《货币金融学cha》PPT课件

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1、chapter5TheRiskandTermStructureofInterestRatesInstructor:XiajingDaipreviewInoursupplyanddemandanalysisofinterest-ratebehaviorinChapter5,weexaminedthedeterminationofjustoneinterestrate.Yetwesawearlierthatthereareenormousnumbersofbondsonwhichtheinterestratescananddodiffer.Inthischapter,wecomp

2、letetheinterest-ratepicturebyexaminingtherelationshipofthevariousinterestratestooneanotherYear2007-08EconomicsFigure1showstheyieldstomaturityforseveralcategoriesoflong-termbondsfrom1919to2002.Itshowsustwoimportantfeaturesofinterest-ratebehaviorforbondsofthesamematurity:(1)Interestratesondiffe

3、rentcategoriesofbondsdifferfromoneanotherinanygivenyear(2)thespread(ordifference)betweentheinterestratesvariesovertime.Year2007-08EconomicsYear2007-08EconomicsDefaultriskOneattributeofabondthatinfluencesitsinterestrateisitsriskofdefault,whichoccurswhentheissuerofthebondisunableorunwillingtoma

4、keinterestpaymentswhenpromisedorpayoffthefacevaluewhenthebondmatures.Bycontrast,U.S.Treasurybondshaveusuallybeenconsideredtohavenodefaultriskbecausethefederalgovernmentcanalwaysincreasetaxestopayoffitsobligations.Bondslikethesewithnodefaultriskarecalleddefault-freebonds.Year2007-08EconomicsTh

5、espreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium,indicateshowmuchadditionalinterestpeoplemustearninordertobewillingtoholdthatriskybondYear2007-08EconomicsYear2007-08EconomicsConclusionAbondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincr

6、easeinitsdefaultriskwillraisetheriskpremium.Year2007-08EconomicsBecausedefaultriskissoimportanttothesizeoftheriskpremium,purchasersofbondsneedtoknowwhetheracorporationislikelytodefaultonitsbonds.Twomajorinvestmentadvisoryfirms,Moody’sInvestorsServiceandStandardandPoor’sCorporation,providedefa

7、ultriskinformationbyratingthequalityofcorporateandmunicipalbondsintermsoftheprobabilityofdefaultYear2007-08EconomicsYear2007-08EconomicsLiquidityThedifferencesbetweeninterestratesoncorporatebondsandTreasurybonds(thatis,theriskpremiums)reflect