分析金融市場與金融機構(gòu)第五章

分析金融市場與金融機構(gòu)第五章ChapterFiveTHERISKANDTERMSTRUCTUREOFINTERESTRATESPartIIPrinciplesofFinancialMarketsChapterOutlineRiskStructureofInterestRateTermStructureofInterestRateriskstructureofinterestrates利率的風(fēng)險結(jié)構(gòu):Therelationshipamongthevariousinterestratesonbondswiththesametermtomaturity.RiskStructureofInterestRateRiskStructureofLongBondsintheUnitedStatesLong-termBondYields,1919-1998DefaultRisk違約風(fēng)險

Thisisthepossibilitythattheborrowerwillnotmakepromisedpayments-eitherontimeorinfull.

Abondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium.Thespreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium風(fēng)險溢價BondslikeU.S.Treasurybondswithnodefaultriskarecalleddefault-freebonds無違約風(fēng)險債券.IncreaseinDefaultRiskonCorporateBondsDefaultRisk:Analysts'assessmentsExample:

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

High Medium Low VeryLowGradeS&P’s AAAAAABBBBBBCCCCCCDMoody’s AaaAaABaaBaB CaaCaCCHowdoes“theratingsgame”work?Bondswithrelativelylowriskofdefaultarecalledinvestment-gradesecurities投資級債券andhavearatingofBaa(orBBB)andabove.BondswithratingsbelowBaa(orBBB)havehigherdefaultriskandhavebeenaptlydubbedspeculative-gradeorjunkbonds垃圾債券.Becausethesebondsalwayshavehigherinterestratesthaninvestment-gradesecurities,theyarealsoreferredtoashigh-yieldbonds高收益?zhèn)?<ahref="://dxb.cqwb/yichun/">宜春癲癇病醫(yī)院</a><ahref="://jk.huaihai.tv/jiangxi/">江西癲癇病醫(yī)院</a>5-,10-,15-,and20-yearcumulativedefaultrates(1970-1995)LiquidityRisk流動性

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/">撫州癲癇病醫(yī)院</a><ahref="://dxb.cqwb/shangrao/">上饒癲癇病醫(yī)院</a>TheTermStructureofInterestRates

Supposeyouhave￥5000tosave,andyouobservethefollowingCDratesatyourbank:

First,mentallygraphtheratesagainsttimetomaturity.Whatdoestheshapeofyourgraphlooklike?WhatdoestheTermStructurelooklikeinChinanow?0123456171615141312111098765234NumberofYearstoMaturityTheTermStructureofInterestRatesDefinition-therelationshipbetweenaninterestrateandthematurityonasecurityassumingeverythingelseremainsthesame.中國收益率曲線舉例：中國債券信息網(wǎng)（）上發(fā)布的“收益率曲線”，采用了逐級鏈接的方式，使用者進入“收益率曲線”頁面后：

