金融市场学课件structure of interest rates

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Comment三季度经济分析—“保八”无悬念热钱流入—卷土重来成共识再赌人民币升值创业板—严控创业板爆炒不干预发行价格股市—102家公司三季报报喜10月以来股价集体上涨产能过剩—十部委联手抑制产能过剩严厉态度前所未有1三季度经济数据GDP：前3季度GDP增长分别为6.1%、7.9%、8.9%M2：广义货币供应量(M2)同比增长29.31%PMI：9月PMI指数升至54.3%制造业稳步回升CPI：8月CPI同比下降1.2%PPI下降7.9%FDI：9月份FDI同比增长18.9%连续两月回升贷款：9月份新增人民币贷款5167亿元出口：前三季进出口总值降20.9%贸易顺差减少26%工业：9月全国用电量同比增长10.24%外汇：外汇储备余额2.2726万亿美元9月新增618亿房价：9月全国70个大中城市房屋销售价格同比涨2.8%投资：9月城镇固定资产投资增速预计达33.7%前9月商业银行不良贷款继续双降三季度经济分析——统计局:实现全年8%目标没有悬念第三季度GDP增8.9%

前三季度GDP增7.7%

前三季度CPI同比下降1.1%

PPI同比下降6.5%前三季度全国财政收入破5万亿中国经济劲吹复苏暖风金融数据反映经济向好央行副行长马德伦国务院常务会议首提管理通胀预期央行：流动性压力加大通胀预期强化热钱流入——热钱卷土重来三季度不明资金超500亿美元央行数据：国家外汇储备增加值（亿美元）77618148832660500100015003000250020003500第一季度9月第三季度前三季度日信证券研究员测算“疑似热钱”时间金额3月1494月3625月6106月2507月2718月1309月4182009年以来合计2000亿美元之多创业板——创业板首批28家公司23日举行开板仪式30日集中挂牌开市简称发行价(元)市盈率(倍)发行股数(万股)简称发行价(元)市盈率(倍)发行股数(万股)特锐德23.852.763360爱尔眼科2860.873350神州泰岳5868.83160北陆药业17.8647.891700乐普医疗2959.564100网宿科技2463.162300南风股份22.8946.242400中元华电32.1852.621635探路者19.853.11700硅宝科技2347.961300莱美药业16.547.832300银江股份2052.632000汉威电子2760.541500大禹节水1453.851800上海佳豪27.840.121260吉峰农机17.7557.262240安科生物1746.832100宝德股份19.681.671500立思辰1851.492650机器人39.862.91550鼎汉技术3782.221300华星创业19.6645.181000华测检测25.7859.952100红日药业6049.181259新宁物流15.645.481500华谊兄弟28.5869.714200亿纬锂能1854.562200金亚科技11.345.23700伯南克：亚洲地区二季度经济表现令人印象深刻呼吁解决全球失衡问题美国必须提高储蓄率，削减财政赤字美 国：出台新政扶持金融机构提供房贷德 国：出口行业出现拐点加拿大：央行维持基准利率于0.25％不变Economic

Forces

That

AffectInterest

Rates

(cont’d)8Fisher

effectNominal

interest

payments

compensatesavers

for:Reduced

purchasing

powerA

premium

for

forgoing

present

consumptionThe

relationship

between

interest

rates

andexpected

inflation

is

often

referred

to

as

theFisher

effectEconomic

Forces

That

AffectInterest

Rates

(cont’d)9Fisher

effect

(cont’d)Fisher

effect

equation:i

=

E(INF

)

