金融市场与金融机构第五章ppt课件

1、Slide 5-1UNDERSTANDING INTEREST RATES Chapter 3 BEHAVIOR OF INTEREST RATES Chapter 4 THE RISK AND TERM STRUCTURE OF INTEREST RATES Chapter 5 THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter 6 Slide 5-2Slide 5-3Slide 5-4risk structure of interest rates 利率利率的风险构造的风险构造: The relationship among the variou

2、s interest rates on bonds with the same term to maturity. Risk Structure of Interest RateSlide 5-5Long-term Bond Yields,1919-1998Slide 5-6This is the possibility that the borrower will not make promised payments - either on time or in full. A bond with default risk will always have a positive risk p

3、remium, and an increase in its default risk will raise the risk premium.Slide 5-7Bonds like U.S. Treasury bonds with no default risk are called default-free bonds无违约风险债券.Slide 5-8Increase in Default Risk on Corporate BondsSlide 5-9Default Risk :Analysts assessmentsExample: Low Quality, speculative,I

4、nvestment-Quality and/or “Junk High Medium LowVery Low GradeS & Ps AAA AA A BBB BB B CCC CC C DMoodys Aaa Aa A Baa Ba B Caa Ca C CHow does “the ratings game work?Slide 5-10Bonds with relatively low risk of default are called investment-grade securities 投资级债券 and have a rating of Baa (or BBB) and

5、 above. Bonds with ratings below Baa (or BBB) have higher default risk and have been aptly dubbed speculative-grade or junk bonds渣滓债券. Because these bonds always have higher interest rates than investment-grade securities, they are also referred to as high-yield bonds高收益债券.Slide 5-11Slide 5-125-, 10

6、-, 15-, and 20-year cumulative default rates (1970-1995)Slide 5-13Investors must be concerned with possibility of being unable to quickly convert their securities holdings to cash.Liquidity PremiumsHighly liquid assets carry the lowest rates, low liquidity securities typically pay a liquidity premiu

7、m.Slide 5-14Decrease in Liquidity of Corporate BondsSlide 5-1510 000850 1281850 1281850 128110 0001233,(.)(*)(.)(*)(.)(*),(*) iiiiSlide 5-16Tax Advantages of Municipal Bonds Slide 5-17Slide 5-18Suppose you have ￥5000 to save, and you observe the following CD rates at your bank:First, mentally graph

8、the rates against time to maturity. What does the shape of your graph look like?Slide 5-19Slide 5-200123456171615141312111098765234Number of Years to MaturitySlide 5-21Slide 5-22中国收益率曲线举例：中国收益率曲线举例：chinabond中国债券信息网chinabond上发布的“收益率曲线，采用了逐级链接的方式，运用者进入“收益率曲线页面后：1、鼠标悬停图中任一的样本时点，图的左上方即可显示时间天数和对应的收益率值。2、

9、点击“回购利率曲线字段，可得到回购各种类的数据列表和曲线分析。3、点击图中任一的样本债券，进入该债券的详细报价数据和历史趋势图形页面，此页面下点击“更多技术分析字段，进入技术分析页面，系统提供了K线图、挪动平均线等分析工具供运用者选择。 Slide 5-23051015202530171615141312111098765234Annualized Treasury Security YieldsNumber of Years to MaturitySlide 5-24Slide 5-25Fact 1. Interest rates for different maturities move

10、together Fact 2. Yield curves tend to have steep upward slope when short rates are low and downward slope when short rates are highFact 3. Yield curve is typically upward sloping Yield Slide 5-26Slide 5-27Slide 5-28ExampleSlide 5-29Slide 5-30Slide 5-31Slide 5-32)1)(1 (22ttii)1)(1 (1ettii212etttiiiSl

11、ide 5-33niiiiinttttnt121.Slide 5-34In general, any long-term interest rate can be expressed by the following:where;int = market rate on an n-period security at time t,it = market rate on a 1-period security at time t,It+1 = 1-period forward rate on a security to be delivered one year from the presen

