貨幣銀行學(xué)The Behavior of Interest Rates課件講義

Chapter5TheBehaviorofInterestRates

PurposesWeexaminehowtheoveralllevelofnominalinterestratesisdeterminedandthefactorsthatinfluencetheirbehavior.Weknowthatbondpricesandinterestratesarenegativelyrelated.Ifwecanexplainwhybondpriceschange,wecanalsoexplainwhyinterestratesfluctuate.Weassumethereisonetypeofsecurityandasingleinterestrateinaneconomy.LoanableFundsFramework

SupplyandDemandintheBondMarketDeterminationsofassetdemandAnassetisapieceofpropertythatisastoreofvalue.FactorsthataffectthedemandforassetsWealthExpectedreturnRiskLiquidityWealthHoldingeverythingelseconstant,anincreaseinwealthraisesthequantitydemandedofanassetExpectedreturnsAnincreaseinanasset’sexpectedreturnrelativetothatofanalternativeasset,holdingeverythingelseunchanged,raisesthequantitydemandedoftheasset.RiskThedegreeofuncertaintyofanasset’sreturnisrisk.Holdingeverythingelseconstant,ifanasset’sriskrisesrelativetothatofalternativeassets,itsquantitydemandedwillfall.LiquidityLiquidityisthedegreeofeaseanassetcanbeconvertedintocashwithoutincurringlargecosts.Themoreliquidanassetisrelativetoalternativeassets,holdingeverythingelseunchanged,themoredesirableitis,andthegreaterwillbethequantitydemanded.TheoryofassetdemandHoldingotherthingsconstantThequantitydemandedofanassetispositivelyrelatedtowealth.Thequantitydemandedofanassetispositivelyrelatedtoitsexpectedreturnrelativetoalternativeassets.Thequantitydemandedofanassetisnegativelyrelatedtotheriskofitsreturnrelativetoalternativeassets.Thequantitydemandedofanassetispositivelyrelatedtoitsliquidityrelativetoalternativeassets.LoanableFundsFrameworkSupplyandDemandintheBondMarketWeusethetheoryofassetdemandtoobtainthedemandcurveforbonds.Thedemandcurveofbondsisadownwardsloppingcurve.Thesupplycurveofbondsisanupwardsloppingcurve.Marketequilibriumoccurswhenquantitydemandedisequaltoquantitysupplied.Supplyingabondisequivalenttodemandingaloan.Thesupplycurveforbondscanbereinterpretedasthedemandcurveforloans.Demandingabondisequivalenttosupplyingaloan.Thedemandcurveforbondscanbereinterpretedasthesupplycurveforloans.Supplyanddemandintheloanablefundsmarket.Thedemandcurvestatestherelationshipbetweenthequantitydemandedforloanablefundsandinterestrates.Thesupplycurvestatestherelationshipbetweenthequantitysuppliedforloanablefundsandinterestrates.Theanalysisisintermsofstocksofassets,notintermsofflows.Theassetmarketapproach,whichemphasizesstocksofassetsratherthanflowsindeterminingassetprices,isnowthedominantmethodology.ChangesinEquilibriumInterestRatesWeusethesupplyanddemandframeworkforbondstoanalyzewhyinterestrateschange.ShiftsintheDemandforBondsFactorsthataffectingdemandforbondsWealthExpectedreturnsonbondsrelativetoalternativeassets.Riskofbondsrelativetoalternativeassets.Liquidityofbondsrelativetoalternativeassets.WealthInabusinesscycleexpansion(recession)withgrowing(falling)wealth,thedemandforbondsrises(declines)andthedemandcurveforbondsshiftstotheright(left).ExpectedreturnsHigher(lower)expectedinterestratesinthefuturelower(increase)theexpectedreturnforlong-termbonds,decrease(increase)thedemand,andshiftthedemandcurvetotheleft(right).Anincreaseintheexpectedrateofinflationlowerstheexpectedreturnforbonds,causestheirdemandtodeclineandthedemandcurvetoshifttotheleft.RiskAnincreaseintheriskinessofbondscausesthedemandforbondstofallandthedemandcurvetoshifttotheleft.Anincreaseintheriskinessofalternativeassetscausesthedemandforbondstoriseandthedemandcurvetoshifttotheright.LiquidityIncreasedliquidityofbondsresultsinanincreaseddemandforbonds,andthedemandcurveshiftstotheright.Increasedliquidityofalternativeassetslowersthedemandforbonds,andthedemandcurveshiftstotheleft.ShiftsintheSupplyofBondsFactorsthataffectthesupplyofbondsExpectedprofitabilityofinvestmentopportunitiesExpectedinflationGovernmentactivities

