貨幣銀行 Chapter 8 英文原版教材課件

1、Chapter 8Money and Capital MarketsLearning ObjectivesVisualize the structure of the government bond marketExplain the interaction of Eurodollars, CDs, and Repurchase agreements and their connection to short-term government debtUnderstand the market structure of the corporate and municipal debt marke

2、tsDescribe the structure of equity markets and they fundamentals that help determine their price2IntroductionMarket for U.S. government securities is the center of the money and capital marketsU.S. Treasury has to sell many hundred billion dollars worth of securities each year to pay off maturing is

3、sues and finance current government operationsProvides reference point for money market (debt less than one year) and capital markets (long-term debt/equities)3The Government Bond MarketWhen U.S. government runs a deficit, the Treasury Department borrows money by selling government bondsSell to anyo

4、ne willing to lend money to U.S. governmentTreasury issues a wide variety of maturities and types of government securities4The Government Bond Market (Cont.)U.S. securities are basically two typesMarketable 50%-bought/sold in financial marketsNonmarketable 50%-sell back to Treasury Types of Securiti

5、es and InvestorsTreasury Bills (T-bills)Short-termmaturity of 3, 6 months or 1 yearZero-couponsold at discount below face value5The Government Bond Market (Cont.)Types of Securities and Investors (Cont.)Treasury NotesMaturity between one and ten yearsCoupon instrumentsinterest usually paid semiannua

6、llyTreasury BondsMaturity longer than 10 year, up a maximum of 30 yearCoupon instrumentsCoupons can be “stripped and sold as separate instruments6The Government Bond Market (Cont.)Types of Securities and Investors (Cont.)Treasury Inflation Protected Securities (TIPS)Most complicated security issued

7、by the TreasuryIssued in three maturities5, 10, and 20 yearsInterest is paid semi-annuallyThe principal of the TIPS grows at the same rate as inflation Interest payments increase with the increased principalUpon maturity, bearer receives higher of the original principal or principle grown at the rat

8、e of inflation7The Government Bond Market (Cont.)Owners of marketable government securitiesFederal ReservePurchases Open Market Operationsmostly T-billsProvides Fed with most of its incomePrivate SectorCommercial banksIndividualsInsurance companies/Pension FundsMoney market mutual funds8The Governme

9、nt Bond Market (Cont.)Owners of marketable government securities (Cont.)ForeignersNow own about 50% of U.S. national debtWithout foreign purchases, U.S. interest rates would be much higherForeigners are attracted to U.S. securities:Political stabilityFinancial freedomDollar is easily tradedRelative

10、high interest rates9The Government Bond Market (Cont.)How the Market WorksMost trading takes place in over-the counter marketsTrading in government securities averages more than 20 times trading on the New York Stock ExchangeIncreasingly traded around the clock in different parts of the world10The G

11、overnment Bond Market (Cont.)How the Market Works (Cont.)Dealers get much of their inventory of bonds by bidding at competitive auctionsThree- and six-month T-Bills are auctioned weeklyNotes are auctioned on a regular scheduled basisInitially issued at auctions held by TreasuryRaise new fundsReplace

12、 funds of maturing securities11The Government Bond Market (Cont.)Treasury Bills: Auctions and YieldsZero coupon held for one year:12The Government Bond Market (Cont.)Treasury Bills: Auctions and Yields (Cont)Zero Coupon held for less than one yearWhere “t is the inverse of the fraction of a year the

13、 bill takes to matureFace Value - PricerPrice=x t13The Government Bond Market (Cont.)Treasury Bills: Auctions and Yields (Cont.)At closing time of auction Treasury does following:Ranks bids from highest price downSelects bids in this order until amount sold equals amount scheduled to be soldSuccessf

14、ul bidders purchase bills at the same price and will earn the same yieldYield on a discount basisCalculated as face value minus purchase price divided by the face valueCoupon Equivalent YieldMore accurate measure since it uses purchase price rather than face value14The Government Bond Market (Cont.)

15、Repurchase Agreements (Repos)An efficient mechanism for financing purchases of government securitiesAlong with the federal funds market, the Repo market is the focal point of overnight borrowing and lendingSecurities dealer sells government security and agrees to repurchase at a higher price the nex

16、t day which reflects the overnight cost of funds15The Government Bond Market (Cont.)Repurchase Agreements (Repos) (Cont.)Repo market is closely related to market for borrowing and lending reserves owned by banksFederal Funds MarketBoth markets are sources of overnight fundsBoth markets settle paymen

17、ts the same day the transaction is completedMain difference is that a repo agreement is a collateralized loanFederal Funds rate and rate on repo agreements tend to move together16The Government Bond Market (Cont.)Repurchase Agreements (Repos) (Cont.)The Repo market has evolved into a much broader us

18、eRepros are done over a wide variety of maturities ranging from the traditional one day to three monthsRepro agreements are now used to raise funds for anything the borrower chooses, simply acting as collateral for the lender17Bank-Related Securities: CDs and EurodollarsCommercial banks have other m

19、oney market options than repos and federal fundsCertificates of Deposit CDsSavings deposits with a specific maturity dateCDs in excess of $100,000 are negotiable instruments and traded through network of dealers18Bank-Related Securities: CDs and Eurodollars (Cont.)EurodollarsDollar denominated time

20、deposits held abroad in foreign banks or foreign branches of U.S. banksUsed by US banks to raise fundsLIBOR (London Interbank Offered Rate)overnight rate of borrowing eurodollars and tends to follow money market rates in the U.S.(Figure 8.1)19FIGURE 8.1 Yields on three-month Treasury bills and LIBOR

