米什金货币金融学(商学院版)第5章课件

Copyright©2010PearsonAddison-Wesley.Allrightsreserved.Chapter6TheRiskandTermStructureofInterestRatesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-2FIGURE1Long-TermBondYields,1919–2008Sources:BoardofGovernorsoftheFederalReserveSystem,BankingandMonetaryStatistics,1941–1970;FederalReserve:©2010PearsonAddison-Wesley.Allrightsreserved.6-36.1RiskStructureofInterestRates•Bondswiththesamematurityhavedifferentinterestratesdueto:–Defaultrisk–Liquidity–TaxconsiderationsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-4RiskStructureofInterestRates•Defaultrisk:probabilitythattheissuerofthebondisunableorunwillingtomakeinterestpaymentsorpayoffthefacevalue–U.S.Treasurybondsareconsidereddefaultfree(governmentcanraisetaxes).–Riskpremium:thespreadbetweentheinterestratesonbondswithdefaultriskandtheinterestrateson(samematurity)TreasurybondsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-5FIGURE2ResponsetoanIncreaseinDefaultRiskonCorporateBondsConclusion:abondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.6-6Table1BondRatingsbyMoody’s,StandardandPoor’s,andFitchCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-7RiskStructureofInterestRates•Liquidity:therelativeeasewithwhichanassetcanbeconvertedintocash–Costofsellingabond–Numberofbuyers/sellersinabondmarketU.S.Treasurybondsarethemostliquidofalllong-termbonds.•Incometaxconsiderations–Interestpaymentsonmunicipalbondsareexemptfromfederalincometaxes.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.6-8FIGURE3InterestRatesonMunicipalandTreasuryBondsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-96.2TermStructureofInterestRates•Bondswithidenticalrisk,liquidity,andtaxcharacteristicsmayhavedifferentinterestratesbecausethetimeremainingtomaturityisdifferentCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-10TermStructureofInterestRates•Yieldcurve:aplotoftheyieldonbondswithdifferingtermstomaturitybutthesamerisk,liquidityandtaxconsiderations–Upward-sloping:long-termratesareaboveshort-termrates–Flat:short-andlong-termratesarethesame–Inverted:long-termratesarebelowshort-termratesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-11FIGURE4MovementsoverTimeofInterestRatesonU.S.GovernmentBondswithDifferentMaturitiesSources:FederalReserve:©2010PearsonAddison-Wesley.Allrightsreserved.6-12FactsTheoryoftheTermStructureofInterestRatesMustExplain1.Interestratesonbondsofdifferentmaturitiesmovetogetherovertime2.Whenshort-terminterestratesarelow,yieldcurvesaremorelikelytohaveanupwardslope;whenshort-termratesarehigh,yieldcurvesaremorelikelytoslopedownwardandbeinverted3.YieldcurvesalmostalwaysslopeupwardCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-13ThreeTheoriestoExplaintheThreeFacts1.Expectationstheoryexplainsthefirsttwofactsbutnotthethird2.Segmentedmarketstheoryexplainsfactthreebutnotthefirsttwo3.LiquiditypremiumtheorycombinesthetwotheoriestoexplainallthreefactsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-146.2.1ExpectationsTheory•Theinterestrateonalong-termbondwillequalanaverageoftheshort-terminterestratesthatpeopleexpecttooccuroverthelifeofthelong-termbond•Buyersofbondsdonotpreferbondsofonematurityoveranother;theywillnotholdanyquantityofabondifitsexpectedreturnislessthanthatofanotherbondwithadifferentmaturity•BondholdersconsiderbondswithdifferentmaturitiestobeperfectsubstitutesCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-15ExpectationsTheory:Example•Letthecurrentrateonone-yearbondbe6%.•Youexpecttheinterestrateonaone-yearbondtobe8%nextyear.•Thentheexpectedreturnforbuyingtwoone-yearbondsaverages(6%+8%)/2=7%.•Theinterestrateonatwo-yearbondmustbe7%foryoutobewillingtopurchaseit.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.6-16ExpectationsTheory12Foraninvestmentof$1=today'sinterestrateonaone-periodbond=interestrateonaone-periodbondexpectedfornextperiod=today'sinterestrateonthetwo-periodbondtettiiiCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-17ExpectationsTheory(cont’d)2222222222Expectedreturnoverthetwoperiodsfrominvesting$1inthetwo-periodbondandholdingitforthetwoperiods(1+)(1+)112()12()Since()isverysmalltheexpectedretttttttiiiiiii2turnforholdingthetwo-periodbondfortwoperiodsis2tiCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-18ExpectationsTheory(cont’d)1111111Iftwoone-periodbondsareboughtwiththe$1investment(1)(1)11()1()()isextremelysmallSimplifyingwegetetteetttteettttettettiiiiiiiiiiiiiiCopyright©2010PearsonAddison-Wesley.Allrightsreserved.6-19ExpectationsTheory(cont’d)2112Bothbondswillbeheldonlyiftheexpectedreturnsareequal22Thetwo-periodratemustequaltheaverageofthetwoone-periodratesForbondswithlongermaturitiesetttetttttntiiiiiiiii12(1)...The-periodinterestrateequalstheaverageoftheone-periodinterestratesexpectedtooccuroverthe-periodlifeofthebondee