貨幣金融學(xué)（第十三版）課件 英文第6章 利率風(fēng)險結(jié)構(gòu)和期限結(jié)構(gòu)

TheEconomicsofMoney,Banking,andFinancialMarketsThirteenthEditionChapter6TheRiskandTermStructureofInterestRatesCopyright?2022,2019,2016PearsonEducation,Inc.AllRightsReservedPreviewInthischapter,weexaminethesourcesandcausesoffluctuationsininterestratesrelativetooneanotherandlookatanumberoftheoriesthatexplainthesefluctuations.LearningObjectives6.1Identifyandexplainthreefactorsexplainingtheriskstructureofinterestrates.6.2Listandexplainthethreetheoriesofwhyinterestratesvaryacrossmaturities.RiskStructureofInterestRates(1of3)Bondswiththesamematurityhavedifferentinterestratesdueto:DefaultriskLiquidityTaxconsiderationsFigure1Long-TermBondYields,1919–2020Sources:BoardofGovernorsoftheFederalReserveSystem,BankingandMonetaryStatistics,1941–1970;FederalReserveBankofSt.LouisF

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Ddatabase:/series/GS10;/series/DAAA;/series/DBAAand/series/WSLB20RiskStructureofInterestRates(2of3)Defaultrisk:probabilitythattheissuerofthebondisunableorunwillingtomakeinterestpaymentsorpayoffthefacevalueU.S.Treasurybondsareconsidereddefaultfree(governmentcanraisetaxes).Riskpremium:thespreadbetweentheinterestratesonbondswithdefaultriskandtheinterestrateson(samematurity)TreasurybondsFigure2ResponsetoanIncreaseinDefaultRiskonCorporateBondsTable1BondRatingsbyMoody’s,StandardandPoor’s,andFitch(1of2)Moody’sRatingAgencyS&PFitchDefinitionsAaaAAAAAAPrimeMaximumSafetyAa1AA+AA+HighGradeHighQualityAa2AAAABlankAa3AAminusAAminusBlankA1A+A+UpperMediumGradeA2AABlankA3AminusAminusBlankBaa1BBB+BBB+LowerMediumGradeBaa2BBBBBBBlankBaa3BBBminusBBBminusBlankBa1BB+BB+NoninvestmentGradeTable1BondRatingsbyMoody’s,StandardandPoor’s,andFitch(2of2)Moody’sRatingAgencyS&PFitchDefinitionsBa2BBBBSpeculativeBa3BBminusBBminusBlankB1B+B+HighlySpeculativeB2BBBlankB3BminusBminusBlankCaa1CCC+CCCSubstantialRiskCaa2CCCBlankInPoorStandingCaa3CCCminusBlankBlankCaBlankBlankExtremelySpeculativeCBlankBlankMayBeinDefaultBlankBlankDDefaultTheGlobalFinancialCrisisandtheB

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a–TreasurySpreadStartinginAugust2007,thecollapseofthesubprimemortgagemarketledtolargelossesamongfinancialinstitutions.Asaconsequence,manyinvestorsbegantodoubtthefinancialhealthofcorporationswithlowcreditratingssuchasBaaandeventhereliabilityoftheratingsthemselves.TheperceivedincreaseindefaultriskforBaabondsmadethemlessdesirableatanygivenprice.TheCoronavirusPandemicandtheB

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a–TreasurySpreadWhenthecoronavirusofficiallybecameapandemicinMarch2020,theresultinglock-downsandsocialdistancingdealtaknockoutblowtotheworldeconomy.ManyinvestorsbegantodoubtthefinancialhealthofcorporationswithlowcreditratingssuchasBaa.TheperceivedincreaseindefaultriskforBaabondsmadethemlessdesirableatanygivenprice,decreasedthequantitydemanded,andshiftedthedemandcurveforBaabondstotheleft.RiskStructureofInterestRates(3of3)Liquidity:therelativeeasewithwhichanassetcanbeconvertedintocashCostofsellingabondNumberofbuyers/sellersinabondmarketIncometaxconsiderationsInterestpaymentsonmunicipalbondsareexemptfromfederalincometaxes.Figure3InterestRatesonMunicipalandTreasuryBondsEffectsoftheTrumpTaxCutsonBondInterestRatesIn2017,CongressapprovedlegislationproposedbytheTrumpadministrationtodecreasetheincometaxrateonhigh-incometaxpayersfrom39.6%to37%repealingthetaxincreasesimplementedbytheObamaadministration.Alowerincometaxrateforwealthypeoplemeansthattheafter-taxexpectedreturnontax-freemunicipalbondsrelativetothatonTreasurybondsislower.Becausemunicipalbondsnowbecomelessdesirable,theirdemanddecreases,shiftingthedemandcurvetotheleft,whichlowerstheirpriceandraisestheirinterestrate.Conversely,thelowerincometaxratemakesTreasurybondsmoredesirable;thischangeshiftstheirdemandcurvetotheright,raisestheirprice,andlowerstheirinterestrates.TermStructureofInterestRates(1of4)Bondswithidenticalrisk,liquidity,andtaxcharacteristicsmayhavedifferentinterestratesbecausethetimeremainingtomaturityisdifferentTermStructureofInterestRates(2of4)Yieldcurve:aplotoftheyieldonbondswithdifferingtermstomaturitybutthesamerisk,liquidity,andtaxconsiderationsUpward-sloping:long-termratesareaboveshort-termratesFlat:short-andlong-termratesarethesameInverted:long-termratesarebelowshort-termratesTermStructureofInterestRates(3of4)Thetheoryofthetermstructureofinterestratesmustexplainthefollowingfacts:Interestratesonbondsofdifferentmaturitiesmovetogetherovertime.Whenshort-terminterestratesarelow,yieldcurvesaremorelikelytohaveanupwardslope;whenshort-termratesarehigh,yieldcurvesaremorelikelytoslopedownwardandbeinverted.Yieldcurvesalmostalwaysslopeupward.TermStructureofInterestRates(4of4)Threetheoriestoexplainthethreefacts:Expectationstheoryexplainsthefirsttwofactsbutnotthethird.Segmentedmarketstheoryexplainsthethirdfactbutnotthefirsttwo.Liquiditypremiumtheorycombinesthetwotheoriestoexplainallthreefacts.Figure4MovementsOverTimeofInterestRatesonU.S.GovernmentBondsWithDifferentMaturitiesSource:FederalReserveBankofSt.LouisF

