货币金融学课件Lecture.ppt

Chapter6 TheRiskandTermStructureofInterestRates Outline ExaminingtherelationshipofthevariousinterestratestooneanotherRiskstructureofinterestratesWhyBondwithsametermtomaturityhavedifferenceinterestratesTermstructureofinterestratesTherelationshipamonginterestratesonbondswithdifferenttermstomaturity Copyright 2007PearsonAddison Wesley Allrightsreserved 6 3 InterestratesondifferencecategoriesofbondsdifferfromoneanotherinanygivenyearThespreadbetweentheinterestratesvariesovertime RiskStructureofInterestRates Copyright 2007PearsonAddison Wesley Allrightsreserved 6 4 RiskStructureofInterestRates Defaultrisk occurswhentheissuerofthebondisunableorunwillingtomakeinterestpaymentsorpayoffthefacevalueU S T bondsareconsidereddefaultfreeRiskpremium thespreadbetweentheinterestratesonbondswithdefaultriskandtheinterestratesonT bondsLiquidity theeasewithwhichanassetcanbeconvertedintocashIncometaxconsiderations Copyright 2007PearsonAddison Wesley Allrightsreserved 6 5 DefaultRisk Abondwithdefaultriskwillalwayshaveapositiveriskpremium andanincreaseinitsdefaultriskwillraisetheriskpremium Becausedefaultriskissoimportanttothesizeoftheriskpremium purchasesofbondsneedtoknowwhetheracorporationislikelytodefaultonitsbonds Thisinformationisprovidedbycredit ratingagencies investmentadvisoryfirmsthatratethequalityofcorporateandmunicipalbondsintermsoftheprobabilityofdefault Copyright 2007PearsonAddison Wesley Allrightsreserved 6 7 BondswithratingsbelowBaa orBBB areconsiderasjunkbonds 美评级机构下调美国抵押贷款债券信用等级发布时间 2007 07 11全球知名评级机构 标准普尔公司和穆迪投资服务公司 日下调美国抵押贷款债券的信用等级 市场担心这表明美国房地产和信贷市场状况将进一步恶化 当天 标准普尔下调了美国 种抵押贷款债券的信用等级 穆迪则下调了 种抵押贷款债券的信用等级 两家信用评级机构的举动表明美国房地产市场陷入泥潭 短期内无法走出困境 债券信用级别降低 意味着持有抵押贷款债券的投资者将不可避免地遭受损失 并有可能引发抵押贷款利息上调 分析人士认为 目前困扰美国次级抵押贷款市场的信用问题无法改善 房地产市场将持续萎靡 并有可能影响美国的经济增长 新华网 Liquidity Aliquidityassetsisonethatcanbequicklyandcheaplyconvertedintocashiftheneedarises Themoreliquidityanassetsis themoredesirableitis holdingeverythingelseconstant USTreasuryBondsaremostliquidofalllongtermbondsCorporateBondsarelessliquid IncomeTaxConsideration TheMunicipalBondshavethelowestinterestratedespitetheyhavehigherdefaultrisksandlessliquidthanthoseofUStreasurybonds Theinterestpaymentsonmunicipalbondsareexemptfromfederalincometax raisetheafter taxexpectedreturnonthesebonds demandrises demandcurveofmunicipalbondsincreases Copyright 2007PearsonAddison Wesley Allrightsreserved 6 12 Copyright 2007PearsonAddison Wesley Allrightsreserved 6 13 TermStructureofInterestRates Bondswithidenticalrisk liquidity andtaxcharacteristicsmayhavedifferentinterestratesbecausethetimeremainingtomaturityisdifferentYieldcurve aplotoftheyieldonbondswithdifferingtermstomaturitybutthesamerisk liquidityandtaxconsiderationsUpward sloping long termratesareaboveshort termratesFlat short andlong termratesarethesameInverted long termratesarebelowshort termrates YieldCurve Aplotoftheyieldsonbondswithdifferingtimeremainingtomaturitybutthesamerisk liquidityandtaxconsideration SomeEmpiricalFacts InterestratesonbondsofdifferentmaturitiesmovetogetherovertimeWhenshort terminterestratesarelow yieldcurvesaremorelikelytohaveaupwardslope Whenshort termratesarehigh yieldcurvesaremorelikelytoslopedownwardandbeinvertedYieldcurvesalmostalwaysslopeupwardHowtoexplainthesefacts Copyright 2007PearsonAddison Wesley Allrightsreserved 6 16 Copyright 2007PearsonAddison Wesley Allrightsreserved 6 17 ExpectationsTheory Theinterestrateonalong termbondwillequalanaverageoftheshort terminterestratesthatpeopleexpecttooccuroverthelifeofthelong termbondEg Ifpeopleexpectthatshort terminterestrateswillbe10 onaverageoverthecomingfiveyears thetheorypredictsthattheinterestrateonbondswithfiveyearstomaturitywillbe10 Assumption Buyersofbondsdonotpreferbondsofonematurityoveranother theywillnotholdanyquantityofabondifitsexpectedreturnislessthanthatofanotherbondwithadifferentmaturityBondslikethesearesaidtobeperfectsubstitutes ExpectationsTheory InGeneral Considertwostrategies Purchaseaone yearbond andwhenitmaturesinoneyear purchaseanotheroneyear bondPurchaseatwo yearbondandholdituntilmaturity Copyright 2007PearsonAddison Wesley Allrightsreserved 6 19 ExpectationsTheory InGeneral cont d Copyright 2007PearsonAddison Wesley Allrightsreserved 6 20 ExpectationsTheory InGeneral cont d Copyright 2007PearsonAddison Wesley Allrightsreserved 6 21 ExpectationsTheory InGeneral