105第5章节风险跟期限结构如何影响利率.pptVIP

* 纯预期理论与第1个事实 短期利率的提高将会提高人们对未来短期利率的预期。 If it ? today, iet+1, iet+2 etc. ? ? ? average of future rates ? ? int ? Therefore: it ? ? int ? (i.e., short and long rates move together) * 纯预期理论与第2个事实 短期利率较低，人们会认为未来短期利率将会提高，所以长期利率会高于当前的短期利率。 yield curve will have steep upward slope. 短期利率较高，人们会认为未来短期利率将会降低，所以长期利率会低于当前短期利率。 yield curve will have downward slope. * 纯预期理论与第3个事实 收益率曲线向上倾斜，意味着预期未来的短期利率会上升。 而短期利率既有可能上升也有可能下降，按照纯预期理论的解释收益率曲线最常见的形式应该是水平的。 Doesnt explain fact 3—that yield curve usually has upward slope. * 二、 市场分割理论 Key Assumption: Bonds of different maturities are not substitutes (替代品) at all Implication: 市场是完全独立的，不同到期期限的债券利率由该债券自身的供求状况决定。 * 市场分割理论对期限结构的解释 Explains fact 3—that yield curve is usually upward sloping People typically prefer short holding periods and thus have higher demand for short-term bonds, which have higher prices and lower interest rates than long bonds * 市场分割理论对期限结构的解释 Does not explain fact 1 or fact 2 because its assumes long-term and short-term rates are determined independently * 三、流动性溢价理论 This theory modifies Pure Expectations and it also has features of Market Segmentation Theory. * 三、流动性溢价理论 Key Assumption: Bonds of different maturities are substitutes, but are not perfect substitutes Implication: 一种债券的预期回报率影响不同期限的另一种债券的预期回报率，但是投资者对于不同到期期限的债券有所偏好。 * Liquidity Premium Theory – Main Point Investors prefer short rather than long bonds ? must be paid positive liquidity premium, lnt, to hold long term bonds * Liquidity Premium Theory – Yield Curve * Liquidity Premium Theory - Equation Results in following modification of Pure Expectations Theory (3) * 流动性溢价理论对期限结构的解释 Comparing with those for the pure expectations theory, liquidity premium theory produces yield curves more steeply upward sloped Explains fact 3—that usual upward sloped yield curve by liquidity premium for long-term bonds * Yield Curves and the Market’s Expectations of Future Short-Term Interest Rates * 四、用期限结构对利率进行预测 Pure Expectations Theory: In