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;/series/GS20.ExpectationsTheory(1of7)Theinterestrateonalong-termbondwillequalanaverageoftheshort-terminterestratesthatpeopleexpecttooccuroverthelifeofthelong-termbond.Buyersofbondsdonotpreferbondsofonematurityoveranother;theywillnotholdanyquantityofabondifitsexpectedreturnislessthanthatofanotherbondwithadifferentmaturity.Bondholdersconsiderbondswithdifferentmaturitiestobeperfectsubstitutes.ExpectationsTheory(2of7)Anexample:Letthecurrentrateonone-yearbondbe6%.Youexpecttheinterestrateonaone-yearbondtobe8%nextyear.Thentheexpectedreturnforbuyingtwoone-yearbondsaveragesTheinterestrateonatwo-yearbondmustbe7%foryoutobewillingtopurchaseit.ExpectationsTheory(3of7)Foraninvestmentof$1today’sinterestrateonaone-periodbondinterestrateonaone-periodbondexpectedfornextperiodtoday’sinterestrateonthetwo-periodbondExpectationsTheory(4of7)Expectedreturnoverthetwoperiodsfrominvesting$1inthetwo-periodbondandholdingitforthetwoperiodsSinceisverysmalltheexpectedreturnforholdingthetwo-periodbondfortwoperiodsisExpectationsTheory(5of7)Iftwoone-periodbondsareboughtwiththe$1investmentisextremelysmallSimplifyingwegetExpectationsTheory(6of7)BothbondswillbeheldonlyiftheexpectedreturnsareequalThetwo-periodratemustequaltheaverageofthetwoone-periodratesForbondswithlongermaturitiesThen-periodinterestrateequalstheaverageoftheone-periodinterestratesexpectedtooccuroverthen-periodlifeofthebondExpectationsTheory(7of7)Expectationstheoryexplains:Whythetermstructureofinterestrateschangesatdifferenttimes.Whyinterestratesonbondswithdifferentmaturitiesmovetogetherovertime(fact1).Whyyieldcurvestendtoslopeupwhenshort-termratesarelowandslopedownwhenshort-termratesarehigh(fact2).Cannotexplainwhyyieldcurvesusuallyslopeupward(fact3)SegmentedMarketsTheoryBondsofdifferentmaturitiesarenotsubstitutesatall.Theinterestrateforeachbondwithadifferentmaturityisdeterminedbythedemandforandsupplyofthatbond.Investorshavepreferencesforbondsofonematurityoveranother.Ifinvestorsgenerallypreferbondswithshortermaturitiesthathavelessinterest-raterisk,thenthisexplainswhyyieldcurvesusuallyslopeupward(fact3).LiquidityPremium&PreferredHabitatTheories(1of2)Theinterestrateonalong-termbondwillequalanaverageofshort-terminterestratesexpectedtooccuroverthelifeofthelong-termbondplusaliquiditypremiumthatrespondstosupplyanddemandconditionsforthatbond.Bondsofdifferentmaturitiesarepartial(notperfect)substitutes.LiquidityPremiumTheorywhereistheliquiditypremiumforthen-periodbondattimetisalwayspositiveRiseswiththetermtomaturityPreferredHabitatTheoryInvestorshaveapreferenceforbondsofonematurityoveranother.Theywillbewillingtobuybondsofdifferentmaturitiesonlyiftheyearnasomewhathigherexpectedreturn.Investorsarelikelytoprefershort-termbondsoverlonger-termbonds.Figure5TheRelationshipBetweentheLiquidityPremium(PreferredHabitat)andExpectationsTheoryLiquidityPremium&PreferredHabitatTheories(2of2)Interestratesondifferentmaturitybondsmovetogetherovertime;explainedbythefirsttermintheequationYieldcurvestendtoslopeupwardwhenshort-termratesarelowandtobeinvertedwhenshort-termratesarehigh;explainedbytheliquiditypremiumterminthefirstcaseandbyalowexpectedaverageinthesecondcaseYieldcurvestypicallyslopeupward;explainedbyalargerliquiditypr