[资本市场和金融机构].2

1InterestRates1.Definition2.FluctuationofinterestratesShiftsonDemandShiftsonSupply3.Typesofinterestrates4.AnalysisofBondValuation5.RiskandTermStructureofInterestRates(TSIR)5.1DeterminantsofRiskStructure(RSIR)5.2TSIR(YieldCurve).Theories:A)PureExpectationsTheoryB)MarketSegmentationTheoryC)LiquidityTheory6.PredictivePoweroftheYieldCurve6.1Futureinterestrates6.2Economicgrowth7.Conclusions21.InterestRate(i)i=CostofborrowingorlendingmoneyItplaysapivotalrolein:theInvestmentandFinancingofassets(real,financial)byindividuals,companies,governmentsandFItheperformanceoftheeconomyDeterminedintheDebtMarkets(supplyanddemand)andbygovernmentintervention.CentralBankMonetarypolicy(i,M)Isthereanappropriatelevelofi?3InterestRateHowtheinterestratesaredetermined?Whatexplainsthefluctuationofinterestrates?Mostaccuratemeasureofinterestrate:YieldtomaturityExampleappliedtobondvaluation4DeterminationofInterestRate(i)Approaches1)AnalysisofDemandofloanablefundsandSupplyofloanablefunds2)AnalysisofDemandforandsupplyofbondsSupplyofloanablefundsbyhouseholdsandfirms.ThehighertheithehigherthequantityofloanablefundsofferedDemandofloanablefundsbyhouseholdsandfirmsReasonsforConsumer?ForFirms?TotalDemand=DemandbyhouseholdsandfirmsDeterminantsoftheDemandandSupply5SupplyandDemandforLoanableFundsInterestRate(i)SupplyQuantityofloanablefundsDemandQ*i*6Whatdeterminesthesupplyofloanablefunds?Thesupplyofloanablefundsisdeterminedbytheinterestrateofferedtosavers.Ahigherinterestrateinduceshouseholdstoconsumelesstoday(save)infavorofgreaterconsumptioninthefuture.Firmalsomayhaveexcessofcashthatmaybeloaned(e.g.,purchaseofotherfirm’sbondissue)insteadofinvested(realassets)becauseofthenonavailabilityofprojectswith+NPV.Whatdeterminesthedemandforloanablefunds?Itcomesfrom:consumerswhowishtoconsumemoretodaythantomorrow,individuals,financialandnon-financialfirmstoinvestinfinancialassetsfinancialandnon-financialfirmstoinvestinrealassetsDemanddependsontheinterestrateatwhichthesethreegroupscanborrow.Thelowertheinterestratethehigherthedemandandvice-versa.72.FluctuationofinterestratesWhatmightcausethesupplyordemandforloanablefundstoshift,andhowwouldthataffectinterestrates?Factorsthatshiftthedemandcurve.a)Recession:Itdecreasesdemandatallinterestrates,shiftingthedemandcurveinwardsandcausingtheequilibriuminterestratetofall.Quantity($)ABInterestRateSDD’ii’QQ’8b)Anincreaseofthegovernmentdeficit.C)Riseinexpectedinflationshiftsthedemandcurvetotheright.Sameas(b)NominalInterestrate=realinterestrate+rateofexpectedinflationD)increaseonthegrowthrateofpopulation.Sameas(b)e)Businesscycleexpansion.ExpectedincreaseineconomicgrowthSameas(b)iQ($)D’DSAB9ExamplesthatshifttheSupplycurvetotherighta)IncreasesinthemoneysupplybytheCentralBank,causingtheinterestratetofall.b)Increasesinrealpersonalincomemakepeoplemorewillingtomakeloans(e.g.depositsinbanksaccounts)c)Increaseintaxexemptfinancialinstruments.Note:ifweassumethatthecentralbankcontrolstheamountofmoneysupplyatfixedquantitytheSupplyCurveformoneySwouldbeaverticalline.iQ($)SS’AB103.VarietyofInterestRatesT-billrate(1year).T-bondrate(1year)Discountrate:CentralBankchargestobanksInCanadaiscalledtheOvernightBankRateCommercialpaperrate:ShorttermdiscountbondsPrimerate:ShorttermRatechargedtolargestfirms(creditworthy)Corporatebondrate:LongtermratefordebtissuedbyfirmsLIBOR:RatethatlargestcreditworthyinternationalbanksdealinginEurodollarschargeeachotherforlargeloans.Fixedrates,floatingrates,etc.Theydifferbecauseofthedifferencesinmaturity,riskoflenders…114.AnalysisofBondValuationItshedslightontheconceptofinterestrate.Bond.Contractinwhichaborroweragreestopayabondholder(thelender)aspecificamountofmoneyinaperiodoftime.Example:Howmuchwouldyoupayforabondthatpromisesacouponrateof$100eachyearforaperiodof10yearsandtheprincipalamountof$1,000(parvalue=nominalvalue=facevalue)attheendofthe10thyear?Assumei=5%,i=10%,i=15%12FormulaP=Coupon/(1+i)+Coupon/(1+i)2+…+Coupon/(1+i)10+FaceValue/(1+i)10C=$100C=$100C=$100P=?123910C=$100$100+$1,000Ifi=5%P=$100/(1+0.05)+$100/(1+0.05)2+…+$100/(1+0.05)10+$1,000/(1+0.05)10=$1,386i=10%P=$100/(1+0.10)+$100/(1+0.10)2+…+$100/(1+010)10+$1,000/(1+0.010)10=$1,000i=15%P=$100/(1+0.15)+$100/(1+0.15)2+…+$100/(1+015)10+$1,000/(1+0.015)10=$749Whichi(discountrateoryieldtomaturity)fromabovemakesthepresentvalueofabond’spaymentsequaltoitscurrentpriceP?A:?i=5%13YTM=InterestratethatequatesthePresentValueofpaymentsreceivedfromadebtinstrument(e.g.,bond)withitsvaluetodayP.Alternatively,istherateofinterestearnedonabondifitisheldtomaturity.TheYTMisthemostimportantandaccuratewayofcalculatinginterestrates.IfP=$1,386WhatistheYTM=i?$1,386=$100/(1+i)+$100/(1+i)2+…+$100/(1+i)10+$1,000/(1+i)10=$1,000A:YTM=i=5%IfP=$1,000WhatistheYTM?YTM=10%IfP=$749WhatistheYTM?YTM=15%WhatistherelationshipbetweentheBondpriceandthei?Why?PriceofbondFig.Yieldtomaturityofabond=effectiveyieldonabond=i$1,00010%InterestRate=i=YTM5%$1,386$74915%Scenarios:1.Assumeyouboughtthebondin$1,000andinterestratesincreasedto15%.Didyoubenefit?2.Assumeyouboughtacorporatebondandthecreditratingofthefi