金融场与机制

1、个人收集整理 勿做商业用途Chapter1 Role of Financial Markets and Institutions1. Financial Market (Def.):资料个A market in which financial assets (securities) such as stocks and bonds can be purchased or sold. 人收集整理，勿做商业用途2. Broad Classifications of Financial Markets1) Money versus Capital Marketsn Money:Short-Term,

2、 1Yr;RangeofIssuerQuality;Debt and Equity;Secondary Market Focus;Financing Investment-Higher Returns2) Primary versus Secondary Marketsn PRIMARY:New Issue of Securities;Exchange of Funds for Financial Claim;Funds for Borrower;An IOU for Lendern SECONDARY:Trading Previously Issued Securities;No New F

3、unds for Issuer;Provides Liquidity for Seller3) Organized versus Over-the-Counter Marketsn Organized:Visible Marketplace;个人收集整理 勿做商业用途Members Trade;Securities Listed;New YorkStock Exchangen OTC:Wired Network of Dealers;No Central, Physical Location;All Securities Traded off the Exchanges3. Securitie

4、s Traded in Financial Markets1) Money Market SecuritiesDebt securities only2) Capital market securitiesDebt and equity securitiesnDebt Securities:Debt securitiesare contractual obligations (IOU) of debtor (borrower) to creditor (lender);资料个人收集整理，勿做商业用途Investor receives interest;Capital gain/loss whe

5、n sold; Maturity daten Equity Securities:Claim with ownership rights and responsibilities;Investor receives dividends if declared;Capital gain/loss when sold;No maturity date need market to sell3) Derivative SecuritiesnFinancial contracts whose value is derived from the values of underlying assets资料

6、个人收集整理，勿做商业用途n Used for hedging (risk reduction) and speculation (risk seeking) 资料个人收集整理，勿做商业用途4. Types of Financial Institutions1) Types of Depository Financial InstitutionsCommercial Banks;Savings Institutions;个人收集整理 勿做商业用途Credit Unions2) Types of Non-depository Financial InstitutionsInsurance com

7、panies;Mutual funds;Pension funds;Securities companies;Finance companies;3) Role of Non-depository Financial InstitutionsFocused on capital market;Longer-term, higher risk intermediation;Less focus on liquidity;Less regulation;Greater focus on equity investmentsChapter 2 Determination of Interest Ra

8、tesLoanable Funds Theory of Interest Rate Determination资料个人收集整理，勿做商业用途Theory of how the general level of interest rates are determined; Interest rates determined by demand and supply for loanable funds: 资料个人收集整理，勿做商业用途1) Demand = borrowers, issuers of securities, deficit spending unit资料个人收集整理，勿做商业用途

9、2) Supply = lenders, financial investors, buyers of securities, surplus spending unit 资料个人收集整理， 勿做商业用途2. Sectors of the Economy Assume economy divided into sectors:资料个人收集整理，勿做商业用途资料个人收集整理，勿做商业用途资料个人收集整理，勿做商业用途1) Household Sector-Usually a net supplier of loanable funds2) Business Sector Usually a ne

10、t demander in growth periods3) Government SectorsnStates Borrow for capital projectsnFederal Borrow for capital projects and deficit spending4) Foreign Sectors Net supplier since early1980 s3. aggregate demand for loanable funds1) Households demand loanable funds to finance housing, automobiles, hou

11、sehold items; There is an inverse relationship between interest rates and the quantity of loanable funds demanded.资料个人收集整理 勿做商业用途个人收集整理，勿做商业用途2) Businesses demand loanable funds toinvest in assets; Projects with a positive NPV areaccepted because the present value of their benefits outweighs their c

12、osts;There is an inverse relationship between interest rates and the quantity of loanable funds demanded.资料个人收集整理，勿做商业用途3) When planned expenditures exceed revenues from taxes, the government demands loanable funds; Government demand for funds is interest-inelastic.资料个人收集整理，勿做商业用途a) Municipal (state

13、 and local) governments issue municipal bonds 资料个人收集整理，勿做商业用途b)Federal government and its agencies issue Treasury securities and federal agency securities资料个人收集整理，勿做商业用途4) A foreign country s demand forU.S.funds is influenced by the differential between its interestrates andU.S.rates; The quantity o

