113分析金融市場與金融機(jī)構(gòu)_第五章-wenkub
2023-03-13 14:09:27 本頁面
【正文】 : The relationship among the various interest rates on bonds with the same term to maturity. Risk Structure of Interest Rate Slide 55 Risk Structure of Long Bonds in the United States Longterm Bond Yields,19191998 Slide 56 Default Risk違約風(fēng)險 This is the possibility that the borrower will not make promised payments either on time or in full. A bond with default risk will always have a positive risk premium, and an increase in 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。 Slide 523 Yield Curves at Various Points in Time in . 0 5 10 15 20 25 30 17 16 15 14 13 12 1 1 10 9 8 7 6 5 2 3 4 February 17, 1982 January 2, 1985 October 22, 1996 September 18, 2023 August 2, 1989 October 15, 2023 Annualized Treasury Security Yields Number of Years to Maturity Slide 524 Interest Rates on Different Maturity Bonds Move Together Slide 525 Term Structure Facts to Be Explained Fact 1. Interest rates for different maturities move together Fact 2. Yield curves tend to have steep upward slope when short rates are low and downward slope when short rates are high a href= /a a href= /a Fact 3. Yield curve is typically upward sloping Yield Slide 526 Theories of the term structure of interest rates There are three mon theories of the term structure of interest rates: ? the pure expectations theory (PET)完全預(yù)期理論 ? the market segmentation theory市場分割理論 ? the liquidity premium theory流動性溢酬理論 Slide 527 Pure Expectations Theory Key Assumption: Bonds of different maturities are perfect substitutes T h eor y o f t h e T er m S t r u ct u r e P u r e e x p e ct a t i o n s L i q u i d i t y p r e m i u m P u r e m a r k e t s e g m e n t a t i o n |—————————————— |—————————————————————————— | P e r f ec t s u b s t i t u t a b i l i t y o f m a t u ri t e s ? ? ? ? ? ? ? ? ? ? ? ? N o s u b s t i t u t a b i l i t y o f m a t u ri t i e s A s s u m p t i o n a b o u t m a t u r i t i es Slide 528 Example Assumptions: You can borrow and lend at the same interest rate. You have perfect foresight. The interest rate on a 2year loan is 10%. The interest rate on a 1year loan starting now is %. The interest rate on a 1year loan starting 1 year from now will be 11%. Question. Suppose you are looking for a way to get rich? What sh
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