Chap015 The Term Structure of Interest Rates 博迪投资学教材.pptVIP

CHAPTER 15;Information on expected future short term rates can be implied from the yield curve The yield curve is a graph that displays the relationship between yield and maturity Three major theories are proposed to explain the observed yield curve;Figure 15.1 Treasury Yield Curves;Bond Pricing;Table 15.1 Yields and Prices to Maturities on Zero-Coupon Bonds ($1,000 Face Value);Figure 15.3 Short Rates versus Spot Rates;fn = one-year forward rate for period n yn = yield for a security with a maturity of n;Example 15.4 Forward Rates;Downward Sloping Spot Yield CurveExample;Forward Rates for Downward Sloping Y C Example;Interest Rate Uncertainty;Interest Rate Uncertainty Continued;Expectations Liquidity Preference Upward bias over expectations;Expectations Theory;Long-term bonds are more risky Investors will demand a premium for the risk associated with long-term bonds The yield curve has an upward bias built into the long-term rates because of the risk premium Forward rates contain a liquidity premium and are not equal to expected future short-term rates;Figure 15.4 Yield Curves;Figure 15.4 Yield Curves (Concluded);Interpreting the Term Structure;Figure 15.5 Price Volatility of Long-Term Treasury Bonds;Figure 15.6 Term Spread: Yields on 10-Year Versus 90-Day Treasury Securities;Forward Rates as Forward Contracts;Figure 15.7 Engineering a Synthetic Forward Loan