利率的期限结构(3).ppt

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1、TheRiskandTermStructureofInterestRates-一、RiskstructureofInterestRates(一）DefaultRisk(二)Liquidity(三）IncomeTaxConsiderationRiskStructureofLongBondsintheUnitedStates(一）DefaultRiskIncreaseinDefaultRiskonCorporateBondsAnalysisofFigure2:IncreaseinDefaultRiskonCorporateBondsCorporateBondMarket1.RETeoncorp

2、oratebonds,Dc,Dcshiftsleft2.Riskofcorporatebonds,Dc,Dcshiftsleft3.Pc,icTreasuryBondMarket4.RelativeRETeonTreasurybonds,DT,DTshiftsright5.RelativeriskofTreasurybonds,DT,DTshiftsright6.PT,iTOutcome:Riskpremium,ic–iT,rises(Riskpremium:Thespreadbetweentheinterestratesonbondswithdefaultriskan

3、ddefault-freebonds)BondRatings(二)LiquidityCorporateBondsBecomeLessLiquidCorporateBondMarket1.LessliquidcorporatebondsDc,Dcshiftsleft2.Pc,icTreasuryBondMarket1.RelativelymoreliquidTreasurybonds,DT,DTshiftsright2.PT,iTOutcome:Riskpremium,ic–iT,risesRiskpremiumreflectsnotonlycorporatebonds’defaul

4、trisk,butalsolowerliquidity(三）IncomeTaxConsiderationTaxAdvantagesofMunicipalBondsAnalysisofFigure3:TaxAdvantagesofMunicipalBondsMunicipalBondMarket1.TaxexemptionraisesrelativeRETeonmunicipalbonds,Dm,Dmshiftsright2.Pm,imTreasuryBondMarket1.RelativeRETeonTreasurybonds,DT,DTshiftsleft2.PT,iTOut

5、come:im

6、Theory（三）LiquidityPremiumTheoryA.ExpectationsTheoryexplains1and2,butnot3B.SegmentedMarketsexplains3,butnot1and2C.Solution:CombinefeaturesofbothExpectationsTheoryandSegmentedMarketsTheorytogetLiquidityPremiumTheoryandexplainallfactsInterestRatesonDifferentMaturityBondsMoveTogetherYieldCurves（一）Expect

7、ationsHypothesisKeyAssumption:BondsofdifferentmaturitiesareperfectsubstitutesImplication:RETeonbondsofdifferentmaturitiesareequalInvestmentstrategiesfortwo-periodhorizon1.Buy$1ofone-yearbondandwhenitm