+

iRThe

difference

between

the

nominal

interest

rateand

the

expected

inflation

rate

is

the

realinterest

rate:iR

=

i

-

E(INF

)Economic

Forces

That

AffectInterest

Rates

(cont’d)10Money

supplyIf

the

Fed

increases

the

money

supply,

thesupply

of

loanable

funds

increasesIf

inflationary

expectations

are

affected,

thedemand

for

loanable

funds

may

also

increaseIf

the

Fed

reduces

the

money

supply,

thesupply

of

loanable

funds

decreasesDuring

2001,

the

Fed

increased

the

growth

ofthe

money

supply

several

timesEconomic

Forces

That

AffectInterest

Rates

(cont’d)11Money

supply

(cont’d)September

11Firms

cut

back

on

expansion

plansHouseholds

cut

back

on

borrowing

plansThe

demand

of

loanable

funds

declinedThe

weak

economy

in

2001–2002Reduced

demand

for

loanable

fundsThe

Fed

increased

the

money

supply

growthInterest

rates

reached

very

low

levelsEconomic

Forces

That

AffectInterest

Rates

(cont’d)12Budget

deficitA

high

deficit

means

a

high

demand

for

loanablefunds

by

thegovernmentShifts

the

demand

schedule

outward

(to

the

right)Interest

rates

increaseThe

government

may

be

willing

to

pay

whatever

is

necessarytoborrow

funds,

but

the

private

sector

may

notCrowding-out

effectThe

supply

schedule

may

shift

outward

if

thegovernmentcreates

more

jobs

by

spending

more

funds

than

it

collects

fromthe

publicEconomic

Forces

That

AffectInterest

Rates

(cont’d)13Explaining

the

variation

in

interest

rates

over

timeLate

1970s:

high

interest

rates

as

a

result

of

strongeconomy

and

inflationary

expectationsEarly

1980s:

recession

led

to

a

decline

in

interestratesLate

1980s:

interest

rates

increased

in

response

to

astrong

economyEarly

1990s:

interest

rates

declined

as

a

result

of

aweak

economy1994:

interest

rates

increased

as

economic

growthincreasedForecasting

Interest

Rates14It

is

difficult

to

predict

the

precise

changein

the

interest

rate

due

to

a

particulareventBeing

able

to

assess

the

direction

of

supply

ordemand

schedule

shifts

can

help

inunderstanding

why

rates

changedForecasting

Interest

Rates

(cont’d)15To

forecast

future

interest

rates,

the

netdemand

for

funds

(ND)

should

be

forecast:ND

=

DA

-

SA=

[Dh

+

Db

+

Dg

+

Dm

+

Df

]-

[Sh

+

Sb

+

Sg

+

Sm

+

Sf

]Forecasting

Interest

Rates

(cont’d)16A

positive

disequilibrium

in

ND

will

becorrected

by

an

increase

in

interest

ratesA

negative

disequilibrium

in

ND

will

becorrected

by

a

decrease

in

interest

ratesChapter317Structure

of

Interest

RatesFinancial

Markets

and

Institutions,

7e,

Jeff

MaduraCopyright

©2006

by

South-Western,

a

division

of

Thomson

Learning.

All

rights

reserved.Chapter

Outline18Characteristics

of

debt

securities

thatcause

their

yields

tovaryExplaining

actual

yield

differentialsEstimating

the

appropriate

yieldA

closer

look

at

the

term

structureInternational

structure

of

interest

ratesCharacteristics

of

Debt

Securities19Credit

(default)

riskSecurities

with

a

higher

degree

of

risk

have

to

offerhigher

yields

to

be

chosenCredit

risk

is

especially

relevant

for

longer-termsecuritiesInvestors

must

consider

the

creditworthiness

of

thesecurity

issuerCan

use

bond

ratings

of

rating

agenciesThe

higher

the

rating,

the

lower

the

perceived

credit

riskRatings

can

change

over

time

as

economic

conditionschangeRatings

for

different

bond

issues

by

the

same

issuer

can

varyCharacteristics

of

Debt

Securities(cont’d)20Credit

(default)

risk

(cont’d)Rating

agenciesMoody’s

Investor

Service

and

Standard

and

Poor’sCorporation

are

the

most

popularAgenciesusedifferent

methods

to

assess

thecreditworthiness

of

firms

and

state

governments

A

particular

bond

issue

could

have

different

ratings

from

eachagency,

but

differences

are

usually

smallFinancial

institutions

may

be

required

to

invest

only

ininvestment-grade

bonds

rated

Baa

or

better

by

Moody’sand

BBB

or

better

by

Standard

andPoor’sCharacteristics

of

Debt

Securities(cont’d)Ratings

Assigned

by:Description

of

SecurityMoody’sStandard

and

Poor’sHighest

qualityAaaAAAHighqualityAaAAHigh-medium

qualityAAMedium

qualityBaaBBBMedium-low

qualityBaBBLow

quality

(speculative)BBPoorqualityCaaCCCVery

poor

qualityCaCCLowest

quality

(in

default)CDDD,

D21Characteristics

of

Debt

Securities(cont’d)22Credit

(default)

