ch2 the level and structure of interest rates 金融市场学课件.ppt

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1、FINANCIALMARKETSTheLevelandStructureofInterestRatesChapterOutlineTheTheoryofInterestRates1TheDeterminantsofTheStructureofInterestRates2TheTheoryofInterestRatesiasanchor:short-term,riskfree,realrateFisher’sClassicalApproachLoanableFundsTheoryTheLiquidityPreference

2、TheoryFisher’sClassicalApproachAssumption:simplifiedeconomyWhysave?Whyborrow?DecisionsonSavingMarginalrateoftimepreferenceIncomeRewardforsaving(interestrate)Savings/investmentInterestrateSDecisionsonBorrowingGainfrominvestmentMarginalproductivityofcapitalRateofin

3、terestSavings/InvestmentInterestrateDEquilibriuminthemarketSavings/InvestmentInterestrateDSiSIFisher’sClassicalApproachConclusion:long-runlevelofinterestrateandtheamountofinvestmentdependonTechnologicaldevelopmentPropensitytosaveSavings/InvestmentInterestrateDSD”

4、iSIi’SI’Savings/InvestmentInterestrateDSiSIi’SI’S’Fisher’sLawRealrate:powertoconsumeNominalrate:numberofmonetaryunitsFisher’slaw:inflation&interestratesi=r+pPowerofgovernment,banksLevelofinterestrateisdeterminedbyTotaldemandHouseholdFirmsGovernmentTotalsupplyHous

5、eholdFirmsGovernmentTheLoanableFundsTheoryQuantityofloanablefundsInterestrateDSAssumption:wealthintwoformsMoneyBondsBs+Ms=Bd+MdBs-Bd=Md-MsDemandforMoneyBalancesTransactionsdemandPrecautionarydemandSpeculativedemandSupplyofMoneyTheLiquidityPreferenceTheoryEquilibr

6、iuminKeynes’sMarketforMoneyTheLiquidityPreferenceTheoryShiftsintherateofinterestDemand(levelofincome,levelofprices)Supply(actionsofcentralbank)moneyInterestrateMSDiD’i’moneyInterestrateMSDii’MS’ChangesintheMoneySupplyandInterestRatesLiquidityEffectIfincreasing,c

7、ausestheinterestratetofallIncomeEffectIfincreasing,causestheinterestratetorisePriceExpectationsEffectIfincreasing,causestheinterestratetoriseNetEffectTheDeterminationofTheStructureofInterestRatesFeaturesofabondYieldonabondThebaseinterestrateTheriskpremiumFeatures

8、ofaBondTermtomaturityPrincipalvalue/parvalue/maturityvalueCouponrateUnitedStates,JapanEuropeYieldonaBondYieldtomaturityCouponinterestAnycapitalgainorlossExampl