1、鼠標懸停圖中任一的樣本時點，圖的左上方即可顯示時間天數(shù)和對應(yīng)的收益率值。

2、點擊“回購利率曲線”字段，可得到回購各品種的數(shù)據(jù)列表和曲線分析。

3、點擊圖中任一的樣本債券，進入該債券的詳細報價數(shù)據(jù)和歷史趨勢圖形頁面，此頁面下點擊“更多技術(shù)分析”字段，進入技術(shù)分析頁面，系統(tǒng)提供了K線圖、移動平均線等分析工具供使用者選擇。YieldCurvesatVariousPointsinTimeinU.S.051015202530171615141312111098765234February17,1982January2,1985October22,1996September18,2001August2,1989October15,2000AnnualizedTreasurySecurityYieldsNumberofYearstoMaturityInterestRatesonDifferentMaturityBondsMoveTogetherTermStructureFactstoBeExplainedFact1.InterestratesfordifferentmaturitiesmovetogetherFact2.Yieldcurvestendtohavesteepupwardslopewhenshortratesarelowanddownwardslopewhenshortratesarehigh<ahref="://dxb.cqwb/ganzhou/">贛州癲癇病醫(yī)院</a><ahref="://dxb.cqwb/jian/">吉安癲癇病醫(yī)院</a>Fact3.YieldcurveistypicallyupwardslopingYieldTheoriesofthetermstructureofinterestratesTherearethreecommontheoriesofthetermstructureofinterestrates:thepureexpectationstheory(PET)完全預(yù)期理論themarketsegmentationtheory市場分割理論theliquiditypremiumtheory流動性溢酬理論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/">新余癲癇病醫(yī)院</a><ahref="://dxb.cqwb/yingtan/">鷹潭癲癇病醫(yī)院</a>預(yù)期理論（ExpectationTheory）假說條件：持有債券和從事債券交易時沒有稅收和成本的影響沒有違約風(fēng)險；具有完善的貨幣市場，資金的借貸雙方能夠正確合理地預(yù)期短期利率的未來值；所有投資者都是利潤最大化的追求者不同期限的債券可以完全替代MarketSegmentationTheoryKeyAssumption: Bondsofdifferentmaturitiesare notsubstitutesatallImplication: Marketsarecompletelysegmented: interestrateateachmaturity determinedseparatelyExplainsFact3thatyieldcurveisusuallyupwardslopingPeopletypicallyprefershortholdingperiodsandthushavehigherdemandforshort-termbonds,whichhavehigherpricesandlowerinterestratesthanlongbondsDoesnotexplainFact1orFact2becauseassumeslongandshortratesdeterminedindependently<ahref="://dxb.cqwb/jiujiang/">九江癲癇病醫(yī)院</a><ahref="://dxb.cqwb/pingxiang/">萍鄉(xiāng)癲癇病醫(yī)院</a>Puremarketsegmentation

Short-termandlongtermmarketsaresegmented.Short-termmarketDs.t.fundsSs.t.fundsishort-termQuantityofloanablefundsyieldcurveLong-termmarketDl.t.fundsSloanfundsQuantityofloanablefundsilong-term首先假設(shè)不同類型的投資者具有與投資期限相關(guān)的偏好。這些偏好與他們的債務(wù)結(jié)構(gòu)、風(fēng)險厭惡程度有關(guān)——不同期限的債券不能完全代替。認為資金在不同期限市場之間基本是不流動的。不同金融機構(gòu)有不同的負債性質(zhì)，因而對資金的期限有特定需求。這種不同期限市場上資金流動的封閉性，決定了收益率曲線可以有不同的形態(tài)：當(dāng)長期市場上資金供過于求，而短期市場資金供不應(yīng)求，就會形成向下傾斜的收益率曲線。MarketSegmentationTheoryThreeTheoriesofTermStructure1.PureExpectationsTheory2.MarketSegmentationTheory3.LiquidityPremiumTheoryA.PureExpectationsTheoryexplains1and2,butnot3.B.MarketSegmentationTheoryexplains3,butnot1and2C.Solution:CombinefeaturesofbothPureExpectationsTheoryandMarketSegmentationTheorytogetLiquidityPremiumTheoryandexplainallfactsLiquidityPremiumTheoryKeyAssumption: Bondsofdifferentmaturitiesare substitutes,butarenotperfect substitutesImplication: ModifiesPureExpectationsTheory withfeaturesofMarket SegmentationTheoryInvestorsprefershortratherthanlongbondsmustbepaidpositiveliquiditypremium,lnt,toholdlongtermbonds<ahref="://dxb.cqwb/nanchang/">南昌癲癇病醫(yī)院</a><ahref="://dxb.cqwb/jdz/">景德鎮(zhèn)癲癇病醫(yī)院</a>LiquidityPremiumTheoryResultsinfollowingmodificationofPureExpectationsTheory

RelationshipBetweentheLiquidityPremiumandPureExpe