資本市場(chǎng)和金融機(jī)構(gòu)InterestRates實(shí)用教案

1、會(huì)計(jì)學(xué)1資本資本(zbn)市場(chǎng)和金融機(jī)構(gòu)市場(chǎng)和金融機(jī)構(gòu)InterestRates第一頁，共38頁。2第1頁/共38頁第二頁，共38頁。3第2頁/共38頁第三頁，共38頁。4第3頁/共38頁第四頁，共38頁。5SupplyQuantity of loanable funds DemandQ*i*第4頁/共38頁第五頁，共38頁。6第5頁/共38頁第六頁，共38頁。7Quantity ($)AB Interest Rate SDDiiQQ第6頁/共38頁第七頁，共38頁。8iQ ($)DD SAB第7頁/共38頁第八頁，共38頁。9iQ ($)SSAB第8頁/共38頁第九頁，共38頁。10第9頁/

2、共38頁第十頁，共38頁。11第10頁/共38頁第十一頁，共38頁。12C=$100C=$100C=$100P=?123 9 10C=$100$100 + $1,000If i = 5% P = $100/(1+0.05) + $100/(1+0.05)2 + $100/(1+0.05)10 + $1,000/(1+0.05)10 = $1,386 i = 10% P = $100/(1+0.10) + $100/(1+0.10)2 + $100/(1+010)10 + $1,000/(1+0.010)10 = $1,000 i = 15% P = $100/(1+0.15) + $100/(

3、1+0.15)2 + $100/(1+015)10 + $1,000/(1+0.015)10 = $749 Which i (discount rate or yield to maturity) from above makes the present value of a bonds payments equal to its current price P?A:? i = 5%第11頁/共38頁第十二頁，共38頁。13$1,00010%Interest Rate = i = YTM5% $1,386$74915%Scenarios:1.Assume you bought the bond

4、 in $1,000 and interest rates increased to 15%. Did you benefit? 2.Assume you bought a corporate bond and the credit rating of the firm is downgraded to junk (default) What is the expected effect in the interest rate (YTM)?第12頁/共38頁第十三頁，共38頁。14第13頁/共38頁第十四頁，共38頁。15第14頁/共38頁第十五頁，共38頁。16ii Price of bo

5、nds, PPQuantity of Corporate Bonds Quantity of Canada Bonds(a) Corporate bond market (b) Default-free Cdn bond marketic1Pc1Pc2ic2PT2PT1iT2iT1iT2 ic2RiskPremium= ic2 - iT2Dc2Dc1ScDT1DT2STDecrease inInterest rate第15頁/共38頁第十六頁，共38頁。17第16頁/共38頁第十七頁，共38頁。18第17頁/共38頁第十八頁，共38頁。19第18頁/共38頁第十九頁，共38頁。20第19頁/共

6、38頁第二十頁，共38頁。21Reasons of Upward sloping Yield curve (High yields on long term bonds)Example: Inflation Short term interest rates are are expected to increase in the future due to inflation. Remember, interest rates (nominal) = real interest rates + expected inflation. What the Bank of Canada should

7、 do? Reasons of Downward sloping yield curve?第20頁/共38頁第二十一頁，共38頁。22Time to MaturityTime to MaturityTime to MaturityTime to MaturityYTM第21頁/共38頁第二十二頁，共38頁。23第22頁/共38頁第二十三頁，共38頁。24第23頁/共38頁第二十四頁，共38頁。25Implications of Expectations Theory第24頁/共38頁第二十五頁，共38頁。26第25頁/共38頁第二十六頁，共38頁。27第26頁/共38頁第二十七頁，共38頁。2

8、8第27頁/共38頁第二十八頁，共38頁。29第28頁/共38頁第二十九頁，共38頁。30 2005 Pearson Education Canada Inc.6-10Interest Rates on Different Maturity Bonds Move Together第29頁/共38頁第三十頁，共38頁。31第30頁/共38頁第三十一頁，共38頁。32Pure Expectations Theory Yield CurveLiquidity Premium TheoryYield CurveInterest RateYears to MaturityRelationship bet

9、ween the Expectations Theory and the Liquidity Premium TheoryLiquidity Premium5101520 25 300第31頁/共38頁第三十二頁，共38頁。33第32頁/共38頁第三十三頁，共38頁。34第33頁/共38頁第三十四頁，共38頁。35YTM Term to Maturitya) Short term interest rates expected to riseYTM Term to Maturity b) Short term interest rates expected to stay the same (E.g. the YTM used is considered constant for each period in the computation of NPV projects) YTM Term to Maturityc) Short term interest rates expected to fall moderatelyYTM Term