The Term Structure of Interest Rates推荐.docxVIP

Chapter15: The Term Structure of Interest RatesChapter Openerp. 480PART??IVIN??CHAPTER 14 we assumed for the sake of simplicity that the same constant interest rate is used to discount cash flows of any maturity. In the real world this is rarely the case. We have seen, for example, that in late 2009 short-term Treasury bonds and notes carried yields to maturity less than 1% while the longest-term bonds offered yields of about 4.2%. At the time when these bond prices were quoted, anyway, the longer-term securities had higher yields. This, in fact, is a typical pattern, but as we shall see below, the relationship between time to maturity and yield to maturity can vary dramatically from one period to another. In this chapter we explore the pattern of interest rates for different-term assets. We attempt to identify the factors that account for that pattern and determine what information may be derived from an analysis of the so-called term structure of interest rates The pattern of interest rates appropriate for discounting cash flows of various maturities., the structure of interest rates for discounting cash flows of different maturities.???We demonstrate how the prices of Treasury bonds may be derived from prices and yields of stripped zero-coupon Treasury securities. We also examine the extent to which the term structure reveals market-consensus forecasts of future interest rates and how the presence of interest rate risk may affect those inferences. Finally, we show how traders can use the term structure to compute forward rates that represent interest rates on “forward,” or deferred, loans, and consider the relationship between forward rates and future interest rates.Chapter15: The Term Structure of Interest Rates15.1 The Yield CurveFigure 14.1 demonstrated that bonds of different maturities typically sell at different yields to maturity. When these bond prices and yields were compiled, long-term bonds sold at higher yields than short-term bonds. Practitioners com