金融市場(chǎng)與金融機(jī)構(gòu)第五章-資料下載頁
2025-05-13 05:36本頁面
【正文】 of loanable funds Longterm market . funds Sloan funds Quantity of loanable funds ilongterm Slide 542 首先假設(shè)不同類型的投資者具有與投資期限相關(guān)的偏好。這些偏好與他們的債務(wù)結(jié)構(gòu)、風(fēng)險(xiǎn)厭惡 程度有關(guān) —— 不同期限的債券不能完全代替。 認(rèn)為資金在不同期限市場(chǎng)之間基本是不流動(dòng)的。不同金融機(jī)構(gòu)有不同的負(fù)債性質(zhì)，因而對(duì)資金的期限有特定需求。 這種不同期限市場(chǎng)上資金流動(dòng)的封閉性，決定了收益率曲線可以有不同的形態(tài)：當(dāng)長(zhǎng)期市場(chǎng)上資金供過于求，而短期市場(chǎng)資金供不應(yīng)求，就會(huì)形成向下傾斜的收益率曲線。 Market Segmentation Theory Slide 543 Three Theories of Term Structure 1. Pure Expectations Theory 2. Market Segmentation Theory 3. Liquidity Premium Theory A. Pure Expectations Theory explains 1 and 2, but not 3. B. Market Segmentation Theory explains 3, but not 1 and 2 C. Solution: Combine features of both Pure Expectations Theory and Market Segmentation Theory to get Liquidity Premium Theory and explain all facts Slide 544 Liquidity Premium Theory Key Assumption: Bonds of different maturities are substitutes, but are not perfect substitutes Implication: Modifies Pure Expectations Theory with features of Market Segmentation Theory Investors prefer short rather than long bonds ? must be paid positive liquidity premium, lnt, to hold long term bonds Slide 545 Liquidity Premium Theory Results in following modification of Pure Expectations Theory niiiili e ntetettntnt121 ... ???? ??????Slide 546 Relationship Between the Liquidity Premium and Pure Expectations Theory Slide 547 Numerical Example: 1. Oneyear interest rate over the next five years:5%, 6%, 7%, 8% and 9% 2. Investors39。 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!
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