课件货币金融学7版英文课件4大学课件

Chapter4UnderstandingInterestRates©2005PearsonEducationCanadaInc.第一页，共十五页。FourTypesofCreditInstruments1. Simpleloan2. Fixed-paymentloan3. Couponbond4. Discount(zerocoupon)bondConceptofPresentValueSimpleloanof$1at10%interestYear 1 2 3 n $1.10 $1.21 $1.33 $1x(1+i)n $1PVoffuture$1= (1+i)nPresentValue2第二页，共十五页。YieldtoMaturity:LoansYieldtomaturity=interestratethatequatestoday’svaluewithpresentvalueofallfuturepayments1. SimpleLoan(i=10%)

$100=$110/(1+i)

$110–$100 $10

i= = =0.10=10% $100 $1002. FixedPaymentLoan(i=12%) $126 $126 $126 $126$1000= +++...+ (1+i) (1+i)2 (1+i)3 (1+i)25

FP

FP

FP

FPLV= +++...+ (1+i) (1+i)2 (1+i)3 (1+i)n3第三页，共十五页。YieldtoMaturity:Bonds4. DiscountBond(P=$900,F=$1000),oneyear $1000$900= (1+i) $1000–$900i= =0.111=11.1% $900 F–Pi= P3. CouponBond(Couponrate=10%=C/F)

$100 $100 $100 $100 $1000P= +++...++ (1+i) (1+i)2 (1+i)3 (1+i)10 (1+i)10 C

C

C

C

FP= +++...++ (1+i) (1+i)2 (1+i)3 (1+i)n (1+i)n Consol:Fixedcouponpaymentsof$Cforever C

CP= i=

i P4第四页，共十五页。RelationshipBetweenPrice

andYieldtoMaturityThreeInterestingFactsinTable11. Whenbondisatpar,yieldequalscouponrate2. Priceandyieldarenegativelyrelated3. Yieldgreaterthancouponratewhenbondpriceisbelowparvalue5第五页，共十五页。CurrentYield

C ic=

PTwoCharacteristics1. Isbetterapproximationtoyieldtomaturity,nearerpriceistoparandlongerismaturityofbond2. ChangeincurrentyieldalwayssignalschangeinsamedirectionasyieldtomaturityYieldonaDiscountBasis

(F–P) 365idb= x

P (numberofdaystomaturity) A91-daybill,P

=$988,F=$1000 $1000–$988 365idb= x =0.0487=4.8% $988 91TwoCharacteristics1. Understatesyieldtomaturity2. Changeindiscountyieldalwayssignalschangeinsamedirectionasyieldtomaturity6第六页，共十五页。BondPageoftheNewspaper:

CanadaBonds4-7第七页，共十五页。BondPageoftheNewspaper:

ProvincialandMunicipalBonds4-8第八页，共十五页。BondPageoftheNewspaper:

CorporateBonds4-9第九页，共十五页。DistinctionBetweenInterestRatesandReturnsRateofReturn C

+Pt+1–PtRET= =ic+g Pt

Cwhere:ic= =currentyield Pt Pt+1–Pt g= =capitalgain Pt10第十页，共十五页。KeyFactsaboutRelationship

BetweenInterestRatesandReturns11第十一页，共十五页。MaturityandtheVolatility

ofBondReturnsKeyFindingsfromTable21. Onlybondwhosereturn=yieldisonewithmaturity=holdingperiod2. Forbondswithmaturity>holdingperiod,i

Pimplyingcapitalloss3. Longerismaturity,greateris%pricechangeassociatedwithinterestratechange4. Longerismaturity,morereturnchangeswithchangeininterestrate5. Bondwithhighinitialinterestratecanstillhavenegativereturnifi

ConclusionfromTable2Analysis1. Pricesandreturnsmorevolatileforlong-termbondsbecausehavehigherinterest-raterisk2. Nointerest-rateriskforanybondwhosematurityequalsholdingperiod12第十二页，共十五页。DistinctionBetweenReal

andNominalInterestRatesRealInterestRateInterestratethatisadjustedforexpectedchangesinthepricelevel

ir=i–e1. Realinterestratemoreaccuratelyreflectstruecostofborrowing2. Whenrealrateislow,greaterincentivestoborrowandlesstolendifi=5%ande=3%then:

ir=5%–3%=2%ifi=8%ande=10%then

ir=8%–10%=–2%13第十三页，共十五