布兰查德宏观经济学.ppt

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1、Chapter 15:Financial Markets and ExpectationsBond Pricesand Bond YieldsBonds differ in two basic dimensions:Default risk,the risk that the issuer of the bond will not pay back the full amount promised by the bond.Maturity,the length of time over which the bond promises to make payments to the holder

2、 of the bond.Bonds of different maturities each have a price and an associated interest rate called the yield to maturity,or simply the yield.15-11Chapter 15:Financial Markets and ExpectationsBond Pricesand Bond YieldsU.S.Yield Curves:November 1,2000 and June 1,2001The yield curve,which was slightly

3、 downward sloping in November 2000,was sharply upward sloping seven months later.The relation between maturity and yield is called the yield curve,or the term structure of interest rates.Figure 15-12Chapter 15:Financial Markets and ExpectationsGovernment bonds are bonds issued by government agencies

4、.Corporate bonds are bonds issued by firms.Bond ratings are issued by Standard and Poors Corporation and Moodys Investors Service.The risk premium is the difference between the interest rate paid on a given bond and the interest rate paid on the bond with the highest rating.The Vocabulary of Bond Ma

5、rkets3Chapter 15:Financial Markets and ExpectationsBonds with high default risk are often called junk bonds.Bonds that promise a single payment at maturity are called discount bonds.The single payment is called the face value of the bond.Bonds that promise multiple payments before maturity and one p

6、ayment at maturity are called coupon bonds.The payments are called coupon payments.The Vocabulary of Bond Markets4Chapter 15:Financial Markets and ExpectationsThe ratio of the coupon payments to the face value of the bond is called the coupon rate.The current yield is the ratio of the coupon payment

7、 to the price of the bond.The life of a bond is the amount of time left until the bond matures.The Vocabulary of Bond Markets5Chapter 15:Financial Markets and ExpectationsU.S.government bonds classified by maturity:Treasury bills,or T-bills:Up to one year.Treasury notes:One to ten years.Treasury bon

8、ds:Ten years or more.Bonds typically promise to pay a sequence of fixed nominal payments.However,other types of bonds,called indexed bonds,promise payments adjusted for inflation rather than fixed nominal payments.The Vocabulary of Bond Markets6Chapter 15:Financial Markets and ExpectationsBond Price

9、s as Present ValuesConsider two types of bonds:A one-year bonda bond that promises one payment of$100 in one year.A two-year bonda bond that promises one payment of$100 in two years.Price of the one-year bond:Price of the two-year bond:7Chapter 15:Financial Markets and ExpectationsArbitrage and Bond

10、 PricesReturns from Holding 1-Year and 2-Year Bonds for 1 YearFigure 15-18Chapter 15:Financial Markets and ExpectationsArbitrage and Bond PricesIf you hold a two-year bond,the price at which you will sell it next year is uncertainrisky.For every dollar you put in one-year bonds,you will get(1+i1t)do

11、llars next year.For every dollar you put in two-year bonds,you can expect to receive$1/$P2t times$Pe1t+1 dollars next year.9Chapter 15:Financial Markets and ExpectationsArbitrage and Bond PricesThe expectations hypothesis states that investors care only about expected return.If two bonds offer the s

12、ame expected one-year return,then:Expected return per dollar from holding a two-year bond for one year.Return per dollar from holding a one-year bond for one year.10Chapter 15:Financial Markets and ExpectationsArbitrage and Bond PricesArbitrage relations are relations that make the expected returns

13、on two assets equal.Arbitrage implies that the price of a two-year bond today is the present value of the expected price of the bond next year.The price of a one-year bond next year will depend on the one-year rate next year.11Chapter 15:Financial Markets and ExpectationsArbitrage and Bond PricesGiv

14、enandand,then:,then:In words,the price of two-year bonds is the In words,the price of two-year bonds is the present value of the payment in two yearspresent value of the payment in two yearsdiscounted using current and next years discounted using current and next years expected one-year interest rat

15、e.expected one-year interest rate.12Chapter 15:Financial Markets and ExpectationsFrom Bond Prices to Bond YieldsThe yield to maturity on an n-year bond,or the n-year interest rate,is the constant annual interest rate that makes the bond price today equal to the present value of future payments of th

16、e bond.,then:,then:therefore:therefore:From here,we can solve for From here,we can solve for i i2t2t.13Chapter 15:Financial Markets and ExpectationsFrom Bond Prices to Bond YieldsThe yield to maturity on a two-year bond,is closely approximated by:In words,the two-year interest rate is the In words,t

17、he two-year interest rate is the average of the current one-year interest rate and average of the current one-year interest rate and next years expected one-year interest rate.next years expected one-year interest rate.Long-term interest rates reflect current and future expected short-term interest

18、rates.14Chapter 15:Financial Markets and ExpectationsInterpreting the Yield CurveAn upward sloping yield curve means that long-term interest rates are higher than short-term interest rates.Financial markets expect short-term rates to be higher in the future.A downward sloping yield curve means that

19、long-term interest rates are lower than short-term interest rates.Financial markets expect short-term rates to be lower in the future.Using the following equation,you can fine out what financial markets expect the 1-year interest rate to be 1 year from now:15Chapter 15:Financial Markets and Expectat

20、ionsThe Yield Curveand Economic ActivityThe U.S.economy as of November 2000In November 2000,the U.S.economy was operating above the natural level of output.Forecasts were for a“soft landing,a return of output to the natural level of output,and a small decrease in interest rates.Figure 15-316Chapter

21、15:Financial Markets and ExpectationsThe Yield Curveand Economic ActivityThe U.S.Economy from November 2000 to June 2001From November 2000 to June 2001,an adverse shift in spending,together with a monetary expansion,combined to lead to a decrease in the short-term interest rate.Figure 15-417Chapter

