THEDETERMINATESOFINTERESTRATES(金融市场学,上

THEDETERMINATESOFINTERESTRATESChapter7BankManagementDeterminatesofInterestRateLevelsTwogeneralmodelscanbecategorizedunderthelabels:1.liquiditypreferencetheory2.loanablefundstheoryLoanableFundsTheorySupplyofandDemandforLoanableFundsThedemandforloanablefundsrepresentsthebehaviorofborrowersandthusthesupplyofalldebtinstruments.Thesupplyofloanablefundsrepresentsthebehavioroflendersandthusthedemandforowningdebtinstruments.Thelevelofinterestratesisdeterminedasthemarketclearingrate,if.Anychangeintherisk-freeraterepresentsamovementalongDFandSF.SF(lenders)SupplyofloanablefundsDF(borrowers)DemandforloanablefundsLoanableFunds$Riskfreerate%ifQLFactorsaffectingtheSupplyofLoanableFunds.Individualswithexcessincome,maysimplychoosetoreducetheirholdingsofmoneyandsubstituteearningsassets.Theprimarycatalystsaretheexpectedrateofreturnanddegreeofriskassociatedwithdifferentinvestments.Individualsbuysecuritiesaspartoffinancialplansforfutureexpenditures.Nonfinancialbusinessesoftenhaveexcesscashthattheyinvesttemporarily.Supplyofloanablefunds(continued).Stateandlocalgovernmentsinvestexcesscashinsecurities.Thefederalgovernment,throughtheFederalReserveSystem,expandsandcontractsthegrowthrateinthebankingsystem'sreserves.ForeigninvestorsviewU.S.securitiesasalternativestotheirowndomesticsecuritiesandpurchasethosewiththemostattractiverisk/returnfeatures.FactorsaffectingtheDemandforLoanableFunds.Individualsborrowtofinancehousinganddurablegoods.Businessesborrowtofinanceworkingcapitalneedsandcapitalexpenditures.Stateandlocalgovernmentunitsregularlyissuedebttofinancetemporaryimbalancesbetweenoperatingrevenuesandexpenses.Thefederalgovernmenthasoperatedatasubstantialbudgetdeficitduringthepasttwodecades.ChangesinsupplyanddemandforLoanableFundsIncreasedborrowingbyStateandlocalgovernmentsfromanincreasetheircapitalexpendituresonroadsandutilities.Flowoffunds,FRBoardofGovernors’’i’fTheimpactonratesandthequantityofloanablefundsisrepresentedbyashiftfromDF1toDF2JapaneseinvestorsrefrainfrombuyingU.S.interest-bearingsecurities.ThisrepresentsadecreaseinthesupplyofloanablefundsfromSF1toSF2LoanableFunds$Riskfreerate%SF1DFSF2I’’I’fq2q1TherelationshipbetweeninflationandthelevelofinterestratesTheFisherrelationdecomposesthenominalmarketinterestrate(i)into:anexpectedrealinterestratecomponent(r),anexpectedinflationpremium(pe),andthecross-productbetweentherealrateandexpectedinflationpremium:(1+i)=(1+r)(1+pe),ori=r+pe+rxpeThecrossproducttermrxpeisoftenignored,hencethenominalrateiscomposedoftherealrateofinterestplusexpectedinflation:i=r+peTheFisherRelation:i=r+peTheexpectedrealrate,r,representstherequiredreturntoinvestorstocompensatethemforpostponingconsumption.Theinflationpremiumisthereturnneededtocompensateinvestorsforthelossofpurchasingpower.Therelationshipbetweennominalinterestratesandinflation.Fishereffectimpliesaone-to-onerelationshipbetweenchangesinexpectedinflationandchangesinnominalinterestrates.i=r+peFisherassumedthattheexanterealrateisconstant,henceapedoesnotaffectr:i=peThenominalinterestratefullyadjuststochangesinexpectedinflation.Asexpectedinflationincreasesfrom2to5%,themarketratechangesfrom5to8%.A.FisherRelation:i=r+pePeriodpeNominalMarketrateExanterealrateExpectedinflationrateiRelationshipbetweenpeandi12=3+-1213=3+01i=pe325=3+22i=pe438=3+53i=pe5210=3+72i=peTherelationshipbetweenchangesinexpectedinflationandtherealrate,expectedinflation,andnominalinterestrates(percentages)TheFishereffectMundell-Tobin…lessthanone-to-onerelationshipbetweenchangesinnominalinterestratesandexpectedinflationduetoarealmoneybalanceeffect.Withinflation--moneybalancesdepreciate,inrealtermsSincemoneyispartofwealth,realwealthdecreases.Savingsarestimulatedtomakeupforthelossinrealwealth.Assavingsisincreased,thesupplyofloanablefundsincreases,hencetherealrateofinterestfalls.Mundell-Tobin(continued)Sincerfalls,fromanincreaseinsavings,aspeincreases,whatistheimpactoni??i=r+peWedoknowthat:ipe.Hence,alessthataone-to-onerelationshipbetweenchangesinnominalrates,i,andexpectedinflation,pe.B.Mundell-Tobin:rvariesinverselywithpe:i=r+pePeriodpeNominalMarketrateExanterealrateExpectedinflationrateiRelationshipbetweenpeandi12.60=3.60+-1213.25=3.25+00.65ipe325.00=3.00+21.75ipe437.60=2.60+52.60ipe529.50=2.50+71.90ipeTherelationshipbetweenchangesinexpectedinflationandtherealrate,expectedinflation,andnominalinterestrates(Percentages)Mundell-Tobin…lessthanone-to-onerelationshipbetweenchangesinnominalinterestratesandexpectedinflation.Darby-Feldstein…greaterthanone-to-onerelationshipbetweenchangesinnominalinterestratesandexpectedinflation.Assumeslendersareconcernedprimarilywithexpectedafter-taxrealrates,rat=i(1-t)-pe.Solvingfori,i=rat/(1-t)+pe/(1-t).Marketinterestrateschangebymorethanthechangeinexpectedinflationtocompensateinvestorsfortheadditionaltaxespaidonhighernominalreturns.Darby-Feldstein…thedifferencebetweenFisherandDarby-Feldsteinisthet