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Presentación Clase Tasas

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    Tasas f21c2010 Tasas f21c2010 Presentation Transcript

    • TASAS Finanzas II - LAE Alejandro M. SALEVSKY Pablo M. YLARRI Juan M. CASCONE Santiago de LAVALLAZ Clara LLERENA Facultad de Ciencias Sociales y Económicas Universidad Católica Argentina
    • YIELD CURVE INDICE 1. Noticias 2. Repaso de Tasas CERCA DEL CLIENTE 3. Ejercicios Tasas 4. Spot & Forward Rates / Yield Curve 2
    • YIELD CURVE REPASO 1. Interes simple vs. compuesto 2. TNA VS. TEA CERCA DEL CLIENTE 3. Tasa equivalente 4. Tasa de interés vs. tasa de descuento 5. Tasa nominal vs. Tasa Real 3
    • YIELD CURVE 1. Interés simple vs. compuesto 7.900 CERCA DEL CLIENTE 7.400 6.900 6.400 $ Capital final 5.900 5.400 4.900 4.400 Interés simple 3.900 3.400 Interés compuesto Tiempo 2.900 0 1 2 3 4 5 6 7 8 9 10 4
    • YIELD CURVE 2. TNA vs. TEA Es la tasa efectiva de una operación proporcionada al año. No indica con precisión el CERCA DEL CLIENTE rendimiento de la operación ya que no considera el efecto de la capitalización de intereses. Es la tasa de retorno que efectivamente se obtiene por realizar una inversión durante un determinado período 5
    • YIELD CURVE 3. Tasas Equivalentes CERCA DEL CLIENTE = 6
    • YIELD CURVE 4. Tasa de interés vs. Tasa de descuento CERCA DEL CLIENTE 7
    • YIELD CURVE 5. Tasa nominal vs. Tasa Real CERCA DEL CLIENTE (1+n) = (1+i) x (1+φ) 8
    • YIELD CURVE RISK FREE RATE •Títulos emitidos por el US Department of the Treasury, están respaldados por el gobierno de USA, por lo que son considerados por todos como títulos sin riesgo de crédito •EEUU al ser mayor emisor de deuda en el mundo y dado gran Generalidades volumen de cada emisión, hacen que el mercado de estos títulos CERCA DEL CLIENTE sea el más activo y el más líquido del mundo •Representa el retorno mínimo que un inversor espera por cualquier inversión (relación riesgo – retorno) •Hay dos categorías de US Treasury securities: discount Tipos (vencimiento a 1 año o menos) y coupon •Es el rendimiento extra por sobre un bono libre de riesgo. Ej: yield Risk Premium Bono Tesoro: 8% y bono “X”: 9% => riesgo adicional (spread) 100 basis points 9
    • YIELD CURVE 2001 / 2003 CERCA DEL CLIENTE 2007 / 2009 10
    • YIELD CURVE CERCA DEL CLIENTE -550 puntos en -450 puntos en 36 meses 18 meses 11
    • YIELD CURVE YTM – YIELD TO MATURITY •Es la tasa de retorno promedio anual que se obtendrá por una inversión si se la mantiene desde hoy hasta su Generalidades vencimiento (maturity date) •Es la tasa de mercado que hace que el flujo de fondos descontado de un bono sea igual a su precio. CERCA DEL CLIENTE •Se tiene un bono con un valor nominal de $100, tasa cupón del 10% (anual) y madurez a 5 años (amortización total a fin del período). Calcular el precio (valor actual) del bono si •YTM=10.00% •YTM=12.00% Ejemplo •YTM=8.00% •RTA: •100.00 •92.79 •107.99 ¿Qué relación existe entre la el valor de un bono (inversión), y sus ¿Qué relación existe entre actividad económica de un país ? niveles inflacionarios? la tasa cupón (tasa pactada) y la YTM (tasa de mercado) en ¿Qué relación existe en un país entre los niveles inflacionarios y los una economía? 12
    • YIELD CURVE SPOT RATE •Es la YTM del bono discount (zero-coupon). Se expresa en forma efectiva anual (TEA). Ej: una S2 es la tasa efectiva anual de un Generalidades bono zero-coupon de dos años de madurez. •Un bono (inversión) con cupones y/o amortizaciones (pagos) parciales puede transformarse en un bono zero-coupon •Calcular la spot rate de un bono zero coupon de madurez 1 año, CERCA DEL CLIENTE precio actual de 938.58 y valor nominal de 1.000 m0 1 FF Bono $ -938,58 $ 1.000 YTM 6,54% Ejemplo#1 •Calcular la spot rate de un bono zero coupon de madurez 2 años, precio actual 857.34 y valor nominal de 1.000 m0 1 2 FF Bono $ -857,34 $ - $ 1.000 YTM 8,00% Síntetización •Se puede encontrar la tasa spot para más de un año utilizando en de bonos bonos con cupon tasas spots conocidas para descontar los flujos cupón anuales previos 13
