chpt06PPT文档格式.ppt

1、6.The structure of interest rates11/8/20221Copyright by Xiang6.The structure of interest ratesn nFrom one interest rate to manyn nThe role of term to maturity in interest rate differentials n nThe expectation theoryn nDetermining interest rate expectationsn nSome necessary modifications to the expec

2、tations theoryn nThe role of credit risk and taxes in interest rate differentials11/8/20222Copyright by XiangFrom one interest rate to manyn nPrevious chapters have discussed in some Previous chapters have discussed in some detail what determines the interest rate as if detail what determines the in

3、terest rate as if there were one interest rate.there were one interest rate.n nHowever,numerous types of financial claims However,numerous types of financial claims are traded in financial markets.are traded in financial markets.n nSo we want to understand the patterns and So we want to understand t

4、he patterns and common threads that link the various interest common threads that link the various interest rates together and to identify the factors rates together and to identify the factors that explain the differences.that explain the differences.11/8/20223Copyright by XiangFrom one interest ra

5、te to manyn nInterest rates generally move up and down together.Interest rates generally move up and down together.All rates may not move the same amount;#however,All rates may not move the same amount;#however,occasionally some rates may not even move in the occasionally some rates may not even mov

6、e in the same direction as the rest.same direction as the rest.n nThe purpose of this chapter is to study the factors The purpose of this chapter is to study the factors that are primarily responsible for determining the that are primarily responsible for determining the relationships among interest

7、 rates.relationships among interest rates.n nFour determinants of relationships:#Four determinants of relationships:#Term to maturity;#Term to maturity;#Credit risk;#Credit risk;#Liquidity;#Liquidity;#Tax treatmentTax treatmentn nexampleexample11/8/20224Copyright by XiangThe role of term to maturity

8、 in interest rate differentialsn nThe major characteristic distinguishing one The major characteristic distinguishing one type of Treasury security from another is type of Treasury security from another is the the term to maturityterm to maturity.（bills,notes and bonds）.（bills,notes and bonds）n nTre

9、asury notes-Securities issued by the U.S.Treasury notes-Securities issued by the U.S.government with an original maturity of 1 to government with an original maturity of 1 to 10 years.10 years.n nWhat determines the relationship between What determines the relationship between interest rates on the

10、securities of different interest rates on the securities of different maturities?#maturities?#n nTerm structure of interest rates-The Term structure of interest rates-The relationship between yields and time to relationship between yields and time to maturity.maturity.11/8/20225Copyright by XiangThe

11、 yield curven nYield curve-A graphical representation of the relationship between interest rates（yields）on particular securities and their terms to maturity.n nWhen constructing yield curves for the purpose of examining the role of term to maturity in explaining interest rate differentials,analysts

12、traditionally focus on Treasury securities.11/8/20226Copyright by XiangThe yield curven nIn this chapter,we use Treasury securities as In this chapter,we use Treasury securities as example.example.n nAlthough we use US government securities,Although we use US government securities,we could have used

13、 other types of assets to we could have used other types of assets to demonstrate yield curves.demonstrate yield curves.n nEach individual asset is usually represented on Each individual asset is usually represented on a single yield curve,even though several yield a single yield curve,even though s

14、everal yield curves may be drawn on one graph.curves may be drawn on one graph.11/8/20227Copyright by XiangThe yield curven nEXHIBIT 6-1,6-2EXHIBIT 6-1,6-2n nOn January 16,1981,slope of the yield curve On January 16,1981,slope of the yield curve at that time was negative,meaning that yields at that

15、time was negative,meaning that yields declined as the term to maturity increased.declined as the term to maturity increased.n nOn January 29,1993,the yield curve had a On January 29,1993,the yield curve had a positive slope,meaning that yields rose with positive slope,meaning that yields rose with t

16、erm to maturity.And all 1993 yields were term to maturity.And all 1993 yields were below all 1981 yields.The level of the yield below all 1981 yields.The level of the yield curve as well as the direction of the slope curve as well as the direction of the slope changed.changed.11/8/20228Copyright by XiangThe yield curven nOn July 17,1998,the yield curve slope was On July 17,1998,the yield curve slope was still positive and was much flatter than the still positive and was much flatter than the 1993 curve.Shor