英文版金融第四章.ppt

Chapter4,WhyDoInterestRatesChange?,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-2,ChapterPreview,Intheearly1950s,short-termTreasurybillswereyieldingabout1%.By1981,theyieldsroseto15%andhigher.Butthendroppedbackto1%by2003.Whatcausesthesechanges?,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-3,ChapterPreview,Inthischapter,weexaminetheforcesthemoveinterestratesandthetheoriesbehindthosemovements.Topicsinclude:DeterminingAssetDemandSupplyandDemandintheBondMarketChangesinEquilibriumInterestRates,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-4,DeterminantsofAssetDemand,Anassetisapieceofpropertythatisastoreofvalue.Facingthequestionofwhethertobuyandholdanassetorwhethertobuyoneassetratherthananother,anindividualmustconsiderthefollowingfactors:Wealth,thetotalresourcesownedbytheindividual,includingallassetsExpectedreturn(thereturnexpectedoverthenextperiod)ononeassetrelativetoalternativeassetsRisk(thedegreeofuncertaintyassociatedwiththereturn)ononeassetrelativetoalternativeassetsLiquidity(theeaseandspeedwithwhichanassetcanbeturnedintocash)relativetoalternativeassets,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-5,EXAMPLE1:ExpectedReturn,WhatistheexpectedreturnonanExxon-Mobilbondifthereturnis12%two-thirdsofthetimeand8%one-thirdofthetime?SolutionTheexpectedreturnis10.68%.Re=p1R1+p2R2wherep1=probabilityofoccurrenceofreturn1=2/3=.67R1=returninstate1=12%=0.12p2=probabilityofoccurrencereturn2=1/3=.33R2=returninstate2=8%=0.08ThusRe=(.67)(0.12)+(.33)(0.08)=0.1068=10.68%,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-6,EXAMPLE2:StandardDeviation(a),Considerthefollowingtwocompaniesandtheirforecastedreturnsfortheupcomingyear:,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-7,EXAMPLE2:StandardDeviation(b),WhatisthestandarddeviationofthereturnsontheFly-by-NightAirlinesstockandFeet-on-the-GroundBusCompany,withthereturnoutcomesandprobabilitiesdescribedabove?Ofthesetwostocks,whichisriskier?,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-8,EXAMPLE2:StandardDeviation(c),SolutionFly-by-NightAirlineshasastandarddeviationofreturnsof5%.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-9,EXAMPLE2:StandardDeviation(d),Feet-on-the-GroundBusCompanyhasastandarddeviationofreturnsof0%.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-10,EXAMPLE2:StandardDeviation(e),Fly-by-NightAirlineshasastandarddeviationofreturnsof5%;Feet-on-the-GroundBusCompanyhasastandarddeviationofreturnsof0%Clearly,Fly-by-NightAirlinesisariskierstockbecauseitsstandarddeviationofreturnsof5%ishigherthanthezerostandarddeviationofreturnsforFeet-on-the-GroundBusCompany,whichhasacertainreturnArisk-aversepersonprefersstockintheFeet-on-the-Ground(thesurething)toFly-by-Nightstock(theriskierasset),eventhoughthestockshavethesameexpectedreturn,10%.Bycontrast,apersonwhoprefersriskisariskpreferrerorrisklover.Weassumepeoplearerisk-averse,especiallyintheirfinancialdecisions,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-11,DeterminantsofAssetDemand(2),Thequantitydemandedofanassetdiffersbyfactor.Wealth:Holdingeverythingelseconstant,anincreaseinwealthraisesthequantitydemandedofanassetExpectedreturn:Anincreaseinanassetsexpectedreturnrelativetothatofanalternativeasset,holdingeverythingelseunchanged,raisesthequantitydemandedoftheassetRisk:Holdingeverythingelseconstant,ifanassetsriskrisesrelativetothatofalternativeassets,itsquantitydemandedwillfallLiquidity:Themoreliquidanassetisrelativetoalternativeassets,holdingeverythingelseunchanged,themoredesirableitis,andthegreaterwillbethequantitydemanded,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-12,DeterminantsofAssetDemand(3),Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-13,Supply&DemandintheBondMarket,Wenowturnourattentiontothemechanicsofinterestrates.Thatis,wearegoingtoexaminehowinterestratesaredeterminedfromademandandsupplyperspective.Keepinmindthattheseforcesactdifferentlyindifferentbondmarkets.Thatis,currentsupply/demandconditionsinthecorporatebondmarketarenotnecessarilythesameas,say,inthemortgagemarket.However,becauseratestendtomovetogether,wewillproceedasifthereisoneinterestratefortheentireeconomy.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-14,TheDemandCurve,Letsstartwiththedemandcurve.Letsconsideraone-yeardiscountbondwithafacevalueof$1,000.Inthiscase,thereturnonthisbondisentirelydeterminedbyitsprice.Thereturnis,then,thebondsyieldtomaturity.