- 1、本文档共12页,可阅读全部内容。
- 2、有哪些信誉好的足球投注网站(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
《《Investment 8th Chap015》.doc
CHAPTER 15: THE TERM STRUCTURE OF INTEREST RATES
PROBLEM SETS.
1. In general, the forward rate can be viewed as the sum of the market’s expectation of the future short rate plus a potential risk (or ‘liquidity’) premium. According to the expectations theory of the term structure of interest rates, the liquidity premium is zero so that the forward rate is equal to the market’s expectation of the future short rate. Therefore, the market’s expectation of future short rates (i.e., forward rates) can be derived from the yield curve, and there is no risk premium for longer maturities.
The liquidity preference theory, on the other hand, specifies that the liquidity premium is positive so that the forward rate is less than the market’s expectation of the future short rate. This could result in an upward sloping term structure even if the market does not anticipate an increase in interest rates. The liquidity preference theory is based on the assumption that the financial markets are dominated by short-term investors who demand a premium in order to be induced to invest in long maturity securities.
2. True. Under the expectations hypothesis, there are no risk premia built into bond prices. The only reason for long-term yields to exceed short-term yields is an expectation of higher short-term rates in the future.
3. Uncertain. Expectations of lower inflation will usually lead to lower nominal interest rates. Nevertheless, if the liquidity premium is sufficiently great, long-term yields may exceed short-term yields despite expectations of falling short rates.
4. Maturity Price YTM Forward Rate 1 $943.40 6.00% 2 $898.47 5.50% (1.0552/1.06) – 1 = 5.0% 3 $847.62 5.67% (1.05673/1.0552) – 1 = 6.0% 4 $792.16 6.00% (1.064/1.05673) – 1 = 7.0%
5. The expected price path of the 4-year zero coupon bond is shown below. (Note that we discount the face value by the appropriate sequence of forward rates implied by this year’s yield curve.)
Beginning of Year Expected Price Expect
文档评论(0)