14、fU.S.loanable funds demanded by foreign investors will be inversely related toU.S.interest rates. 资料个人收集整理，勿做商业用途5) The aggregate demand for loanable funds is the sum of the quantities demanded by theseparate sectors; The aggregate demand for loanable funds is inversely related to interest rates资料个人

15、收集整理，勿做商业用途4. Sector Supply of Loanable Funds1) Households are major suppliers of loanable funds 资料个人收集整理，勿做商业用途2) Businesses and governments may invest (loan) funds temporarily资料个人收集整理，勿做商业用途3) Foreign sector a net supplier of funds in last twenty years资料个人收集整理，勿做商业用途4) Federal Reserve s monetary p

16、olicy impacts supply of loanable funds资料个人收集整理，勿做商业用途5. Equilibrium Interest RateAggregate Demand: DA = Dh + Db + Dg + Dm + DfAggregate Supply: SA = Sh + Sb + Sg + Sm + SfIn equilibrium, DA = SA1. General Equilibrium Interest Rate1) Interest rate level where quantityof aggregate loanable funds deman

17、ded = supply资料个人收集整理，勿做商业用途2) Surplus and shortage conditionsnSurplus- Quantity demanded quantity supplied followed by market interest rate decreases资料个人收集整理，勿做商业用途nShortage- Government interest rate ceilings below market interest rates资料个人收集整理，勿做商 业用途个人收集整理 勿做商业用途Key Factors Impacting Interest Rate

18、s Over Time1)Economic Growth-Increased growth; increased demand for funds; interest rates increase资料个人收集整理，勿做商业用途2) Expected inflation- If inflation is expected to increase:资料个人收集整理，勿做商业用途nHouseholds may reduce their savings to make purchases before prices rise; Supply shifts to the left,raising the

19、 equilibrium rate 资料个人收集整理，勿做商业用途n Also, households and businesses may borrow more to purchase goods before prices increaseDemand shifts outward, raising the equilibrium rate nThe Fisher Effect: Nominal Interest Rates率地总和 plus Expected Rate of Inflation: in=ir+E(I)资料个人收集整理，勿做商业用途名义利率 = Sum of Real R

20、ate 实际利率加上预期通货膨资料个人收集整理，勿做商业用途3) Government budgetsnDeficit increase borrowing; security prices fall, interest rates increase资料个人收集整理，勿做商业用途nIncrease in deficit increases the quantity of loanable funds demanded; Government is willing to paywhatever is necessary to borrow funds,“crowding out ” the pr

21、ivate sector 资料个人收集整理，勿做商业用途nSurplus decreased borrowing; security prices increase; interest rates decrease资料个人收集整理，勿做商业用途4) Money Supply-When the Fed increases the money supply, it increases supply of loanablefunds; Places downward pressure on interest rates资料个人收集整理，勿做商业用途5) Increased foreign suppl

22、y of loanable funds security prices increase; interest rates decrease 资料个人收集整理，勿做商业用途Chapter3 Structure of Interest Rates1. Factors Affecting Security YieldsIncreased riskiness generates lower security prices or higher investor required rates of return:资料个人收集整理，勿做商业用途1) Default risk (also called Cre

23、dit Risk )2) Liquid: A liquid investment is easily converted to cash At minimum transactions cost; Investors pay more (lower yield) for liquid investment资料个人收集整理，勿做商业用途3) Tax status: Investors require higher yields For higher taxed securities;Yat = Ybt(1 T) 资料个人收集整理，勿做商业用途4) Term to maturity:Interes

24、t rates typically vary by maturity. Theterm structure of interest rates资料个人收集整理，勿做defines the relationship between maturity and yield. The Yield Curve is the plot of current interest yields versus time to maturity. 资料个人收集整理，勿做商业用途5) Special Provisions:Special contract provisions such as embedded opt

25、ions个人收集整理 勿做商业用途商业用途nCall Feature: enables borrower to buy back the bonds before maturity at a specified price; Callfeatures are exercised when interest rates have declined; Investors demand higher yield on callable bonds, especially when rates are expected to fall in the future资料个人收集整理，勿做商业用途n Con

