1.09.第9章 货币市场

第9章货币市场第一节货币市场的定义第二节货币市场的目的第三节货币市场的参与者第四节货币市场工具第五节货币市场证券的比较1ChapterPreviewWereviewthemoneymarketsandthesecuritiesthataretradedthere.Inaddition,wediscusswhythemoneymarketsareimportantinourfinancialsystem.Topicsinclude:TheMoneyMarketsDefined(定义)ThePurpose(目的)ofMoneyMarketsWhoParticipates(参与者)inMoneyMarkets?MoneyMarketInstruments(工具)

Comparing(比较)MoneyMarketSecurities2第一节货币市场的定义货币市场交易的是期限在1年期以内金融工具

RegulationsTheterm“moneymarket”isamisnomer(用词不当).Money(currency)isnotactuallytradedinthemoneymarkets.Thesecuritiesinthemoneymarketareshorttermwithhighliquidity,thereforetheyareclosetobeingmoney.3货币市场证券的特点期限短

Theymatureinoneyearorlessfromtheirissuedate风险低

Theyhavelowdefaultrisk流动性高

Moneymarketsecuritiesareusuallysoldinlargedenominations($1,000,000ormore)4WhyDoWeNeedMoneyMarkets?Intheory,thebankingindustryshouldhandletheneedsforshort-termloansandacceptshort-termdeposits.Banksalsohaveaninformationadvantageonthecredit-worthinessofparticipants.银行业可以缓解信息不对称问题；而且具有规模效应。5WhyDoWeNeedMoneyMarkets?Banksdomediatebetweensaversandborrowers;however,theyareheavilyregulated.（管制成本）

信息不对称问题并不严重.Thiscreatesadistinctcostadvantageformoneymarketsoverbanks.6CostAdvantages银行准备金

Reserverequirementscreateadditionalexpenseforbanksthatmoneymarketsdonothave;利率管制

Regulationsonthelevelofinterestforpurposetoreducethecompetitionamongbanks(lessenofGreatDepressionin1930s);7CostAdvantagesEventoday,thecoststructureofbankslimitstheircompetitivenesstosituationswheretheirinformationaladvantagesoutweighs(超过)theirregulatorycosts.8第二节货币市场的目的储存盈余资金

InvestorsinmoneymarketfindthattheMMProvidesaplaceforwarehousing(储存)surplusfundsforshortperiodsoftime;短期资金来源

Borrowersfrommoneymarketfindthatthemoneymarketprovidesalow-costsourceoftemporaryfunds.9第二节货币市场的目的货币市场降低了闲置资金的机会成本。投资于货币市场的资金不会获得非常高的收益。但是，货币市场提供的回报率比持有现金或将资金存在银行高。10第二节货币市场的目的CorporationsandU.S.governmentusethesemarketsbecausethetimingofcashinflowsandoutflowsarenotwellsynchronized(同步).Moneymarketsprovideawaytosolvethesecash-timingproblems.11第三节货币市场的参与者12第三节货币市场的参与者13第三节货币市场的参与者14第四节货币市场工具短期国债TreasuryBills联邦基金FederalFunds回购协议RepurchaseAgreements可转让存单NegotiableCertificatesofDeposit商业票据CommercialPaper银行承兑汇票Banker’sAcceptance欧洲美元Eurodollars15TreasuryBills(国库券/短期债券)T-billshave91-day,182-dayor12monthmaturities.Discounting:Whenaninvestorpayslessforthesecuritythanitwillbeworthwhenitmatures,andtheincreaseinpriceprovidesareturn.Thisiscommontoshort-termsecuritiesbecausetheyoftenmaturebeforetheissuercanmailoutinterestchecks.16TreasuryBillsDiscountingExampleYoupay$9850fora91-dayT-bill.Itisworth$10,000atmaturity.Whatisitsannualizedyield?（1）17Risk短期国债的违约风险非常小。市场富有深度（deepmarket）市场富有流动性（liquidmarket）18短期国债拍卖TreasuryBillAuctionsT-billsareauctioned(拍卖)tothedealerseveryThursday;Inauction,theTreasurymayacceptbothcompetitive(竞价招标noteveryonepaysthesameprice)andnoncompetitivebids非竞价招标,thelaterpaysattheweighted-averagepriceofthecompetitivebids.19竞价招标和非竞价招标Competitive（竞价）biddersmightpayatdifferentpricesifaccepted;Noncompetitive（非竞价）bidderswillpaytheweightedaverageprice.20短期国债拍卖结果(2004.11.02)21短期国债的利率TreasuryBillRates22联邦基金FedFundsFedfundshavenothingtodowithFed;法定准备金要求TheFederalReserverequiresthatallbanksmustmaintainacertainpercentageoftheirtotaldepositswiththeFederalReserve.23联邦基金的目的Fedfundsmarketbeganinthe1920s;usedbybankstomeetshort-termneedstomeetreserverequirements.银行更倾向在其他银行借入资金而非联储toavoidalerttheFedtoanyliquidityproblems,tolendfedfundstoearninterest(nointeresttokeepmoneyinexcessofrequirement)24联邦基金的期限Short-termfundstransferred(loanedorborrowed)betweenfinancialinstitutions,usuallyforaperiodofoneday.SHIBOR由16个品种组成，通常情况隔夜拆借（一天）交易最为广泛。25联邦基金的利率ThenextslideshowsactualfedfundsratesandT-billrates1990through2004.Noticethatthetworatestrackfairlyclosely.WhatdoesthissuggestaboutthemarketforT-billsandthemarketforfedfunds?ItrevealsthatT-billsandthefedfundsaresomewhatsubstitutable.26FedfundsratesandT-billrates27回购协议RepurchaseAgreementsTheseworksimilartothemarketforFedfunds.AfirmsellsTreasurysecurities,butagreestobuythembackatacertaindate(usually3–14dayslater)foracertainprice.28回购协议的用途Thisset-upmakesarepoagreementsessentiallyashort-termcollateralizedloan(抵押贷款).ThisisonemarkettheFedmayusetoconductitsmonetarypolicy,wherebytheFedpurchases/sellsTreasurysecuritiesintherepomarket.29可转让存单CDsNegotiate:议付、转让Abank-issuedsecuritythatdocumentsadepositandspecifiestheinterestrateandthematuritydate(1-4个月)Denominationsrangefrom$100,000to$1million30可转让存单的利率ThenextslideshowsactualCDratesandT-billrates1990through2004.Again,noticethatthetworatestrackfairlyclosely.WhatdoesthissuggestaboutthemarketforT-billsandthemarketforCDs?3132商业票据CommercialPaperUnsecuredpromissorynotes,issuedbycorporations,thatmatureinnomorethan

