113分析金融市場(chǎng)與金融機(jī)構(gòu)_第五章(文件)
【正文】 ould you do? (Work out an example with $1000.) Slide 529 Slide 530 Slide 531 Slide 532 )1)(1( 22 tt ii ?? )1)(1( 1ett ii ????Since (i2t)2 is extremely small, it(iet+1) is also extremely small, 212etttiii ???Slide 533 More generally for nperiod bond: In words: Interest rate on long bond = average of short rates expected to occur over life of long bond niiiii nttttnt121 ... ???? ?????Slide 534 In general, any longterm interest rate can be expressed by the following: where。s short rate: yield curve will have steep upward slope 2. When short rates are high, they will be expected to fall in future, and long rate will be below current short rate: yield curve will have downward slope Slide 538 Pure Expectations Theory and Term Structure Facts Doesn39。不同金融機(jī)構(gòu)有不同的負(fù)債性質(zhì)，因而對(duì)資金的期限有特定需求。 , March 13, 2023 雨中黃葉樹，燈下白頭人。 :45:5011:45:50March 13, 2023 1他鄉(xiāng)生白發(fā)，舊國(guó)見青山。 2023年 3月 13日星期一 11時(shí) 45分 50秒 11:45:5013 March 2023 1做前，能夠環(huán)視四周；做時(shí)，你只能或者最好沿著以腳為起點(diǎn)的射線向前。 :45:5011:45Mar2313Mar23 1世間成事，不求其絕對(duì)圓滿，留一份不足，可得無(wú)限完美。 。 , March 13, 2023 閱讀一切好書如同和過(guò)去最杰出的人談話。勝人者有力，自勝者強(qiáng)。 2023年 3月 13日星期一 11時(shí) 45分 50秒 11:45:5013 March 2023 1一個(gè)人即使已登上頂峰，也仍要自強(qiáng)不息。 2023年 3月 13日星期一 上午 11時(shí) 45分 50秒 11:45: 1最具挑戰(zhàn)性的挑戰(zhàn)莫過(guò)于提升自我。 :45:5011:45Mar2313Mar23 1越是無(wú)能的人，越喜歡挑剔別人的錯(cuò)兒。 2023年 3月 13日星期一 11時(shí) 45分 50秒 11:45:5013 March 2023 1空山新雨后，天氣晚來(lái)秋。 :45:5011:45:50March 13, 2023 1意志堅(jiān)強(qiáng)的人能把世界放在手中像泥塊一樣任意揉捏。 , March 13, 2023 很多事情努力了未必有結(jié)果，但是不努力卻什么改變也沒(méi)有。 。 :45:5011:45Mar2313Mar23 1故人江海別，幾度隔山川。 Market Segmentation Theory Slide 543 Three Theories of Term Structure 1. Pure Expectations Theory 2. Market Segmentation Theory 3. Liquidity Premium Theory A. Pure Expectations Theory explains 1 and 2, but not 3. B. Market Segmentation Theory explains 3, but not 1 and 2 C. Solution: Combine features of both Pure Expectations Theory and Market Segmentation Theory to get Liquidity Premium Theory and explain all facts Slide 544 Liquidity Premium Theory Key Assumption: Bonds of different maturities are substitutes, but are not perfect substitutes Implication: Modifies Pure Expectations Theory with features of Market Segmentation Theory Investors prefer short rather than long bonds ? must be paid positive liquidity premium, lnt, to hold long term bonds a href= /a a href= /a Slide 545 Liquidity Premium Theory Results in following modification of Pure Expectations Theory niiiili e ntetettntnt121 ... ???? ??????Slide 546 Relationship Between the Liquidity Premium and Pure Expectations Theory Slide 547 Numerical Example: 1. Oneyear interest rate over the next five years:5%, 6%, 7%, 8% and 9% 2. Investors39。這些偏好與他們的債務(wù)結(jié)構(gòu)、風(fēng)險(xiǎn)厭惡 程度有關(guān) —— 不同期限的債券不能完全代替。s short rate: therefore yield curve is upward sloping
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