利率的期限結構(3).ppt

《利率的期限結構(3).ppt》由會員上傳分享，免費在線閱讀，更多相關內(nèi)容在PPT專區(qū)-天天文庫。

1、TheRiskandTermStructureofInterestRates-一、RiskstructureofInterestRates(一）DefaultRisk(二)Liquidity(三）IncomeTaxConsiderationRiskStructureofLongBondsintheUnitedStates(一）DefaultRiskIncreaseinDefaultRiskonCorporateBondsAnalysisofFigure2:IncreaseinDefaultRiskonCorporateBondsCorporateBondMarket1.RETeoncorp

2、oratebonds?,Dc?,Dcshiftsleft2.Riskofcorporatebonds?,Dc?,Dcshiftsleft3.Pc?,ic?TreasuryBondMarket4.RelativeRETeonTreasurybonds?,DT?,DTshiftsright5.RelativeriskofTreasurybonds?,DT?,DTshiftsright6.PT?,iT?Outcome:Riskpremium,ic–iT,rises(Riskpremium:Thespreadbetweentheinterestratesonbondswithdefaultriskan

3、ddefault-freebonds)BondRatings(二)LiquidityCorporateBondsBecomeLessLiquidCorporateBondMarket1.LessliquidcorporatebondsDc?,Dcshiftsleft2.Pc?,ic?TreasuryBondMarket1.RelativelymoreliquidTreasurybonds,DT?,DTshiftsright2.PT?,iT?Outcome:Riskpremium,ic–iT,risesRiskpremiumreflectsnotonlycorporatebonds’defaul

4、trisk,butalsolowerliquidity(三）IncomeTaxConsiderationTaxAdvantagesofMunicipalBondsAnalysisofFigure3:TaxAdvantagesofMunicipalBondsMunicipalBondMarket1.TaxexemptionraisesrelativeRETeonmunicipalbonds,Dm?,Dmshiftsright2.Pm?,im?TreasuryBondMarket1.RelativeRETeonTreasurybonds?,DT?,DTshiftsleft2.PT?,iT?Out

5、come:im

6、Theory（三）LiquidityPremiumTheoryA.ExpectationsTheoryexplains1and2,butnot3B.SegmentedMarketsexplains3,butnot1and2C.Solution:CombinefeaturesofbothExpectationsTheoryandSegmentedMarketsTheorytogetLiquidityPremiumTheoryandexplainallfactsInterestRatesonDifferentMaturityBondsMoveTogetherYieldCurves（一）Expect

7、ationsHypothesisKeyAssumption:BondsofdifferentmaturitiesareperfectsubstitutesImplication:RETeonbondsofdifferentmaturitiesareequalInvestmentstrategiesfortwo-periodhorizon1.Buy$1ofone-yearbondandwhenitm