分析金融市场与金融机构第五章

分析金融市场与金融机构第五章ChapterFiveTHERISKANDTERMSTRUCTUREOFINTERESTRATESPartIIPrinciplesofFinancialMarketsChapterOutlineRiskStructureofInterestRateTermStructureofInterestRateriskstructureofinterestrates利率的风险结构:Therelationshipamongthevariousinterestratesonbondswiththesametermtomaturity.RiskStructureofInterestRateRiskStructureofLongBondsintheUnitedStatesLong-termBondYields,1919-1998DefaultRisk违约风险

Thisisthepossibilitythattheborrowerwillnotmakepromisedpayments-eitherontimeorinfull.

Abondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium.Thespreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium风险溢价BondslikeU.S.Treasurybondswithnodefaultriskarecalleddefault-freebonds无违约风险债券.IncreaseinDefaultRiskonCorporateBondsDefaultRisk:Analysts'assessmentsExample:

LowQuality,speculative,Investment-Quality and/or“Junk”

High Medium Low VeryLowGradeS&P’s AAAAAABBBBBBCCCCCCDMoody’s AaaAaABaaBaB CaaCaCCHowdoes“theratingsgame”work?Bondswithrelativelylowriskofdefaultarecalledinvestment-gradesecurities投资级债券andhavearatingofBaa(orBBB)andabove.BondswithratingsbelowBaa(orBBB)havehigherdefaultriskandhavebeenaptlydubbedspeculative-gradeorjunkbonds垃圾债券.Becausethesebondsalwayshavehigherinterestratesthaninvestment-gradesecurities,theyarealsoreferredtoashigh-yieldbonds高收益债券.<ahref="://dxb.cqwb/yichun/">宜春癫痫病医院</a><ahref="://jk.huaihai.tv/jiangxi/">江西癫痫病医院</a>5-,10-,15-,and20-yearcumulativedefaultrates(1970-1995)LiquidityRisk流动性

Investorsmustbeconcernedwithpossibilityofbeingunabletoquicklyconverttheirsecuritiesholdingstocash.LiquidityPremiumsHighlyliquidassetscarrythelowestrates,lowliquiditysecuritiestypicallypayaliquiditypremium.DecreaseinLiquidityof

CorporateBondsIncometaxeffectsSupposeyoupurchaseda$10,000three-yearcorporatebondthatpays$850ininteresteachyear.Yourmarginaltaxrateis28%.Ifyouboughtthebondatpar,yourafter-taxinterestincomeequals$612annually,foraneffectiveafter-taxyield(i*)of6.12%.

Ingeneral,theafter-taxyieldforabondpurchasedatparequals:i*=i(1-t)

TaxAdvantagesofMunicipalBonds

ChapterOutlineRiskStructureofInterestRateTermStructureofInterestRate<ahref="://dxb.cqwb/fuzhou/">抚州癫痫病医院</a><ahref="://dxb.cqwb/shangrao/">上饶癫痫病医院</a>TheTermStructureofInterestRates

Supposeyouhave￥5000tosave,andyouobservethefollowingCDratesatyourbank:

First,mentallygraphtheratesagainsttimetomaturity.Whatdoestheshapeofyourgraphlooklike?WhatdoestheTermStructurelooklikeinChinanow?0123456171615141312111098765234NumberofYearstoMaturityTheTermStructureofInterestRatesDefinition-therelationshipbetweenaninterestrateandthematurityonasecurityassumingeverythingelseremainsthesame.中国收益率曲线举例：中国债券信息网（）上发布的“收益率曲线”，采用了逐级链接的方式，使用者进入“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、点击“回购利率曲线”字段，可得到回购各品种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、移动平均线等分析工具供使用者选择。YieldCurvesatVariousPointsinTimeinU.S.051015202530171615141312111098765234February17,1982January2,1985October22,1996September18,2001August2,1989October15,2000AnnualizedTreasurySecurityYieldsNumberofYearstoMaturityInterestRatesonDifferentMaturityBondsMoveTogetherTermStructureFactstoBeExplainedFact1.InterestratesfordifferentmaturitiesmovetogetherFact2.Yieldcurvestendtohavesteepupwardslopewhenshortratesarelowanddownwardslopewhenshortratesarehigh<ahref="://dxb.cqwb/ganzhou/">赣州癫痫病医院</a><ahref="://dxb.cqwb/jian/">吉安癫痫病医院</a>Fact3.YieldcurveistypicallyupwardslopingYieldTheoriesofthetermstructureofinterestratesTherearethreecommontheoriesofthetermstructureofinterestrates:thepureexpectationstheory(PET)完全预期理论themarketsegmentationtheory市场分割理论theliquiditypremiumtheory流动性溢酬理论PureExpectationsTheoryKeyAssumption:Bondsofdifferentmaturitiesare perfectsubstitutes

