113分析金融市场与金融机构_第五章

Slide5-1UNDERSTANDINGINTERESTRATESChapter3BEHAVIOROFINTERESTRATESChapter4THERISKANDTERMSTRUCTUREOFINTERESTRATESChapter5THETHEORYOFEFFICIENTCAPITALMARKETSChapter6PartIIPrinciplesofFinancialMarketsSlide5-2ChapterFiveTHERISKANDTERMSTRUCTUREOFINTERESTRATESPartIIPrinciplesofFinancialMarketsSlide5-3ChapterOutlineRiskStructureofInterestRateTermStructureofInterestRateSlide5-4riskstructureofinterestrates利率的风险结构:Therelationshipamongthevariousinterestratesonbondswiththesametermtomaturity.RiskStructureofInterestRateSlide5-5RiskStructureofLongBondsintheUnitedStatesLong-termBondYields,1919-1998Slide5-6DefaultRisk违约风险Thisisthepossibilitythattheborrowerwillnotmakepromisedpayments-eitherontimeorinfull.Abondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium.Slide5-7Thespreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium风险溢价BondslikeU.S.Treasurybondswithnodefaultriskarecalleddefault-freebonds无违约风险债券.Slide5-8IncreaseinDefaultRiskonCorporateBondsSlide5-9DefaultRisk:Analysts'assessmentsExample:LowQuality,speculative,Investment-Qualityand/or“Junk”HighMediumLowVeryLowGradeS&P’sAAAAAABBBBBBCCCCCCDMoody’sAaaAaABaaBaBCaaCaCCHowdoes“theratingsgame”work?Slide5-10Bondswithrelativelylowriskofdefaultarecalledinvestment-gradesecurities投资级债券andhavearatingofBaa(orBBB)andabove.BondswithratingsbelowBaa(orBBB)havehigherdefaultriskandhavebeenaptlydubbedspeculative-gradeorjunkbonds垃圾债券.Becausethesebondsalwayshavehigherinterestratesthaninvestment-gradesecurities,theyarealsoreferredtoashigh-yieldbonds高收益债券.ahref=宜春癫痫病医院/aahref=江西癫痫病医院/aSlide5-11Slide5-125-,10-,15-,and20-yearcumulativedefaultrates(1970-1995)Slide5-13LiquidityRisk流动性Investorsmustbeconcernedwithpossibilityofbeingunabletoquicklyconverttheirsecuritiesholdingstocash.LiquidityPremiumsHighlyliquidassetscarrythelowestrates,lowliquiditysecuritiestypicallypayaliquiditypremium.Slide5-14DecreaseinLiquidityofCorporateBondsSlide5-1510000850128185012818501281100001233,(.)(*)(.)(*)(.)(*),(*)iiiiIncometaxeffectsSupposeyoupurchaseda$10,000three-yearcorporatebondthatpays$850ininteresteachyear.Yourmarginaltaxrateis28%.Ifyouboughtthebondatpar,yourafter-taxinterestincomeequals$612annually,foraneffectiveafter-taxyield(i*)of6.12%.Ingeneral,theafter-taxyieldforabondpurchasedatparequals:—i*=i(1-t)Slide5-16TaxAdvantagesofMunicipalBondsSlide5-17ChapterOutlineRiskStructureofInterestRateTermStructureofInterestRateahref=抚州癫痫病医院/aahref=上饶癫痫病医院/aSlide5-18TheTermStructureofInterestRatesSupposeyouhave￥5000tosave,andyouobservethefollowingCDratesatyourbank:First,mentallygraphtheratesagainsttimetomaturity.Whatdoestheshapeofyourgraphlooklike?Slide5-19Slide5-20WhatdoestheTermStructurelooklikeinChinanow?0123456171615141312111098765234NumberofYearstoMaturitySlide5-21TheTermStructureofInterestRatesDefinition-therelationshipbetweenaninterestrateandthematurityonasecurityassumingeverythingelseremainsthesame.Slide5-22中国收益率曲线举例：中国债券信息网（chinabond.com.cn）上发布的“收益率曲线”，采用了逐级链接的方式，使用者进入“收益率曲线”页面后：1、鼠标悬停图中任一的样本时点，图的左上方即可显示时间天数和对应的收益率值。2、点击“回购利率曲线”字段，可得到回购各品种的数据列表和曲线分析。3、点击图中任一的样本债券，进入该债券的详细报价数据和历史趋势图形页面，此页面下点击“更多技术分析”字段，进入技术分析页面，系统提供了K线图、移动平均线等分析工具供使用者选择。Slide5-23YieldCurvesatVariousPointsinTimeinU.S.051015202530171615141312111098765234February17,1982January2,1985October22,1996September18,2001August2,1989October15,2000AnnualizedTreasurySecurityYieldsNumberofYearstoMaturitySlide5-24InterestRatesonDifferentMaturityBondsMoveTogetherSlide5-25TermStructureFactstoBeExplainedFact1.InterestratesfordifferentmaturitiesmovetogetherFact2.Yieldcurvestendtohavesteepupwardslopewhenshortratesarelowanddownwardslopewhenshortratesarehighahref=赣州癫痫病医院/aahref=吉安癫痫病医院/aFact3.YieldcurveistypicallyupwardslopingYieldSlide5-26TheoriesofthetermstructureofinterestratesTherearethreecommontheoriesofthetermstructureofinterestrates:thepureexpectationstheory(PET)完全预期理论themarketsegmentationtheory市场分割理论theliquiditypremiumtheory流动性溢酬理论Slide5-27PureExpectationsTheoryKeyAssumption:BondsofdifferentmaturitiesareperfectsubstitutesTheoryoftheTermStructurePureexpectationsLiquiditypremiumPuremarketsegmentation|——————————————|——————————————————————————|PerfectsubstitutabilityofmaturitesNosubstitutabilityofmaturitiesAssumptionaboutmaturitiesSlide5-28ExampleAssumptions:Youcanborrowandlendatthesameinterestrate.Youhaveperfectforesight.Theinterestrateona2-yearloanis10%.Theinterestrateona1-yearloanstartingnowis9.5%.Theinterestrateona1-yearloanstarting1yearfromnowwillbe11%.Question.Supposeyouarelookingforawaytogetrich?Whatshouldyoudo?(Workoutanexamplewith$1000.)Slide5-29Slide5-30Slide5-31Slide5-32)1)(1(22ttii)1)(1(1ettiiSince(i2t)2isextremelysmall,it(iet+1)isalsoextremelysmall,212etttiiiSlide5-33Moregenerallyforn-periodbond:Inwords:Inter