    • YIELD CURVE FORWARD RATE •Es la tasa de interés, fijada hoy, que se pagará por dinero a ser Generalidades prestado en el futuro y que será devuelto más adelante aún, en una fecha determinada MATURITY STRATEGY S2=[(1+r)^(1/2)]-1 CERCA DEL CLIENTE m0 2y 1y S1=[(1+r)^(1/1)]-1 F1-2=[(1+r)^(1/1)]-1 ROLLOVER STRATEGY En teoría, en condiciones de equilibrio ambas estrategias deberían generar el mismo rendimiento. (1+S2)^2 = (1+S1) * (1+f1-2) 14
    • YIELD CURVE FORWARD RATE •Se tienen los siguientes bonos emitidos por el gobierno. Determinar la Spot1, f1-2 y f2-3 Bono mo y1 y2 y3 Ejemplo A (952.38) 1.000 B (873.44) 0 1.100 CERCA DEL CLIENTE C 1.100 (793.83) 0 0 SPOT BONO m0 1 2 3 (Anual) A $ -952,38 $ 1.000 5,00% B $ -873,44 $ - $ 1.000 7,00% C $ -793,83 $ - $ - $ 1.000 8,00% Forward Rate 1-2 (1+S2)^2 = (1+S1) * (1+f1-2) (1+,07)^2 = (1+0,05) * (1+f1-2) f1-2 = 0,0903 Forward Rate 2-3 (1+S3)^3 = (1+S1) * (1+f1-2) * (1+f2-3) (1+,08)^3 = (1+0,05) * (1+0,0903) * (1+f2-3) f2-3 = 0,1002 15
    • YIELD CURVE YIELD CURVE •El gráfico que muestra la relación del retorno (yield) de bonos con la misma calificación crediticia (bonos del Tesoro USA), pero con diferentes vencimientos (maturities Generalidades •La yield curve está armada a partir de observaciones de precios y retornos en el Treasury market, porque 1) Treasury securities son libres de default risk 2) al ser el mercado más grande CERCA DEL CLIENTE y activo, hay pocos problemas de iliquidez 16
    • YIELD CURVE LAS FORMAS DE LA YIELD CURVE r r CERCA DEL CLIENTE t t NORMAL INVERTIDA r r t t HUMPED FLAT • ¿Qué relación existe entre con una recesión en el futuro? ¿Cuál esta asociada la actividad económica de un país y sus ? • niveles inflacionarios? ¿Con el riesgo asociado al tiempo? •¿una transición económica? ¿Qué relación existe en un país entre los niveles inflacionarios y los •¿Qué relación existe entre la pendiente y la brecha de rendimientos corto/largo plazo? 17
    • YIELD CURVE TEORÍA DE LAS EXPECTATIVAS La forward rate representa la opinión promedio de la futura spot rate La única razón para que la pendiente sea positiva es que los Generalidades inversores esperan que los tasas de corto plazo en el futuro sean mayores que las actuales El mercado espera que la spot rate cambie porque la tasa real o la tasa de inflación va a cambiar CERCA DEL CLIENTE (1+S2)^2 = (1+S1) * (1+f1-2) donde (1+f1-2) = (1+r) * (1+φ1-2) •Si un bono zero coupon ofrece a dos años una YTM del 6.00% y un bono zero coupon ofrece a dos años una YTM del 7.00% ¿cuál Ejemplo es la forward rate para el año 3? •Si la tasa real exigida por los inversores para dicha inversión dado su riesgo es del 4.00%, ¿cuál es la inflación esperada? 18
    • YIELD CURVE TEORÍA DE LAS EXPECTATIVAS • Historically, inversions of the yield curve have preceded many of the U.S. recessions. Due to this historical correlation, the yield curve is often seen as an accurate forecast of the turning points of the business cycle. A CERCA DEL CLIENTE recent example is when the U.S. Treasury yield curve inverted in 2000 just before the U.S. equity markets collapsed. An inverse yield curve predicts lower interest rates in the future as longer-term bonds are being demanded, sending the yields down. 19
    • YIELD CURVE TEORÍA DE LA PREFERENCIA DE LA LIQUIDEZ •Parte del supuesto que inversores prefieren inversiones de corto plazo, por si llegan a necesitar pesos antes. •Un inversor a 2 años, tal vez prefiera rollover strategy, pues puede Generalidades obtener $$ a fin año 1. Para invertir a 2 años, el retorno debe ser mayor •¿Los prestamistas, pagarán esa mayor tasa por 2 años? CERCA DEL CLIENTE •Sí, porque se evitan gastos y papeleo (1+S2)^2 = (1+S1) * (1+f1-2) donde (1+f1-2) = (1+r) * (1+φ1-2) * (1+l) •Spot rate a un año 7.00%. Spot rate a dos años 8.00%. Forward Ejemplo rate año 1-2 8.60%. Si el mercado se encuentra arbitrado en estos valores, ¿existe prima de liquidez? Calculela 20