ExampleAssumptions:Youcanborrowandlendatthesameinterestrate.Youhaveperfectforesight.Theinterestrateona2-yearloanis10%.Theinterestrateona1-yearloanstartingnowis9.5%.Theinterestrateona1-yearloanstarting1yearfromnowwillbe11%.Question.Supposeyouarelookingforawaytogetrich?Whatshouldyoudo?(Workoutanexamplewith$1000.)Since(i2t)2isextremelysmall,it(iet+1)isalsoextremelysmall,Moregenerallyforn-periodbond:Inwords:Interestrateonlongbond=averageofshortratesexpectedtooccuroverlifeoflongbondIngeneral,anylong-terminterestratecanbeexpressedbythefollowing:where;int =marketrateonann-periodsecurityattimet,it =marketrateona1-periodsecurityattimet,It+1 =1-periodforwardrateonasecuritytobe

deliveredoneyearfromthepresent(t+1),It+2 =1-periodforwardrateonasecuritytobe

deliveredtwoyearsfromthepresent(t+2),It+n-1=1-periodforwardrateonasecuritytobe

deliveredoneperiodbeforematurity(t+n-1)PureExpectationsTheoryandTermStructureFactsExplainswhyyieldcurvehasdifferentslopes:Whenshortratesexpectedtoriseinfuture,averageoffutureshortrates=int

isabovetoday'sshortrate:thereforeyieldcurveisupwardsloping2.Whenshortratesexpectedtostaysameinfuture,averageoffutureshortratessameastoday's,andyieldcurveisflat3.OnlywhenshortratesexpectedtofallwillyieldcurvebedownwardslopingPureExpectationsTheoryandTermStructureFactsPureExpectationsTheoryexplainsFact1thatshortandlongratesmovetogether1.Shortraterisesarepersistent2.Ifit

today,iet+1,iet+2etc.

averageoffuturerates

int

3.Therefore:it

int

,i.e.,shortandlongratesmovetogetherPureExpectationsTheoryandTermStructureFactsExplainsFact2thatyieldcurvestendtohavesteepslopewhenshortratesarelowanddownwardslopewhenshortratesarehigh1.Whenshortratesarelow,theyareexpectedtorisetonormallevel,andlongrate=averageoffutureshortrateswillbewellabovetoday'sshortrate:yieldcurvewillhavesteepupwardslope2.Whenshortratesarehigh,theywillbeexpectedtofallinfuture,andlongratewillbebelowcurrentshortrate:yieldcurvewillhavedownwardslopePureExpectationsTheoryandTermStructureFactsDoesn'texplainFact3thatyieldcurveusuallyhasupwardslope Shortratesaslikelytofallinfutureasrise,soaverageofexpectedfutureshortrateswillnotusuallybehigherthancurrentshortrate:therefore,yieldcurvewillnotusuallyslopeupward<ahref="://dxb.cqwb/xinyu/">新余癫痫病医院</a><ahref="://dxb.cqwb/yingtan/">鹰潭癫痫病医院</a>预期理论（ExpectationTheory）假说条件：持有债券和从事债券交易时没有税收和成本的影响没有违约风险；具有完善的货币市场，资金的借贷双方能够正确合理地预期短期利率的未来值；所有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MarketSegmentationTheoryKeyAssumption: Bondsofdifferentmaturitiesare notsubstitutesatallImplication: Marketsarecompletelysegmented: interestrateateachmaturity determinedseparatelyExplainsFact3thatyieldcurveisusuallyupwardslopingPeopletypicallyprefershortholdingperiodsandthushavehigherdemandforshort-termbonds,whichhavehigherpricesandlowerinterestratesthanlongbondsDoesnotexplainFact1orFact2becauseassumeslongandshortratesdeterminedindependently<ahref="://dxb.cqwb/jiujiang/">九江癫痫病医院</a><ahref="://dxb.cqwb/pingxiang/">萍乡癫痫病医院</a>Puremarketsegmentation

Short-termandlongtermmarketsaresegmented.Short-termmarketDs.t.fundsSs.t.fundsishort-termQuantityofloanablefundsyieldcurveLong-termmarketDl.t.fundsSloanfundsQuantityofloanablefundsilong-term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结构、风险厌恶程度有关——不同期限的债券不能完全代替。认为资金在不同期限市场之间基本是不流动的。不同金融机构有不同的负债性质，因而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闭性，决定了收益率曲线可以有不同的形态：当长期市场上资金供过于求，而短期市场资金供不应求，就会形成向下倾斜的收益率曲线。MarketSegmentationTheoryThreeTheoriesofTermStructure1.PureExpectationsTheory2.MarketSegmentationTheory3.LiquidityPremiumTheoryA.PureExpectationsTheoryexplains1and2,butnot3.B.MarketSegmentationTheoryexplains3,butnot1and2C.Solution:CombinefeaturesofbothPureExpectationsTheoryandMarketSegmentationTheorytogetLiquidityPremiumTheoryandexplainallfactsLiquidityPremiumTheoryKeyAssumption: Bondsofdifferentmaturitiesare substitutes,butarenotperfect substitutesImplication: ModifiesPureExpectationsTheory withfeaturesofMarket SegmentationTheoryInvestorsprefershortratherthanlongbondsmustbepaidpositiveliquiditypremium,lnt,toholdlongtermbonds<ahref="://dxb.cqwb/nanchang/">南昌癫痫病医院</a><ahref="://dxb.cqwb/jdz/">景德镇癫痫病医院</a>LiquidityPremiumTheoryResultsinfollowingmodificationofPureExpectationsTheory

RelationshipBetweentheLiquidityPremiumandPureExpe