06-章-利率结构.pptVIP

* 流动性溢价理论和期限优先理论 长期债券的利率等于该种债券到期之前未来短期利率预期的平均值加上该种债券随供求条件的变化而变化的期限升水（流动性升水或期限补偿） 假定在今后5年里，1年期利率预期分别为5%、6%、7%、8%和9%，由于投资者偏好持有短期债券，这就意味着1年至5年期债券的期限升水分别为0%、0.25%、0.5%、0.75%和1.0%。 于是 2年期债券的利率为： 5年期债券的利率则为： * 流动性溢价理论和期限优先理论评析 解释短期利率上升，导致未来短期利率平均值更高，长期利率随之上升，所以不同期限债券的利率随时间一起波动。 解释短期利率偏低时，投资者会预期它将升至某个正常水平，从而形成正值的期限升水，长期利率随之高于当期短期利率，收益率曲线陡直地向上倾斜。相反，如果短期利率偏高，人们通常预期其将下降，因为期限升水为负值，所以收益率曲线向下倾斜，长期利率将低于短期利率。 解释典型的收益率曲线总是向上倾斜，因为投资者偏好短期债券，随债券期限延长，期限升水亦相应增加，即便未来短期利率预期的平均值保持不变，长期利率也将高于短期利率，从而使得收益率曲线总是向上倾斜。 解释期限升水为正值，收益率曲线偶尔向下倾斜的状况。因为，有时未来短期利率预期大幅下降，使得短期利率预期的平均值大大低于当期短期利率，即便加上正值的期限升水，长期利率仍然低于当期短期利率。 * 预期理论与流动性溢价理论和期限优先理论关系Relationship Between the Liquidity Premium (Preferred Habitat) and Expectations Theories * 未来短期利率的市场预期和收益率曲线 * 反转的收益率曲线 Inverted Yield Curves When the yield curve slopes down, it is called invertedAn inverted yield curve is a valuable forecasting tool Occurs when short term rates exceed long term rates Historical indicator of recession * 思考题 * * Chapter 6 利率的期限结构与风险结构 The Risk and Term Structure of Interest Rates * A Basic Interest Rate Pricing Model for An asset Assuming perfect information, pe is the same for all participants in the market, and this is identical to: where in is the nominal interest rate on a given investment ir is the risk-free return to capital i*n = the nominal interest rate on a short-term risk-free liquid bond (such as U.S. Treasury Bills). pe inflationary expectations rp = a risk premium reflecting the length of the investment and the likelihood the borrower will default lp = liquidity premium (reflecting the perceived difficulty of converting the asset into money and thus into goods). * 关键术语 Key words Default-free bonds Expectation theory Inverted yield curve Junk bond Liquidity premium theory Preferred habitat theory Risk premium Risk structure of interest rate Segmented market theory Term structure of interest rates Yield curve * 利率结构 指各种性质不同、期限不同的债务凭证其利率的组合方式。 利率结构包括： 风险结构Risk Stru