12、t (t + 1),It+2= 1-period forward rate on a security to be delivered two years from the present (t + 2),It+n-1 = 1-period forward rate on a security to be delivered one period before maturity (t + n - 1)1 ()1)(1 ()1 (11ntttnntiiiiSlide 5-35Explains why yield curve has different slopes:When short rate

13、s expected to rise in future, average of future short rates = int is above todays short rate: therefore yield curve is upward sloping2. When short rates expected to stay same in future, average of future short rates same as todays, and yield curve is flat3. Only when short rates expected to fall wil

14、l yield curve be downward slopingSlide 5-36Pure Expectations Theory and Term Structure FactsSlide 5-37Pure Expectations Theory and Term Structure FactsSlide 5-38Pure Expectations Theory and Term Structure FactsSlide 5-39预期实际预期实际Expectation Theory假说条件：假说条件：持有债券和从事债券买卖时没有税收和本钱的影响持有债券和从事债券买卖时没有税收和本钱的影响

15、没有违约风险；没有违约风险；具有完善的货币市场，资金的借贷双方可以正确合具有完善的货币市场，资金的借贷双方可以正确合理地预期短期利率的未来值；理地预期短期利率的未来值；一切投资者都是利润最大化的追求者一切投资者都是利润最大化的追求者不同期限的债券可以完全替代不同期限的债券可以完全替代Slide 5-40Market Segmentation TheorySlide 5-41Pure market segmentationShort-term and long term markets are segmented.Short-term marketDs.t. fundsSs.t. fundsis

16、hort-termQuantity of loanable fundsyield curveLong-term marketDl.t. fundsSloan fundsQuantity of loanable fundsilong-termSlide 5-42首先假设不同类型的投资者具有与投资期限相首先假设不同类型的投资者具有与投资期限相关的偏好。这些偏好与他们的债务构造、风险关的偏好。这些偏好与他们的债务构造、风险厌恶厌恶 程度有关程度有关不同期限的债券不能完全不同期限的债券不能完全替代。替代。 以为资金在不同期限市场之间根本是不以为资金在不同期限市场之间根本是不流动的。不同金融机构有不同的

17、负债性质，因流动的。不同金融机构有不同的负债性质，因此对资金的期限有特定需求。此对资金的期限有特定需求。 这种不同期限市场上资金流动的封锁性，决这种不同期限市场上资金流动的封锁性，决议了收益率曲线可以有不同的形状：当长期市议了收益率曲线可以有不同的形状：当长期市场上资金供过于求，而短期市场资金供不应求场上资金供过于求，而短期市场资金供不应求，就会构成向下倾斜的收益率曲线。，就会构成向下倾斜的收益率曲线。Market Segmentation TheorySlide 5-43Three Theories of Term Structure1. Pure Expectations Theory 2

18、. Market Segmentation Theory3. Liquidity Premium TheoryA. Pure Expectations Theory explains 1 and 2, but not 3.B. Market Segmentation Theory explains 3, but not 1 and 2C. Solution: Combine features of both Pure Expectations Theory and Market Segmentation Theory to get Liquidity Premium Theory and ex

19、plain all factsSlide 5-44Liquidity Premium TheoryKey Assumption: Bonds of different maturities aresubstitutes, but are not perfectsubstitutesImplication: Modifies Pure Expectations Theorywith features of MarketSegmentation Theory Investors prefer short rather than long bonds must be paid positive li

20、quidity premium, lnt, to hold long term bondsSlide 5-45Liquidity Premium TheoryResults in following modification of Pure Expectations Theory niiiilientetettntnt121.Slide 5-46Relationship Between the Liquidity Premium and Pure Expectations TheorySlide 5-47Numerical Example:1. One-year interest rate over the next five years:5%, 6%, 7%, 8% and 9%2. Investors preferences for holding short-term bonds so liquidity premium for one to five-year bonds: 0%, 0.25%, 0.5%, 0.75% and 1.0%.Slide 5-48Numerical Example: Interest rate on the two-year bon