ExpectedprofitabilityofinvestmentopportunitiesInabusinesscycleexpansion(recession),whentherearemore(fewer)expectedprofitableinvestmentopportunities,thesupplyofbondsincreases(falls),andthesupplycurveshiftstotheright(left).ExpectedinflationGivennominalinterestrates,whenexpectedinflationincreases,therealcostofborrowing(therealinterestrate)falls,hencethesupplyofbondsincreasesandshiftstotheright.GovernmentActivitiesHighergovernmentdeficits(surpluses)increase(decrease)thesupplyofbondsandshiftthesupplycurvetotheright(left).Changesinexpectedinflation:TheFisherEffectAnincreaseinexpectedinflationwillshiftthedemandcurveforbondstotheleft,andshiftthesupplycurveofbondstotheright.Thesewillmakeinterestratestorise.Whenexpectedinflationrises,interestrateswillrise.Thisistheso-calledFishereffect.BusinesscycleexpansionInabusinesscycleexpansion,theincreaseinincomewillincreasetheinvestmentopportunities,andshiftthesupplycurveofbondstotheright.Theincreaseinwealthwillshiftthedemandcurveforbondstotheright.Theequilibriuminterestrateisambiguousdependingontherelativemovementsofdemandandsupplycurves.Ifthesupplycurvemovesfartherthanthedemandcurve,theninterestratewillrise.Thisistheoutcomeweactuallyseeinthedata.ExplaininglowJapaneseinterestratesInthe1990s,Japanexperiencedaprolongedrecessionanddeflation.Negativeinflationcausedthedemandforbondstoriseandthesupplyofbondstofall.Therightwarddemandcurveandtheleftwardsupplycurveledtoariseinthebondpriceandafallininterestrates.HowlowsavingsratesledtohigherinterestratesLowsavingratesreducethedemandforbonds,andshiftthedemandcurveforbondstotheleft.Theequilibriuminterestraterises.LiquidityPreferenceFramework

SupplyandDemandintheMarketforMoneyTheliquiditypreferenceframeworkdeterminestheequilibriuminterestrateintermsofthesupplyanddemandformoney.Weassumethattotalwealthintheeconomymustequalthetotalquantityofbondsplusmoneyintheeconomy.Ifthemarketformoneyisinequilibrium,thenthemarketforbondsisalsoinequilibrium.Weapproachthedeterminationofinterestrateswithbothframeworkbecausetheloanablefundsframeworkiseasiertousewhenanalyzingtheeffectsofchangesinexpectedinflation,whereastheliquiditypreferenceframeworkiseasierfortheanalysisoftheeffectsofchangesinincome,thepricelevel,andthesupplyofmoney.Weassumethatmoneyhasazerorateofreturn,whilebondshaveanexpectedreturnequaltotheinterestrate.Thedemandformoneyandtheinterestrateshouldbenegativelyrelatedbecauseholdingmoneyhasopportunitycost,theamountofinterestsacrificedbynotholdingthealternativeasset—bonds.Astheinterestrateonbondsrises,theopportunitycostofholdingmoneyrises,andsomoneyislessdesirable.Thesupplyofmoneyisgivenbythecentralbanksothesupplycurveofmoneyisaverticalline.ChangesinEquilibriumInterestRatesShiftsintheDemandforMoneyIncomeeffectWhenincomerises,peoplewillwanttocarryoutmoretransactionsusingmoney,theywillwanttoholdmoremoney.Ahigherlevelofincomecausesthedemandcurvetoshifttotheright.Price-leveleffectAriseinthepricelevelcausesthedemandformoneytoincreaseandthedemandcurvetoshifttotheright.ShiftsinthesupplyofmoneyAnincreaseinthemoneysupplyengineeredbythecentralbankwillshiftthesupplycurveformoneytotheright.Changesintheequilibriuminterestrateduetochangesinincome,thepricelevel,orthemoneysupplyChangesinincomeWhenincomeisrisingduringabusinesscycleexpansion,thedemandformoneywillincreaseandincreaseinterestrates.ChangesinthepricelevelWhenthepricelevelincreases,thedemandformoneywillincreaseandincreaseinterestrates.ChangesinthemoneysupplyWhenthemoneysupplyincreases(everythingelseremainingequal),interestrateswilldecline.moneyandinterestratesTheliquiditypreferenceanalysisleadstotheconclusionthatanincreaseinthemoneysupplywilllowerinterestrates.Isthisconclusioncorrect?Anincreaseinthemoneysupplymightnotleaveeverythingelseequalandwillhaveothereffectsontheeconomythatmightmakeinterestratesrise.TheeffectscausedbyanincreaseinthemoneysupplyIncomeeffectAnincreasingmoneysupplyisanexpansionaryinfluenceontheeconomy,itshouldraisenationalincomeandwealth,whichraiseinterestratesbasedonloanablefundsframework.Price-leveleffectAnincreaseinthemoneysupplycanalsocausetheoverallpricelevelintheeconomytorise.Theliquiditypreferenceframeworkpredictsthatthiswillleadtoariseininterestrates.ExpectedinflationeffectAnincreaseinthemoneysupplymayleadpeopletoexpectahigherpricelevelinthefuture.Theloanablefundsframeworkshowsthatanincreaseinexpectedinflationwillleadtohigherinterestrates.Theprice-leveleffectandexpected-inflationeffectaredifferent.Thebasicdifferencebetweenthetwoeffectsisthattheprice-leveleffectremainsevenafterpriceshavestoppedrising,whereastheexpected-inflationeffectdisappears.Theexpected-inflationeffectwillpersistonlyaslongasthepricelevelcontinuestorise.Doesahigherrateofgrowthofthemoneysupplylowerinterestrates?

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