中山大学管院货币银行学课件 第5章

Chapter5TheBehaviourofInterestRates利率决定理论的发展•古典利率决定理论•魏克赛尔的累计利率理论•流动性偏好理论•罗伯特森可贷资金理论。5-25-3DeterminantsofAssetDemand5-4DerivationofBondDemandCurve(债券需求价格的推导）(F–P)i=RETe=PPointA:P=$950($1000–$950)i==0.053=5.3%$950Bd=$100billion5-5DerivationofBondDemandCurvePointB:P=$900($1000–$900)i==0.111=11.1%$900Bd=$200billionPointC:P=$850,i=17.6%Bd=$300billionPointD:P=$800,i=25.0%Bd=$400billionPointE:P=$750,i=33.0%Bd=$500billionDemandCurveisBdinFigure1whichconnectspointsA,B,C,D,E.Hasusualdownwardslope5-6DerivationofBondSupplyCurve（债券供给曲线的推导）PointF:P=$750,i=33.0%,Bs=$100billionPointG:P=$800,i=25.0%,Bs=$200billionPointC:P=$850,i=17.6%,Bs=$300billionPointH:P=$900,i=11.1%,Bs=$400billionPointI:P=$950,i=5.3%,Bs=$500billionSupplyCurveisBsthatconnectspointsF,G,C,H,I,andhasupwardslope5-7SupplyandDemandAnalysisoftheBondMarketMarketEquilibrium1.OccurswhenBd=Bs,atP*=$850,i*=17.6%2.WhenP=$950,i=5.3%,BsBd(excesssupply):PtoP*,itoi*3.WhenP=$750,i=33.0,BdBs(excessdemand):PtoP*,itoi*5-8LoanableFundsTerminology（可贷资金术语）1.Demandforbonds=supplyofloanablefunds2.Supplyofbonds=demandforloanablefunds5-9ShiftsintheBondDemandCurve（需求曲线的位移）5-10FactorsthatShifttheBondDemandCurve（导致债券需求曲线位移的因素）1.WealthA.Economygrows,wealth,Bd,Bdshiftsouttoright2.ExpectedReturnA.iinfuture,Reforlong-termbonds,BdshiftsouttorightB.e,RelativeRe,BdshiftsouttorightC.Expectedreturnofotherassests,Bd,Bdshiftsouttoright3.RiskA.Riskofbonds,Bd,BdshiftsouttorightB.Riskofotherassets,Bd,Bdshiftsouttoright4.LiquidityA.LiquidityofBonds,Bd,BdshiftsouttorightB.Liquidityofotherassets,Bd,Bdshiftsouttoright5-11FactorsthatShiftDemandCurveforBonds5-12ShiftsintheBondSupplyCurve(债券供给曲线的位移）1.ProfitabilityofInvestmentOpportunitiesBusinesscycleexpansion,investmentopportunities,Bs,Bsshiftsouttoright2.ExpectedInflatione,Bs,Bsshiftsouttoright3.GovernmentActivitiesDeficits,Bs,Bsshiftsouttoright5-13FactorsthatShiftSupplyCurveforBonds我国国债市场结构5-14我国国债发行5-155-16Changesine:theFisherEffectIfe1.RelativeRETe,Bdshiftsintoleft2.Bs,Bsshiftsouttoright3.P,i5-17EvidenceontheFisherEffect5-18BusinessCycleExpansion（经济周期扩张）1.Wealth,Bd,Bdshiftsouttoright2.Investment,Bs,Bsshiftsouttoright3.IfBsshiftsmorethanBdthenP,i5-19EvidenceonBusinessCyclesandInterestRates5-20LiquidityPreferenceAnalysis(流动性偏好分析）DerivationofDemandCurve1.Keynesassumedmoneyhasi=02.Asi,relativeRETeonmoney(equivalently,opportunitycostofmoney)Md3.DemandcurveformoneyhasusualdownwardslopeDerivationofSupplycurve1.AssumethatcentralbankcontrolsMsanditisafixedamount2.MscurveisverticallineMarketEquilibrium1.OccurswhenMd=Ms,ati*=15%2.Ifi=25%,MsMd(excesssupply):Priceofbonds,itoi*=15%3.Ifi=5%,MdMs(excessdemand):Priceofbonds,itoi*=15%5-21MoneyMarketEquilibrium5-22RiseinIncomeorthePriceLevel1.Income,Md,Mdshiftsouttoright2.Msunchanged3.i*risesfromi1toi25-23RiseinMoneySupply1.Ms,Msshiftsouttoright2.Mdunchanged3.i*fallsfromi1toi25-245-25MoneyandInterestRatesEffectsofmoneyoninterestrates1.LiquidityEffectMs,Msshiftsright,i2.IncomeEffectMs,Income,Md,Mdshiftsright,i3.PriceLevelEffectMs,Pricelevel,Md,Mdshiftsright,i4.ExpectedInflationEffectMs,e,Bd,Bs,Fishereffect,iEffectofhigherrateofmoneygrowthoninterestratesisambiguous1.Becauseincome,pricelevelandexpectedinflationeffectsworkinoppositedirectionofliquidityeffect5-26DoesHigherMoneyGrowthLowerInterestRates?5-27EvidenceonMoneyGrowthandInterestRates