26、vertible bonds: Convertibility feature allows investors to convert the bond into a specified number of common stock shares; Investors will accept a lower yield for convertible bonds because investor returns include expected return on equity participation资料个人收集整理，勿做商业用途6) The appropriate yield to be

27、offered on a debt security is based on the risk-free rate for the corresponding maturity plus adjustments to capture various security characteristics资料个人收集整理，勿做商业用途Yn = Rf,n + DP + LP + TA + CALLP + CONDWhere:Yn = yield of an n-day securityRf,n = yield on an n-day Treasury(risk-free) securityDP = de

28、fault premium (credit risk)LP = liquidity premiumTA= adjustment for tax statusCALLP = call feature premiumCOND = convertibility discount2. Theories Explaining Shape of Yield Curve1) Pure Expectations TheoryLong-term rates are average of current short-term and expected future short-term rates; Yield

29、curve slope reflects market expectations of future interest rates; Forward rate: markets forecast of the future interestrate 资料个人收集整理，勿做商业用途n Upward-Sloping Yield Curve: Expected higher interest rate levels; Expansive monetary policy; Expanding economy 资料个人收集整理，勿做商业用途n Downward-Sloping Yield Curve:

30、Expected lower interest rate levels; Tight monetary policy; Recession soon? 资料个人收集整理，勿做商业用途2) Liquidity Premium Theoryn Investors prefer short-term, more liquid, securities; 资料个人收集整理，勿做商业用途nLong-term securities and associated risks are desirable only with increased yields;资料个人收集整理，勿做商业用途个人收集整理 勿做商业用

31、途nExplains upward-sloping yield curve3）Segmented Markets TheorynTheory explaining segmented, broken yield curves资料个人收集整理，勿做商业用途nAssumes investors have maturity preference boundaries, e.g., short-term vs. long-term maturities资料个人收集整理，勿做商业用途nExplains why rates and prices vary significantly between cer

32、tain maturities资料个人收集整理，勿做商业用途3. Calculation based on theories of term structure of interest rates （ esp.“PureExpectations Theory” & “Liquidity Premium Theory” ） 资料个人收集整理，勿做商业用途附件：纯预期理论地数学表达长期利率相当于在该期限内人们预期出现地所有短期利率地平均数 . 基于即期利率和远期利率地关系推导 如下.如下图所示：现在时点为 0,凡是以现在时点算地利率均为即期利率 ,即 ；其余均为远期利率 ,如 表示起点为 1终点为

33、 2地1年期利率 ,其他以此类推 （如 表示起点为 2终点为 4地2年期利率等等 ,图中没有标出） ：资料个人 收集整理，勿做商业用途如果从 0时点起 ,投资者用 1元钱要投资 5年,显然投资者有多种选择 ,根据 “无套利 ”思想,各种选择方案之间应 该没有差别 ,即终值应该相等 . 资料个人收集整理，勿做商业用途关注两种特例 ,即“一步到位 ”（现在持有一直到 5年末） ,另外一种是每次投资 1年也到 5年末,则两方案终值相 等,按照一般复利（ 或非连续性复利 ,Compound Interest/ Discrete Compound Interest）：资料个人收集整理，勿做商业用途两边取

34、对数 ,有：如果 1元钱投资 1年（利率为 ） ,按照 一般复利 计算终值为（ ）；如果以 连续复利（ Continuous Compound Interest ） 计算（即 “利滚利 ”,时间无限细分）且设定连续复利地利率为,则终值为 . 资料个人收集整理，勿做商业用途同样根据无套利思想有： .据此 ,结合前述分析有如下结论： .如果投资者不是 5年投资期限 ,可以扩展到一般情况 .进一步思考： “一步到位 ”、 “5年投资逐年滚动 ”仅为两种典型地投资方案 ,尚有其他多种方案可以满足 “如果 从0时点起 ,投资者用 1元钱要投资 5年”地要求 ,由于这些方案之间是无套利地 ,据此计算 0

