中山大学管院货币银行学课件第5章.pptx

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1、Chapter 5The Behaviour of Interest Rates利率决定理论的发展 古典利率决定理论 魏克赛尔的累计利率理论 流动性偏好理论 罗伯特森可贷资金理论。5-25-3Determinants of Asset Demand5-4Derivation of Bond Demand Curve(债券需求价格的推导）(F P)i = RETe = PPoint A:P = $950($1000 $950)i = = 0.053 = 5.3%$950Bd = $100 billion5-5Derivation of Bond Demand CurvePoint B:P = $

2、900($1000 $900)i = 0.111 = 11.1%$900Bd = $200 billionPoint C: P = $850, i = 17.6% Bd = $300 billionPoint D: P = $800, i = 25.0% Bd = $400 billionPoint E: P = $750, i = 33.0% Bd = $500 billionDemand Curve is Bd in Figure 1 which connects points A, B, C, D, E.Has usual downward slope5-6Derivation of B

3、ond Supply Curve（债券供给曲线的推导）Point F:P = $750, i = 33.0%, Bs = $100 billionPoint G:P = $800, i = 25.0%, Bs = $200 billionPoint C:P = $850, i = 17.6%, Bs = $300 billionPoint H:P = $900, i = 11.1%, Bs = $400 billionPoint I:P = $950, i = 5.3%, Bs = $500 billionSupply Curve is Bs that connects points F, G

4、, C, H, I, and has upward slope5-7Supply and Demand Analysis ofthe Bond MarketMarket Equilibrium1. Occurs when Bd = Bs, at P* = $850, i* = 17.6%2. When P = $950, i = 5.3%, Bs Bd (excess supply): P to P*, i to i*3. When P = $750, i = 33.0, Bd Bs (excess demand): P to P*, i to i*5-8Loanable Funds Term

5、inology（可贷资金术语）1. Demand for bonds = supply of loanable funds2. Supply of bonds = demand for loanable funds5-9Shifts in the Bond Demand Curve（需求曲线的位移）5-10Factors that Shift the Bond Demand Curve（导致债券需求曲线位移的因素）1. WealthA.Economy grows, wealth , Bd , Bd shifts out to right2. Expected ReturnA.i in futu

6、re, Re for long-term bonds , Bd shifts out to rightB.e , Relative Re , Bd shifts out to rightC.Expected return of other assests , Bd , Bd shifts out to right3. RiskA.Risk of bonds , Bd , Bd shifts out to rightB.Risk of other assets , Bd , Bd shifts out to right4. LiquidityA.Liquidity of Bonds , Bd ,

7、 Bd shifts out to rightB.Liquidity of other assets , Bd , Bd shifts out to right5-11Factors that Shift Demand Curve for Bonds5-12Shifts in the Bond Supply Curve(债券供给曲线的位移）1. Profitability of Investment OpportunitiesBusiness cycle expansion, investment opportunities , Bs , Bs shifts out to right2. Ex

8、pected Inflatione , Bs , Bs shifts out to right3. Government ActivitiesDeficits , Bs , Bs shifts out to right5-13Factors that Shift Supply Curve for Bonds我国国债市场结构5-14我国国债发行5-155-16Changes in e: the Fisher EffectIf e 1. Relative RETe , Bd shifts in to left2. Bs , Bs shifts out to right3. P , i 5-17Ev

9、idence on the Fisher Effect 5-18Business Cycle Expansion（经济周期扩张）1.Wealth , Bd , Bd shifts out to right2.Investment , Bs , Bs shifts out to right3.If Bs shifts more than Bd then P , i 5-19Evidence on Business Cycles and Interest Rates5-20Liquidity Preference Analysis(流动性偏好分析）Derivation of Demand Curv

10、e1. Keynes assumed money has i = 02. As i , relative RETe on money (equivalently, opportunity cost of money ) Md 3. Demand curve for money has usual downward slopeDerivation of Supply curve1. Assume that central bank controls Ms and it is a fixed amount2. Ms curve is vertical lineMarket Equilibrium1

11、. Occurs when Md = Ms, at i* = 15%2. If i = 25%, Ms Md (excess supply): Price of bonds , i to i* = 15%3. If i =5%, Md Ms (excess demand): Price of bonds , i to i* = 15%5-21Money Market Equilibrium5-22Rise in Income or the Price Level1. Income , Md , Md shifts out to right2. Ms unchanged3. i* rises f

12、rom i1 to i25-23Rise in Money Supply1. Ms , Ms shifts out to right2. Md unchanged3. i* falls from i1 to i25-245-25Money and Interest RatesEffects of money on interest rates1. Liquidity EffectMs , Ms shifts right, i 2. Income EffectMs , Income , Md , Md shifts right, i 3. Price Level EffectMs , Price

13、 level , Md , Md shifts right, i 4. Expected Inflation EffectMs , e , Bd , Bs , Fisher effect, i Effect of higher rate of money growth on interest rates is ambiguous1. Because income, price level and expected inflation effects work in opposite direction of liquidity effect5-26Does Higher Money Growth Lower Interest Rates?5-27Evidence on Money Growth and Interest Rates