3.货币时间价值与利率期限结构 清华大学绝版金融工程课件营销.pptVIP

Term Structure of Interest Rates Our objective is to value riskless cash flows. Given the rich set of fixed-income securities traded in the market, their prices provide the information needed to value riskless cash flows at hand. Forms of Interest Rates In this market, this information on the time value of money is given in several different forms: Spot interest rates Price of discount bonds (e.g., zero-coupon bonds and STRIPS) Prices of coupon bonds Yield-to-maturity (an average of spot interest rates) Forward interest rates The form in which this information is expressed depends on the particular market. Determination of Interest Rate Capital production ability —— the more the capital’s expected return, the higher the interest rates and vice versa. Uncertainty of capital production ability —— the more the uncertainty, the higher the risk premium required and the higher the interest rates and vice versa. Time preference of consumption —— the stronger preference to current consumption, the higher the risk premium required and the higher the interest rates and vice versa. Risk aversion —— the more the risk aversion, the higher the risk premium required and the lower the risk-free interest rates. Theory of Real Interest Rates Real interest rates are determined by supply and demand of funds in the economy. 3 factors in determining real interest rates: Aggregate endowments Aggregate investment opportunities Aggregate preferences for different consumption path Consider a representative investor: Has endowment of ( e0, e1) Faces a bond market with interest rate r. He maximizes his utility over his consumption now and later: Where b is the bond holding, u’0 and u”0 The optimality condition is Nonlinear technology Linear technology More generally, consider consumption grow at random rate. Investors maximize their expected utility over many periods. Where is his holdings of discount bonds, is future endowmen