风险和期限如何影响利率rfn.ppt

第五章 风险和期限如何影响利率•第一节第一节 利率的风险结构利率的风险结构 •第二节第二节 利率的期限结构利率的期限结构1Chapter Preview 本章主要研究风险对利率的影响和期限结构对利率的影响•利率的风险结构 Risk Structure of Interest Rates•利率的期限结构 Term Structure of Interest Rates2Risk Structure of Long Bonds in the U.S.3Two important features of interest-rate behavior for bondsFigure 1 shows the features as following:• 在任何一年内，不同种类的债券利率各不相同；• 利率之间的利差(spread)随着时间的推移而变动4Factors Affecting Risk Structure of Interest Rates•Default Risk (违约风险)•Liquidity(流动性)•Income Taxes Factor(所得税因素)5一、 Default Risk (违约风险)• 影响债券利率的一个特征是其违约风险(risk of default)。

当债券发行者不能或不愿按事先约定支付利息或面值时，就出现违约风险• 美国联邦政府的债券通常是没有违约风险的(美国政府可以通过增加税收来履行还款义务)这种债券被称为无风险债券( default-free bonds ).6Risk Premium (风险溢价)• 具有违约风险的债券和无违约风险的债券之间的利差称为风险溢价(risk premium)，它表明人们持有高风险债券所必须获得的利息• 具有违约风险的债券通常具有正的风险溢价，而且违约风险越大风险溢价越大7Increase in Default Risk on Corporate Bonds 8公司债违约风险增长的分析Corporate Bond Market1.Risk of corporate bonds , Dc , Dc shifts left2. Pc , ic Treasury Bond Market3.Relative risk of Treasury bonds , DT , DT shifts right4. PT , iT Outcome5.Risk premium, ic - iT, rises9债券的评级Bond RatingsBaa (Moody) or BBB (S&P)或以上级别的称为投资级投资级别证券别证券；以下级别的称为称为垃圾债券垃圾债券Junk bonds。

10二、 Liquidity (流动性)•影响债券利率的另一个因素是流动性 liquidity; 债券的流动性越强越受欢迎 •在众多长期债券中，美国的国债流动性最强因为其交易范围广泛，容易被出售，而且交易成本低11Liquidity Premium (流动性溢价)• 公司债券的流动性比国债要差Because fewer bonds for any one corporation are traded and it may be hard to find buyers quickly.• 公司债券与国债之间的利差 (that is, the risk premiums) 不仅反映了公司债券的违约风险，还反映了其流动性风险所以风险溢价有时也被称为流动性溢价12Decrease in Liquidity of Corporate BondsRisk premium reflects not only corporate bonds' default risk but also lower liquidity13公司债流动性降低的反应公司债流动性降低的反应Corporate Bond Market1.Liquidity of corporate bonds , Dc , Dc shifts left2. Pc , ic Treasury Bond Market3.Relatively more liquid Treasury bonds, DT , DT shifts right4. PT , iT Outcome 5.Risk premium, ic - iT, rises14三、 Income Taxes Factor (所得税因素)• 美国的市政府债券(municipal bonds)的利息支付不用缴纳联邦所得税(federal income taxes) 。

• 这对于市政债券的需求来说，与提高预期收益具有相同的影响效果15市政府债券的税收优势市政府债券的税收优势16市政府债券的税收优势分析市政府债券的税收优势分析Municipal Bond Market1.Tax exemption raises relative Re on municipal bonds, Dm , Dm shifts right2. Pm , im Treasury Bond Market3.Relative Re on Treasury bonds , DT , DT shifts left4. PT , iT Outcome5. im < iT17第二节第二节 利率的期限结构利率的期限结构•具有相同风险、流动性和税收因素的债券也可能因为到期期限的差异而具有不同的利率水平18不同到期期限的债券的利率变动不同到期期限的债券的利率变动 19收益率曲线收益率曲线Yield CurvesDynamic yield curve that can show the curve at any time in history美国不同到期期限国债利率21第二节第二节 利率的期限结构利率的期限结构• 具有不同到期期限的债券的利率会同时变动。

