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【正文】 利率期限結(jié)構(gòu) 三個(gè)主要理論： ? 無(wú)偏預(yù)期理論 ? 流動(dòng)性溢價(jià)理論 ? 市場(chǎng)分割理論 1. 利率期限結(jié)構(gòu) ? 無(wú)偏預(yù)期理論 某一特定時(shí)間下的收益曲線反映了當(dāng)時(shí)市場(chǎng)對(duì) 未來(lái)短期利率 的預(yù)期。 Term Structure of interest Rate ? Yield Curve under Certainty Consider 2year bond strategies: 1. buying the 2year zero offering a 2year yield to maturity of 6%, and holding it until maturity 2. Invest the same price in a 1year zerocoupon bond with a yield to maturity of 5%. Then reinvest in another 1year bond. 2023/3/19 10 Example We pare two 3year strategies. One is to buy a 3year zero, with a yield to maturity of 7%, and hold it until maturity. The other is to buy a 2year zero yielding 6%, and roll the proceeds into a 1year bond in year 3, at the short rate r3. 2023/3/19 11 Forward Rates 2023/3/19 12 Total growth factor of an investment in an (n1)year zero Interest Rate Uncertainty Forward Rates 2023/3/19 13 In a certain world： Two consecutive 1year investments in zeros would need to offer the same total return as an equalsized investment in a 2year zero. Interest Rate Uncertainty Forward Rates 2023/3/19 14 Example(Certainty): Suppose that today’s rate is r1=5%, and that the expected short rate for the following year is E(r2)=6%. If investors cared only about the expected value of the interest rate, what would be the price of a 2year zero? Interest Rate Uncertainty Forward Rates 2023/3/19 15 Example(Certainty): Now consider a short term investor who wishes to invest only for 1 year. She can purchase the 1year zero first, then purchase the 2year zero with 1 year to maturity. What will be the price of each purchase? What is the holdingperiod return? Interest Rate Uncertainty Forward Rates 2023/3/19 16 Example： Suppose that most investors have shortterm horizons and therefore are willing to hold the 2year bond only if its price falls to $. At this price, the expected holdingperiod return on the 2year bond is 7% . The risk premium of the 2year bond, therefore, is 2%。 在預(yù)期利率會(huì)上升的情況下，金融機(jī)構(gòu)傾向于保持正的 CGAP； 在預(yù)期利
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