资本市场和金融机构InterestRates实用教案

1、会计学1资本资本(zbn)市场和金融机构市场和金融机构InterestRates第一页，共38页。2第1页/共38页第二页，共38页。3第2页/共38页第三页，共38页。4第3页/共38页第四页，共38页。5SupplyQuantity of loanable funds DemandQ*i*第4页/共38页第五页，共38页。6第5页/共38页第六页，共38页。7Quantity ($)AB Interest Rate SDDiiQQ第6页/共38页第七页，共38页。8iQ ($)DD SAB第7页/共38页第八页，共38页。9iQ ($)SSAB第8页/共38页第九页，共38页。10第9页/

2、共38页第十页，共38页。11第10页/共38页第十一页，共38页。12C=$100C=$100C=$100P=?123 9 10C=$100$100 + $1,000If i = 5% P = $100/(1+0.05) + $100/(1+0.05)2 + $100/(1+0.05)10 + $1,000/(1+0.05)10 = $1,386 i = 10% P = $100/(1+0.10) + $100/(1+0.10)2 + $100/(1+010)10 + $1,000/(1+0.010)10 = $1,000 i = 15% P = $100/(1+0.15) + $100/(

3、1+0.15)2 + $100/(1+015)10 + $1,000/(1+0.015)10 = $749 Which i (discount rate or yield to maturity) from above makes the present value of a bonds payments equal to its current price P?A:? i = 5%第11页/共38页第十二页，共38页。13$1,00010%Interest Rate = i = YTM5% $1,386$74915%Scenarios:1.Assume you bought the bond

4、 in $1,000 and interest rates increased to 15%. Did you benefit? 2.Assume you bought a corporate bond and the credit rating of the firm is downgraded to junk (default) What is the expected effect in the interest rate (YTM)?第12页/共38页第十三页，共38页。14第13页/共38页第十四页，共38页。15第14页/共38页第十五页，共38页。16ii Price of bo

5、nds, PPQuantity of Corporate Bonds Quantity of Canada Bonds(a) Corporate bond market (b) Default-free Cdn bond marketic1Pc1Pc2ic2PT2PT1iT2iT1iT2 ic2RiskPremium= ic2 - iT2Dc2Dc1ScDT1DT2STDecrease inInterest rate第15页/共38页第十六页，共38页。17第16页/共38页第十七页，共38页。18第17页/共38页第十八页，共38页。19第18页/共38页第十九页，共38页。20第19页/共

6、38页第二十页，共38页。21Reasons of Upward sloping Yield curve (High yields on long term bonds)Example: Inflation Short term interest rates are are expected to increase in the future due to inflation. Remember, interest rates (nominal) = real interest rates + expected inflation. What the Bank of Canada should

7、 do? Reasons of Downward sloping yield curve?第20页/共38页第二十一页，共38页。22Time to MaturityTime to MaturityTime to MaturityTime to MaturityYTM第21页/共38页第二十二页，共38页。23第22页/共38页第二十三页，共38页。24第23页/共38页第二十四页，共38页。25Implications of Expectations Theory第24页/共38页第二十五页，共38页。26第25页/共38页第二十六页，共38页。27第26页/共38页第二十七页，共38页。2

8、8第27页/共38页第二十八页，共38页。29第28页/共38页第二十九页，共38页。30 2005 Pearson Education Canada Inc.6-10Interest Rates on Different Maturity Bonds Move Together第29页/共38页第三十页，共38页。31第30页/共38页第三十一页，共38页。32Pure Expectations Theory Yield CurveLiquidity Premium TheoryYield CurveInterest RateYears to MaturityRelationship bet

9、ween the Expectations Theory and the Liquidity Premium TheoryLiquidity Premium5101520 25 300第31页/共38页第三十二页，共38页。33第32页/共38页第三十三页，共38页。34第33页/共38页第三十四页，共38页。35YTM Term to Maturitya) Short term interest rates expected to riseYTM Term to Maturity b) Short term interest rates expected to stay the same (E.g. the YTM used is considered constant for each period in the computation of NPV projects) YTM Term to Maturityc) Short term interest rates expected to fall moderatelyYTM Term