【PPT精品课件】货币金融学7版英文课件--4-大学课件20.ppt

2005 Pearson Education Canada Inc.Chapter 4UnderstandingInterest Rates 2005 Pearson Education Canada Inc.2005 Pearson Education Canada Inc.Four Types of Credit Instruments1.Simple loan2.Fixed-payment loan3.Coupon bond4.Discount(zero coupon)bondConcept of Present ValueSimple loan of$1 at 10%interestYear123n$1.10$1.21$1.33$1x(1+i)n$1PV of future$1=(1+i)nPresent Value2 2005 Pearson Education Canada Inc.Yield to Maturity:LoansYield to maturity=interest rate that equates todays value with present value of all future payments1.Simple Loan(i=10%)$100=$110/(1+i)$110$100$10i=0.10=10%$100$1002.Fixed Payment Loan(i=12%)$126$126$126$126$1000 =+.+(1+i)(1+i)2 (1+i)3 (1+i)25 FP FP FP FPLV=+.+(1+i)(1+i)2 (1+i)3 (1+i)n3 2005 Pearson Education Canada Inc.Yield to Maturity:Bonds4.Discount Bond(P=$900,F=$1000),one year$1000$900=(1+i)$1000$900i=0.111=11.1%$900F Pi=P3.Coupon Bond(Coupon rate=10%=C/F)$100$100$100$100$1000P=+.+(1+i)(1+i)2(1+i)3 (1+i)10 (1+i)10C C C C FP=+.+(1+i)(1+i)2(1+i)3(1+i)n (1+i)nConsol:Fixed coupon payments of$C foreverCCP=i =iP4 2005 Pearson Education Canada Inc.Relationship Between Price and Yield to MaturityThree Interesting Facts in Table 11.When bond is at par,yield equals coupon rate2.Price and yield are negatively related3.Yield greater than coupon rate when bond price is below par value5 2005 Pearson Education Canada Inc.Current Yield C ic=PTwo Characteristics1.Is better approximation to yield to maturity,nearer price is to par and longer is maturity of bond2.Change in current yield always signals change in same direction as yield to maturityYield on a Discount Basis(F P)365idb =xP(number of days to maturity)A 91-day bill,P =$988,F=$1000$1000$988365idb=x=0.0487=4.8%$98891Two CharacteristicsTwo Characteristics1.Understates yield to maturity2.Change in discount yield always signals change in same direction as yield to maturity6 2005 Pearson Education Canada Inc.Bond Page of the Newspaper:Canada Bonds4-7 2005 Pearson Education Canada Inc.Bond Page of the Newspaper:Provincial and Municipal Bonds4-8 2005 Pearson Education Canada Inc.Bond Page of the Newspaper:Corporate Bonds4-9 2005 Pearson Education Canada Inc.Distinction Between Interest Rates and ReturnsRate of ReturnC+Pt+1 PtRET=ic+gPtCwhere:ic=current yieldPtPt+1 Ptg=capital gainPt10 2005 Pearson Education Canada Inc.Key Facts about RelationshipBetween Interest Rates and Returns11 2005 Pearson Education Canada Inc.Maturity and the Volatility of Bond ReturnsKey Findings from Table 21.Only bond whose return=yield is one with maturity=holding period2.For bonds with maturity holding period,i P implying capital loss3.Longer is maturity,greater is%price change associated with interest rate change4.Longer is maturity,more return changes with change in interest rate5.Bond with high initial interest rate can still have negative return if i Conclusion from Table 2 Analysis1.Prices and returns more volatile for long-term bonds because have higher interest-rate risk2.No interest-rate risk for any bond whose maturity equals holding period12 2005 Pearson Education Canada Inc.Distinction Between Real and Nominal Interest RatesReal Interest RateInterest rate that is adjusted for expected changes in the price levelir=i e1.Real interest rate more accurately reflects true cost of borrowing2.When real rate is low,greater incentives to borrow and less to lendif i=5%and e=3%then:ir=5%3%=2%if i=8%and e=10%then ir=8%10%=2%13 2005 Pearson Education Canada Inc.U.S.Real and Nominal Interest Rates14