货币银行 Chapter 5 英文原版教材课件

1、Chapter 5The Term and Risk Structure of Interest RatesLearning ObjectivesEnvision and draw the yield curve and describe the determinants of its slopeExplain how risk is important in influencing interest ratesComprehend the impact on interest rates of income taxes2The Term Structure of Rates and the

2、Yield CurveTerm StructureRelationship among Yields of different maturities of the same type of securityYield Curve (Figure 5.1)Graphical relationship between yield and maturityYield is measured on the vertical axis and term to maturity is on the horizontal3The Term Structure of Rates and the Yield C

3、urve (Cont.)Yield Curve (Figure 5.1) (Cont.)The basic questiondoes the curve slope upward, downward, or horizontal (Figure 5.1)In the real world yields on all maturities tend to move together while there are distinct, divergent patterns between movements in short-term and long-term yields.4FIGURE 5.

4、1 Three alternative yield curves.5The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield CurveSupply and DemandDetermined by relative supply/demand of different maturitiesDeals with each maturity by itself and ignores the interrelationships between differ

5、ent maturities of the same security6The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)The Pure Expectations ApproachShort-term and long-term securities are very good substitutes for each other within investors portfolios who collectively

6、 impact the marketTherefore, there are not separate markets for short-term and long-term securities, there is a single market7The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)The Pure Expectations Approach (Cont.)These investors are int

7、erested in the return over the period and not the maturity date of the final paymentImplies that expectation of future short-term rates determines how long-term rates are related to short-term ratesBuying and selling pressure maintains the long-term rate as an average of current short-term rate and

8、the expected future short-term rates8The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)The Pure Expectations Approach (Cont.)If expected future short-term rates are above current short-term ratesyield curve will be upward slopingAlternat

9、ively, lower expected short-term rates will cause the curve to be downward slopingThe key to expectations theory is that short-term securities and long-term securities are good substitutes for each other9The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yi

10、eld Curve (Cont.)The Liquidity Premium ModificationPrices of long-term securities are more volatilePossibly suffer capital loss if owner needs to sell security prior to maturityPrefer to hold short-term securities for liquidityDemand liquidity (risk) premium for exposure to price uncertainty with lo

11、ng-term securitiesSuggests long-term rates will always be higher than short-term10The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)The Preferred Habitat ApproachDifferent investors actually have a preference for different maturitiesdepe

12、nds on their liquidity needsThis suggests the supply/demand concept for different maturities will establish the specific rates for each maturity rangeChanges in supply/demand can cause the rates to get out of line with expectations.11The Term Structure of Rates and the Yield Curve (Cont.)Different T

13、heories of the Shape of the Yield Curve (Cont.)The Preferred Habitat Approach (Cont.)However, Investors will drop preferred habitat if rates get out of line with expectations and switch portfolio holdingsThis portfolio adjustment will cause the rates to become more in line with the expectations theo

14、ry12The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)Real-World ObservationsWhen interest rates are high relative to past rates, investors expect them to decline and the price of bonds to rise in the future resulting in big capital gain

15、s Investors would then favor long-term securities, which drives up price and lowers yielddownward sloping yield curve (Figure 5.2) 13FIGURE 5.2 Yields on U.S. government securities.14The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)Real

16、-World Observations (cont.)Opposite if interest rates are low relative to pastresults in an upward sloping curveHistorically, over the business cycle short-term rates fluctuate more than longer-term rates (Figure 5.3)Yield curves tend to be upward sloping more often, suggesting the liquidity premium

17、 is the dominant theory15FIGURE 5.3 Three different Treasury rates.16The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve (Cont.)Summary of term structure theoryExpectations theory forms the foundation of the slope of the curveLiquidity premium th

18、eory makes a long-term permanent modification that suggests an upward sloping curveOver short periods, relative supplies of securities have an impact on yields, altering the shape of the curve17The Term Structure of Rates and the Yield Curve (Cont.)Different Theories of the Shape of the Yield Curve

19、(Cont.)An Aside on MarketabilityRecently issued government bonds (current coupon“on the run) are more marketable as compared to older issues (“off the run)Because these newly issued bonds are highly marketable, they carry somewhat lower yields to maturity as compared to older issues18Risk and Tax St

20、ructure of RatesDefault RiskOther than US Federal government securities, bonds carry a risk of defaultRisk on municipal bonds used to be considered very lowHowever, experience of New York City (1975), Cleveland (1978) and Orange Country, California (1995) suggest these bonds are becoming riskierCorp

21、orate bonds generally have a higher default risk than municipal bondsInvestors will expect higher return to compensate for increased default risk 19Risk and Tax Structure of Rates (Cont.)Default Risk (Cont.)Standard and Poors and Moodys Investors Service rate the default risk on bonds which serve as

22、 a guide to investorsThe introduction of risk in the yield curve will cause the curve to shift since another variable other than “maturity has changed The higher the perceived risk, the greater the upward shift of the curve for that particular security (Figure 5.4)20FIGURE 5.4 Riskier securities car

23、ry higher yields.21Risk and Tax Structure of Rates (Cont.)Tax StructureInvestors are concerned about the after tax return on bondsAlthough municipal bonds are riskier than federal government bonds, tax exempt status of municipal bonds will generally result in a lower yield (downward shift of the curve) (Figure 5.4)22TABLE 5.1 A Guide to Bond Ratings23AppendixBOND PRICE VOLATILITY: DURATION VERSUS MATURITYAPPENDIXBOND PRICE VOLATILITY: DURATION VERSUS MATURITYProblem with relationship between bond price volatility and maturity stems from the