risk

(cont’d)Accuracy

of

credit

ratingsIn

general,

credit

ratings

have

served

asreasonable

indicators

of

the

likelihood

of

defaultCredit

rating

agencies

do

not

always

detectfinancial

problems

of

firmsCharacteristics

of

Debt

Securities(cont’d)23LiquidityLiquid

securities

can

be

easily

converted

tocash

without

a

loss

in

valueShort-maturity

securities

with

an

active

secondarymarket

are

liquidSecurities

with

lower

liquidity

have

to

offer

ahigher

yield

to

be

preferredCharacteristics

of

Debt

Securities(cont’d)24Tax

statusInvestors

are

more

concerned

with

after-tax

ethan

before-tax

eTaxable

securities

have

to

offer

a

higherbefore-tax

yield

to

be

preferredThe

after-tax

yield

is

equal

to:Yat=

Ybt

(1-T

)Characteristics

of

Debt

Securities(cont’d)Tax

statusComputing

the

equivalent

before-tax

yieldThebefore-tax

yieldnecessary

to

match

theafter-tax

yieldon

a

tax-exempt

security

is:State

taxes

should

be

considered

along

with

federal

taxesYat25(1-T

)Ybt

=Computing

the

EquivalentBefore-Tax

YieldAssume

a

firm

in

the

30

percent

tax

bracket

isaware

of

a

tax-exempt

security

that

pays

ayield

of

9

percent.

To

match

this

after-tax

yield,taxable

securities

(with

similar

maturity

andrisk)

must

offer

a

before-tax

yield

of:9%26=

12.86%(1-

.3)=(1-T

)Y

=YatbtExplaining

Actual

Yield

Differentials27Yield

differentials

are

often

measured

in

basispoints100

basis

points

equal

1

percentYield

differentials

of

money

market

securitiesCommercial

paper

rates

are

higher

than

T-bill

ratesEurodollar

deposit

rates

are

higher

than

yields

onother

money

market

securitiesMarket

forces

cause

the

yields

of

all

securities

tomove

in

the

same

directionExplaining

Actual

Yield

Differentials(cont’d)28Yield

differentials

of

capital

market

securitiesMunicipal

bonds

have

the

lowest

before-tax

yieldAfter-tax

yield

is

higher

than

that

of

TreasurybondsTreasury

bonds

have

the

lowest

yieldNo

defaultriskVery

liquidInvestors

prefer

municipal

or

corporate

bonds

overTreasury

bonds

only

if

the

after-tax

yieldcompensates

for

default

risk

and

lower

liquidityEstimating

the

Appropriate

Yield29The

yield

on

a

debt

security

is

based

on

therisk-free

rate

with

adjustments

to

capturevarious

characteristics:Yn

=

Rf

,n

+

DP

+

LP

+TA

+

CALLP

+

CONDMaturity

is

controlled

for

by

matching

thematurity

of

the

risk-free

security

to

that

of

thesecurity

of

concernComputing

the

Appropriate

Yield30A

company

wants

to

issue

180-day

commercial

paper.

Six-month

T-bills

currently

have

a

yield

of

7

percent.Assume

that

a

default

risk

premium

of

0.8

percent,

aliquidity

premium

of

0.1

percent,

and

a

0.2

percent

taxadjustment

are

necessary

to

sell

the

commercial

paperto

investors.

What

is

the

appropriate

yield

the

companyshould

offer

on

its

commercial

paper?Yn

=

Rf

,n

+

DP

+

LP

+TA

+

CALLP

+

COND=

7%

+.8%

+.1%

+.2%=

8.1%31A

Closer

Look

at

the

TermStructurePure

expectations

theoryPure

expectations

theory

suggests

that

theshape

of

the

yield

curve

is

determinedsolely

by

expectations

of

future

interestratesAssuming

an

initially

flat

yield

curve:The

yield

curvewill e

upward

slopingifinterest

rates

are

expected

to

riseThe

yield

curvewill e

downward

sloping

ifinterest

rates

are

expected

to

declineSudden

Expectation

of

HigherInterest

RatesD1i1D2i2S1

S2D2i2D132i1S2

S1Market

for

short-term

risk-free

debt Market

for

long-term

risk-free

debtSudden

Expectation

of

HigherInterest

Rates

(cont’d)Yield

Curve33YC2YC1Sudden

Expectation

ofLowerInterest

RatesD1i1D2i2S1

S2D2i2D134i1S2

S1Market

for

long-term

risk-free

debt Market

for

short-term

risk-free

debtSudden

Expectation

ofLowerInterest

Rates

(cont’d)Yield

Curve35YC1YC2A

Closer

Look

at

the

TermStructure

(cont’d)Pure

expectations

theory

(cont’d)Algebraic

presentationThe

relationship

between

interest

rates

on

two-yearandone-year

securitiesis:The

one-year

interest

rate

in

one

year

(theforward

rate)can

then

beestimated:+(1+t

i2

)2

=

(1+t

i1)(1+t

1r1)(1+

i

)36r

=

-1t

1(1+t

i2

)2t

+1

1Computing

the

Forward

RateAssume

that

the

annualized

two-year

interest

rate

today

is8

percent.