21、 move closely together.20Corporate SecuritiesCorporate BondsCorporations borrow across all maturity rangesmainly at the long endHigh-quality corporate bonds usually yield more than government bonds and are safer than corporate stocksBonds have prior claim before stockspayment of interest is first pr

22、iorityBeing long term, these bonds are subject to interest-rate riskinterest rises, prices fall21Corporate Securities (Cont.)Corporate Bonds (Cont.)Callable bondsIssuer has right to pay off the bond before maturity date Bond option will be exercised if it is in the interest of the borrowerThese carr

23、y higher interest rateConvertible bondsholders have right to convert to common stock at predetermined price22Corporate Securities (Cont.)Corporate Bonds (Cont.)Corporate bonds differ in qualitydanger of default by borrowerU.S. government is safestVarious bond rating agenciesStandard and PoorsMoodysI

24、nvestment gradehighest quality bonds23Corporate Securities (Cont.)Corporate Bonds (Cont.)Junk bondsVery risky, but pay high interest to compensate for riskTend to perform well when the economy is strong, but extremely risky when economy does poorlyMichael Milken convicted of securities fraud and Dre

25、xel, Burnham Lambert bankrupt in 1990 are two examples of problems in the junk bond market24Corporate Securities (Cont.)Corporate Bonds (Cont.) Life insurance and pension/retirement funds hold most corporate bondsSchedule cash flow based on life expectanciesHold to maturitylittle need for quick liqu

26、idationForeigners also hold large amount of corporate bondsGenerally traded in over-the-counter marketusually by telephone25Corporate Securities (Cont.)Commercial PaperUnsecured corporate borrowing in the money market (short-term)Two categories of issuers:Finance companies associated with well known

27、 manufacturing companiesNonfinancial companies-generally to finance inventoryUsually purchased directly from issuer by large institutional investors26Corporate Securities (Cont.)Commercial Paper (Cont.)Because of possibility of default, yields are typically higher than Treasury Bills, but tend to mo

28、ve closely together (Figure 8.2)Not much of a secondary marketinvestors generally redeem with issuer27FIGURE 8.2 Yields on three-month Treasury bills and commercial paper.28Municipal SecuritiesIssued by state and local governmentsLowest yield because interest earnings are exempt from federal taxBy l

29、aw Congress does have the power to tax, but has decided not to tax this source of revenue29Municipal Securities (Cont.)“Serial maturity formPortion of the issue matures each year until entire issue is retiredEach portion carries its own interest rate and is separate from the rest of the issueIn esse

30、nce a 10 year serial bond is really 10 separate issues, each maturing at different timesSold through underwriting syndicates who sell to ultimate investors at slightly higher prices30Municipal Securities (Cont.)Two types of municipal bondsGeneral Obligation BondsBacked by general taxing power of the

31、 state or local governmentRevenue BondsIssued to finance a specific project; interest and principal are paid solely out of receipts from the projectGeneral obligation bonds are safer than revenue bonds and pay lower interest31Municipal Securities (Cont.)Secondary trading in the over-the-counter mark

32、etnot much activityTax-anticipation notes (TAN) and bond-anticipation notes (BAN)short-term securities cover cash flow problems of taxes (TAN) or upcoming capital projects (BAN)32Mortgage SecuritiesMost complicated of all debt instrumentsBorrowing by individuals using real estate as collateralMost m

33、ortgages are insured by some type of government agency minimizing potential default of borrowersGovernmental National Mortgage AssociationFederal Home Loan Mortgage Corporation33Mortgage Securities (Cont.)Mortgages can be repaid prior to maturity datePrepayment or refinancing due to lower ratesInves

34、tors are not sure of maturityInvestments undesirable to institutional investorsInnovations in mortgage termsShorter maturity periodAdjustable rateminimizes interest rate risk of lenderBalloon paymentslow front end with large lump sum payment at end34Mortgage Securities (Cont.)To reduce uncertainty a

35、nd broaden the appeal of mortgages, dealers developed Collateralized Mortgage Obligations (CMOs)Number of mortgages are placed in a trustInterest and principal repayments are divided by trustee into four (or more) segments according to a predetermined formula Investors select which segment from whic

36、h to receive their paymentsMakes the cash flow more predictable 35The Stock MarketStructure of the Stock MarketAbout 90 million individual shareholders in U.S.During past decade institutional investors (pension funds, mutual funds, and insurance) have begun to dominate the marketStock Marketrefers p

37、rincipally to secondary market for common stockPrimary issues are handled through investment banks36The Stock Market (Cont.)Structure of the Stock Market (Cont.)New York Stock Exchangemost visible part of stock marketPostslocation where individual stocks are tradedTradersreceive orders from brokerag

38、e housesSpecialistsindividuals who maintain orderly trading for securities in their chargeMay just match publicly tendered buy and sell ordersFloor traders stand at posts and compete for orders not matched by specialistsIf neither of these occur, specialists will buy or sell for their own account to

39、 prevent excessive price swings37The Stock Market (Cont.)Structure of the Stock Market (Cont.)Other marketsAmerican Stock ExchangeOver-the-counter OTCNetwork of dealers and brokers who deal via telephone and computer terminalsNational Association of Securities Dealers Automated Quotation System NASD

40、AQShows bid and asked prices of OTC traded securities38The Stock Market (Cont.)What Determines Whether Stock Prices Rise or FallStocks (equities) represent ownership companyInvestor receives future cash flows in form of dividendsIn its simplest form the price of a stock with constant dividends forever is:39The Stock Market (Cont.)What Determines Whether Stock Prices Rise or Fall (Cont.)Therefore, the price will rise if:Expected future dividends increasesAnnual rate of discount decreasesRate of discount is higher than the government bond rate to compensate for the risk of stocksHow