债券RP交易公式.PPT

The Distinction Between Rate of Return and Interest Rates The return equals the yield to maturity only if the holding period(持有期間) equals the time to maturity(到期期間) A rise in interest rates(利率上升) is associated with a fall in bond prices(債券價格下降), resulting in a capital loss(資本損失) if time to maturity is longer than the holding period The more distant a bond’s maturity(距到期日越長), the greater the size of the percentage price change(價格變動百分比) associated with an interest-rate change(利率變量) Rate of Return and Interest Rates (cont’d) The more distant a bond’s maturity(距到期日越遠), the lower the rate of return(報酬率下降越多) the occurs as a result of an increase in the interest rate(利率上升會導致) Even if a bond has a substantial initial interest rate, its return can be negative if interest rates rise (利率與報酬率成反比) Table 2 One-Year Returns on Different-Maturity 10%-Coupon-Rate Bonds When Interest Rates Rise from 10% to 20% 作業：將此表用EXCEL做出來 Interest-Rate Risk Prices and returns for long-term bonds are more volatile than those for shorter-term bonds There is no interest-rate risk for any bond whose time to maturity matches the holding period Real and Nominal Interest Rates Nominal interest rate makes no allowance for inflation Real interest rate is adjusted for changes in price level so it more accurately reflects the cost of borrowing Ex ante real interest rate is adjusted for expected changes in the price level Ex post real interest rate is adjusted for actual changes in the price level Fisher Equation Figure 1 Real and Nominal Interest Rates (Three-Month Treasury Bill), 1953–2011 Sources: Nominal rates from /releases/H15 and inflation from /special.requests/cpi/cpia.txt. The real rate is constructed using the procedure outlined in Frederic S. Mishkin, “The Real Interest Rate: An Empirical Investigation,” Carnegie-Rochester Conference Series on Public Policy 15 (1981): 151–200. This procedure involves estimating expected inflation as a function of past interest rates, inflation, and time tr