• 当短期利率较低时，收益率曲线更有可能陡峭向上倾斜 ；当短期利率较高时，收益率曲线更有可能向下倾斜• 收益率曲线通常是向上倾斜 22期限结构理论期限结构理论Pure Expectations Theory 纯预期理论纯预期理论•Pure Expectations Theory explains 1 and 2, but not 3Market Segmentation Theory 市场细分理论市场细分理论•Market Segmentation Theory explains 3, but not 1 and 2Liquidity Premium Theory 流动性溢价理论流动性溢价理论•Solution: Combine features of both Pure Expectations Theory and Market Segmentation Theory to get Liquidity Premium Theory and explain all facts23一、一、 纯预期理论纯预期理论•Key Assumption关键假设关键假设: Bonds of different maturities are perfect substitutes(完全替代品)。

•Implication隐含假设隐含假设: Re on bonds of different maturities are equal. 24纯预期理论纯预期理论——投资策略投资策略考虑两种投资策略：1.Buy $1 of one-year bond and when matures buy another one-year bond2.Buy $1 of two-year bond and hold it25Expected return from strategy 2•Since (i2t)2 is extremely small, expected return is approximately 2(i2t).26Expected return from strategy 1•Since it(iet+1) is also extremely small, expected return is approximately it + iet+1.27纯预期理论纯预期理论——投资策略投资策略•From implication above expected returns of two strategies are equal;•Therefore•Solving for i2t(1)28n周期债券的利率周期债券的利率•Equation 2 states: n周期债券的利率等于在这个周期内出现的短期债券利率的平均值(2)29Numerical example•One-year interest rate over the next five years is expected to be 5%, 6%, 7%, 8%, and 9%•Interest rate on two-year bond:(5% + 6%)/2 = 5.5%•Interest rate for five-year bond:(5% + 6% + 7% + 8% + 9%)/5 = 7%•Interest rate for one- to five-year bonds:5%, 5.5%, 6%, 6.5% and 7% 30纯预期理论对期限结构的解释纯预期理论对期限结构的解释•当预计未来的短期利率上升时，未来短期利率的平均值比当前的短期利率高，所以收益率曲线向上倾斜。

•当预计未来的短期利率不变时，未来短期利率的平均值与当前的短期利率相同，所以收益率曲线是平坦的•当预计未来的短期利率下降时，收益率曲线向下倾斜31纯预期理论与第纯预期理论与第1个事实个事实•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)32纯预期理论与第纯预期理论与第2个事实个事实•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.33纯预期理论与第纯预期理论与第3个事实个事实•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。

•Doesn't explain fact 3—that yield curve usually has upward slope.34二、二、 市场分割理论市场分割理论•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35市场分割理论对期限结构的解释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 bonds36市场分割理论对期限结构的解释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 independently37三、流动性溢价理论三、流动性溢价理论•This theory modifies Pure Expectations and it also has features of Market Segmentation Theory. 38三、流动性溢价理论三、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。

39Liquidity Premium Theory – Main Point•Investors prefer short rather than long bonds  must be paid positive liquidity premium, lnt, to hold long term bonds40Liquidity Premium Theory – Yield Curve41Liquidity Premium Theory - Equation•Results in following modification of Pure Expectations Theory(3)42流动性溢价理论对期限结构的解释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 bonds43Yield Curves and the Market’s Expectations of Future Short-Term Interest Rates44四、用期限结构对利率进行预测四、用期限结构对利率进行预测Pure Expectations Theory: Invest in 1-period bonds or in two-period bond Solve for forward rate, (4)45Numerical example (P80)•i1t = 5%, i2t = 5.5%•即期利率Spot Rates and 远期利率Forward Rates (P80)46四、用期限结构对利率进行预测四、用期限结构对利率进行预测•Compare 3-year bond versus 3 one-year bonds•Using iet+1 derived in (4), solve for iet+247Forecasting Interest Rates with the Term Structure•Generalize to:(5)48Forecasting Interest Rates with the Term Structure•Liquidity Premium Theory: int - lnt = same as pure expectations theory; replace int by int - lnt in (5) to get adjusted forward-rate forecastUsing this equation in forecasting, firstly we need to estimate the value of the liquidity premium.(6)49•演讲完毕，谢谢观看！。