    • YIELD CURVE TEORÍA DE LA PREFERENCIA DE LA LIQUIDEZ La diferencia entre las tasas forwards y las tasas spot esperadas se debe a la preferencia que tienen los inversionistas por instrumentos de corto plazo, si la liquidez influye en la curva de rendimiento, la tasa CERCA DEL CLIENTE forward sobrestima las expectativas que tiene el mercado de las tasas futuras de interés. Una forma más apropiada de estimar la tasa forward sería tomar en cuenta la prima de liquidez. Incluso con la existencia de una prima de liquidez, se puede recurrir a las curvas de rendimientos para interpretar las expectativas sobre tasas. Una curva de rendimiento plana indica que el mercado espera una reducción de las tasas de interés (sin el efecto de la prima de liquidez). • -Una pendiente ligeramente ascendente significa que no se esperan modificaciones de las tasas de interés porque si se eliminara la prima de liquidez, esta curva de rendimiento sería plana. 21
    • YIELD CURVE TEORÍA DE SEGMENTACIÓN DE LOS MERCADOS •Los inversores tienen habitats preferidos, (corto o largo plazo), a los cuales están restringidos por ley, preferencias o costumbre •Los bonos corto plazo demandados por bancos. Bonos largo plazo demandados por fondos de pensión. Cada grupo demanda diferentes plazos, entonces el mercado se segmenta CERCA DEL CLIENTE Generalidades •Inversores y prestamistas no están dispuestos a cambiar de un sector a otro para tomar ventaja de oportunidades que surjan •Las spot rates están determinadas por las condiciones de la oferta y la demanda de cada mercado •Una curva con pendiente positiva tiene lugar cuando la intersección de la oferta y la demanda para fondos a corto plazo ocurre a menores tasas que para los fondos a largo plazo La forma de la curva de rendimientos recibe la influencia sobre la preferencia en vencimientos de diferentes negociantes de bonos institucionales. 22
    • YIELD CURVE ¿CUAL DE ESTAS 3 TEORIAS ES LA CORRECTA? CERCA DEL CLIENTE Todas tienen cierta validez. De ella podemos concluir que, en cualquier punto del tiempo, la forma de la Yield Curve depende de: 1) Expectativas sobre la Inflación 2) Preferencias de Liquidez 3) Oferta y Demanda de fondos en los segmentos corto y largo del mercado Tendremos YC ascendente cuando hay expectativas de mayor inflación, preferencias de invertir en el Corto Plazo y mayor oferta relativa en el segmento corto del mercado que en el largo 23
    • YIELD CURVE UTILIDAD DE LA YIELD CURVE •Se utiliza para analizar posibilidades de arbitraje entre ARBITRAJE distintos securieties (especialmente bonos) •Securities de misma duration y mismo riesgo deben tener 1 mismo rendimiento •De caso contrario el mercado arbitra. CERCA DEL CLIENTE •La yield curve puede ser entendida como las PREDICTOR ECONOMIA expectativas que tiene el mercado sobre el valor futuro de las tasas 2 •A niveles de rendimiento real constante, perspectivas inflacionarias (deflacionarias) elevaran (disminuirán) la tasa de interés y viceversa. • ¿Qué relación existe entre la actividad económica de un país país ¿Qué relación existe entre la actividad económica de un y sus niveles inflacionarios? y sus niveles inflacionarios? • ¿Qué relación existe en un país país entre los niveles ¿Qué relación existe en un entre los niveles inflacionarios y los ? costos de financiamiento? inflacionarios y los costos de financiamiento? • ¿Un aumento de los US Securities puede tener tener implicancias la ¿Un aumento de los US Securities puede implicancias en el en el la economía local? economía local? •¿Qué variables cree Ud. que pueden ser obtenidas usando ¿Qué variables cree Ud. que pueden ser obtenidas usando como proxy la YC? la YC? como proxy 24
    • YIELD CURVE YIELD CURVES VS INFLATION (yoy) CERCA DEL CLIENTE NORMAL INVERTED Inflation Rate: 6.44% Inflation Rate: 14.76% http://www.stockcharts.com/charts/YieldCurve.html http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1 25
    • YIELD CURVE YIELD CURVES VS INFLATION (yoy) CERCA DEL CLIENTE NORMAL FLAT Inflation Rate: 4.60% Inflation Rate: 2.26% http://www.stockcharts.com/charts/YieldCurve.html http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1 26
    • YIELD CURVE YIELD CURVES VS INFLATION (yoy) CERCA DEL CLIENTE STEEP FLAT Inflation Rate: 2.82% Inflation Rate: 2.54% http://www.stockcharts.com/charts/YieldCurve.html http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1 27
