- 1、本文档共23页,可阅读全部内容。
- 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
利率的结构
Chapter 6 The Risk and Term Structure of Interest Rates Risk Structure of Long-Term Bonds in the United States Increase in Default Risk on Corporate Bonds Analysis of Figure 2: Increase inDefault Risk on Corporate Bonds Corporate Bond Market 1. Re on corporate bonds ?, Dc ?, Dc shifts left 2. Risk of corporate bonds ?, Dc ?, Dc shifts left 3. Pc ?, ic ? Treasury Bond Market 4. Relative Re on Treasury bonds ?, DT ?, DT shifts right 5. Relative risk of Treasury bonds ?, DT ?, DT shifts right 6. PT ?, iT ? Outcome: Risk premium, ic – iT, rises Bond Ratings Corporate Bonds Become Less Liquid Corporate Bond Market 1. Less liquid corporate bonds Dc ?, Dc shifts left 2. Pc ?, ic ? Treasury Bond Market 1. Relatively more liquid Treasury bonds, DT ?, DT shifts right 2. PT ?, iT ? Outcome: Risk premium, ic – iT, rises Risk premium reflects not only corporate bonds’ default risk, but also lower liquidity Tax Advantages of Municipal Bonds Analysis of Figure 3: Tax Advantages of Municipal Bonds Municipal Bond Market 1. Tax exemption raises relative RETe on municipal bonds, Dm ?, Dm shifts right 2. Pm ?, im ? Treasury Bond Market 1. Relative RETe on Treasury bonds ?, DT ?, DT shifts left 2. PT ?, iT ? Outcome: im iT Term Structure Facts to be Explained 1. Interest rates for different maturities move together over time 2. Yield curves tend to have steep upward slope when short rates are low and downward slope when short rates are high 3. Yield curve is typically upward sloping Three Theories of Term Structure 1. Expectations Theory 2. Segmented Markets Theory 3. Liquidity Premium (Preferred Habitat) Theory A. Expectations Theory explains 1 and 2, but not 3 B. Segmented Markets explains 3, but not 1 and 2 C. Solution: Combine features of both Expectations Theory and Segmented Markets Theory to get Liquidity Premium (Preferred Habitat) Theory and explain all facts Interest Rates on Different Maturity Bonds Move Together Yield Curves Expectations Hypothesis Key Assumption: Bo
您可能关注的文档
- 信号交叉口期望交通延误模型及计算方法研究.pdf
- 信号与测试实验一报告.doc
- 信息保障与安全.doc
- 信封印刷品不锈钢机械柜汽车生化分析仪胶片洗板机.doc
- 信息专业英语.doc
- 信息技术在业务中组织信息资源.ppt
- 信息管理专业英语.ppt
- 信息过滤(InformationFiltering)综述.ppt
- 修复Windows XP的搜索功能.pdf
- 修辞学课件formalandinformalwords.ppt
- 四川省德阳市罗江中学2025届高三考前热身化学试卷含解析.doc
- 山东省枣庄现代实验学校2025届高三下学期第五次调研考试化学试题含解析.doc
- 吉林省长春市十一高中等九校教育联盟2025届高三一诊考试生物试卷含解析.doc
- 2025届江苏省盐城市伍佑中学高考仿真模拟化学试卷含解析.doc
- 2025届广西贺州中学高考冲刺押题(最后一卷)生物试卷含解析.doc
- 安徽省池州市贵池区2025届高三第一次模拟考试生物试卷含解析.doc
- 宁夏银川一中2025届高三(最后冲刺)化学试卷含解析.doc
- 广东省广州市增城区四校联考2025届高考压轴卷化学试卷含解析.doc
- 2025届邯郸市第一中学高考生物必刷试卷含解析.doc
- 2025届安徽省安庆市石化第一中学高考仿真卷化学试卷含解析.doc
文档评论(0)