond is its time-to-maturity. ： 这道题目问的是以下关于麦考利久期的陈述哪一个是正确的？ B是正确的。债券的到期收益率与其麦考利久期成反比：到期收益率越高，麦考利久期越短，利率风险越低。较高的到期收益率会降低现金流时间的加权平均值，从而降低麦考利久期时间。债券的票面利率与其麦考利期限成反比：票面利率越低，到期本金支付的权重越大。这导致麦考利久期更长。零息债券不支付息票，因此，零息债券的麦考利久期是其到期时间。