    • YIELD CURVE YIELD CURVES VS INFLATION (yoy) CERCA DEL CLIENTE FLAT STEEP Inflation Rate: 3.41% Inflation Rate: 1.64% http://www.stockcharts.com/charts/YieldCurve.html http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1 28
    • YIELD CURVE YIELD CURVES VS INFLATION (yoy) CERCA DEL CLIENTE FLAT HUMPED Inflation Rate: 3.17% Inflation Rate: 3.24% http://www.stockcharts.com/charts/YieldCurve.html http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1 29
    • YIELD CURVE YIELD CURVE EN ARGENTINA (YTM real) CERCA DEL CLIENTE 30
    • YIELD CURVE YIELD CURVE EN ARGENTINA (YTM real) CERCA DEL CLIENTE 31
    • YIELD CURVE YIELD CURVE ACTUAL EN ARGENTINA (YTM real) CERCA DEL CLIENTE 32
    • YIELD CURVE La siguiente yield curve se obtuvo el pasado 17 de febrero del 2009 según los rendimientos de los Bonos del Tesoro de los Estados Unidos. CERCA DEL CLIENTE Actualmente USA se encuentra en una marcada recesión y no existe aún un consenso entre los especialistas sobre si el momento del quiebre de tendencia se dará hacia fines del tercer trimestre del año o dentro del primero o segundo trimestre del 2010. Sin embargo, la actual curva presenta una fuerte pendiente positiva lo cual a priori debería indicar altas expectativas de crecimiento económico. ¿Cómo puede Ud. explicar esta situación? 33
    • YIELD CURVE CERCA DEL CLIENTE Back up 34
    • YIELD CURVE Yield To matuirity Yield to maturity (YTM) is the yield promised by the bondholder on the assumption that the bond will be held to maturity, that all coupon and principal payments will be made and coupon payments are reinvested at the bond's promised yield at the same rate as invested. It is a measurement of the return of the bond. This technique in theory allows investors to calculate the fair value of different financial instruments. The YTM is almost always given in terms of annual effective rate. The calculation of YTM is identical to the calculation of internal rate of return. • If a bond's current yield is less than its YTM, then the bond is selling at a discount. CERCA DEL CLIENTE • If a bond's current yield is more than its YTM, then the bond is selling at a premium. • If a bond's current yield is equal to its YTM, then the bond is selling at par. Risk Free Rate The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time. In theory, the risk-free rate is the minimum return an investor expects for any investment because he or she will not accept additional risk unless the potential rate of return is greater than the risk-free rate. In practice, however, the risk-free rate does not exist because even the safest investments carry a very small amount of risk. Thus, the interest rate on a three-month U.S. Treasury bill is often used as the risk- free rate. Spot Rate The yield to maturity of a zero-coupon bond, usually a Treasury bond, which is used as a benchmark for other bond yields and valuations. Because a zero-coupon bond has no coupon payments, there is no reinvestment risk and, therefore, the precise yield to maturity of the bond can be known. The construction of a spot rate Treasury yield curve is used to demonstrate the arbitrage-free relationship between spot rates and forward rates known as the term structure of interest rates. Spot rates are also used in the calculation of a zero-volatility spread (Z-spread) used to price certain fixed-income securities. 35
    • YIELD CURVE Trying To Predict Interest Rates Most investors care about future interest rates, but none more than bondholders. If you are considering a bond or bond fund investment, you must ask yourself whether you think interest rates will rise in the future. If the answer is yes then you probably want to avoid long-term maturity bonds or at least shorten the average duration of your bond holdings; or plan to weather the ensuing price decline by holding your bonds and collecting the par value at maturity. (For a review of the relationships between prevailing interest rates and yield, duration, and other bond aspects, please see the tutorial Advanced Bonds Concepts.) The Treasury Yield Curve In the United States, the Treasury yield curve (or term