270days.Theuseofcommercialpaperincreasedsignificantlyintheearly1980sbecauseoftherisingcostofbankloans.33商业票据的利率Thenextslideshowsactualcommercialpaperratesandtheprimerates1990through2004.Althoughthetwotrackcloselyintermsofmovements,noticethatdifferencebetweenthetworemainsroughly200basispoints.3435商业票据市场非银行公司广泛使用商业票据为其提供给客户的贷款筹集资金，如通用汽车金融服务公司。它不存在有力的二级市场。60%是由发行者直接出售给购买者。以直接募股（directplacement）的方式出售证券可以节省交易商的佣金。36银行承兑汇票Banker’sAcceptances银行承兑汇票是一种在某一确定日期向持票人支付指定金额的支付命令。Theseareoftenusedwhenbuyers/sellersofexpensivegoodsliveindifferentcountries.37Stepsforusingbanker’sacceptanceStepsforusingbanker’sacceptanceisasshownonp160.38Banker’sAcceptances:AdvantagesExporterispaidimmediatelyExportercanbeshieldedfromforeign

exchangeriskbyfutureFXagreements.Exporterdoesnothavetoassessthefinancialsecurityoftheimporter,importer’sbankguaranteespaymentCrucialtointernationaltrade39银行承兑汇票的二级市场Thetermsofnoteindicatethatthebearer,whoeverthatis,willbepaiduponmaturity.Thereisalsoanactive

secondarymarketforbanker’sacceptancesuntiltheymature.40欧洲美元EurodollarsEurodollarsrepresentDollardenominateddepositsheldinforeignbanks.ThemarketisessentialsincemanyforeigncontractscallforpaymentisU.S.dollarsduetothestabilityofthedollar,relativetoothercurrencies.41TheEurodollarmarkethascontinuedtogrowrapidlybecausedepositorsreceiveahigherrateofreturnonadollardepositintheEurodollarmarketthaninthedomesticmarket.MultinationalbanksarenotsubjecttothesameregulationsrestrictingU.S.banksandtheyarewillingtoacceptnarrowerspreadsbetweentheinterestpaidondepositsandtheinterestearnedonloans.42伦敦同业银行市场Londoninter-bankbidrate(LIBID)TheratepaidbybanksbuyingfundsLondoninter-bankofferrate(LIBOR)Therateofferedforsaleofthefunds43其他欧洲货币欧洲货币(Eurocurrency)泛指存放在货币发行国境外既包括欧洲也包括其他国家银行中的各国货币。到目前为止，欧洲美元市场是世界上最大的短期证券市场。然而，该市场并不仅仅限于美元，比如Euroyen(欧洲日元)etc.44第五节货币市场证券的比较Thenextslideshowsacomparisonofvariousmoneymarketratesfrom199