分析金融市场与金融机构第五章.ppt

UNDERSTANDINGINTERESTRATESChapter3BEHAVIOROFINTERESTRATESChapter4THERISKANDTERMSTRUCTUREOFINTERESTRATESChapter5THETHEORYOFEFFICIENTCAPITALMARKETSChapter6 PartIIPrinciplesofFinancialMarkets ChapterFive THERISKANDTERMSTRUCTUREOFINTERESTRATES PartIIPrinciplesofFinancialMarkets ChapterOutline RiskStructureofInterestRateTermStructureofInterestRate riskstructureofinterestrates利率的风险结构 Therelationshipamongthevariousinterestratesonbondswiththesametermtomaturity RiskStructureofInterestRate RiskStructureofLongBondsintheUnitedStates Long termBondYields 1919 1998 DefaultRisk违约风险 Thisisthepossibilitythattheborrowerwillnotmakepromisedpayments eitherontimeorinfull Abondwithdefaultriskwillalwayshaveapositiveriskpremium andanincreaseinitsdefaultriskwillraisetheriskpremium Thespreadbetweentheinterestratesonbondswithdefaultriskanddefault freebonds calledtheriskpremium风险溢价 BondslikeU S Treasurybondswithnodefaultriskarecalleddefault freebonds无违约风险债券 IncreaseinDefaultRiskonCorporateBonds DefaultRisk Analysts assessments Example LowQuality speculative Investment Qualityand or Junk HighMediumLowVeryLowGradeS P sAAAAAABBBBBBCCCCCCDMoody sAaaAaABaaBaBCaaCaCCHowdoes theratingsgame work Bondswithrelativelylowriskofdefaultarecalledinvestment gradesecurities投资级债券andhavearatingofBaa orBBB andabove BondswithratingsbelowBaa orBBB havehigherdefaultriskandhavebeenaptlydubbedspeculative gradeorjunkbonds垃圾债券 Becausethesebondsalwayshavehigherinterestratesthaninvestment gradesecurities theyarealsoreferredtoashigh yieldbonds高收益债券 宜春癫痫病医院江西癫痫病医院 5 10 15 and20 yearcumulativedefaultrates 1970 1995 LiquidityRisk流动性 Investorsmustbeconcernedwithpossibilityofbeingunabletoquicklyconverttheirsecuritiesholdingstocash LiquidityPremiumsHighlyliquidassetscarrythelowestrates lowliquiditysecuritiestypicallypayaliquiditypremium DecreaseinLiquidityofCorporateBonds Incometaxeffects Supposeyoupurchaseda 10 000three yearcorporatebondthatpays 850ininteresteachyear Yourmarginaltaxrateis28 Ifyouboughtthebondatpar yourafter taxinterestincomeequals 612annually foraneffectiveafter taxyield i of6 12 Ingeneral theafter taxyieldforabondpurchasedatparequals i i 1 t TaxAdvantagesofMunicipalBonds ChapterOutline RiskStructureofInterestRateTermStructureofInterestRate抚州癫痫病医院上饶癫痫病医院 TheTermStructureofInterestRates Supposeyouhave 5000tosave andyouobservethefollowingCDratesatyourbank First mentallygraphtheratesagainsttimetomaturity Whatdoestheshapeofyourgraphlooklike WhatdoestheTermStructurelooklikeinChinanow 0 1 2 3 4 5 6 17 16 15 14 13 12 1 1 10 9 8 7 6 5 2 3 4 NumberofYearstoMaturity TheTermStructureofInterestRates Definition therelationshipbetweenaninterestrateandthematurityonasecurityassumingeverythingelseremainsthesame 中国收益率曲线举例 中国债券信息网 上发布的 收益率曲线 采用了逐级链接的方式 使用者进入 收益率曲线 页面后 1 鼠标悬停图中任一的样本时点 图的左上方即可显示时间天数和对应的收益率值 2 点击 回购利率曲线 字段 可得到回购各品种的数据列表和曲线分析 3 点击图中任一的样本债券 进入该债券的详细报价数据和历史趋势图形页面 此页面下点击 更多技术分析 字段 进入技术分析页面 系统提供了K线图 移动平均线等分析工具供使用者选择 YieldCurvesatVariousPointsinTimeinU S 0 5 10 15 20 25 30 17 16 15 14 13 12 1 1 10 9 8 7 6 5 2 3 4 February17 1982 January2 1985 October22 1996 September18 2001 August2 1989 October15 2000 AnnualizedTreasurySecurityYields NumberofYearstoMaturity InterestRatesonDifferentMaturityBondsMoveTogether TermStructureFactstoBeExplained Fact1 InterestratesfordifferentmaturitiesmovetogetherFact2 Yieldcurvestendtohavesteepupwardslopewhenshortratesarelowanddownwardslopewhenshortratesarehigh赣州癫痫病医院吉安癫痫病医院Fact3 YieldcurveistypicallyupwardslopingYield Theoriesofthetermstructureofinterestrates Therearethreecommontheoriesofthetermstructureofinterestrates thepureexpectationstheory PET 完全预期理论themarketsegmentationtheory市场分割理论theliquiditypremiumtheory流动性溢酬理论 PureExpectationsTheory KeyAssumption Bondsofdifferentmaturitiesareperfectsubstitutes Example