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Chapter 05_How Do Risk and Term Structure Affect Interest Rate?

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Rusman Mukhlis
Rusman Mukhlis

The document discusses two factors that affect interest rates: risk structure and term structure. For risk structure, it explains how default risk, liquidity, and taxes can cause different interest rates for bonds with different levels of risk. For term structure, it presents the expectations theory, which states that interest rates of different maturities should equal the average expected future short-term rates. It also discusses empirical findings about the typical upward slope of the yield curve.

EducationEconomy & FinanceBusiness
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Chapter 5 How Do The Risk and Term Structure Affect Interest Rates
Chapter Preview ,[object Object],[object Object]
Chapter Preview ,[object Object]
Chapter Preview ,[object Object]
Chapter Preview ,[object Object],[object Object],[object Object]
Risk Structure of Interest Rates ,[object Object],[object Object]
Risk Structure of Long Bonds in the U.S.
Risk Structure of Long Bonds in the U.S. ,[object Object],[object Object],[object Object]
Factors Affecting Risk Structure of Interest Rates ,[object Object],[object Object],[object Object],[object Object]
Default Risk Factor ,[object Object],[object Object]
Default Risk Factor (cont.) ,[object Object],[object Object]
Increase in Default Risk on Corporate Bonds
Analysis of Figure 5.2: Increase in Default on Corporate Bonds ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Default Risk Factor (cont.) ,[object Object],[object Object],[object Object]
Bond Ratings
Case: Enron and the Baa-Aaa spread ,[object Object],[object Object],[object Object]
Liquidity Factor ,[object Object],[object Object]
Decrease in Liquidity of Corporate Bonds Figure 5.2 Response to a Decrease in the Liquidity of Corporate Bonds
Analysis of Figure 5.1: Corporate Bond Becomes Less Liquid ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Liquidity Factor (cont.) ,[object Object]
Income Taxes Factor ,[object Object],[object Object],[object Object]
Income Taxes Factor ,[object Object],[object Object]
Income Taxes Factor ,[object Object],[object Object]
Tax Advantages of Municipal Bonds
Analysis of Figure 5.3: Tax Advantages of Municipal Bonds ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Case: Bush Tax Cut and Interest Rates ,[object Object],[object Object]
Term Structure of Interest Rates ,[object Object],[object Object]
The WSJ: Following the News ,[object Object],[object Object],[object Object]
Reading the Wall St. Journal Dynamic yield curve that can show the curve at any time in history http://stockcharts.com/charts/YieldCurve.html
Term Structure Facts to Be Explained ,[object Object],[object Object]
Interest Rates on Different Maturity Bonds Move Together
Term Structure Facts to Be Explained ,[object Object],[object Object],[object Object],[object Object]
Three Theories of Term Structure ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Expectations Theory ,[object Object],[object Object]
Expectations Theory ,[object Object],[object Object],[object Object]
Expectations Theory ,[object Object],[object Object]
Expectations Theory ,[object Object],[object Object],[object Object]
Expectations Theory ,[object Object],Since ( i 2 t ) 2 is extremely small, expected return is approximately 2( i 2 t )
Expectations Theory ,[object Object],[object Object],Solving for i 2 t (1)
Expectations Theory ,[object Object]
More generally for n -period bond… ,[object Object],(2)
More generally for n -period bond… ,[object Object],[object Object],[object Object],[object Object],[object Object]
Expectations Theory and Term Structure Facts ,[object Object],[object Object],[object Object],[object Object]
Expectations Theory and Term Structure Facts ,[object Object],[object Object],[object Object],[object Object]
Expectations Theory and Term Structure Facts ,[object Object],[object Object],[object Object]
Expectations Theory and Term Structure Facts ,[object Object],[object Object]
Market Segmentation Theory ,[object Object],[object Object]
Market Segmentation Theory ,[object Object],[object Object],[object Object]
Liquidity Premium Theory ,[object Object],[object Object]
Liquidity Premium Theory ,[object Object]
Liquidity Premium Theory ,[object Object],(3) ,[object Object]
Liquidity Premium Theory
Numerical Example ,[object Object],[object Object]
Numerical Example ,[object Object],[object Object],[object Object],[object Object]
Liquidity Premium Theory: Term Structure Facts ,[object Object],[object Object],[object Object]
Market Predictions of Future Short Rates
Evidence on the Term Structure ,[object Object],[object Object]
Case: Interpreting Yield Curves ,[object Object],[object Object]
Case: Interpreting Yield Curves, 1980–2008
Case: Interpreting Yield Curves ,[object Object],[object Object]
Case: Interpreting Yield Curves ,[object Object]
Mini-case: The Yield Curve as a Forecasting Tool ,[object Object],[object Object],[object Object]
The Practicing Manager: Forecasting Interest Rates with the Term Structure ,[object Object],Solve for forward rate, i e t+1 (4) Numerical example: i 1t = 5%, i 2t = 5.5%
Forecasting Interest Rates with the Term Structure ,[object Object],Using i e t+1 derived in (4), solve for i e t+2
Forecasting Interest Rates with the Term Structure ,[object Object],Liquidity Premium Theory: i nt - = same as pure expectations theory; replace i nt by i nt - in (5) to get adjusted forward-rate forecast (5) (6)
Forecasting Interest Rates with the Term Structure ,[object Object],[object Object],[object Object],[object Object],Loan rate must be > 8.2%
Chapter Summary ,[object Object],[object Object]

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