金融市场与金融机构第五章.ppt

UNDERSTANDING 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,Part II Principles of Financial Markets,Chapter Five,THE RISK AND TERM STRUCTURE OF INTEREST RATES,Part II Principles of Financial Markets,Chapter Outline,Risk Structure of Interest RateTerm Structure of Interest Rate,risk structure of interest rates 利率的风险结构:The relationship among the various interest rates on bonds with the same term to maturity.,Risk Structure of Interest Rate,Risk Structure of Long Bonds in the United States,Long-term Bond Yields,1919-1998,Default Risk违约风险,This 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 premium,and an increase in its default risk will raise the risk premium.,The spread between the interest rates on bonds with default risk and default-free bonds,called the risk premium风险溢价,Bonds like U.S.Treasury bonds with no default risk are called default-free bonds无违约风险债券.,Increase in Default Risk on Corporate Bonds,Default Risk:Analysts assessments,Example:Low Quality,speculative,Investment-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?,Bonds 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 above.Bonds with ratings below Baa(or BBB)have higher default risk and have been aptly dubbed speculative-grade or junk bonds垃圾债券.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.,5-,10-,15-,and 20-year cumulative default rates(1970-1995),Liquidity Risk流动性,Investors 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 premium.,Decrease in Liquidity of Corporate Bonds,Income tax effects,Suppose you purchased a$10,000 three-year corporate bond that pays$850 in interest each year.Your marginal tax rate is 28%.If you bought the bond at par,your after-tax interest income equals$612 annually,for an effective after-tax yield(i*)of 6.12%.In general,the after-tax yield for a bond purchased at par equals:i*=i(1-t),Tax Advantages of Municipal Bonds,Chapter Outline,Risk Structure of Interest RateTerm Structure of Interest Rate,The Term Structure of Interest Rates,Suppose you have￥5000 to save,and you observe the following CD rates at your bank:,First,mentally graph the rates against time to maturity.What does the shape of your graph look like?,What does the Term Structure look like in China now?,0,1,2,3,4,5,6,17,16,15,14,13,12,1,1,10,9,8,7,6,5,2,3,4,Number of Years to Maturity,The Term Structure of Interest Rates,Definition-the relationship between an interest rate and the maturity on a security assuming everything else remains the same.,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。,Yield Curves at Various Points in Time in U.S.,0,5,10,15,20,25,30,17,16,15,14,13,12,1,1,10,9,8,7,6,5,2,3,4,February 17,1982,January 2,1985,October 22,1996,September 18,2001,August 2,1989,October 15,2000,Annualized Treasury Security Yields,Number of Years to Maturity,Interest Rates on Different Maturity Bonds Move Together,Term Structure Facts to Be Explained,Fact 1.Interest rates for different maturities move 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,Theories of the term structure of interest rates,There are three common theories of the term structure of interest rates:the pure expectations theory(PET)完全预期理论the market segmentation theory市场分割理论the liquidity premium theory流动性溢酬理论,Pure Expectations Theory,Key Assumption:Bonds of different maturities are perfect substitutes,Example,Assumptions:You can borrow and lend at the same interest rate.You have perfect foresight.The interest rate on a 2-year loan is 10%.The interest rate on a 1-year loan starting now is 9.5%.The interest rate on a 1-year loan starting 1 year from now will be 11%.Question.Suppose you are looking for a way to get rich?What should you do?(Work out an example with$1000.),Since(i2t)2 is extremely small,it(iet+1)is also extremely small,More generally for n-period bond:,In words:Interest rate on long bond=average of short rates expected to occur over life of long bond,In 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 present(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),Pure Expectations Theory and Term Structure Facts,Explains why yield curve has different slopes:When short rates 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 will yield curve be downward sloping,Pure Expectations Theory and Term Structure Facts,Pure Expectations Theory explains Fact 1 that short and long rates move together1.Short rate rises are persistent 2.If it today,iet+1,iet+2 etc.average of future rates int 3.Therefore:it int,i.e.,short and long rates move together,Pure Expectations Theory and Term Structure Facts,Explains Fact 2 that yield curves tend to have steep slope when short rates are low and downward slope when short rates are high1.When short rates are low,they are expected to rise to normal level,and long rate=average of future short rates will be well above todays short rate:yield curve will have steep upward slope2.When short rates are high,they will be expected to fall in future,and long rate will be below current short rate:yield curve will have downward slope,Pure Expectations Theory and Term Structure Facts,Doesnt explain Fact 3 that yield curve usually has upward slopeShort rates as likely to fall in future as rise,so average of expected future short rates will not usually be higher than current short rate:therefore,yield curve will not usually slope upward,预期理论（Expectation Theory）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,Market Segmentation Theory,Key Assumption:Bonds of different maturities are not substitutes at allImplication:Markets are completely segmented:interest rate at each maturitydetermined separatelyExplains Fact 3 that yield curve is usually upward slopingPeople typically prefer short holding periods and thus have higher demand for short-term bonds,which have higher prices and lower interest rates than long bondsDoes not explain Fact 1 or Fact 2 because assumes long and short rates determined independently,Pure market segmentationShort-term and long term markets are segmented.,yield curve,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。,Market Segmentation Theory,Three Theories of Term Structure,1.Pure Expectations Theory 2.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 explain all facts,Liquidity Premium Theory,Key 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 liquidity premium,lnt,to hold long term bonds,Liquidity Premium Theory,Results in following modification of Pure Expectations Theory,Relationship Between the Liquidity Premium and Pure Expectations Theory,Numerical 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%.,Numerical Example:,Interest rate on the two-year bond:0.25%+(5%+6%)/2=5.75%Interest rate on the five-year bond:1.0%+(5%+6%+7%+8%+9%)/5=8%Interest rates on one to five-year bonds:5%,5.75%,6.5%,7.25%and 8%Comparing with those for the pure expectations theory,liquidity premium theory produces yield curves more steeply upward sloped,Liquidity Premium Theory:Term Structure Facts,Explains all 3 FactsExplains Fact 3 of usual upward sloped yield curve by liquidity premium for long-term bondsExplains Fact 1 and Fact 2 using same explanations as pure expectations theory because it has average of future short rates as determinant of long rate,Market Predictions of Future Short Rates,THE END!,