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113分析金融市场与金融机构_第五章-文库吧资料

2024-03-05 14:09本页面
  

【正文】 Slide 525 Term Structure Facts to Be Explained Fact 1. Interest rates for different maturities move together Fact 2. Yield curves tend to have steep upward slope when short rates are low and downward slope when short rates are high a href= /a a href= /a Fact 3. Yield curve is typically upward sloping Yield Slide 526 Theories of the term structure of interest rates There are three mon theories of the term structure of interest rates:  the pure expectations theory (PET)完全预期理论  the market segmentation theory市场分割理论  the liquidity premium theory流动性溢酬理论 Slide 527 Pure Expectations Theory Key Assumption: Bonds of different maturities are perfect substitutes T h eor y o f t h e T er m S t r u ct u r e P u r e e x p e ct a t i o n s L i q u i d i t y p r e m i u m P u r e m a r k e t s e g m e n t a t i o n |—————————————— |—————————————————————————— | P e r f ec t s u b s t i t u t a b i l i t y o f m a t u ri t e s             N o s u b s t i t u t a b i l i t y o f m a t u ri t i e s A s s u m p t i o n a b o u t m a t u r i t i es Slide 528 Example Assumptions: You can borrow and lend at the same interest rate. You have perfect foresight. The interest rate on a 2year loan is 10%. The interest rate on a 1year loan starting now is %. The interest rate on a 1year loan starting 1 year from now will be 11%. Question. Suppose you are looking for a way to get rich? What should you do? (Work out an example with $1000.) Slide 529 Slide 530 Slide 531 Slide 532 )1)(1( 22 tt ii  )1)(1( 1ett ii Since (i2t)2 is extremely small, it(iet+1) is also extremely small, 212etttiii Slide 533 More generally for nperiod bond: In words: Interest rate on long bond = average of short rates expected to occur over life of long bond niiiii nttttnt121 ...  Slide 534 In general, any longterm interest rate can be expressed by the following: where。 点击“回购利率曲线”字段,可得到回购各品种的数据列表和曲线分析。Slide 51 UNDERSTANDING INTEREST RATES Chapter 3 BEHAVIOR OF INTEREST RATES Chapter 4 THE RISK AND TERM STRUCTURE OF INTEREST RATES Chapter 5 THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter 6 Part II Principles of Financial Markets Slide 52 Chapter Five THE RISK AND TERM STRUCTURE OF INTEREST RATES Part II Principles of Financial Markets Slide 53 Chapter Outline  Risk Structure of Interest Rate  Term Structure of Interest Rate Slide 54 risk structure of interest rates 利率的风险结构 : The relationship among the various interest rates on bonds with the same term to maturity. Risk Structure of Interest Rate Slide 55 Risk Structure of Lon
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