thedeterminatesofinterestrates(金融市場學(xué),上(編輯修改稿)
2025-03-21 07:00 本頁面
【文章內(nèi)容簡介】 are not known. ?We can calculate ex post real rates (r*) by subtracting actual inflation (p) from the observed market rate: ? r* = i p ?The ex post real rate can be positive or negative, depending on whether market participants over estimate or underestimate actual inflation. Relationship between market rate and annual inflation rate: Ex Post Real Rate % % % % % % % % % % Jan58 Jan62 Jan66 Jan70 Jan74 Jan78 Jan82 Jan86 Jan90 Jan94 Jan98 Jan02 Annual Inflation Rate (CPI) 1Year Treasury Bill Rate Selected nominal yields and interest rates 20 17 14 11 8 5 2 1970 1975 1980 1985 1990 1995 2023 Percent Year Effective federal funds rate Moody39。s seasonal Aaa yield 30year conventional mortgage rate Selected real yields and interest rates 12 9 6 3 0 3 6 1970 1975 1980 1985 1990 1995 2023 Percent Year Effective federal funds rate 30year conventional mortgage rate Moody39。s seasonal Aaa yield Interest rates and the business cycle ? The level of interest rates and economic growth vary coincidentally over time. ? Expansion: ? Increasing Consumer Spending, Inventory Accumulation, and Rising Loan Demand. ? Peak: ? Moary Restraint, High Loan Demand, Little Liquidity. ? Contraction: ? Falling Consumer Spending, Inventory Contraction, Falling Loan Demand. ? Trough: ? Limited Loan Demand, Excess Liquidity. T i m eInterest Rates (Percent)E x p a n s i o nC o n t r a c t i o n E x p a n s i o nL o n g T e r m R a t e sS h o r t T e r m R a t e sP e a kT r o u g hInterest rates and the business cycle ? Expansion: Increasing Consumer Spending, Inventory Accumulation, and Rising Loan Demand。 Federal Reserve Begins to Slow Money Growth. ? Peak: Moary restraint, High Loan Demand, Little Liquidity. ? Contraction: Falling Consumer Spending, Inventory Contraction, Falling Loan Demand。 Federal Reserve Accelerates Money Growth. ? Trough: Moary Ease, Limited Loan Demand, Excess Liquidity. The Money and Capital Markets ? The money market is characterized by the trading of short term funds, less than one year. ? One of the principal functions of the money market is to finance the working capital needs of corporations and governments. ? Typical denominations are large, over 1 million. ? The instruments of the money market are characterized as being low risk, highly liquid and issued by highly visible players. ? The capital market, in contrast, is designed to finance long term funding needs. ? Instruments in the capital market have original maturities of more than one year and minimum denominations can be large or small. Yields on money market instruments Prime rate Federal Funds Rate 3month Treasury Discount rate Yields on capital market instruments Moody’s corporate Baa Conventional home mortgage Moody’s corporate Aaa 30yr Treasury constant maturity Municipal bond Why do interest rates differ between securities? ?The difference in yields between various debt instruments is termed the structure of interest rates. ?Rates among securities differ for different: ? Terms to maturity ? Default risk ? Marketability and liquidity ? Special features such as convertibility, and call and put features. ? Ine tax effects Term to final maturity ?In general, the longer the maturity, the greater are these risks. ?Yield Curve …a diagram that pares the market yields on securities that differ only in terms of maturity. ? The general relationship is also referred to as the term structure of interest rates. Most recent yield curves General shape of yield curves 7 .0 07 .5 08 .0 08 .5 09 .0 09 .5 01 0 .0 0PercentM a r c h 1 9 8 9G e n e r a l l y D o w n w a r d Sl o p i n gSe p te m b
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