【導讀】Chapter5. TheBehaviorof. InterestRates. 5-2. DemandedofanAsset. includingallassets. assets. 5-3. wealth. 5-4. ExpectedReturns,Risk,andLiquidity. 5-5. SupplyandDemandfor. Bonds. 5-6. Bonds. 5-7. MarketEquilibrium. willingtobuy(demand)equalstheamount. givenprice. 5-8. Bonds. 5-9. 5-10. CurveforBonds. 5-11

　　

【正文】 why interest rates on bonds with different maturities move together over time (fact 1) ? Explains why yield curves tend to slope up when shortterm rates are low and slope down when shortterm rates are high (fact 2) ? Cannot explain why yield curves usually slope upward (fact 3) Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 551 Segmented Markets Theory ? Bonds of different maturities are not substitutes at all ? The interest rate for each bond with a different maturity is determined by the demand for and supply of that bond ? Investors have preferences for bonds of one maturity over another ? If investors generally prefer bonds with shorter maturities that have less interestrate risk, then this explains why yield curves usually slope upward (fact 3) Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 552 Liquidity Premium amp。 Preferred Habitat Theories ? The interest rate on a longterm bond will equal an average of shortterm interest rates expected to occur over the life of the longterm bond plus a liquidity premium that responds to supply and demand conditions for that bond ? Bonds of different maturities are partial (not perfect) substitutes Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 553 Liquidity Premium Theory in t?it? it ? 1e? it ? 2e? . . . ? it ? ( n ? 1 )en? ln tw h e r e ln t i s t h e l i q u i d i t y p r e m i u m f o r t h e n p e r i o d b o n d a t t i m e tln t i s a l w a y s p o s i t i v eR i s e s w i t h t h e t e r m t o m a t u r i t yCopyright 169。 2020 Pearson AddisonWesley. All rights reserved. 554 Preferred Habitat Theory ? Investors have a preference for bonds of one maturity over another ? They will be willing to buy bonds of different maturities only if they earn a somewhat higher expected return ? Investors are likely to prefer shortterm bonds over longerterm bonds Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 555 FIGURE 5 The Relationship Between the Liquidity Premium (Preferred Habitat) and Expectations Theory Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 556 Liquidity Premium and Preferred Habitat Theories ? Interest rates on different maturity bonds move together over time。 explained by the first term in the equation ? Yield curves tend to slope upward when shortterm rates are low and to be inverted when shortterm rates are high。 explained by the liquidity premium term in the first case and by a low expected average in the second case ? Yield curves typically slope upward。 explained by a larger liquidity premium as the term to maturity lengthens Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 557 FIGURE 6 Yield Curves and the Market’s Expectations of Future ShortTerm Interest Rates According to the Liquidity Premium (Preferred Habitat) Theory Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 558 FIGURE 7 Yield Curves for . Government Bonds Sources: Federal Reserve Bank of St. Louis。 . Financial Data, various issues。 Wall Street Journal, various dates. Copyright 169。 2020 Pearson AddisonWesley. All rights reserved. 559 Application: The Subprime Collapse and the BaaTreasury Spread C o rpo ra t e B o n d R i s k P re m i u m a n d F l i g h t t o Q u a l i t y0246810Jan07Mar07May07Jul 07Sep07Nov07Jan08Mar08May08Jul 08Sep08Nov08Jan09C o r p o r a t e b o n d s , m o n t h l y d a t a A a a R a t eC o r p o r a t e b o n d s , m o n t h l y d a t a B a a R a t e1 0 y e a r m a t u r i t y T r e a s u r y b o n d s , m o n t h l y d a t a