ch2thelevelandstructureofinterestrates金融市场学课件

FINANCIALMARKETSTheLevelandStructureofInterestRatesChapterOutlineTheTheoryofInterestRates1TheDeterminantsofTheStructureofInterestRates2TheTheoryofInterestRatesiasanchor:short-term,riskfree,realrateFisher’sClassicalApproachLoanableFundsTheoryTheLiquidityPreferenceTheoryFisher’sClassicalApproachAssumption:simplifiedeconomyWhysave?Whyborrow?DecisionsonSavingMarginalrateoftimepreferenceIncomeRewardforsaving(interestrate)Savings/investmentInterestrateSDecisionsonBorrowingGainfrominvestmentMarginalproductivityofcapitalRateofinterestSavings/InvestmentInterestrateDEquilibriuminthemarketSavings/InvestmentInterestrateDSiSIFisher’sClassicalApproachConclusion:long-runlevelofinterestrateandtheamountofinvestmentdependonTechnologicaldevelopmentPropensitytosaveSavings/InvestmentInterestrateDSD”iSIi’SI’Savings/InvestmentInterestrateDSiSIi’SI’S’Fisher’sLawRealrate:powertoconsumeNominalrate:numberofmonetaryunitsFisher’slaw:inflation&interestratesi=r+p

Powerofgovernment,banksLevelofinterestrateisdeterminedbyTotaldemandHouseholdFirmsGovernmentTotalsupplyHouseholdFirmsGovernmentTheLoanableFundsTheoryQuantityofloanablefundsInterestrateDSAssumption:wealthintwoformsMoneyBondsBs+Ms=Bd+MdBs-Bd=Md-MsDemandforMoneyBalancesTransactionsdemandPrecautionarydemandSpeculativedemandSupplyofMoneyTheLiquidityPreferenceTheoryEquilibriuminKeynes’sMarketforMoneyTheLiquidityPreferenceTheoryShiftsintherateofinterestDemand(levelofincome,levelofprices)Supply(actionsofcentralbank)moneyInterestrateMSDiD’i’moneyInterestrateMSDii’MS’ChangesintheMoneySupply

andInterestRatesLiquidityEffectIfincreasing,causestheinterestratetofallIncomeEffectIfincreasing,causestheinterestratetorisePriceExpectationsEffectIfincreasing,causestheinterestratetoriseNetEffectTheDeterminationofTheStructureofInterestRatesFeaturesofabondYieldonabondThebaseinterestrateTheriskpremiumFeaturesofaBondTermtomaturityPrincipalvalue/parvalue/maturityvalueCouponrateUnitedStates,JapanEuropeYieldonaBondYieldtomaturityCouponinterestAnycapitalgainorlossExample:afour-yearbondwithacouponrateof5%andaparvalueof$1,000issellingfor$900.64Yield:$50everyyear+capitalgain($99.36)YieldonaBondTrial-anderrorprocessStep1:selectaninterestrateStep2:computethepresentvalueofeachcashflowusingtheinterestrateselectedinStep1Step3:totalthepresentvalueofthecashflowsfoundinStep2Step4:comparethetotalpresentvaluefoundinStep3withthemarketpriceofthebondand,ifthetotalpresentvalueofthecashflowsfoundinStep3isEqualtothemarketpriceGreaterthanthemarketprice,tryahigherinterestrateLessthanthemarketprice,tryaloweroneYieldtoMaturityofanAnnualPayFour-yearBond

