【PPT精品课件】货币金融学7版英文课件-4-大学课件20

1、Chapter 4UnderstandingInterest Rates 2005 Pearson Education Canada Inc.Four Types of Credit Instruments1.Simple loan2.Fixed-payment loan3.Coupon bond4.Discount (zero coupon) bondConcept of Present ValueSimple loan of $1 at 10% interestYear123n$1.10$1.21$1.33$1x(1 + i)n $1PV of future $1 = (1 + i)nPr

2、esent Value2Yield to Maturity: LoansYield to maturity = interest rate that equates todays value with present value of all future payments1.Simple Loan (i = 10%)$100 = $110/(1 + i) $110 $100 $10i = = 0.10 = 10%$100 $1002.Fixed Payment Loan (i = 12%) $126$126$126 $126$1000 = + + + . + (1+i) (1+i)2 (1+

3、i)3 (1+i)25 FP FP FP FPLV = + + + . + (1+i) (1+i)2 (1+i)3 (1+i)n3Yield to Maturity: Bonds4. Discount Bond (P = $900, F = $1000), one year$1000$900 =(1+i)$1000 $900i = 0.111 = 11.1%$900F Pi =P3.Coupon Bond (Coupon rate = 10% = C/F)$100$100$100$100$1000P = + + + . + +(1+i) (1+i)2 (1+i)3 (1+i)10 (1+i)1

4、0C C C C FP = + + + . + +(1+i) (1+i)2 (1+i)3 (1+i)n (1+i)nConsol: Fixed coupon payments of $C foreverCCP = i =iP4Relationship Between Price and Yield to MaturityThree Interesting Facts in Table 11.When bond is at par, yield equals coupon rate2.Price and yield are negatively related3.Yield greater th

5、an coupon rate when bond price is below par value5Current Yield C ic = PTwo Characteristics1.Is better approximation to yield to maturity, nearer price is to par and longer is maturity of bond2.Change in current yield always signals change in same direction as yield to maturityYield on a Discount Ba

6、sis(F P)365idb = xP(number of days to maturity)A 91-day bill, P = $988, F = $1000$1000 $988365idb = x= 0.0487 = 4.8%$98891Two Characteristics1.Understates yield to maturity2.Change in discount yield always signals change in same direction as yield to maturity6Bond Page of the Newspaper:Canada Bonds4

7、-7Bond Page of the Newspaper:Provincial and Municipal Bonds4-8Bond Page of the Newspaper:Corporate Bonds4-9Distinction Between Interest Rates and ReturnsRate of ReturnC + Pt+1 PtRET = ic + gPtCwhere: ic = = current yieldPtPt+1 Ptg = capital gainPt10Key Facts about RelationshipBetween Interest Rates

8、and Returns11Maturity and the Volatility of Bond ReturnsKey Findings from Table 21.Only bond whose return = yield is one with maturity = holding period2.For bonds with maturity holding period, i P implying capital loss3.Longer is maturity, greater is % price change associated with interest rate chan

9、ge4.Longer is maturity, more return changes with change in interest rate5.Bond with high initial interest rate can still have negative return if i Conclusion from Table 2 Analysis1.Prices and returns more volatile for long-term bonds because have higher interest-rate risk2.No interest-rate risk for

10、any bond whose maturity equals holding period12Distinction Between Real and Nominal Interest RatesReal Interest RateInterest rate that is adjusted for expected changes in the price levelir = i e1.Real interest rate more accurately reflects true cost of borrowing2.When real rate is low, greater incen