问题如下：
Wang, a credit analyst in a wealth management firm, made the following statements about empirical duration:
Statement 1: Empirical duration is calculated by running a regression of bond’s price returns on changes in a benchmark interest rate.
Statement 2: Empirical duration tends to be smaller than the theoretically based effective duration.
Statement 3: high-yield bonds typically have a higher price sensitivity to interest rate changes than that of the investment-grade bonds.
According to the information above, which of the following is correct?
选项：
A.Statement 1 and statement 2 are correct.
B.Statement 2 and statement 3 are correct.
C.Statement 1 and statement 3 are correct.
解释：
A is correct.
考点：empirical duration的理解
解析：三个Statement中，Statement 1和Statement 2是正确的；Statement 3错误，因为相比较Investment-grade bond，high-yield bond对利率的敏感度更低。
我想问statement 1里面做regression的自变量为什么是changes in benchmark interest rate 而不是 changes in total interest risk (benchmark + spread)?
因为empirical duration比较小是因为spread的改变和benchmark抵消了一部分，那如果自变量都没有include spread，怎么可以跟theoretical duration直接比较呢？
是不是因为empirical duration 实际上就是利率久期的概念，而不是spread 久期的概念？所以statement 1里面做regression的自变量为什么是changes in benchmark interest rate 而不是 changes in total interest risk (benchmark + spread)?
