清华大学货币银行学讲义（考研必备）ch6.pptVIP

ch6. The structure of interest rate: the term structure To understand: Why the “term” or period to maturity of an asset affects its rate of return The meaning of term premium Why a term premium may still be required even if the asset is highly liquid? The theories of term structure of interest rate: Pure expectation Liquidity premium theory Segmented of markets 6.1 the term structure of interest rate 6.1.1 Definition of term structure term structure: The relation between the return of bonds and the term of maturity of those bonds, which have identical risk, liquidity and tax characteristics, and its real interest rate (yield). The maturity of financial instrument can influence interest rates. Bonds with identical risk, liquidity, and others characteristics may have different interest rates because the time remaining to maturity. the term structure can be approximately demonstrated by the yield curve of the securities which illustrated the relationship of holding period return and its term to maturity. 6.1.2 the yield curve and term structure： The yield curve is a (or a group of) curve to illustrates the relationship between the yield and time to maturity of a securities which have identical risk and other characteristics. 6.2. The pure expectations theory (无偏预期假说) 6.2.1 Assumptions of expectations theory： Maximum of profit of investment, investor are risk neutral market participants The term of bonds is Indifference to investor Securities of different maturity are perfect substitutes for one another No transaction cost, The investors make their decision based on the expectation about future rates and they can have unbiased estimates of future rates Arbitrage would make all maturities consistent with expectations so that the investor would receive the same return regardless of the maturity. the investors change the portfolio as soon as they find that there is possibility for them to speculate from the difference of yield of term. 6.4. The Segmented Mar