structure) is the first mover of all domestic interest rates and an influential factor in setting global rates. Interest rates on all other domestic bond categories rise and fall with CERCA DEL CLIENTE Treasuries, which are the debt securities issued by the U.S. government. To attract investors, any bond or debt security that contains greater risk than that of a similar Treasury bond must offer a higher yield. For example, the 30-year mortgage rate historically runs 1% to 2% above the yield on 30-year Treasury bonds. Below is a graph of the actual Treasury yield curve as of December 5, 2003. It is considered normal because it slopes upward with a concave shape: Consider three elements of this curve. First, it shows nominal interest rates. Inflation will erode the value of future coupon dollars and principal repayments; the real interest rate is the return after deducting inflation. The curve therefore combines anticipated inflation and real interest rates. Second, the Federal Reserve directly manipulates only the short-term interest rate at the very start of the curve. The Fed has three policy tools, but its biggest hammer is the federal funds rate, which is only a one-day, overnight rate. Third, the rest of the curve is determined by supply and demand in an auction process. Sophisticated institutional buyers have their yield requirements which, along with their appetite for government bonds, determine how these institutional buyers bid for government bonds. Because these buyers have informed opinions on inflation and interest rates, many consider the yield curve to be a crystal ball that already offers the best available prediction of future interest rates. If you believe that, you also assume that only unanticipated events (for example, an unanticipated increase in inflation) will shift the yield curve up or down. 36
    • YIELD Long Rates Tend to Follow Short Rates CURVE Technically, the Treasury yield curve can change in various ways: it can move up or down (a parallel shift), become flatter or steeper (a shift in slope), or become more or less humped in the middle (a change in curvature). The following chart compares the 10-year Treasury yield (red line) to the one-year Treasury yield (green line) from June 1976 to December 2003. The spread between the two rates (blue line) is a simple measure of steepness: CERCA DEL CLIENTE Consider two observations. First, the two rates move up and down somewhat together (the correlation for the period above is about 88%). Therefore, parallel shifts are common. Second, although long rates directionally follow short rates, they tend to lag in magnitude. Specifically, when short rates rise, the spread between 10-year and one- year yields tends to narrow (curve of the spread flattens) and when short rates fall, the spread widens (curve becomes steeper). In particular, the increase in rates from 1977 to 1981 was accompanied by a flattening and inversion of the curve (negative spread); the drop in rates from 1990 to 1993 created a steeper curve in the spread, and the marked drop in rates from March 2000 to the end of 2003 produced a very steep curve by historical standards. Supply-Demand Phenomenon So what moves the yield curve up or down? Well, let's admit we can't do justice to the complex dynamics of capital flows that interact to produce market interest rates. But we can keep in mind that the Treasury yield curve reflects the cost of U.S. government debt and is therefore ultimately a supply-demand phenomenon. (For a refresher on how increases and decreases in the supply and demand of credit affect interest rates, see the article Forces Behind Interest Rates.) 37
