《货币金融学cha》PPT课件.ppt

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1、chapter5TheRiskandTermStructureofInterestRatesInstructor:XiajingDaipreviewInoursupplyanddemandanalysisofinterest-ratebehaviorinChapter5,weexaminedthedeterminationofjustoneinterestrate.Yetwesawearlierthatthereareenormousnumbersofbondsonwhichtheinterestratescanandd

2、odiffer.Inthischapter,wecompletetheinterest-ratepicturebyexaminingtherelationshipofthevariousinterestratestooneanotherYear2007-08EconomicsFigure1showstheyieldstomaturityforseveralcategoriesoflong-termbondsfrom1919to2002.Itshowsustwoimportantfeaturesofinterest-rateb

3、ehaviorforbondsofthesamematurity:(1)Interestratesondifferentcategoriesofbondsdifferfromoneanotherinanygivenyear(2)thespread(ordifference)betweentheinterestratesvariesovertime.Year2007-08EconomicsYear2007-08EconomicsDefaultriskOneattributeofabondthatinfluencesitsint

4、erestrateisitsriskofdefault,whichoccurswhentheissuerofthebondisunableorunwillingtomakeinterestpaymentswhenpromisedorpayoffthefacevaluewhenthebondmatures.Bycontrast,U.S.Treasurybondshaveusuallybeenconsideredtohavenodefaultriskbecausethefederalgovernmentcanalwaysincr

5、easetaxestopayoffitsobligations.Bondslikethesewithnodefaultriskarecalleddefault-freebonds.Year2007-08EconomicsThespreadbetweentheinterestratesonbondswithdefaultriskanddefault-freebonds,calledtheriskpremium,indicateshowmuchadditionalinterestpeoplemustearninordertobe

6、willingtoholdthatriskybondYear2007-08EconomicsYear2007-08EconomicsConclusionAbondwithdefaultriskwillalwayshaveapositiveriskpremium,andanincreaseinitsdefaultriskwillraisetheriskpremium.Year2007-08EconomicsBecausedefaultriskissoimportanttothesizeoftheriskpremium,purc

7、hasersofbondsneedtoknowwhetheracorporationislikelytodefaultonitsbonds.Twomajorinvestmentadvisoryfirms,Moody’sInvestorsServiceandStandardandPoor’sCorporation,providedefaultriskinformationbyratingthequalityofcorporateandmunicipalbondsintermsoftheprobabilityofdefaultY

8、ear2007-08EconomicsYear2007-08EconomicsLiquidityThedifferencesbetweeninterestratesoncorporatebondsandTreasurybonds(thatis,theriskpremiums)reflect