chpt06PPT文档格式.ppt

chpt06PPT文档格式.ppt

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6.Thestructureofinterestrates11/8/20221CopyrightbyXiang6.ThestructureofinterestratesnnFromoneinterestratetomanynnTheroleoftermtomaturityininterestratedifferentialsnnTheexpectationtheorynnDetermininginterestrateexpectationsnnSomenecessarymodificationstotheexpectationstheorynnTheroleofcreditriskandtaxesininterestratedifferentials11/8/20222CopyrightbyXiangFromoneinterestratetomanynnPreviouschaptershavediscussedinsomePreviouschaptershavediscussedinsomedetailwhatdeterminestheinterestrateasifdetailwhatdeterminestheinterestrateasiftherewereoneinterestrate.therewereoneinterestrate.nnHowever,numeroustypesoffinancialclaimsHowever,numeroustypesoffinancialclaimsaretradedinfinancialmarkets.aretradedinfinancialmarkets.nnSowewanttounderstandthepatternsandSowewanttounderstandthepatternsandcommonthreadsthatlinkthevariousinterestcommonthreadsthatlinkthevariousinterestratestogetherandtoidentifythefactorsratestogetherandtoidentifythefactorsthatexplainthedifferences.thatexplainthedifferences.11/8/20223CopyrightbyXiangFromoneinterestratetomanynnInterestratesgenerallymoveupanddowntogether.Interestratesgenerallymoveupanddowntogether.Allratesmaynotmovethesameamount;@#@however,Allratesmaynotmovethesameamount;@#@however,occasionallysomeratesmaynotevenmoveintheoccasionallysomeratesmaynotevenmoveinthesamedirectionastherest.samedirectionastherest.nnThepurposeofthischapteristostudythefactorsThepurposeofthischapteristostudythefactorsthatareprimarilyresponsiblefordeterminingthethatareprimarilyresponsiblefordeterminingtherelationshipsamonginterestrates.relationshipsamonginterestrates.nnFourdeterminantsofrelationships:

@#@Fourdeterminantsofrelationships:

@#@Termtomaturity;@#@Termtomaturity;@#@Creditrisk;@#@Creditrisk;@#@Liquidity;@#@Liquidity;@#@TaxtreatmentTaxtreatmentnnexampleexample11/8/20224CopyrightbyXiangTheroleoftermtomaturityininterestratedifferentialsnnThemajorcharacteristicdistinguishingoneThemajorcharacteristicdistinguishingonetypeofTreasurysecurityfromanotheristypeofTreasurysecurityfromanotheristhethetermtomaturitytermtomaturity.（bills,notesandbonds）.（bills,notesandbonds）nnTreasurynotes-SecuritiesissuedbytheU.S.Treasurynotes-SecuritiesissuedbytheU.S.governmentwithanoriginalmaturityof1togovernmentwithanoriginalmaturityof1to10years.10years.nnWhatdeterminestherelationshipbetweenWhatdeterminestherelationshipbetweeninterestratesonthesecuritiesofdifferentinterestratesonthesecuritiesofdifferentmaturities?

@#@maturities?

@#@nnTermstructureofinterestrates-TheTermstructureofinterestrates-Therelationshipbetweenyieldsandtimetorelationshipbetweenyieldsandtimetomaturity.maturity.11/8/20225CopyrightbyXiangTheyieldcurvennYieldcurve-Agraphicalrepresentationoftherelationshipbetweeninterestrates（yields）onparticularsecuritiesandtheirtermstomaturity.nnWhenconstructingyieldcurvesforthepurposeofexaminingtheroleoftermtomaturityinexplaininginterestratedifferentials,analyststraditionallyfocusonTreasurysecurities.11/8/20226CopyrightbyXiangTheyieldcurvennInthischapter,weuseTreasurysecuritiesasInthischapter,weuseTreasurysecuritiesasexample.example.nnAlthoughweuseUSgovernmentsecurities,AlthoughweuseUSgovernmentsecurities,wecouldhaveusedothertypesofassetstowecouldhaveusedothertypesofassetstodemonstrateyieldcurves.demonstrateyieldcurves.nnEachindividualassetisusuallyrepresentedonEachindividualassetisusuallyrepresentedonasingleyieldcurve,eventhoughseveralyieldasingleyieldcurve,eventhoughseveralyieldcurvesmaybedrawnononegraph.curvesmaybedrawnononegraph.11/8/20227CopyrightbyXiangTheyieldcurvennEXHIBIT6-1,6-2EXHIBIT6-1,6-2nnOnJanuary16,1981,slopeoftheyieldcurveOnJanuary16,1981,slopeoftheyieldcurveatthattimewasnegative,meaningthatyieldsatthattimewasnegative,meaningthatyieldsdeclinedasthetermtomaturityincreased.declinedasthetermtomaturityincreased.nnOnJanuary29,1993,theyieldcurvehadaOnJanuary29,1993,theyieldcurvehadapositiveslope,meaningthatyieldsrosewithpositiveslope,meaningthatyieldsrosewithtermtomaturity.Andall1993yieldsweretermtomaturity.Andall1993yieldswerebelowall1981yields.Theleveloftheyieldbelowall1981yields.Theleveloftheyieldcurveaswellasthedirectionoftheslopecurveaswellasthedirectionoftheslopechanged.changed.11/8/20228CopyrightbyXiangTheyieldcurvennOnJuly17,1998,theyieldcurveslopewasOnJuly17,1998,theyieldcurveslopewasstillpositiveandwasmuchflatterthanthestillpositiveandwasmuchflatterthanthe1993curve.Shor