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-15,PointB:ifthebondwassellingfor$900.,DerivationofDemandCurve,PointA:ifthebondwassellingfor$950.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-16,DerivationofDemandCurve,Howdoweknowthedemand(Bd)atpointAis100andatpointBis200?Well,wearejustmaking-upthosenumbers.Butweareapplyingbasiceconomicsmorepeoplewillwant(demand)thebondsiftheexpectedreturnishigher.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-17,DerivationofDemandCurve,TocontinuePointC:P=$850i=17.6%Bd=300PointD:P=$800i=25.0%Bd=400PointE:P=$750i=33.0%Bd=500DemandCurveisBdinFigure1whichconnectspointsA,B,C,D,E.Hasusualdownwardslope,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-18,SupplyandDemandforBonds,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-19,DerivationofSupplyCurve,Inthelastfigure,wesnuckthesupplycurveinthelineconnectingpointsF,G,C,H,andI.Thederivationfollowsthesameideaasthedemandcurve.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-20,DerivationofSupplyCurve,PointF:P=$750i=33.0%Bs=100PointG:P=$800i=25.0%Bs=200PointC:P=$850i=17.6%Bs=300PointH:P=$900i=11.1%Bs=400PointI:P=$950i=5.3%Bs=500SupplyCurveisBsthatconnectspointsF,G,C,H,I,andhasupwardslope,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-21,DerivationofDemandCurve,Howdoweknowthesupply(Bs)atpointPis100andatpointGis200?Again,likethedemandcurve,wearejustmaking-upthosenumbers.Butweareapplyingbasiceconomicsmorepeoplewilloffer(supply)thebondsiftheexpectedreturnislower.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-22,MarketEquilibrium,Theequilibriumfollowswhatweknowfromsupply-demandanalysis:OccurswhenBd=Bs,atP*=850,i*=17.6%WhenP=$950,i=5.3%,BsBd(excesssupply):PtoP*,itoi*WhenP=$750,i=33.0,BdBs(excessdemand):PtoP*,itoi*,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-23,MarketConditions,Marketequilibriumoccurswhentheamountthatpeoplearewillingtobuy(demand)equalstheamountthatpeoplearewillingtosell(supply)atagivenpriceExcesssupplyoccurswhentheamountthatpeoplearewillingtosell(supply)isgreaterthantheamountpeoplearewillingtobuy(demand)atagivenpriceExcessdemandoccurswhentheamountthatpeoplearewillingtobuy(demand)isgreaterthantheamountthatpeoplearewillingtosell(supply)atagivenprice,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-24,Supply&DemandAnalysis,NoticeinFigure1thatweusetwodifferentverticleaxesonewithprice,whichishigh-to-lowstartingfromthetop,andonewithinterestrates,whichislow-to-highstartingfromthetop.Thisjustillustrateswhatwealreadyknow:bondpricesandinterestratesareinverselyrelated.Alsonotethatthisanalysisisanassetmarketapproachbasedonthestockofbonds.Anotherwaytodothisistoexaminetheflows.However,theflowsapproachistricky,especiallywithinflationinthemix.Sowewillfocusonthestockapproach.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-25,ChangesinEquilibriumInterestRates,Wenowturnourattentiontochangesininterestrate.Wefocusonactualshiftsinthecurves.Remember:movementsalongthecurvewillbeduetopricechangesalone.First,weexamineshiftsinthedemandforbonds.Thenwewillturntothesupplyside.,FactorsThatShiftDemandCurve,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-27,HowFactorsShifttheDemandCurve,Wealth/savingEconomy,wealthBd,BdshiftsouttorightOREconomy,wealthBd,Bdshiftsouttoright,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-28,HowFactorsShifttheDemandCurve,2.ExpectedReturnsonbondsiinfuture,Reforlong-termbondsBdshiftsouttorightORe,relativeReBdshiftsouttoright,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-29,HowFactorsShifttheDemandCurve,andExpectedReturnsonotherassetsERonotherasset(stock)Reforlong-termbondsBdshiftsouttoleftThesearecloselytiedtoexpectedinterestrateandexpectedinflationfromTable4.2,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-30,HowFactorsShifttheDemandCurve,RiskRiskofbonds,BdBdshiftsouttorightORRiskofotherassets,BdBdshiftsouttoright,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-31,HowFactorsShifttheDemandCurve,4.LiquidityLiquidityofbonds,BdBdshiftsouttorightORLiquidityofotherassets,BdBdshiftsouttoright,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-32,ShiftsintheDemandCurve,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-33,SummaryofShiftsintheDemandforBonds,Wealth:inabusinesscycleexpansionwithgrowingwealth,thedemandforbondsrises,conversely,inarecession,whenincomeandwealtharefalling,thedemandforbondsfallsExpectedreturns:higherexpectedinterestratesinthefuturedecreasethedemandforlong-termbonds,conversely,lowerexpectedinterestratesinthefutureincreasethedemandforlong-termbonds,