【正文】 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(fēng)險結(jié)構(gòu) : 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。 preferences for holding shortterm bonds so liquidity premium for one to fiveyear bonds: 0%, %, %, % and %. Slide 548 Numerical Example: Interest rate on the twoyear bond: % + (5% + 6%)/2 = % Interest rate on the fiveyear bond: % + (5% + 6% + 7% + 8% + 9%)/5 = 8% Interest rates on one to fiveyear bonds: 5%, %, %, % and 8% Comparing with those for the pure expectations theory, liquidity premium theory produces yield curves more steeply upward sloped Slide 549 Liquidity Premium Theory: Term Structure Facts Explains all 3 Facts Explains Fact 3 of usual upward sloped yield curve by liquidity premium for longterm bonds Explains Fact 1 and Fact 2 using same explanations as pure expectations theory because it has average of future short rates as determinant of long rate Slide 550 Market Predictions of Future Short Rates Slide 551 THE END! 。 P’s AAA AA A BBB BB B CCC CC C D Moody’s Aaa Aa A Baa Ba B Caa Ca C C How does “the ratings game” work? Slide 510 Bonds with relatively low risk of default are called investmentgrade