中山大学管院货币银行学课件第5章(27页PPT).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=$900($1000$900)i=0.111

2、=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 Bond Supply Curve（债券供给曲线的推导）Point F:P=$750,i=33.0%,Bs=$100 b

3、illionPoint 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,C,H,I,and has upward slope5-7Supply and Demand Analysis ofthe Bond MarketMarket Equilibrium1.Occurs

4、 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 Terminology（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 Cur

5、ve（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 future,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 right

6、3.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,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.Pr

7、ofitability of Investment OpportunitiesBusiness cycle expansion,investment opportunities,Bs,Bs shifts out to right2.Expected 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

8、e:the Fisher EffectIf e 1.Relative RETe,Bd shifts in to left2.Bs,Bs shifts out to right3.P,i 5-17Evidence 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 Cyc

9、les and Interest Rates5-20Liquidity Preference Analysis(流动性偏好分析）Derivation of Demand Curve1.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 contr

10、ols Ms and it is a fixed amount2.Ms curve is vertical lineMarket Equilibrium1.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 ,M

11、d shifts out to right2.Ms unchanged3.i*rises from 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.

12、Price Level EffectMs,Price 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