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Chapter6 TheRiskandTermStructureofInterestRates FIGURE1Long TermBondYields 1919 2008 Sources BoardofGovernorsoftheFederalReserveSystem BankingandMonetaryStatistics 1941 1970 FederalReserve www federalreserve gov releases h15 data htm 6 1RiskStructureofInterestRates Bondswiththesamematurityhavedifferentinterestratesdueto DefaultriskLiquidityTaxconsiderations RiskStructureofInterestRates Defaultrisk probabilitythattheissuerofthebondisunableorunwillingtomakeinterestpaymentsorpayoffthefacevalueU S Treasurybondsareconsidereddefaultfree governmentcanraisetaxes Riskpremium thespreadbetweentheinterestratesonbondswithdefaultriskandtheinterestrateson samematurity Treasurybonds FIGURE2ResponsetoanIncreaseinDefaultRiskonCorporateBonds Conclusion abondwithdefaultriskwillalwayshaveapositiveriskpremium andanincreaseinitsdefaultriskwillraisetheriskpremium Table1BondRatingsbyMoody s StandardandPoor s andFitch RiskStructureofInterestRates Liquidity therelativeeasewithwhichanassetcanbeconvertedintocashCostofsellingabondNumberofbuyers sellersinabondmarketU S Treasurybondsarethemostliquidofalllong termbonds IncometaxconsiderationsInterestpaymentsonmunicipalbondsareexemptfromfederalincometaxes FIGURE3InterestRatesonMunicipalandTreasuryBonds 6 2TermStructureofInterestRates Bondswithidenticalrisk liquidity andtaxcharacteristicsmayhavedifferentinterestratesbecausethetimeremainingtomaturityisdifferent TermStructureofInterestRates Yieldcurve aplotoftheyieldonbondswithdifferingtermstomaturitybutthesamerisk liquidityandtaxconsiderationsUpward sloping long termratesareaboveshort termratesFlat short andlong termratesarethesameInverted long termratesarebelowshort termrates FIGURE4MovementsoverTimeofInterestRatesonU S GovernmentBondswithDifferentMaturities Sources FederalReserve www federalreserve gov releases h15 data htm FactsTheoryoftheTermStructureofInterestRatesMustExplain InterestratesonbondsofdifferentmaturitiesmovetogetherovertimeWhenshort terminterestratesarelow yieldcurvesaremorelikelytohaveanupwardslope whenshort termratesarehigh yieldcurvesaremorelikelytoslopedownwardandbeinvertedYieldcurvesalmostalwaysslopeupward ThreeTheoriestoExplaintheThreeFacts ExpectationstheoryexplainsthefirsttwofactsbutnotthethirdSegmentedmarketstheoryexplainsfactthreebutnotthefirsttwoLiquiditypremiumtheorycombinesthetwotheoriestoexplainallthreefacts 6 2 1ExpectationsTheory Theinterestrateonalong termbondwillequalanaverageoftheshort terminterestratesthatpeopleexpecttooccuroverthelifeofthelong termbondBuyersofbondsdonotpreferbondsofonematurityoveranother theywillnotholdanyquantityofabondifitsexpectedreturnislessthanthatofanotherbondwithadifferentmaturityBondholdersconsiderbondswithdifferentmaturitiestobeperfectsubstitutes ExpectationsTheory Example Letthecurrentrateonone yearbondbe6 Youexpecttheinterestrateonaone yearbondtobe8 nextyear Thentheexpectedreturnforbuyingtwoone yearbondsaverages 6 8 2 7 Theinterestrateonatwo yearbondmustbe7 foryoutobewillingtopurchaseit ExpectationsTheory ExpectationsTheory cont d ExpectationsTheory cont d ExpectationsTheory cont d ExpectationsTheory ExplainswhythetermstructureofinterestrateschangesatdifferenttimesExplainswhyinterestratesonbondswithdifferentmaturitiesmovetogetherovertime fact1 Explainswhyyieldcurvestendtoslopeupwhenshort termratesarelowandslopedownwhenshort termratesarehigh fact2 Cannotexplainwhyyieldcurvesusuallyslopeupward fact3 6 2 2SegmentedMarketsTheory BondsofdifferentmaturitiesarenotsubstitutesatallTheinterestrateforeachbondwithadifferentmaturityisdeterminedbythedemandforandsupplyofthatbondInvestorshavepreferencesforbondsofonematurityoveranotherIfinvestorsgenerallypreferbondswithshortermaturitiesthathavelessinterest raterisk thenthisexplainswhyyieldcurvesusuallyslopeupward fact3 6 2 3LiquidityPremium PreferredHabitatTheories Theinterestrateonalong termbondwillequalanaverageofshort terminterestratesexpectedtooccuroverthelifeofthelong termbondplusaliquiditypremiumthatrespondstosupplyanddemandconditionsforthatbondBondsofdifferentmaturitiesarepartial notperfect substitutes LiquidityPremiumTheory PreferredHabitatTheory InvestorshaveapreferenceforbondsofonematurityoveranotherTheywillbewillingtobuybondsofdifferentmaturitiesonlyiftheyearnasomewhathigherexpectedreturnInvestorsarelikelytoprefershort termbondsoverlonger termbonds FIGURE5TheRelationshipBetweentheLiquidityPremium PreferredHabitat andExpectationsTheory LiquidityPremiumandPreferredHabitatTheories Interestratesondifferentmaturitybondsmovetogetherovertime explainedbythefirsttermintheequationYieldcurvestendtoslopeupwardwhenshort termratesarelowandtobeinvertedwhenshort termratesarehigh explainedbytheliquiditypremiumterminthefirstcaseandbyalowexpectedaverageinthesecondcaseYieldcurvestypicallyslopeupward explainedbyalargerliquiditypremiumasthetermtomaturitylengthens FIGURE6YieldCurve
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