金融市场与金融机构第五章.ppt

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1、Slide 5-1UNDERSTANDING INTEREST RATES UNDERSTANDING INTEREST RATES Chapter 3Chapter 3 BEHAVIOR OF INTEREST RATES BEHAVIOR OF INTEREST RATES Chapter 4Chapter 4 THE RISK AND TERM STRUCTURE OF INTEREST THE RISK AND TERM STRUCTURE OF INTEREST RATES RATES Chapter 5Chapter 5 THE THEORY OF EFFICIENT CAPITA

2、L MARKETS THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter 6Chapter 6 Part II Principles of Financial MarketsSlide 5-2Chapter FiveTHE RISK AND TERM STRUCTURE OF INTEREST RATESPart II Principles of Financial MarketsSlide 5-3Chapter OutlineRisk Structure of Interest RateTerm Structure of Interest RateS

3、lide 5-4risk structure of interest rates 利率的利率的风险结构风险结构:The relationship among the various interest rates on bonds with the same term to maturity.Risk Structure of Interest RateSlide 5-5Risk Structure of Long Bonds in the United StatesLong-term Bond Yields,1919-1998Slide 5-6Default Risk违约风险违约风险 This

4、 is the possibility that the borrower will not make promised payments-either on time or in full.A bond with default risk will always have a positive risk premium,and an increase in its default risk will raise the risk premium.Slide 5-7The spread between the interest rates on bonds with default risk

5、and default-free bonds,called the risk premium风险溢价Bonds like U.S.Treasury bonds with no default risk are called default-free bonds无违无违约风险债券约风险债券.Slide 5-8Increase in Default Risk on Corporate BondsSlide 5-9Default Risk:Analysts assessmentsExample:Low Quality,speculative,Investment-Quality and/or“Jun

6、k”High Medium LowVery Low GradeS&Ps AAA AA A BBB BB B CCC CC C DMoodys Aaa Aa A Baa Ba B Caa Ca C CHow does“the ratings game”work?Slide 5-10Bonds with relatively low risk of default are called investment-grade securities 投资级债券 and have a rating of Baa(or BBB)and above.Bonds with ratings below Baa(or

7、 BBB)have higher default risk and have been aptly dubbed speculative-grade or junk bonds垃垃圾债券圾债券.Because these bonds always have higher interest rates than investment-grade securities,they are also referred to as high-yield bonds高收益债券.Slide 5-11Slide 5-125-,10-,15-,and 20-year cumulative default rat

8、es(1970-1995)Slide 5-13Liquidity Risk流动性流动性Investors must be concerned with possibility of being unable to quickly convert their securities holdings to cash.Liquidity PremiumsLiquidity PremiumsHighly liquid assets carry the lowest rates,Highly liquid assets carry the lowest rates,low liquidity secur

9、ities typically pay a low liquidity securities typically pay a liquidity premium.liquidity premium.Slide 5-14Decrease in Liquidity of Corporate BondsSlide 5-15Income tax effectsSuppose you purchased a Suppose you purchased a$10,000$10,000 three-year three-year corporate bond that pays corporate bond

10、 that pays$850$850 in interest each in interest each year.Your marginal tax rate is year.Your marginal tax rate is 28%.28%.If you bought the bond If you bought the bond at parat par,your after-tax,your after-tax interest income equals interest income equals$612$612 annually,for an annually,for an ef

11、fective after-tax yield(i*)of 6.12%.effective after-tax yield(i*)of 6.12%.In general,the after-tax yield for a bond In general,the after-tax yield for a bond purchased at par equals:purchased at par equals:i*=i(1-t)i*=i(1-t)Slide 5-16Tax Advantages of Municipal Bonds Slide 5-17Chapter OutlineRisk St

12、ructure of Interest RateTerm Structure of Interest RateSlide 5-18The Term Structure of Interest RatesSuppose you have Suppose you have￥5000 to save,and 5000 to save,and you observe the following CD rates at your you observe the following CD rates at your bank:bank:First,mentally graph the rates agai

13、nst time to maturity.What does the shape of your graph look like?Slide 5-19Slide 5-20What does the Term Structure look like in China now?0123456171615141312111098765234Number of Years to MaturitySlide 5-21The Term Structure of Interest RatesDefinition-the relationship between an interest rate and th

14、e maturity on a security assuming everything else remains the same.Slide 5-22中国收益率曲线举例：中国收益率曲线举例：中国债券信息网（）上发布的“收益率曲线”，采用了逐级链接的方式，使用者进入“收益率曲线”页面后：1、鼠标悬停图中任一的样本时点，图的左上方即可显示时间天数和对应的收益率值。2、点击“回购利率曲线”字段，可得到回购各品种的数据列表和曲线分析。3、点击图中任一的样本债券，进入该债券的详细报价数据和历史趋势图形页面，此页面下点击“更多技术分析”字段，进入技术分析页面，系统提供了K线图、移动平均线等分析工具供使

