台中央大学货币银行学MBChapter 6.ppt

Chapter 6 The Risk and Term Structure of Interest Rates This chapter examines the relationship among different interest rates and why they differ. We examine the sources and causes of fluctuations interest rates relative to one another and look at a number of theories that explain these fluctuations. Risk structure of interest rates Why do bonds with same term to maturity have different interest rates? The relationship among these interest rates is called the risk structure of interest rates Term structure of interest rates A bond’s term to maturity also affects its interest rate. The relationship among interest rates on bonds with different terms to maturity is called the term structure of interest rates. Risk Structure of Interest Rates The relationship among interest rates with same term to maturity. Default risk one attribute of a bond that influences its interest rate. The chance that the issuer of the bond will default, that is, unable to make interest payments or pay off the face value when the bond matures. Default-free bonds U.S. Treasury bonds have usually been considered to have no default risk. Bonds like these with no default risk are called default-free bonds. Risk premium The spread between the interest rates on bonds with default risk and default-free bonds. It indicates how much additional interest people must earn to be willing to hold a risky bond. A bond with default risk will always have a positive risk premium, and an increase in its default risk will raise the risk premium. Liquidity Another attribute of a bond that influences its interest rate. The more liquid an asset is, the more desirable it is. The spread between the interest rates on corporate bonds and Treasury bonds reflect not only the corporate bond’s default risk but its liquidity too. This is why a risk premium is sometimes called a liquidity premium, or a “risk and liquidity premium’’. Income tax consideration The interest rate of a bond that is not subject