货币银行学-第5章.ppt

Chapter 5,The Behaviour of Interest Rates,,利率分析方法之比较,存量（分析）：存量是指某一经济量在某一时间点上的值，只能在某个时点上衡量，即他的定量没有时间范围 流量（分析）：指在一定时期内某种经济变量变动的数值，它只能在一定时期内衡量，定量要有时间范围 关系：存量分析中使用时点均衡分析法，强调经济系统的瞬间均衡，就不能揭示流量的波动；承认流量的波动，存量均衡就受到破坏5-2,利率决定理论的发展,古典利率决定理论 魏克赛尔的累计利率理论 流动性偏好理论 罗伯特森可贷资金理论5-3,5-4,Determinants of Asset Demand,5-5,Derivation of Bond Demand Curve(债券需求价格的推导）,,,(F – P) i = RETe = P Point A: P = $950($1000 – $950) i = = 0.053 = 5.3%$950 Bd = $100 billion,5-6,,Derivation of Bond Demand Curve,Point B: P = $900($1000 – $900) i = = 0.111 = 11.1%$900 Bd = $200 billion Point C: P = $850, i = 17.6% Bd = $300 billion Point D: P = $800, i = 25.0% Bd = $400 billion Point E: P = $750, i = 33.0% Bd = $500 billion Demand Curve is Bd in Figure 1 which connects points A, B, C, D, E. Has usual downward slope,5-7,Derivation of Bond Supply Curve（债券供给曲线的推导）,Point F: P = $750, i = 33.0%, Bs = $100 billion Point G: P = $800, i = 25.0%, Bs = $200 billion Point C: P = $850, i = 17.6%, Bs = $300 billion Point H: P = $900, i = 11.1%, Bs = $400 billion Point I: P = $950, i = 5.3%, Bs = $500 billion Supply Curve is Bs that connects points F, G, C, H, I, and has upward slope,5-8,Supply and Demand Analysis of the Bond Market,Market Equilibrium 1. Occurs when Bd = Bs, at P* = $850, i* = 17.6% 2. When P = $950, i = 5.3%, Bs > Bd (excess supply): P  to P*, i to i* 3. When P = $750, i = 33.0, Bd > Bs (excess demand): P  to P*, i  to i*,5-9,Loanable Funds Terminology（可贷资金术语）,1. Demand for bonds = supply of loanable funds 2. Supply of bonds = demand for loanable funds,5-10,Shifts in the Bond Demand Curve（需求曲线的位移）,5-11,Factors that Shift the Bond Demand Curve（导致债券需求曲线位移的因素）,1. Wealth A. Economy grows, wealth , Bd , Bd shifts out to right 2. Expected Return A. i  in future, Re for long-term bonds , Bd shifts out to right B. e , Relative Re , Bd shifts out to right C. Expected return of other assests , Bd , Bd shifts out to right 3. Risk A. Risk of bonds , Bd , Bd shifts out to right B. Risk of other assets , Bd , Bd shifts out to right 4. Liquidity A. Liquidity of Bonds , Bd , Bd shifts out to right B. Liquidity of other assets , Bd , Bd shifts out to right,5-12,Factors that Shift Demand Curve for Bonds,5-13,Shifts in the Bond Supply Curve(债券供给曲线的位移）,1. Profitability of Investment Opportunities Business cycle expansion, investment opportunities , Bs , Bs shifts out to right 2. Expected Inflation e , Bs , Bs shifts out to right 3. Government Activities Deficits , Bs , Bs shifts out to right,5-14,Factors that Shift Supply Curve for Bonds,我国国债市场结构,5-15,我国国债发行,5-16,5-17,Changes in e: the Fisher Effect,If e  1. Relative RETe , Bd shifts in to left 2. Bs , Bs shifts out to right 3. P , i ,5-18,Evidence on the Fisher Effect,5-19,Business Cycle Expansion（经济周期扩张）,1. Wealth , Bd , Bd shifts out to right 2. Investment , Bs , Bs shifts out to right 3. If Bs shifts more than Bd then P , i ,5-20,Evidence on Business Cycles and Interest Rates,5-21,Liquidity Preference Analysis(流动性偏好分析）,Derivation of Demand Curve 1. Keynes assumed money has i = 0 2. As i , relative RETe on money  (equivalently, opportunity cost of money )  Md  3. Demand curve for money has usual downward slope Derivation of Supply curve 1. Assume that central bank controls Ms and it is a fixed amount 2. Ms curve is vertical line Market Equilibrium 1. Occurs when Md = Ms, at i* = 15% 2. If i = 25%, Ms > Md (excess supply): Price of bonds , i  to i* = 15% 3. If i =5%, Md > Ms (excess demand): Price of bonds , i to i* = 15%,5-22,Money Market Equilibrium,5-23,Rise in Income or the Price Level,1. Income , Md , Md shifts out to right 2. Ms unchanged 3. i* rises from i1 to i2,5-24,Rise in Money Supply,1. Ms , Ms shifts out to right 2. Md unchanged 3. i* falls from i1 to i2,5-25,5-26,Money and Interest Rates,Effects of money on interest rates 1. Liquidity EffectMs , Ms shifts right, i  2. Income EffectMs , Income , Md , Md shifts right, i  3. Price Level EffectMs , Price level , Md , Md shifts right, i  4. Expected Inflation EffectMs , e , Bd , Bs , Fisher effect, i  Effect of higher rate of money growth on interest rates is ambiguous 1. Because income, price level and expected inflation effects work in opposite direction of liquidity effect,5-27,Does Higher Money Growth Lower Interest Rates?,5-28,Evidence on Money Growth and Interest Rates,。