投资学Chap015.ppt

Interpreting the Term Structure The yield curve reflects expectations of future interest rates. The forecasts of future rates are clouded by other factors, such as liquidity premiums. An upward sloping curve could indicate: Rates are expected to rise And/or Investors require large liquidity premiums to hold long term bonds. 15-* Interpreting the Term Structure The yield curve is a good predictor of the business cycle. Long term rates tend to rise in anticipation of economic expansion. Inverted yield curve may indicate that interest rates are expected to fall and signal a recession. 15-* Figure 15.6 Term Spread: Yields on 10-year vs. 90-day Treasury Securities 15-* INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS CHAPTER 15 The Term Structure of Interest Rates The yield curve is a graph that displays the relationship between yield and maturity. Information on expected future short term rates can be implied from the yield curve. Overview of Term Structure 15-* Figure 15.1 Treasury Yield Curves 15-* Yield Curve Under Certainty Suppose you want to invest for 2 years. Buy and hold a 2-year zero -or- Rollover a series of 1-year bonds Equilibrium requires that both strategies provide the same return. 15-* Figure 15.2 Two 2-Year Investment Programs 15-* Yield Curve Under Certainty Buy and hold vs. rollover: Next year’s 1-year rate (r2) is just enough to make rolling over a series of 1-year bonds equal to investing in the 2-year bond. 15-* Spot Rates vs. Short Rates Spot rate – the rate that prevails today for a given maturity Short rate – the rate for a given maturity (e.g. one year) at different points in tim