    • YIELD CURVE Supply-Related Factors Monetary Policy If the Fed wants to increase the fed funds rate, it supplies more short-term securities in open market operations. The increase in the supply of short-term securities restricts the money in circulation since borrowers give money to the Fed. In turn, this decrease in the money supply increases the short-term interest rate because there is less money in circulation (credit) available for borrowers. By increasing the supply of short-term securities, the Fed is yanking up the very left end of the curve, and the nearby short-term yields will snap quickly in lockstep. Can we predict future short-term rates? Well, the expectations theory says that long-term rates embed a prediction of future short-term rates. But consider the actual December yield curve illustrated above, which is normal but very CERCA DEL CLIENTE steep. The one-year yield is 1.38% and the two-year yield is 2.06%. If you were going to invest with a two-year time horizon and if interest rates were going to hold steady, you would, of course, do much better to go straight into buying the two-year bond (which has a much higher yield) instead of buying the one-year bond and rolling it over into another one-year bond. Expectations theory, however, says the market is predicting an increase in the short rate. Therefore, at the end of the year you will be able to roll over into a more favorable one-year rate and be kept whole relative to the two-year bond, more or less. In other words, expectations theory says that a steep yield curve predicts higher future short-term rates. Unfortunately, the pure form of the theory has not performed well: interest rates often remain flat during a normal (upward sloping) yield curve. Probably the best explanation for this is that, because a longer bond requires you to endure greater interest rate uncertainty, there is extra yield contained in the two-year bond. If we look at the yield curve from this point of view, the two-year yield contains two elements: a prediction of the future short-term rate plus extra yield (i.e., a risk premium) for the uncertainty. So we could say that, while a steeply sloping yield curve portends an increase in the short-term rate, a gently upward sloping curve, on the other hand, portends no change in the short-term rate - the upward slope is due only to the extra yield awarded for the uncertainty associated with longer term bonds. Because Fed watching is a professional sport, it is not enough to wait for an actual change in the fed funds rate, as only surprises count. It is important for you, as a bond investor, to try to stay one step ahead of the rate, anticipating rather than observing its changes. Market participants around the globe carefully scrutinize the wording of each Fed announcement (and the Fed governors' speeches) in a vigorous attempt to discern future intentions. Fiscal Policy When the U.S. government runs a deficit, it borrows money by issuing longer term Treasury bonds to institutional lenders. The more the government borrows, the more supply of debt it issues. At some point, as the borrowing increases, the U.S. government must increase the interest rate to induce further lending. However, foreign lenders will always be happy to hold bonds in the U.S. government: Treasuries are highly liquid and the U.S. has never defaulted (it actually came close to a default in late 1995, but Robert Rubin, the Treasury secretary at the time, staved off the threat and has called a Treasury default "unthinkable - something akin to nuclear war"). Still, foreign lenders can easily look to alternatives like eurobonds and, therefore, they are able to demand a higher interest rate if the U.S. tries to supply too much of its debt. 38
    • YIELD CURVE Demand-Related Factors Inflation If we assume that borrowers of U.S. debt expect a given real return, then an increase in expected inflation will increase the nominal interest rate (the nominal yield = real yield + inflation). Inflation also explains why short-term rates move more rapidly than long-term rates: when the Fed raises short-term rates, long-term rates increase to reflect the expectation of higher future short-term rates; however, this increase is mitigated by lower inflation expectations as higher short-term rates also suggest lower inflation (as the Fed sells/supplies more short-term Treasuries, it collects money and tightens the money supply): CERCA DEL CLIENTE An increase in feds funds (short-term) tends to flatten the curve because the yield curve reflects nominal interest rates: higher nominal = higher real interest rate + lower inflation. Fundamental Economics The factors that create demand for Treasuries include economic growth, competitive currencies and hedging opportunities. Just remember: anything that increases the demand for long-term Treasury bonds puts downward pressure on interest rates (higher demand = higher price = lower yield or interest rates) and less demand for bonds tends to put upward pressure on interest rates. A stronger U.S. economy tends to make corporate (private) debt more attractive than government debt, decreasing demand for U.S. debt and raising rates. A weaker economy, on the other hand, promotes a "flight to quality", increasing the demand for Treasuries, which creates lower yields. It is sometimes assumed that a strong economy will automatically prompt the Fed to raise short-term rates, but not necessarily. Only when growth translates or overheats into higher prices is the Fed likely to raise rates. In the global economy, Treasury bonds compete with other nations's debt. On the global stage, Treasuries represent an investment in both the U.S. real interest rates and the dollar. The euro is a particularly important alternative: for most of 2003, the European Central Bank pegged its short-term rate at 2%, a more attractive rate than the fed funds rate of 1%. 39
    • YIELD CURVE Finally, Treasuries play a huge role in the hedging activities of market participants. In environments of falling interest rates, many holders of mortgage-backed securities, for instance, have been hedging their prepayment risk by purchasing long-term Treasuries. These hedging purchases can play a big role in demand, helping to keep rates low, but the concern is that they may contribute to instability. Conclusion We have covered some of the key traditional factors associated with interest rate movements. On the supply side, monetary policy determines how much government debt and money are supplied into the economy. On the demand side, inflation expectations are the key factor. However, we have also discussed other important influences on interest CERCA DEL CLIENTE rates, including: fiscal policy (that is, how much does the government need to borrow?) and other demand-related factors such as economic growth and competitive currencies. Here is a summary chart of the different factors influencing interest rates: 40
    • YIELD CURVE • 1.- Teoría pura de las expectativas de Fisher. Sostiene que la forma de la curva se debe exclusivamente a las expectativas de los inversores sobre los tipos de interés. La curva tipo - plazo tendrá pendiente positiva cuando los inversores anticipan tipos de interés crecientes, mientras que tendrán pendiente negativa en el caso contrario. Los tipos de interés a largo plazo serian un promedio entre el tipo de interés a corto plazo en el momento actual y los tipos a corto plazo que se esperan en el CERCA DEL CLIENTE futuro, siendo estos últimos predecibles por los tipos de interés "a plazo" o "forward" que existen actualmente en los mercados. • 2. Teoría de la preferencia por la liquidez de Hicks. Mantiene que en un mundo incierto los inversores tienen aversión al riesgo y por lo tanto, los títulos con mayor vencimiento incorporan una prima por riesgo, o bien una prima por perdida de liquidez, que esta incorporada a la rentabilidad. Estas primas crecientes invalida la teoría de Fisher, ya que los tipos forward implícitos en la curva serian predictores sesgados de los tipos futuros. • 3. Teoría de la segmentación de Mercados de Cullberston. Reformulada por Modigliani - Sutch es también conocida como teoría del hábitat preferido. Estos autores sostienen que los tipos de interés para un cierto vencimiento solamente están determinados por la oferta y la demanda de fondos con vencimientos concretos. Para cada vencimiento existirá un único mercado y los inversores solamente estarán dispuestos a invertir en aquellos vencimientos que obtengan significativas diferencias en la rentabilidad obtenida. De esta forma, seria las presiones institucionales y de inversión, con sus respectivas preferencias respecto a vencimientos concretos, los que determinan la curva tipo - plazo. 41