15、用者选择。Slide 5-23Yield Curves at Various Points in Time in U.S.051015202530171615141312111098765234February 17,1982February 17,1982January 2,1985January 2,1985October 22,1996October 22,1996September 18,2001September 18,2001August 2,1989August 2,1989October 15,2000October 15,2000Annualized Treasury Sec

16、urity YieldsNumber of Years to MaturitySlide 5-24Interest Rates on Different Maturity Bonds Move TogetherSlide 5-25Term Structure Facts to Be ExplainedFact 1.Interest rates for different maturities move together Fact 2.Yield curves tend to have steep upward slope when short rates are low and downwar

17、d slope when short rates are highFact 3.Yield curve is typically upward sloping Yield Slide 5-26Theories of the term structure of interest ratesThere are three common theories of the term structure of interest rates:the pure expectations theory(PET)完完全预期理论全预期理论the market segmentation theory市场分市场分割理论

18、割理论the liquidity premium theory流动性溢酬流动性溢酬理论理论Slide 5-27Pure Expectations TheoryKey Assumption:Bonds of different maturities areKey Assumption:Bonds of different maturities are perfect substitutes perfect substitutesSlide 5-28ExampleAssumptions:Assumptions:You can borrow and lend at the same interest

19、 You can borrow and lend at the same interest rate.rate.You have perfect foresight.You have perfect foresight.The interest rate on a 2-year loan is 10%.The interest rate on a 2-year loan is 10%.The interest rate on a 1-year loan starting now is The interest rate on a 1-year loan starting now is 9.5%

20、.9.5%.The interest rate on a 1-year loan starting 1 year The interest rate on a 1-year loan starting 1 year from now will be 11%.from now will be 11%.Question.Suppose you are looking for a way Question.Suppose you are looking for a way to get rich?to get rich?What should you do?What should you do?(W

21、ork out an example with$1000.)(Work out an example with$1000.)Slide 5-29Slide 5-30Slide 5-31Slide 5-32Since(Since(i i2 2t t)2 is extremely small,)2 is extremely small,it it(ietiet+1)is also extremely small,+1)is also extremely small,Slide 5-33More generally for n-period bond:In words:Interest rate o

22、n long bond=average of short rates expected to occur over life of long bondSlide 5-34In general,any long-term interest rate can be expressed by the following:where;int=market rate on an n-period security at time t,it =market rate on a 1-period security at time t,It+1=1-period forward rate on a secur

23、ity to be delivered one year from the present(t+1),It+2=1-period forward rate on a security to be delivered two years from the present(t+2),It+n-1=1-period forward rate on a security to be delivered one period before maturity(t+n-1)Slide 5-35Pure Expectations Theory and Term Structure FactsExplains

24、why yield curve has different slopes:1.When short rates expected to rise in future,average of future short rates=int is above todays short rate:therefore yield curve is upward sloping2.2.When short rates expected to stay same in future,average of future short rates same as todays,and yield curve is

25、flat3.3.Only when short rates expected to fall will yield curve be downward slopingSlide 5-36Pure Expectations Theory and Term Structure FactsPure Expectations Theory explains Fact 1 that short and long rates move together1.Short rate rises are persistent 1.Short rate rises are persistent 2.If 2.If

26、i it t today,today,i ie et t+1+1,i ie et t+2+2 etc.etc.average of average of future rates future rates i intnt 3.Therefore:3.Therefore:i it t i intnt ,i.e.,short and long,i.e.,short and long rates move togetherrates move togetherSlide 5-37Pure Expectations Theory and Term Structure FactsExplains Fac

27、t 2 that yield curves tend to have steep slope when short rates are low and downward slope when short rates are high1.When short rates are low,they are expected to 1.When short rates are low,they are expected to rise to normal level,and long rate=average of rise to normal level,and long rate=average

28、 of future short rates will be well above todays short future short rates will be well above todays short rate:yield curve will have steep upward sloperate:yield curve will have steep upward slope2.When short rates are high,they will be expected 2.When short rates are high,they will be expected to f

29、all in future,and long rate will be below to fall in future,and long rate will be below current short rate:yield curve will have current short rate:yield curve will have downward slopedownward slopeSlide 5-38Pure Expectations Theory and Term Structure FactsDoesnt explain Fact 3 that yield curve usua

30、lly has upward slopeShort rates as likely to fall in future as rise,so Short rates as likely to fall in future as rise,so average of expected future short rates will not average of expected future short rates will not usually be higher than current short rate:usually be higher than current short rat