cont d Copyright 2007PearsonAddison Wesley Allrightsreserved 6 22 ExpectationsTheory Exercise Ifoneyearinterestrateoverthenextfiveyearsisexpectedtobe3 4 5 6 and7 UnderExpectationTheory theinterestrateonatwo yearbond athree yearbond afour yearbondandfive yearbondmustbe Two yearbond 3 4 2 3 5 Three yearbond 3 4 5 3 4 Four yearbond 3 4 5 6 4 4 5 Five yearbond 3 4 5 6 7 5 5 Ifinterestratesareexpectedtoriseinthefuture thenlong terminterestrateishigherthanshorttermone Copyright 2007PearsonAddison Wesley Allrightsreserved 6 23 ExpectationsTheory Explainswhyinterestratesonbondswithdifferentmaturitiesmovetogetherovertime fact1 Ariseinshort termrateswillraisepeople sexpectationsoffutureshort terminterestrates thusraiselong termrates causingshort termandlongtermratestomovetogether Explainswhyyieldcurvestendtoslopeupwhenshort termratesarelowandslopedownwhenshort termratesarehigh fact2 Whenshort terminterestratesarelow peoplegenerallyexpectthemtorisetosomenormallevelinthefuture averageoffutureexpectedshort termratesishighrelativetocurrentshort termrate longterminterestrtewillbehigherthencurrentshort termrateCannotexplainwhyyieldcurvesusuallyslopeupward fact3 Thetypicalupwardslopeofyieldcurvesimpliesthatshorttermratesareusuallyexpectedtoriseinthefuture Inpractice shorttermratesarejustaslikelytofallastheyaretorise yieldcurveshouldbeflat Copyright 2007PearsonAddison Wesley Allrightsreserved 6 25 SegmentedMarketsTheory TheinterestrateforeachbondwithadifferentmaturityisdeterminedbythedemandforandsupplyofthatbondAssumption Bondsofdifferentmaturitiesarenotsubstitutesatall sotheexpectedreturnfromholdingabondofonematurityhasnoeffectonthedemandforabondofanothermaturity InvestorshavepreferencesforbondsofonematurityoveranotherIfinvestorshaveshortdesiredholdingperiodsandgenerallypreferbondswithshortermaturitiesthathavelessinterest raterisk thenthisexplainswhyyieldcurvesusuallyslopeupward fact3 Copyright 2007PearsonAddison Wesley Allrightsreserved 6 26 LiquidityPremium PreferredHabitatTheories Theinterestrateonalong termbondwillequalanaverageofshort terminterestratesexpectedtooccuroverthelifeofthelong termbond aliquiditypremiumthatrespondstosupplyanddemandconditionsforthatbondAssumptionBondsofdifferentmaturitiesaresubstitutesbutnotperfectsubstitutes Theexpectedreturnononebonddoesinfluencetheexpectedreturnonabondofdifferentmaturity butitallowsinvestorstopreferonebondmaturityoveranother Investorstendtoprefershort termbonds lessinterestraterisk Copyright 2007PearsonAddison Wesley Allrightsreserved 6 27 LiquidityPremiumTheory Copyright 2007PearsonAddison Wesley Allrightsreserved 6 28 PreferredHabitatTheory InvestorshaveapreferenceforbondsofonematurityoveranotherTheywillbewillingtobuybondsofdifferentmaturitiesonlyiftheyearnasomewhathigherexpectedreturnInvestorsarelikelytoprefershort termbondsoverlonger termbonds Copyright 2007PearsonAddison Wesley Allrightsreserved 6 29 Copyright 2007PearsonAddison Wesley Allrightsreserved 6 30 LiquidityPremiumandPreferredHabitatTheories ExplanationoftheFacts InterestratesondifferentmaturitybondsmovetogetherovertimeAriseinshort terminterestratesindicatesthatshort terminterestratewillbehigherinthefuture andthefirstterminEquationimpliesthatlong termrateswillrisealongwiththem LiquidityPremiumandPreferredHabitatTheories ExplanationoftheFacts Yieldcurvestendtohaveanespeciallysteepslopeupwardwhenshort termratesarelowandtobeinvertedwhenshort termratesarehighBecauseinvestorsgenerallyexpectshort terminterestratestorisetosomenormallevelwhentheyarelow theaverageoffutureexpectedshort termratswillbehighrelativetothecurrentshort termrate Withtheadditionalboostofapositiveliquiditypremium long terminterestrateswillbesubstantiallyhigherthanthecurrentshortones andtheyieldcurvewillhaveasteepupwardslope LiquidityPremiumandPreferredHabitatTheories ExplanationoftheFacts Theliquiditypremiumandpreferredhabitattheoryexplainfact3 whichstatesthatyieldcurvetypicallyslopeupward byrecognizingthattheliquiditypremiumriseswithabond smaturitybecauseofinvestor spreferencesforshort termbonds Evenifshort terminterestratesareexpectedtostaythesameonaverage thepremiummakeslong termratesbeaboveshort termrates yieldcurvetypicallyslopupward LiquidityPremiumandPreferredHabitatTheories ExplanationoftheFacts Howtoexplaintheinvertedyieldcurveifliquiditypremiumispositive Itmustbethatattimesshort te