Assumptions Youcanborrowandlendatthesameinterestrate Youhaveperfectforesight Theinterestrateona2 yearloanis10 Theinterestrateona1 yearloanstartingnowis9 5 Theinterestrateona1 yearloanstarting1yearfromnowwillbe11 Question Supposeyouarelookingforawaytogetrich Whatshouldyoudo Workoutanexamplewith 1000 Since i2t 2isextremelysmall it iet 1 isalsoextremelysmall Moregenerallyforn periodbond Inwords Interestrateonlongbond averageofshortratesexpectedtooccuroverlifeoflongbond Ingeneral anylong terminterestratecanbeexpressedbythefollowing where int marketrateonann periodsecurityattimet it marketrateona1 periodsecurityattimet It 1 1 periodforwardrateonasecuritytobedeliveredoneyearfromthepresent t 1 It 2 1 periodforwardrateonasecuritytobedeliveredtwoyearsfromthepresent t 2 It n 1 1 periodforwardrateonasecuritytobedeliveredoneperiodbeforematurity t n 1 PureExpectationsTheoryandTermStructureFacts Explainswhyyieldcurvehasdifferentslopes Whenshortratesexpectedtoriseinfuture averageoffutureshortrates intisabovetoday sshortrate thereforeyieldcurveisupwardsloping2 Whenshortratesexpectedtostaysameinfuture averageoffutureshortratessameastoday s andyieldcurveisflat3 Onlywhenshortratesexpectedtofallwillyieldcurvebedownwardsloping PureExpectationsTheoryandTermStructureFacts PureExpectationsTheoryexplainsFact1thatshortandlongratesmovetogether1 Shortraterisesarepersistent2 Ifit today iet 1 iet 2etc averageoffuturerates int 3 Therefore it int i e shortandlongratesmovetogether PureExpectationsTheoryandTermStructureFacts ExplainsFact2thatyieldcurvestendtohavesteepslopewhenshortratesarelowanddownwardslopewhenshortratesarehigh1 Whenshortratesarelow theyareexpectedtorisetonormallevel andlongrate averageoffutureshortrateswillbewellabovetoday sshortrate yieldcurvewillhavesteepupwardslope2 Whenshortratesarehigh theywillbeexpectedtofallinfuture andlongratewillbebelowcurrentshortrate yieldcurvewillhavedownwardslope PureExpectationsTheoryandTermStructureFacts Doesn texplainFact3thatyieldcurveusuallyhasupwardslopeShortratesaslikelytofallinfutureasrise soaverageofexpectedfutureshortrateswillnotusuallybehigherthancurrentshortrate therefore yieldcurvewillnotusuallyslopeupward新余癫痫病医院鹰潭癫痫病医院 预期理论 ExpectationTheory 假说条件 持有债券和从事债券交易时没有税收和成本的影响没有违约风险 具有完善的货币市场 资金的借贷双方能够正确合理地预期短期利率的未来值 所有投资者都是利润最大化的追求者不同期限的债券可以完全替代 MarketSegmentationTheory KeyAssumption BondsofdifferentmaturitiesarenotsubstitutesatallImplication Marketsarecompletelysegmented interestrateateachmaturitydeterminedseparatelyExplainsFact3thatyieldcurveisusuallyupwardslopingPeopletypicallyprefershortholdingperiodsandthushavehigherdemandforshort termbonds whichhavehigherpricesandlowerinterestratesthanlongbondsDoesnotexplainFact1orFact2becauseassumeslongandshortratesdeterminedindependently九江癫痫病医院萍乡癫痫病医院 PuremarketsegmentationShort termandlongtermmarketsaresegmented yieldcurve 首先假设不同类型的投资者具有与投资期限相关的偏好 这些偏好与他们的债务结构 风险厌恶程度有关 不同期限的债券不能完全代替 认为资金在不同期限市场之间基本是不流动的 不同金融机构有不同的负债性质 因而对资金的期限有特定需求 这种不同期限市场上资金流动的封闭性 决定了收益率曲线可以有不同的形态 当长期市场上资金供过于求 而短期市场资金供不应求 就会形成向下倾斜的收益率曲线 MarketSegmentationTheory ThreeTheoriesofTermStructure 1 PureExpectationsTheory2 MarketSegmentationTheory3 LiquidityPremiumTheoryA PureExpectationsTheoryexplains1and2 butnot3 B MarketSegmentationTheoryexplains3 butnot1and2C Solution CombinefeaturesofbothPureExpectationsTheoryandMarketSegmentationTheorytogetLiquidityPremiumTheoryandexplainallfacts LiquidityPremiumTheory KeyAssumption Bondsofdifferentmaturitiesaresubstitutes butarenotperfectsubstitutesImplication ModifiesPureExpectationsTheorywithfeaturesofMarketSegmentationTheoryInvestorsprefershortratherthanlongbonds mustbepaidpositiveliquiditypremium lnt toholdlongtermbonds南昌癫痫病医院景德镇癫痫病医院 LiquidityPremiumTheory ResultsinfollowingmodificationofPureExpectationsTheory RelationshipBetwe