31、e:therefore,yield curve will not usually slope upwardtherefore,yield curve will not usually slope upwardSlide 5-39预期理论（预期理论（Expectation Theory）假说条件：假说条件：持有债券和从事债券交易时没有税收和成持有债券和从事债券交易时没有税收和成本的影响本的影响没有违约风险；没有违约风险；具有完善的货币市场，资金的借贷双方能具有完善的货币市场，资金的借贷双方能够正确合理地预期短期利率的未来值；够正确合理地预期短期利率的未来值；所有投资者都是利润最大化的追求者所有投

32、资者都是利润最大化的追求者不同期限的债券可以不同期限的债券可以完全替代完全替代Slide 5-40Market Segmentation TheoryKey Assumption:Key Assumption:Bonds of different maturities are Bonds of different maturities are not substitutes at allnot substitutes at allImplication:Implication:Markets are completely segmented:Markets are completely seg

33、mented:interest rate at each maturityinterest rate at each maturitydetermined separatelydetermined separatelyExplains Fact 3 that yield curve is usually upward Explains Fact 3 that yield curve is usually upward slopingslopingPeople typically prefer short holding periods and thus have People typicall

34、y prefer short holding periods and thus have higher demand for short-term bonds,which have higher higher demand for short-term bonds,which have higher prices and lower interest rates than long bondsprices and lower interest rates than long bondsDoes not explain Fact 1 or Fact 2 because assumes Does

35、not explain Fact 1 or Fact 2 because assumes long and short rates determined independently long and short rates determined independently Slide 5-41Pure market segmentationShort-term and long term markets are segmented.Short-term marketDs.t.fundsSs.t.fundsishort-termQuantity of loanable fundsyield cu

36、rveLong-term marketDl.t.fundsSloan fundsQuantity of loanable fundsilong-termSlide 5-42首先假设不同类型的投资者具有与投资期限相关首先假设不同类型的投资者具有与投资期限相关的偏好。这些偏好与他们的债务结构、风险厌的偏好。这些偏好与他们的债务结构、风险厌恶恶 程度有关程度有关不同期限的债券不能完全代不同期限的债券不能完全代替。替。认为资金在不同期限市场之间基本是不流动认为资金在不同期限市场之间基本是不流动的。不同金融机构有不同的负债性质，因而对资的。不同金融机构有不同的负债性质，因而对资金的期限有特定需求。金的期

37、限有特定需求。这种不同期限市场上资金流动的封闭性，决定了这种不同期限市场上资金流动的封闭性，决定了收益率曲线可以有不同的形态：当长期市场上资收益率曲线可以有不同的形态：当长期市场上资金供过于求，而短期市场资金供不应求，就会形金供过于求，而短期市场资金供不应求，就会形成向下倾斜的收益率曲线。成向下倾斜的收益率曲线。Market Segmentation TheorySlide 5-43Three Theories of Term Structure1.Pure Expectations Theory 2.Market Segmentation Theory3.Liquidity Premium

38、TheoryA.Pure Expectations Theory explains 1 and 2,but not 3.B.Market Segmentation Theory explains 3,but not 1 and 2C.Solution:Combine features of both Pure Expectations Theory and Market Segmentation Theory to get Liquidity Premium Theory and explain all factsSlide 5-44Liquidity Premium TheoryKey As

39、sumption:Bonds of different maturities aresubstitutes,but are not perfectsubstitutesImplication:Modifies Pure Expectations Theorywith features of MarketSegmentation Theory Investors prefer short rather than long bonds must be paid positive liquidity premium,lnt,to hold long term bondsSlide 5-45Liqui

40、dity Premium TheoryResults in following modification of Pure Expectations Theory Slide 5-46Relationship Between the Liquidity Premium and Pure Expectations TheorySlide 5-47Numerical Example:1.One-year interest rate over the next five years:5%,6%,7%,8%and 9%2.Investors preferences for holding short-t

41、erm bonds so liquidity premium for one to five-year bonds:0%,0.25%,0.5%,0.75%and 1.0%.Slide 5-48Numerical Example:Interest rate on the two-year bond:0.25%+(5%+6%)/2=5.75%Interest rate on the five-year bond:1.0%+(5%+6%+7%+8%+9%)/5=8%Interest rates on one to five-year bonds:5%,5.75%,6.5%,7.25%and 8%Co

42、mparing with those for the pure expectations theory,liquidity premium theory produces yield curves more steeply upward sloped Slide 5-49Liquidity Premium Theory:Term Structure FactsExplains all 3 FactsExplains Fact 3 of usual upward sloped yield curve by liquidity premium for long-term bondsExplains Fact 1 and Fact 2 using same explanations as pure expectations theory because it has average of future short rates as determinant of long rateSlide 5-50Market Predictions of Future Short RatesSlide 5-51 THE END!