货币银行 Chapter 5 英文原版教材课件.pptVIP

Chapter 5 The Term and Risk Structure of Interest Rates Learning Objectives Envision and draw the yield curve and describe the determinants of its slope Explain how risk is important in influencing interest rates Comprehend the impact on interest rates of income taxes The Term Structure of Rates and the Yield Curve Term Structure—Relationship among Yields of different maturities of the same type of security Yield Curve (Figure 5.1) Graphical relationship between yield and maturity Yield is measured on the vertical axis and term to maturity is on the horizontal The Term Structure of Rates and the Yield Curve (Cont.) Yield Curve (Figure 5.1) (Cont.) The basic question—does the curve slope upward, downward, or horizontal (Figure 5.1) In the real world yields on all maturities tend to move together while there are distinct, divergent patterns between movements in short-term and long-term yields. FIGURE 5.1 Three alternative yield curves. The Term Structure of Rates and the Yield Curve (Cont.) Different Theories of the Shape of the Yield Curve Supply and Demand Determined by relative supply/demand of different maturities Deals with each maturity by itself and ignores the interrelationships between different maturities of the same security The Term Structure of Rates and the Yield Curve (Cont.) Different Theories of the Shape of the Yield Curve (Cont.) The Pure Expectations Approach Short-term and long-term securities are very good substitutes for each other within investor’s portfolios who collectively impact the market Therefore, there are not separate markets for short-term and long-term securities, there is a single market The Term Structure of Rates and the Yield Curve (Cont.) Different Theories of the Shape of the Yield Curve (Cont.) The Pure Expectations Approach (Cont.) These investors are interested in the return over the period and not the maturity date of the final payment Implies that expectation of future short-term rates determines how long-term rates are r