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-34,SummaryofShiftsintheDemandforBonds(2),Risk:anincreaseintheriskinessofbondscausesthedemandforbondstofall,conversely,anincreaseintheriskinessofalternativeassets(likestocks)causesthedemandforbondstoriseLiquidity:increasedliquidityofthebondmarketresultsinanincreaseddemandforbonds,conversely,increasedliquidityofalternativeassetmarkets(likethestockmarket)lowersthedemandforbonds,FactorsThatShiftSupplyCurve,Wenowturntothesupplycurve.Wesummarizetheeffectsinthistable:,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-36,ShiftsintheSupplyCurve,ProfitabilityofInvestmentOpportunitiesBusinesscycleexpansion,investmentopportunities,Bs,Bsshiftsouttoright,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-37,ShiftsintheSupplyCurve,2.ExpectedInflatione,BsBsshiftsouttoright,3.GovernmentActivitiesDeficits,BsBsshiftsouttoright,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-38,ShiftsintheSupplyCurve,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-39,SummaryofShiftsintheSupplyofBonds,ExpectedProfitabilityofInvestmentOpportunities:inabusinesscycleexpansion,thesupplyofbondsincreases,conversely,inarecession,whentherearefarfewerexpectedprofitableinvestmentopportunities,thesupplyofbondsfallsExpectedInflation:anincreaseinexpectedinflationcausesthesupplyofbondstoincreaseGovernmentActivities:highergovernmentdeficitsincreasethesupplyofbonds,conversely,governmentsurplusesdecreasethesupplyofbonds,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-40,Case:FisherEffect,Wevedonethehardwork.Nowweturntosomespecialcases.ThefirstistheFisherEffect.Recallthatratesarecomposedofseveralcomponents:arealrate,aninflationpremium,andvariousriskpremiums.Whatifthereisonlyachangeinexpectedinflation?,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-41,Changesine:TheFisherEffect,IfeRelativeRe,BdshiftsintoleftBs,BsshiftsouttorightP,i,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-42,EvidenceontheFisherEffectintheUnitedStates,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-43,SummaryoftheFisherEffect,Ifexpectedinflationrisesfrom5%to10%,theexpectedreturnonbondsrelativetorealassetsfallsand,asaresult,thedemandforbondsfallsTheriseinexpectedinflationalsomeansthattherealcostofborrowinghasdeclined,causingthequantityofbondssuppliedtoincreaseWhenthedemandforbondsfallsandthequantityofbondssuppliedincreases,theequilibriumbondpricefallsSincethebondpriceisnegativelyrelatedtotheinterestrate,thismeansthattheinterestratewillrise,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-44,Case:BusinessCycleExpansion,Anothergoodthingtoexamineisanexpansionarybusinesscycle.Here,theamountofgoodsandservicesforthecountryisincreasing,sonationalincomeisincreasing.Whatistheexpectedeffectoninterestrates?,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-45,BusinessCycleExpansion,Wealth,Bd,BdshiftsouttorightInvestment,Bs,BsshiftsrightIfBsshiftsmorethanBdthenP,i,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-46,EvidenceonBusinessCyclesandInterestRates,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-47,Case:LowJapaneseInterestRates,InNovember1998,Japaneseinterestratesonsix-monthTreasurybillsturnedslightlynegative.Howcanweexplainthatwithintheframeworkdiscussedsofar?Itsalittletricky,butwecandoit!,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-48,Case:LowJapaneseInterestRates,NegativeinflationleadtoBdBdshiftsouttorightNegativeinflationleadtoinrealratesBsshiftsouttoleftNeteffectwasanincreaseinbondprices(fallinginterestrates).,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-49,Case:LowJapaneseInterestRates,BusinesscyclecontractionleadtoininterestratesBsshiftsouttoleftBdshiftsouttoleftButtheshiftinBdislesssignificantthantheshiftinBs,sotheneteffectwasalsoanincreaseinbondprices.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-50,Case:WSJ“CreditMarkets”,Everyday,theWallStreetJournalreportsondevelopmentsinthebondmarketinits“CreditMarkets”column.Takealookatpage91inyourtextforanexampleofhowtointerpretwhatitsays.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-51,Case:WSJ“CreditMarkets”,Whatisthisarticletellingus?StrengthinasectorhelpedlowerT-bondprices(increaserates).Thatfollowswhatwelearned!Astrongereconomyshiftsbothcurvestotheright,butthesupplycurvebymore,sopriceswillfall.,Copyright2009PearsonPrenticeHall.Allrightsreserved.,4-52,Case:WSJ“CreditMarkets”,ArticlealsopointsoutthatyieldsongovtbondsinGermanyandJapanarerising.MoneywillmovefromtheU.S.Tr