讲义固定收益证券影响债券收益率和利率期限结构的因素课时pptx省名师优质课赛课获奖课件市赛课一等奖课.pptx

5-1Chapter5

?FactorsAffectingBondYieldsandtheTermStructureofInterestRates

5-2LearningObjectivesAfterreadingthischapter,youwillunderstandwhytheyieldonaTreasurysecurityisthebaseinterestrate基础利率thefactorsthataffecttheyieldspread收益率价差betweentwobondswhatayieldcurveisaspotrate即期利率andaspotratecurvehowtheoreticalspotratesarederivedusingarbitragearguments套利机制fromtheTreasuryyieldcurvewhatthetermstructureofinterestrates利率期限构造iswhythepriceofaTreasurybondshouldbebasedontheoreticalspotratesaforwardrate远期利率andhowaforwardrateisderived

5-3LearningObjectives

(continued)Afterreadingthischapter,youwillunderstandhowlong-termratesarerelatedtothecurrentshort-termrateandshort-termforwardrateswhyforwardratesshouldbeviewedashedgeablerates套期保值率thevarioustheoriesaboutthedeterminantsoftheshapeofthetermstructure:pureexpectationstheory完全预期理论,theliquiditytheory流动性理论,thepreferredhabitattheory期限偏好理论,andthemarketsegmentationtheory市场分割理论themaineconomicinfluencesontheshapeoftheTreasuryyieldcurvewhattheswapcurve/LIBORcurve互换利率收益率曲线isandwhyitisusedasaninterestratebenchmark

5-4BaseInterestRatesThesecuritiesissuedbytheU.S.DepartmentoftheTreasuryarebackedbythefullfaithandcreditoftheU.S.government.InterestratesonTreasurysecuritiesarethekeyinterestratesintheU.S.economyaswellasininternationalcapital.Theminimuminterestratethatinvestorswantisreferredtoasthebaseinterestrateorbenchmarkinterestratethatinvestorswilldemandforinvestinginanon-Treasurysecurity.Thisrateistheyieldtomaturity(hereafterreferredtoassimplyyield)offeredonacomparablematurityTreasurysecuritythatwasmostrecentlyissued(“ontherun”).Exhibit5-1(seeOverhead5-5)showstheyield.Theseyieldsrepresentthebenchmarkinterestrate.

5-5Exhibit5-1

U.S.TreasurySecurity