【PPT精品课件】货币金融学7版英文课件--4-大学课件20

Chapter4UnderstandingInterestRates©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.4-2FourTypesofCreditInstruments1.Simpleloan2.Fixed-paymentloan3.Couponbond4.Discount(zerocoupon)bondConceptofPresentValueSimpleloanof$1at10%interestYear123n$1.10$1.21$1.33$1x(1+i)n$1PVoffuture$1=(1+i)nPresentValue©2005PearsonEducationCanadaInc.4-3YieldtoMaturity:LoansYieldtomaturity=interestratethatequatestoday’svaluewithpresentvalueofallfuturepayments1.SimpleLoan(i=10%)$100=$110/(1+i)$110–$100$10i===0.10=10%$100$1002.FixedPaymentLoan(i=12%)$126$126$126$126$1000=+++...+(1+i)(1+i)2(1+i)3(1+i)25FPFPFPFPLV=+++...+(1+i)(1+i)2(1+i)3(1+i)n©2005PearsonEducationCanadaInc.4-4YieldtoMaturity:Bonds4.DiscountBond(P=$900,F=$1000),oneyear$1000$900=(1+i)$1000–$900i==0.111=11.1%$900F–Pi=P3.CouponBond(Couponrate=10%=C/F)$100$100$100$100$1000P=+++...++(1+i)(1+i)2(1+i)3(1+i)10(1+i)10CCCCFP=+++...++(1+i)(1+i)2(1+i)3(1+i)n(1+i)nConsol:Fixedcouponpaymentsof$CforeverCCP=i=iP©2005PearsonEducationCanadaInc.4-5RelationshipBetweenPriceandYieldtoMaturityThreeInterestingFactsinTable11.Whenbondisatpar,yieldequalscouponrate2.Priceandyieldarenegativelyrelated3.Yieldgreaterthancouponratewhenbondpriceisbelowparvalue©2005PearsonEducationCanadaInc.4-6CurrentYieldCic=PTwoCharacteristics1.Isbetterapproximationtoyieldtomaturity,nearerpriceistoparandlongerismaturityofbond2.ChangeincurrentyieldalwayssignalschangeinsamedirectionasyieldtomaturityYieldonaDiscountBasis(F–P)365idb=xP(numberofdaystomaturity)A91-daybill,P=$988,F=$1000$1000–$988365idb=x=0.0487=4.8%$98891TwoCharacteristics1.Understatesyieldtomaturity2.Changeindiscountyieldalwayssignalschangeinsamedirectionasyieldtomaturity©2005PearsonEducationCanadaInc.BondPageoftheNewspaper:CanadaBonds4-7©2005PearsonEducationCanadaInc.BondPageoftheNewspaper:ProvincialandMunicipalBonds4-8©2005PearsonEducationCanadaInc.BondPageoftheNewspaper:CorporateBonds4-9©2005PearsonEducationCanadaInc.4-10DistinctionBetweenInterestRatesandReturnsRateofReturnC+Pt+1–PtRET==ic+gPtCwhere:ic==currentyieldPtPt+1–Ptg==capitalgainPt©2005PearsonEducationCanadaInc.4-11KeyFactsaboutRelationshipBetweenInterestRatesandReturns©2005PearsonEducationCanadaInc.4-12MaturityandtheVolatilityofBondReturnsKeyFindingsfromTable21.Onlybondwhosereturn=yieldisonewithmaturity=holdingperiod2.Forbondswithmaturityholdingperiod,iPimplyingcapitalloss3.Longerismaturity,greateris%pricechangeassociatedwithinterestratechange4.Longerismaturity,morereturnchangeswithchangeininterestrate5.BondwithhighinitialinterestratecanstillhavenegativereturnifiConclusionfromTable2Analysis1.Pricesandreturnsmorevolatileforlong-termbondsbecausehavehigherinterest-raterisk2.Nointerest-rateriskforanybondwhosematurityequalsholdingperiod©2005PearsonEducationCanadaInc.4-13DistinctionBetweenRealandNominalInterestRatesRealInterestRateInterestratethatisadjustedforexpectedchangesinthepricelevelir=i–e1.Realinterestratemoreaccuratelyreflectstruecostofborrowing2.Whenrealrateislow,greaterincentivestoborrowandlesstolendifi=5%ande=3%then:ir=5%–3%=2%ifi=8%ande=10%thenir=8%–10%=–2%©2005PearsonEducationCanadaInc.4-14U.S.RealandNominalInterestRates