theimpactofinflationdeflation,yieldcurves,anddurationoninterestratesandassetprices(编辑修改稿)

theimpactofinflationdeflation,yieldcurves,anddurationoninterestratesandassetprices(编辑修改稿)内容摘要：

tability, liquidity, convertibility, and tax status of the securities to which those rates apply.  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 27 The Structure of Interest Rates An Example During the month of January 2020 … The longterm . Treasury bond rate averaged % The corporate Baa bond rate averaged % while + % = Real riskfree rate +% Expected inflation +% Liquidity premium +% Total = % Premiums for:  marketability +% Call risk +% Default risk +% Total = %  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 28 Money and Capital Markets in Cyberspace  The world wide web addresses a number of the foregoing issues at a variety of websites:      2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 29 Chapter Review  Introduction  Marketability and Liquidity  Default Risk  The Premium for Default Risk  The Expected Rate of Return on a Risky Asset  Anticipated Default Loss  Factors Influencing Default Risk Premiums  The JunkBond Spread and the Economy  New Ways of Dealing with Default Risk  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 30 Chapter Review  Call Privileges  Advantages and Disadvantages  The Call Premium  Prepayment Risk on LoanBacked Securities  Taxation of Security Returns  Comparing Taxable and TaxExempt Securities  Convertible Securities  The Structure of Interest Rates  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 31  Learning Objectives   To learn what inflation is and how it can impact interest rates and asset prices.  To understand the greater concern today over deflation and how deflation may affect the economy and financial system.  To see how yield curves arise and explore the ideas about what determines the shape of the yield curve at any point in time.  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 32  Learning Objectives   To discover how yield curves can be a useful tool for those interested in investing their money and in tracking the health of the economy.  To look at the concept of duration and see how it can assist in the making of investment choices and in protecting against the risk of changing interest rates.  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 33 Inflation and Interest Rates  Inflation refers to the rise in the average level of prices for all goods and services.  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 34 Inflation and Interest Rates  In recent years, the . inflation and interest rates appear to be fairly strongly correlated. 1960 % % % 1970 1980 1990 2020 2020 Year Rate of Inflation (% D) CPI GDP Deflator 6month Tbill Rate (secondary market)  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 35 Inflation and Interest Rates Nominal and Real Interest Rates  In general, lenders will attempt to charge nominal rates of interest that give them their desired real rates of return on their loanable funds based upon their expectations regarding inflation.  nominal rate = published or quoted rate  real rate = rate measured in terms of the actual purchasing power  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 36 Inflation and Interest Rates The Fisher Effect  In a 1896 classic article, economist Irving Fisher argued that expected nominal interest rate = expected real rate + inflation premium + (expected real rate  inflation premium)  expected real rate + inflation premium  The inflation premium measures the rate of inflation expected by investors in the marketplace during the life of a particular financial instrument.  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 37 Inflation and Interest Rates The HarrodKeynes Effect of Inflation  Building upon the Keynesian liquidity preference theory, Harrod argued that unless inflation affects money demand or supply, the expected nominal interest rate must be the same regardless of inflationary expectations.  So, a rise in inflationary expectations will lower the real rate of interest.  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 38 Inflation and Interest Rates  The simple Fisher effect was the majority view for decades until problems began to surface:  Partial anticipation of inflation  Inflationcaused wealth effect  Inflationcaused ine effect  Inflationcaused depreciation effect  Inflationcaused ine tax effect  2020 by The McGrawHill Companies, Inc. All rights reserved. McGraw Hill / Irwin 7 39 Inflation and Interest Rates  The bulk of recent research suggests that nominal rates rise by less than any given increase in the expected inflation rate and decline by less than any given decrease。