金融市場與金融機(jī)構(gòu)第五章-wenkub
2023-05-24 05:36:01 本頁面
【正文】 n its default risk will raise the risk premium. Slide 57 The spread between the interest rates on bonds with default risk and defaultfree bonds, called the risk premium風(fēng)險溢價 Bonds like . Treasury bonds with no default risk are called defaultfree bonds無違約風(fēng)險債券 . Slide 58 Increase in Default Risk on Corporate Bonds Slide 59 Default Risk :Analysts39。 點擊圖中任一的樣本債券，進(jìn)入該債券的詳細(xì)報價數(shù)據(jù)和歷史趨勢圖形頁面，此頁面下點擊“更多技術(shù)分析”字段，進(jìn)入技術(shù)分析頁面，系統(tǒng)提供了 K線圖、移動平均線等分析工具供使用者選擇。s, and yield curve is flat 3. Only when short rates expected to fall will yield curve be downward sloping Slide 536 Pure Expectations Theory and Term Structure Facts Pure Expectations Theory explains Fact 1 that short and long rates move together 1. Short rate rises are persistent 2. If it ? today, iet+1, iet+2 etc. ? ? average of future rates ? ? int ? : it ? ? int ?, ., short and long rates move together Slide 537 Pure Expectations Theory and Term Structure Facts Explains Fact 2 that yield curves tend to have steep slope when short rates are low and downward slope when short rates are high 1. When short rates are low, they are expected to rise to normal level, and long rate = average of future short rates will be well above today39。 認(rèn)為資金在不同期限市場之間基本是不流動的。 preferences for holding shortterm bonds so liquidity premium for one to fiveyear bonds: 0%, %, %, % and %. Slide 548 Numerical Example: Interest rate on the twoyear bond: % + (5% + 6%)/2 = % Interest rate on the fiveyear bond: % + (5% + 6% + 7% + 8% + 9%)/5 = 8% Interest rates on one to fiveyear bonds: 5%, %, %, % and 8% Comparing with those for the pure expectations theory, liquidity premium theory produces yield curves more steeply upward sloped Slide 549 Liquidity Premium Theory: Term Structure Facts Explains all 3 Facts Explains Fact 3 of usual upward sloped yield curve by liquidity premium for longterm bonds Explains Fact 1 and Fact 2 using same explanations as pure expectations theory because it has average of future short rates as determinant of long rate Slide 550 Market Predictions of Future Short Rates Slide 551 THE END! 。 這種不同期限市場上資金流動的封閉性，決定了收益率曲線可以有不同的形態(tài)：當(dāng)長期市場上資金供過于求，而短期市場資金供不應(yīng)求，就會形成向下傾斜的收益率曲線。t explain Fact 3 that yield curve usually has upward slope Short rates as likely to fall in future as rise, so average of expected future
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