35、5 年内其他远期 利率 ,如： 资料个人收集整理，勿做商业用途投资者可以选择先投资 2年再投资 3年,且终值与 “一步到位 ”是一样地 ,即（ 一般复利 ）：按照上述思路肯定有 （连续复利 ）： ,可以据此计算 ,即以 2年为起点以 5年为终点地远期利率可以计算出来 .资料个人收集整理，勿做商业用途个人收集整理 勿做商业用途纯预期理论认为 ,以某时点为基础确定地收益率曲线形状完全取决于投资者对未来地预期；如果投资者预期远期利率将走高（如经济趋于繁荣） , 那么根据上述等式 , 长期即期利率将大于短期即期利率 , 收益率曲线将 上翘 , 反之则相反 .资料个人收集整理，勿做商业用途要求：（1）掌

36、握按照一般复利进行计算地情况； （2）掌握按照连续复利进行计算地情况； （ 3）各种期限地 远期利率计算均需要掌握 .资料个人收集整理，勿做商业用途注意：如果涉及计算 ,请务必看要求是基于 “一般复利 ”还说 “连续复利 ”.Chapter4 Money Markets1. Money Market Securities:Maturity of a year or less; Debt securities issued by corporations and governments that need short-term funds 资料个人收集整理，勿做商业用途2. Treasury B

37、ills1）T-bills represent the simplest form of borrowing: The government raises money by selling bills topublic. 资料个人收集整理，勿做商业用途2）Investors buy the bills at a discount from the stated maturity value.资料个人收集整理，勿做商业用途3）At the bills maturity, the holder receives from the government a payment equal to the

38、face valueof the bill. 资料个人收集整理，勿做商业用途4）T-bills with initial maturities of 91 days or 182 days are issued weekly.资料个人收集整理，勿做商业用途1）Calculating T-Bill Annualized Yield:1. Commercial paper1) Large, well-known companies often issue their own short-term unsecured debt notes rather thanborrow directly fro

39、m banks. 资料个人收集整理，勿做商业用途2)Commercial paper is backed by a bank line of credit.资料个人收集整理，勿做商业用途3)Commercial paper maturities range up to 270 days.资料个人收集整理，勿做商业用途4)Estimating commercial paper yields: same as T-Bill资料个人收集整理，勿做商业用途2. Negotiable certificates of deposits1) Issued by large commercial banks;

40、2) the banks pay interest and principal to the depositor only at the end of the fixed term of the CD; 资料个人收集整理，勿做商业用途3) CDs issued in denominations greater than $100,000 are usually negotiable.资料个人收集整理，勿做商业用途3. Federal funds1)Funds in the bank s reserve account are called federal funds.资料个人收集整理，勿做商业

41、用途个人收集整理 勿做商业用途2) Funds deposited to regional Federal Reserve Banks by commercial banks, including funds in excess of reserve requirements. 资料个人收集整理，勿做商业用途4. Repurchase Agreements1) Sell a security with the agreement to repurchase it at a specified date and price, also called“repos ” or “RPs”资料个人收集整

42、理，勿做商业用途2) Borrower defaults, lender has security1. Bankers Acceptance1) Exporters send goods to a foreign destination and want payment assurance before sending资料个人收集整理，勿做商业用途2) Bank stamps a time draft( 远期汇票 ) from the importer ACCEPTED and obligates the bank to makegood on the payment at a specifi

43、c time资料个人收集整理，勿做商业用途3) Exporter can hold until the date or sell before maturity; If sold to get the cash before maturity,price received is a discount from draft s total 资料个人收集整理，勿做商业用途4) Return is based on calculations for other discount securities,Similar to the commercial paperexample 资料个人收集整理，勿做

44、商业用途2. Major Participants in Money Market1) Short-term investing for income and liquidity资料个人收集整理，勿做商业用途2) Short-term financing for short and permanent needs 资料个人收集整理，勿做商业用途3. Yield for an international investment (Calculation) 资料个人收集整理，勿做商业用途 Effective yield for international securities has two com

45、ponents:资料个人收集整理，勿做商业用途1) The yield earned on the investment denominated in the currency of the investment资料个人收集整理，勿做商业用途资料个人收集整理，勿做商业用途2) The exchange rate effect Performance of international securities资料个人收集整理，勿做商业用途% D S measures the expected percent change in the currencyChapter5 Bond Markets1.