Furthermore,

one-year

securities

currentlyoffer

an

interest

rate

of

5

percent.

What

is

an

estimateof

the

forward

rate?1.05371.082=

11.09%-1=(1+

i

)r

=

-1t

1(1+t

i2

)2t

+1

1A

Closer

Look

at

the

TermStructure

(cont’d)Pure

expectations

theory

(cont’d)Algebraic

presentation

(cont’d)The

one-year

interest

rate

in

two

years

(the

forwardrate)

can

also

beestimated:-1(1+

i

)(1+

r

)38t

+1

1t

1(1+t

i3

)3t

+2

r1

=Computing

the

One-Year

InterestRate

Two

Years

from

NowContinuing

with

the

previous

example,

assume

that

three-year

securities

currently

offer

an

interest

rate

of

10percent.

What

is

an

estimate

of

the

one-year

interestrate

that

will

prevail

two

years

from

now?(1.05)(1.1109)391.103=

14.11%-1=-1(1+

i

)(1+

r

)r

=t

1

t

+1

1(1+t

i3

)3t

+2

1A

Closer

Look

at

the

TermStructure

(cont’d)Pure

expectations

theory

(cont’d)Algebraic

presentation

(cont’d)Future

annualized

interest

rates

for

periods

other

thanone

year

can

also

be

computed

using

the

yieldcurveA

one-year

investment

followedby

a

two-yearinvestment

should

offer

the

same

yield

as

a

three-yearsecurity:()240t

1(1+t

i3

)3=(1+

i

)1+t

+1r2Computing

the

Two-Year

InterestRate

One

Year

from

NowContinuing

with

the

previous

example,

what

is

anestimate

of

the

two-year

interest

rate

that

will

prevailin

one

year?((1.10)341)2=

12.59%1.27

-1=

1.27=(1.05)t

+1r2

=1+t

+1r2A

Closer

Look

at

the

TermStructure

(cont’d)42Pure

expectations

theory

(cont’d)The

theory

assumes

that

forward

rates

areunbiased

estimators

of

future

interest

ratesIf

forward

rates

are

biased,

investors

shouldattempt

to

capitalize

on

the

discrepancy如一年期和两年期的国债利率分别为2.25%和2.40%：——两年期的国债1

000000元，到期的本利和是1

000

000×（1+0.024）2

=1

048600元——持有两年期国债的第一年，应与持有一年期国债无差别；从道理分析，如按一年期国债利率计息；在一年期末，其本利和应是1

000

000×（1+0.0225）＝1

022

500元——如果买的就是一年期国债，这时就可自由处理其本利和。假如无其他适当选择，把本利和再买进一年期国债，到第二年末得本利和1

022

500×（1+0.0225）＝1

045

506.25元1

045

506.25，较之1

048

600，少3

093.75元。——买两年期国债，其所以可多得3093.75元，那就是因为放弃了在第二年期间对第一年本利和1022500元的自由处置权。这就意味着，较大的效益是产生于第二年。如果说，第一年应取

2.25%的利率，那么第二年的利率则是（1

048

600÷1

022

500－1）×100=

2.55%这个2.55%就是第二年的远期利率。即期利率与远期利率-1)n-1n-1n(1+r(1+r)nf

=远期利率使债权债务期限延长的价值具有了定量的说明。如以fn

代表第n年的远期利率，r代表即期利率，其一般计算式是：A

Closer

Look

at

the

TermStructure

(cont’d)45Liquidity

premium

theoryAccording

to

the

liquidity

premium

theory,

theyield

curve

changes

as

the

liquidity

premiumchanges

over

time

due

to

investor

preferencesInvestors

who

prefer

short-term

securities

willholdlong-term

securities

only

if

compensated

with

apremiumShort-term

securities

are

typically

more

liquidthanlong-term

securitiesThe

preference

for

short-term

securities

placesupward

pressure

on

the

slope

of

the

yield

curveA

Closer

Look

at

the

TermStructure

(cont’d)46Liquidity

premium

theory

(cont’d)Estimation

of

the

forward

rate

based

on

a

liquiditypremiumThe

yield

on

a

security

willnot

necessarily

be

equal

tothe

yield

from

consecutive

investments

in

shorter-termsecurities:(1+t

i2

)2

=

(1+t

i1)(1+t

1r1)

+

LP2+The

relationship

between

the

liquidity

premium

andtheterm

to

maturity

is:0

<

LP1

<

LP2

<

LP3

<

...

