1、Chapter 4,Understanding Interest Rates,利率的重要性,與我們的生活息息相關(guān)：掙還是賺？ 在世界所有流通的總市值中，有2/3被歸為固定收益證券。,4-2,4-3,Present Value（現(xiàn)值）,A dollar paid to you one year from now is less valuable than a dollar paid to you today (一年后你收入的1美元不如你現(xiàn)在收入的1美元值錢）,4-4,Discounting the Future（對未來的貼現(xiàn)）,4-5,Simple Present Value,4-6,Yield

2、 to Maturity（到期收益率）,The interest rate that equates the present value of cash flow payments received from a debt instrument with its value today （使債務(wù)工具所有未來回報的現(xiàn)值與其今天的價值相等的利率）,4-7,Four Types of Credit Market Instruments,Simple Loan（普通貸款） Fixed Payment Loan（固定支付貸款；分期償還貸款） Coupon Bond（息票債券） Discount Bond

3、（貼現(xiàn)發(fā)行債券；零息債券）,4-8,Simple LoanYield to Maturity,4-9,Fixed Payment LoanYield to Maturity,4-10,Coupon BondYield to Maturity,4-11,When the coupon bond is priced at its face value, the yield to maturity equals the coupon rate （息票債券價格等于其面值，到期收益率等于息票利率） The price of a coupon bond and the yield to maturity

4、are negatively related （息票債券價格與到期收益率是負向相關(guān)的） The yield to maturity is greater than the coupon rate when the bond price is below its face value （當債券價格低于其面值時，到期收益率要高于息票利率）,4-12,Consol or Perpetuity（統(tǒng)一公債；永續(xù)債券）,A bond with no maturity date that does not repay principal but pays fixed coupon payments fore

5、ver,4-13,Discount BondYield to Maturity,思考：債券合成,用零息債券復(fù)制息票債券。 用息票債券復(fù)制零息債券。,4-14,到期收益率的缺陷分析,投資者持有債券至償還期。 再投資收益率等于到期收益率。 到期收益率難以計算。,4-15,4-16,Current Yield(當期收益率）,It is an approximation of the yield to maturity on coupon bonds which defined as the yearly coupon payment divided by the price of the secur

6、ity ic=C/P Where ic=current yield P=price of coupon bond C=yearly coupon payment,4-17,Yield on a Discount Basis（貼現(xiàn)基礎(chǔ)上的收益率,Question:wich would you rather own?,You are offered two bonds,a one-year u.s. treasury bond with a yield to maturity of 9% and a one-year u.s. treasury bill with a yield on a dis

7、count basis of 8.9%.,4-18,4-19,Following the Financial News: Bond Prices and Interest Rates,4-20,Rate of Return(回報率）,4-21,Rate of Return and Interest Rates,The return equals the yield to maturity only if the holding period equals the time to maturity （只有持有期與到期期限一致的債券回報率才與最初的到期收益率相等） A rise in intere

8、st rates is associated with a fall in bond prices, resulting in a capital loss if time to maturity is longer than the holding period （對于到期期限長于持有期的債券而言，利率上升與債券的價格負相關(guān)，進而引起投資該債券的資本損失） The more distant a bonds maturity, the greater the size of the percentage price change associated with an interest-rate

9、 change （債券的到期日越遠，利率變動引起債券價格變動的比率就越大）,16.3.1 “持續(xù)期”概念,持續(xù)期： 是固定收入金融工具的所有預(yù)期現(xiàn)金流入量的加權(quán)平均時間，也可以理解為金融工具各期現(xiàn)金流抵補最初投入的平均時間。有效持續(xù)期實際上是加權(quán)的現(xiàn)金流量現(xiàn)值與未加權(quán)的現(xiàn)值之比。 其中，D表示持續(xù)期，Ct為第t期的現(xiàn)金流或利息，F(xiàn)為資產(chǎn)或負債面值（到期日的價值），n為該項資產(chǎn)或負債的期限，i為市場利率,P為金融工具的現(xiàn)值。,多次性償付類資產(chǎn),兩邊對r求導,4-24,Rate of Return and Interest Rates (contd),The more distant a bond

10、s maturity, the lower the rate of return the occurs as a result of an increase in the interest rate （債券的到期日越遠，當利率上升時，回報率就越低） Even if a bond has a substantial initial interest rate, its return can be negative if interest rates rise （即使某一債券最初的利率很高，當利率上升時，其回報率也可能變成負數(shù)）,4-25,4-26,Interest-Rate Risk（利率風險）

11、,Prices and returns for long-term bonds are more volatile than those for shorter-term bonds （長期債券的價格和回報率的波動性比短期債券大） There is no interest-rate risk for any bond whose time to maturity matches the holding period （持有期與到期日相匹配的債券沒有利率風險）,4-27,Real and Nominal Interest Rates（實際與名義利率）,Nominal interest rate

12、makes no allowance for inflation（名義利率沒有考慮通貨膨脹因素） Real interest rate is adjusted for changes in price level so it more accurately reflects the cost of borrowing（實際利率根據(jù)物價水平的變動作出調(diào)整，因此能夠更準確的反映真實借款成本） Ex ante real interest rate is adjusted for expected changes in the price level（事前實際利率是經(jīng)過預(yù)期價格水平變動的調(diào)整） Ex

13、post real interest rate is adjusted for actual changes in the price level（事后實際利率是經(jīng)過實際價格水平變動調(diào)整）,slide 28,歐文費雪(Irving Fisher 1867-1947):許多人認為費雪是最 杰出的美國經(jīng)濟學家。在耶魯大學的學生時代，他就嶄露頭角。從數(shù)學、科學、哲學、社會科學到課外活動，費雪不是為學生寫講義賺取生活費，就是得到獎學金并擔任學生領(lǐng)袖。1891年，耶魯?shù)牡谝粋€經(jīng)濟學博士學位由數(shù)學系授予了他（24歲）。1918年曾任美國經(jīng)濟學會會長，1930年與他人共同創(chuàng)立經(jīng)濟計量學會。今天新古典經(jīng)濟學的資本與利率理論基本上都源于費雪。貨幣的交易方程式與指數(shù)理論也都要溯源到他。,4-29,Fisher Eq