113分析金融市場與金融機構(gòu)_第五章(存儲版)
【正文】 in Liquidity of Corporate Bonds Slide 515 10 000 850 1 281 850 1 281 850 1 281 10 00012 3 3, ( . )( *) ( . )( *) ( . )( *) ,( *)? ?? ? ?? ? ?? ? ?i i i iIne tax effects Suppose you purchased a $10,000 threeyear corporate bond that pays $850 in interest each year. Your marginal tax rate is 28%. If you bought the bond at par, your aftertax interest ine equals $612 annually, for an effective aftertax yield (i*) of %. In general, the aftertax yield for a bond purchased at par equals: —i* = i (1 t) Slide 516 Tax Advantages of Municipal Bonds Slide 517 Chapter Outline ? Risk Structure of Interest Rate ? Term Structure of Interest Rate ? a href= /a ? a href= /a Slide 518 The Term Structure of Interest Rates Suppose you have ￥ 5000 to save, and you observe the following CD rates at your bank: First, mentally graph the rates against time to maturity. What does the shape of your graph look like? Slide 519 Slide 520 What does the Term Structure look like in China now? 0 1 2 3 4 5 6 17 16 15 14 13 12 1 1 10 9 8 7 6 5 2 3 4 Number of Years to Maturity Slide 521 The Term Structure of Interest Rates Definition the relationship between an interest rate and the maturity on a security assuming everything else remains the same. Slide 522 中國收益率曲線舉例： 中國債券信息網(wǎng)（ ）上發(fā)布的“收益率曲線”，采用了逐級鏈接的方式，使用者進入“收益率曲線”頁面后： 鼠標懸停圖中任一的樣本時點，圖的左上方即可顯示時間天數(shù)和對應(yīng)的收益率值。s short rate: therefore yield curve is upward sloping 2. 2. When short rates expected to stay same in future, average of future short rates same as today39。 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%,
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