<

LP20A

Closer

Look

at

the

TermStructure

(cont’d)Liquidity

premium

theory

(cont’d)Estimation

of

the

forward

rate

based

on

a

liquiditypremium(cont’d)The

one-year

forward

rate

can

be

derived

as:A

positive

liquidity

premium

means

that

the

forward

rateoverestimates

the

market’s

expectations

of

the

future

interestrateA

flat

yield

curve

means

the

market

is

expecting

a

slightdecrease

in

interest

ratesA

slight

upward

slope

means

no

expected

change

in

interestrates2

t

147t

1LP

/(1+

i

)-1-

[

](1+

i

)(1+t

i2

)2r

=t

+1

1Computing

the

Forward

RateWith

A

Liquidity

PremiumAssume

that

one-year

interest

rates

are

currently

10percent.

Further

assume

that

two

year

interest

ratesare

equal

to

8

percent.

The

liquidity

premium

on

a

two-year

security

is

0.7

percent.

What

is

an

estimate

of

theone-year

forward

rate?[

]481.101.0822=

5.4%-1-

.007

/

1.10=-1-

[

]LP

/(1+

i

)(1+

i

)r

=t

1t

1(1+t

i2

)2t

+1

1A

Closer

Look

at

the

TermStructure

(cont’d)49Segmented

market

theoryAccording

to

segmented

markets

theory,investors

and

borrowers

choose

securities

withmaturities

that

satisfy

their

forecasted

cash

needsPension

funds

and

life

insurance

companies

prefer

long-term

investmentsCommercial

banks

prefer

short-term

investmentsShifting

by

investors

or

borrowers

betweenmaturity

markets

only

occurs

if

the

timing

of

theircash

needs

changeImpact

of

Different

Scenarios

–Segmented

MarketsTheoryInvestors

Have

MostlyShort-Term

FundsAvailable;

BorrowersWant

Long-Term

FundsInvestors

Have

MostlyLong-Term

FundsAvailable;

BorrowersWant

Short-Term

FundsSupply

of

short-term

fundsprovided

by

investorsUpward

pressureDownward

pressureDemand

for

short-term

funds

byborrowersDownward

pressureUpward

pressureYield

on

new

short-termsecuritiesDownward

pressureUpward

pressureSupply

of

long-term

fundsprovided

by

investorsDownward

pressureUpward

pressureDemand

for

long-term

fundsissued

by

borrowersUpward

pressureDownward

pressureYield

on

long-term

securitiesUpward

pressureDownward

pressureShape

of

yield

curveUpward

slopeDownward

slope50A

Closer

Look

at

the

TermStructure

(cont’d)51Segmented

market

theory

(cont’d)Limitations

of

the

theorySome

borrowers

and

savers

have

the

flexibility

tochooseamong

various

maturity

marketse.g.,

Corporations

may

initially

obtain

short

term

funds

ifthey

expect

long-term

interest

rates

to

declineIf

markets

were

segmented,

an

adjustment

in

the

interestrate

in

one

market

would

have

no

impact

on

other

markets,but

evidence

shows

this

is

not

trueA

Closer

Look

at

the

TermStructure

(cont’d)52Segmented

market

theory

(cont’d)ImplicationsThe

preference

for

particular

maturities

can

affect

theprices

and

yields

of

securities

with

different

maturitiesand

therefore

the

shapeof

the

yieldcurveThe

preferred

habitat

theory

is

a

more

flexibleperspective

Investors

and

borrowers

may

wander

from

their

marketsgiven

certain

eventsA

Closer

Look

at

the

TermStructure

(cont’d)53Research

on

term

structure

theoriesInterest

rate

expectations

have

a

strong

influence

on

theterm

structureThe

forward

rate

from

theyield

curve

does

not

accuratelypredict

future

interest

ratesVariationin

the

yield-m