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1、CHAPTER5TheFinancialEnvironment: Markets,Institutions, andInterestRatesFinancialmarketsTypesoffinancialinstitutionsDeterminantsofinterestratesYieldcurvesDefineTheseMarketsMarketsingeneralPhysicalassetsFinancialassetsMoneyvs.CapitalPrimaryvs.SecondarySpotvs.FutureDirecttransferInve
2、stmentbankinghouseFinancialintermediaryThreePrimaryWaysCapitalIsTransferredBetweenSaversandBorrowersBankNameCountryTotalassetsDeutscheBankAGGermany$735billionUBSGroupSwitzerland$687billionCitigroupUnitedStates$669billionBankofAmericaUnitedStates$618billionBankofTokyoJapan$580billi
3、onTheTop5BankingCompanies intheWorld,1999PhysicalLocationStockExchangesvs.ElectronicDealer-BasedMarketsAuctionmarketvs.Dealermarket(Exchangesvs.OTC)NYSEvs.NasdaqsystemDifferencesarenarrowingWhatdowecalltheprice,orcost,ofdebtcapital?TheinterestrateWhatdowecalltheprice,orcost,ofequi
4、tycapital?RequiredDividendCapitalreturnyieldgain=+Whatfourfactorsaffectthecostofmoney?ProductionopportunitiesTimepreferencesforconsumptionRiskExpectedinflation“Real”Versus“Nominal”Ratesk*=Realrisk-freerate.T-bondrateifnoinflation;1%to4%.=Anynominalrate.=RateonTreasurysecurities.kk
5、RFk=k*+IP+DRP+LP+MRP.Here:k=requiredrateofreturnonadebtsecurity.k*=realrisk-freerate.IP=inflationpremium.DRP=defaultriskpremium.LP=liquiditypremium.MRP=maturityriskpremium.PremiumsAddedtok*forDifferentTypesofDebtS-TTreasury:onlyIPforS-TinflationL-TTreasury:IPforL-Tinflation,MRPS-T
6、corporate:S-TIP,DRP,LPL-Tcorporate:IP,DRP,MRP,LPWhatisthe“termstructureofinterestrates”?Whatisa“yieldcurve”?Termstructure:therelationshipbetweeninterestrates(oryields)andmaturities.Agraphofthetermstructureiscalledtheyieldcurve.TreasuryYieldCurve051015102030YearstoMaturityInterestR
7、ate(%)1yr5.2%5yr5.8%10yr5.9%30yr6.0%YieldCurve(August1999)YieldCurveConstructionStep1:FindtheaverageexpectedinflationrateoverYears1ton:IPn=.nSuppose,thatinflationisexpectedtobe5%nextyear,6%thefollowingyear,and8%thereafter.IP1=5%/1.0=5.00%.IP10=[5+6+8(8)]/10=7.50%.IP20=[5+6+8(18)]/
8、20=7.75%.MustearntheseIPstobreake