46、Bonds1) represent long-term debt securities2) Contractual3) Promise to pay future cash flows to investors资料个人收集整理，勿做商业用途nInterest (or coupon) payments periodically usually semiannually资料个人收集整理，勿做商业用途nPar or face value (principal) at maturity个人收集整理 勿做商业用途2. Bond Interest Rates1) The issuer s cost of

47、financing with bonds is the coupon rate资料个人收集整理，勿做商业用途2) Determined by current market rates and risk 资料个人收集整理，勿做商业用途3) Usually fixed throughout term4) Determines periodic interest payments3. Bond Yield to Maturity1) The yield to maturity (YTM) is the yield that equates the future coupon and principa

48、l paymentswith the bond price 资料个人收集整理，勿做商业用途2) The YTM is the investor s expected rate of return if the bond is held to maturity资料个人收集整理，勿做商业用途3) Calculation4. U. S. Treasury Bonds1) Issued by the U.S. Treasury to finance federal government expenditures 资料个人收集整理，勿做 商业用途2) Maturity: Notes, 10 to 30

49、Years资料个人收集整理，勿做商业用途3) Benchmark Debt Security for Any Maturity5. Federal Agency BondsThree government owned or sponsored agencies involved资料个人收集整理，勿做商业用途1) Government National Mortgage Association (Ginnie Mae ) 资料个人收集整理，勿做商业用途2) Federal Home Loan Mortgage Association ( Freddie Mae )资料个人收集整理，勿做商业用途3

50、) Federal National Mortgage Association ( Fannie Mae )资料个人收集整理，勿做商业用途6. Municipal Bonds1) State and local government obligations2) Revenue bonds vs. general obligation Bonds资料个人收集整理，勿做商业用途3) Investor interest income exempt from federal income tax资料个人收集整理，勿做商业用途7. Corporate Bonds1) When corporations

51、want to borrow for long-term periods they issue corporate bonds资料个人收集整理，勿做商业用途2) Corporate Bond Terminology: Indenture; Trustee; Sinking Fund Provision; Protective Covenants;Call provisions; Bond collateral; Low-coupon and zero-coupon bonds; Variable-rate bonds; Convertible bonds 资料个人收集整理，勿做商业用途3) J

52、unk Bonds: Junk bonds are also called high-yield bonds or noninvestment rated bonds资料个人 收集整理，勿做商业用途Chapter6 Bond Valuation and Risk个人收集整理 勿做商业用途1. Bond Valuation Process1)Bonds are debt obligations with long-term maturities issued by governments or corporations toobtain long-term funds 资料个人收集整理，勿做商业

53、用途2) Bond price (value) = present value of cash flows to be generated by the bond资料个人收集整理，勿做商业用途Where,C = Coupon per period (PMT)Par = Face or maturity value (FV)i = Discount rate (i)n = Compounding periods to maturityPVIFA: Present Value Interest Factor of Annuity3) Impact of the Discount Rate on B

54、ond Valuation:资料个人收集整理，勿做商业用途nDiscount rate = market-determined yield that could be earned on alternative investments of similarrisk and maturity 资料个人收集整理，勿做商业用途nCash flows are contractual and remain the same each period资料个人收集整理，勿做商业用途nBond prices vary inversely with changes in market interest rates

55、资料个人收集整理，勿做商业用途Description of a Premium, Discount, and Par Bond1) Premium bond when the coupon rate is greater then the required rate of return, the fair present value of the bondis greater than its face value资料个人收集整理，勿做商业用途2)Discount bond3) Par bond3. Factors affect Price Variability1)Bond Maturity

56、: Long-term bond prices are more sensitive to given changes in market rates thanshort-term bonds 资料个人收集整理，勿做商业用途2)Coupon Rates: Low coupon bond prices more sensitive to change in interest rates; PV of facevalue at maturity a major proportion of the price资料个人收集整理，勿做商业用途Sensitivity of Bond Prices to Interest Rate Movements资料个人收集整理，勿做商业用途1) Bond Price Elasticity =(% Change In Price)/(% Change In Interest Rates)2)The inverse relationship between Interest Rates and Price causes the negative numbers资料个人收集整理，勿做商业用途3) Calculat