資本市場(chǎng)和金融機(jī)構(gòu)(8)(參考版)
2025-05-17 02:19本頁(yè)面
【正文】 1 Interest Rates 1. Definition 2. Fluctuation of interest rates Shifts on Demand Shifts on Supply 3. Types of interest rates 4. Analysis of Bond Valuation 5. Risk and Term Structure of Interest Rates (TSIR) Determinants of Risk Structure (RSIR) TSIR (Yield Curve). Theories: A) Pure Expectations Theory B) Market Segmentation Theory C) Liquidity Theory 6. Predictive Power of the Yield Curve Future interest rates Economic growth 7. Conclusions 2 1. Interest Rate (i) i = Cost of borrowing or lending money It plays a pivotal role in: the Investment and Financing of assets (real, financial) by individuals, panies, governments and FI the performance of the economy Determined in the Debt Markets (supply and demand) and by government intervention. ? Central Bank ? Moary policy (i, M) Is there an appropriate level of i? 3 Interest Rate ? How the interest rates are determined? ? What explains the fluctuation of interest rates? ? Most accurate measure of interest rate: Yield to maturity Example applied to bond valuation 4 Determination of Interest Rate (i) Approaches 1) Analysis of Demand of loanable funds and Supply of loanable funds 2) Analysis of Demand for and supply of bonds Supply of loanable funds by households and firms. The higher the i the higher the quantity of loanable funds offered Demand of loanable funds by households and firms Reasons for Consumer? For Firms? Total Demand = Demand by households and firms Determinants of the Demand and Supply 5 Supply and Demand for Loanable Funds Interest Rate (i) Supply Quantity of loanable funds Demand Q* i* 6 What determines the supply of loanable funds? The supply of loanable funds is determined by the interest rate offered to savers. A higher interest rate induces households to consume less today (save) in favor of greater consumption in the future. Firm also may have excess of cash that may be loaned (., purchase of other firm’s bond issue) instead of invested (real assets) because of the non availability of projects with +NPV. What determines the demand for loanable funds? It es from: consumers who wish to consume more today than tomorrow, individuals, financial and nonfinancial firms to invest in financial assets financial and nonfinancial firms to invest in real assets Demand depends on the interest rate at which these three groups can borrow. The lower the interest rate the higher the demand and viceversa. 7 2. Fluctuation of interest rates What might cause the supply or demand for loanable funds to shift, and how would that affect interest rates? Factors that shift the demand curve. a) Recession: It decreases demand at all interest rates, shifting the demand curve inwards and causing the equilibrium interest rate to fall. Quantity ($) A B Interest Rate S D D’ i i’ Q Q’ 8 b) An increase of the government deficit. C) Rise in expected inflation shifts the demand curve to the right. Same as (b) Nominal Interest rate = real interest rate + rate of expected inflation D) increase on the growth rate of population. Same as (b) e) Business cycle expansion. Expected increase in economic growth Same as (b) i Q ($) D’ D S A B 9 Examples that shift the Supply curve to the right a) Increases in the money supply by the Central Bank, causing the interest rate to fall. b) Increases in real personal ine make people more willing to make loans (. deposits in banks accounts) c) Increase in tax exempt financial instruments. Note: if we assume that the central bank controls the amount of money supply at fixed quantity the Supply Curve for money S would be a vertical line. i Q ($) S S’ A B 10 3. Variety of Interest Rates Tbill rate (1 year). Tbond rate ( 1year) Discount rate: Central Bank charges to banks In Canada is called the Overnight Bank Rate Commercial paper rate: Short term discount bonds Prime rate: Short term Rate charged to largest firms (creditworthy) Corporate bond rate: Long term rate for debt issued by firms LIBOR: Rate that largest cr
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