金融市場與金融機構第五章(完整版)
【正文】 l 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。Slide 51 UNDERSTANDING INTEREST RATES Chapter 3 BEHAVIOR OF INTEREST RATES Chapter 4 THE RISK AND TERM STRUCTURE OF INTEREST RATES Chapter 5 THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter 6 Part II Principles of Financial Markets Slide 52 Chapter Five THE RISK AND TERM STRUCTURE OF INTEREST RATES Part II Principles of Financial Markets Slide 53 Chapter Outline Risk Structure of Interest Rate Term Structure of Interest Rate Slide 54 risk structure of interest rates 利率的風險結構 : 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風險溢價 Bonds like . Treasury bonds with no default risk are called defaultfree bonds無違約風險債券 . Slide 58 Increase in Default Risk on Corporate Bonds Slide 59 Default Risk :Analysts39。s short rate: therefore yield curve is upward sloping 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. Pu
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