withaCouponRateof5%andaMarketPriceof$900.64Relationshipamongthecouponrate,marketprice,andyieldtomaturityIfthemarketprice=parvalueYieldtomaturity=couponrateIfthemarketprice>parvalueYieldtomaturity<couponrateIfthemarketprice<parvalueYieldtomaturity>couponrateSemiannualPaymentSecurities18-year,couponrateof6%,parvalueof$1,000,paysinterestsemiannually,issellingfor$700.89C=30,n=36Trail-and-error:4.75%Annualizethesemiannualyield:9.5%InterestRateTriedTotalPresentValue3.25%$947.403.50898.543.75853.144.00810.924.25771.614.50735.014.75700.89TheBaseInterestRateBenchmarkTreasurysecurities,TreasuriesDiscountsecuritiesCouponsecuritiesBaseinterestrate=realinterestrate+expectedrateofinflationOn-the-runTreasuryissuesOff-the-runTreasuryissuesExample:May20,2008,theyieldfortreasuriesTwo-yearTreasury2.34%Five-yearTreasury3.02%10-yearTreasury3.78%30-yearTreasury4.53%TheRiskPremiumTradingataspread(inbasispoints)Baseinterestrate+SpreadBaseinterestrate+RiskpremiumBaseinterestrate=Realrateofinterest+expectedrateofinflationSpreadTypeofissuerPerceivedcreditworthinessofissuerTermtomaturityInclusionofoptionsTaxabilityofinterestExpectedliquidityofanissueTypesofissuerGovernmentMarketSectorTreasuryMunicipalCorporateMarketSectorUtilitiesIndustrialsFinanceBanksIntermarketandIntramarketSectorspreadDefaultorCreditRiskRatingCompaniesMoody’s,S&P,FitchCreditRatingsInvestmentgradeNon-investmentgradeCreditSpread5.14%forAAAratedbondswith10-yearmaturity,creditspread:136basispoints5.95%forAAratedbondswith10-yearmaturity,creditspread:217basispointsThelowerthecreditrating,thelargertheyieldspreadBenchmarkinterestrateGSECorporatebondwithAAAInterestratesPerceivedcreditworthinessofissuerExplanationMoody’sS&PBestQuality:smallestdegreeofriskAaaAAAHighquality:slightlymorelong-termriskthantopratingAa1AA+Aa2AAAa3AA-Uppermediumgrade:possibleimpairmentinthefutureA1A+A2AA3A-Mediumgrade:lackoutstandinginvestmentcharacteristicsBaa1BBB+Baa2BBBBaa3BBB-Speculativeissues:protectionmaybeverymoderateBa1BB+Ba2BBBa3BB-Veryspeculative:mayhavesmallassuranceofinterestandprincipalpaymentsB1B+B2BB3B-Issuesinpoorstanding:maybeindefaultCaaCCCSpeculativeinahighdegree:withmarkedshortcomingsCaCCLowestquality:poorprospectsofattainingrealinvestmentstandingCCDTermtoMaturityMaturityspread/yieldcurvespreadTwo-year/five-yearmaturityspread3.02%-2.34%=68basispointsTwo-year/10-yearmaturityspread3.78%-2.34%=144basispointsMaturityspreadinthecorporatebondmarket:samecreditqualityTermstructureofinterestrate:therelationshipbetweentheyieldsoncomparablesecuritiesbutdifferentmaturitiesInclusionofOptionsCalloptionPutoptionConvertiblebondIftheoptionisfavorabletotheissuer,thespreadislargerthantheissuewithoutsuchanoptionIftheoptionisfavorabletotheinvestor,thespreadissmallerthantheissuewithoutsuchanoptionTaxabilityofInterestAfter-taxyield=pretaxyield×(1-Marginaltaxrate)Forexample:taxablebond–yieldof4%,marginaltaxrateof35%After-taxyield=0.04×(1-0.35)=2.6%Equivalenttaxableyield=tax-exemptyield/(1-marginaltaxrate)Thelowerthemarginaltaxrate,thelowertheequivalenttaxableyieldExpectedLiquidityofanIssueThegreatertheliquidity,thelowertheyieldFactoraffectstheliquidity:sizeoftheissueWhatdoyouchoose?Bankdeposits(demand):3.5%Treasurysecurity:3.85%Corporateband:5%嘉实恒生中国企业指数基金,恒生中国企业指数收盘价:6725.58,20100831收盘价:11403,涨幅69.55%UnitedStates:JeremySiegel1802-2006,returnforstocks:6.8%,returnforbonds:2.8%QuestionsConsiderthreebonds,allwithaparvalueof$1,000WhatistheyieldtomaturityofbondC?IstheyieldtomaturityofbondAgreaterthanorlessthan8%?IstheyieldtomaturityofbondBgreaterthanorlessthan9%?BondCouponRateMarketPriceA8%$1,100B7900C91,000Considerthefollowingbond:19yearstomaturity,11%couponrate,paysinterestsemiannually,$1,000parvalue.Supposethatthemarketpriceofthisbondis$1,233.64.Giventheinformationbelow,determinetheyieldtomaturityforthisbondonabond-equivalentyieldbasis.QuestionsInterestRateTriedTotalPresentValueofCashFlow3.00%$1,562.323.251,486.963.501,416.823.751,351.464.001,290.524.251,233.64Showthecashflowsforthetwobondsbelow,eachofw