22、15:Financial Markets and ExpectationsThe Yield Curveand Economic ActivityFrom this figure,you can see the two major developments:The adverse shift in spending was stronger than had been expected.Instead of shifting from IS to IS as forecast,the IS curve shifted by much more,to IS.Realizing that the

23、slowdown was stronger than it had anticipated,the Fed shifted in early 2001 to a policy of monetary expansion,leading to a downward shift in the LM curve.18Chapter 15:Financial Markets and ExpectationsThe Yield Curveand Economic ActivityThe Expected Path of the U.S.Economy as of June 2001In June 200

24、1,financial markets expected stronger spending and tighter monetary policy to lead to higher short-term interest rates in the future.Figure 15-519Chapter 15:Financial Markets and ExpectationsThe Yield Curveand Economic ActivityFinancial markets expected two main developments:They expected a pickup i

25、n spending-a shift of the IS curve to the right,from IS to IS.They also expected that,once the IS curve started shifting to the right and output started to recover,the Fed would start shifting back to a tighter monetary policy.20Chapter 15:Financial Markets and ExpectationsThe Stock Market and Movem

26、ents in Stock PricesFirms raise funds in two ways:Through debt finance bonds and loans;andThrough equity finance,through issues of stocksor shares.Bonds pay predetermined amounts;stocks pay dividends from the firms profits.15-221Chapter 15:Financial Markets and ExpectationsThe Stock Market andMoveme

27、nts in Stock PricesStandard and Poors Stock Price Index,in Real Terms since 1980Nominal stock prices have multiplied by 25 since 1960.Real stock prices have only multiplied by 4.Real stock prices went through a slump until the late 1980s.Only since then have they grown rapidly.Figure 15-622Chapter 1

28、5:Financial Markets and ExpectationsStock Prices as Present ValuesThe price of a stock must equal the present value of future expected dividends,or the present value of the dividend next year,of two years from now,and so on:In real terms,23Chapter 15:Financial Markets and ExpectationsStock Prices as

29、 Present ValuesThis relation has two important implications:Higher expected future real dividends lead to a higher real stock price.Higher current and expected future one-year real interest rates lead to a lower real stock price.24Chapter 15:Financial Markets and ExpectationsThe Stock Marketand Econ

30、omic ActivityStock prices follow a random walk if each step they take is as likely to be up as it is to be down.Their movements are therefore unpredictable.Even though major movements in stock prices cannot be predicted,we can still do two things:We can look back and identify the news to which the m

31、arket reacted.We can ask“what if questions.25Chapter 15:Financial Markets and ExpectationsA Monetary Expansionand the Stock MarketAn Expansionary Monetary Policy and the Stock MarketA monetary expansion decreases the interest rate and increases output.What it does to the stock market depends on whet

32、her financial markets anticipated the monetary expansion.Figure 15-726Chapter 15:Financial Markets and ExpectationsAn Increase in ConsumerSpending and the Stock MarketAn Increase in Consumption Spending and the Stock MarketThe increase in consumption spending leads to a higher interest rate and a hi

33、gher level of output.What happens to the stock market depends on the slope of the LM curve and on the Feds behavior.Figure 15 8(a)27Chapter 15:Financial Markets and ExpectationsAn Increase in ConsumerSpending and the Stock MarketAn Increase in Consumption Spending and the Stock MarketIf the LM curve

34、 is flat,the interest rate increases little,and output increases a lot.Stock prices go up.If the LM curve is steep,the interest rate increases a lot,and output increases little.Figure 15 8(b)28Chapter 15:Financial Markets and ExpectationsAn Increase in ConsumerSpending and the Stock MarketAn Increas

35、e in Consumption Spending and the Stock MarketIf the Fed accommodates,the interest rate does not increase,but output does.Stock prices go up.If the Fed decides instead to keep output constant,the interest rate increases,but output does not.Stock prices go down.Figure 15 8(c)29Chapter 15:Financial Ma

36、rkets and ExpectationsAn Increase in ConsumerSpending and the Stock MarketThere are several things the Fed may do after receiving news of strong economic activity:They may accommodate,or increase the money supply in line with money demand so as to avoid an increase in the interest rate.They may keep

37、 the same monetary policy,leaving the LM curve unchanged causing the economy to move along the LM curveOr the Fed may worry that an increase in output above YA may lead to an increase in inflation.Making(Some)Sense of(Apparent)Nonsense:Why the Stock Market Moved Yesterday,and Other StoriesTry to mak

38、e sense of these quotes from The Wall Street Journal.30Chapter 15:Financial Markets and ExpectationsBubbles,Fads,and Stock PricesStock prices are not always equal to their fundamental value,or the present value of expected dividends.Rational speculative bubbles occur when stock prices increase just

39、because investors expected them to.Deviations of stock prices from their fundamental value are called fads.15-3Famous Bubbles:From Tulipmania in Seventeenth-Century Holland to Russia in 1994.Two accounts of fads,tulips and worthless stocks,that eventually flopped.31Chapter 15:Financial Markets and E

40、xpectationsKey Termsdefault riskmaturityyield curveterm structure of interest ratesgovernment bondscorporate bondsbond ratingsrisk premiumjunk bondsdiscount bondsface valuecoupon bondscoupon paymentscoupon ratecurrent yieldlife(of a bond)Treasury bills,or T-billsTreasury notesTreasury bondsindexed bondsexpectations hypothesisarbitrageyield to maturity,or n-year interest ratesoft landingdebt financeequity financeshares,or stocksdividendsrandom walkFed accommodationfundamental valuerational speculative bubblesfads32