利率的结构.ppt

Chapter 6 The Risk and Term Structure of Interest Rates Risk Structure of Long-Term Bonds in the United States Increase in Default Risk on Corporate Bonds Analysis of Figure 2: Increase inDefault Risk on Corporate Bonds Corporate Bond Market 1. Re on corporate bonds ?, Dc ?, Dc shifts left 2. Risk of corporate bonds ?, Dc ?, Dc shifts left 3. Pc ?, ic ? Treasury Bond Market 4. Relative Re on Treasury bonds ?, DT ?, DT shifts right 5. Relative risk of Treasury bonds ?, DT ?, DT shifts right 6. PT ?, iT ? Outcome: Risk premium, ic – iT, rises Bond Ratings Corporate Bonds Become Less Liquid Corporate Bond Market 1. Less liquid corporate bonds Dc ?, Dc shifts left 2. Pc ?, ic ? Treasury Bond Market 1. Relatively more liquid Treasury bonds, DT ?, DT shifts right 2. PT ?, iT ? Outcome: Risk premium, ic – iT, rises Risk premium reflects not only corporate bonds’ default risk, but also lower liquidity Tax Advantages of Municipal Bonds Analysis of Figure 3: Tax Advantages of Municipal Bonds Municipal Bond Market 1. Tax exemption raises relative RETe on municipal bonds, Dm ?, Dm shifts right 2. Pm ?, im ? Treasury Bond Market 1. Relative RETe on Treasury bonds ?, DT ?, DT shifts left 2. PT ?, iT ? Outcome: im iT Term Structure Facts to be Explained 1. Interest rates for different maturities move together over time 2. Yield curves tend to have steep upward slope when short rates are low and downward slope when short rates are high 3. Yield curve is typically upward sloping Three Theories of Term Structure 1. Expectations Theory 2. Segmented Markets Theory 3. Liquidity Premium (Preferred Habitat) Theory A. Expectations Theory explains 1 and 2, but not 3 B. Segmented Markets explains 3, but not 1 and 2 C. Solution: Combine features of both Expectations Theory and Segmented Markets Theory to get Liquidity Premium (Preferred Habitat) Theory and explain all facts Interest Rates on Different Maturity Bonds Move Together Yield Curves Expectations Hypothesis Key Assumption: Bo