5 People prefer to have a consumption good now rather than later. 为什么会存在利率？People prefer to have a consumption good now rather than later.Time value of moneyExpectation of inflationIring Fisher equation:Nominal rate = real rate + inflation rate
6 Time value of money现值 ( Present value)终值 ( Future value)单利和复利
11 The Federal Reserve System Board of governors (7 members)Reserve banks (12)Board of directors of reserve banks Federal Open market committee (12 members)7 members of board of governorsPresident of reserve bank of New York4 other presidents of reserve banks
12 美联储的三大工具公开市场操作贴现率存款准备金率Fed Fund rate and Fed discount rate
13 FOMC的日程安排(2008年) January 9 (Unscheduled) June 24-25 August 5January 29-30September 16March 10 (Unscheduled)October 28-29March 18December 16April 29-30
14 FOMC的日程安排(2009年) January 16 (Unscheduled) June 23-24 January 27-28 August 11-12March 17-18September 22-23April 28-29November 3-4December 15-16
15 FOMC的日程安排(2010年) January 26-27 June 22-23 August 10 March 16 September 21April 27-28November 2-3December 14
49 Years to Maturity (year) Yield to Maturity(%) 债券简称债券代码本期平均价格(元)Accrued Interest (RMB per 100 RMB per value)净价平均价格(元)Dirty Price Average(RMB)Years to Maturity (year)Yield to Maturity(%)04国债0104000199.7580.0000.1122.157002国债120200120.86399.9500.6252.361004国债020400022.62199.9482.1813.221001国债050100052.28799.6153.3863.828004国债030400033.4884.2144.155003国债1103001195.9290.71995.2105.7974.454004国债070400072.0786.5624.504002国债0102000190.7752.37588.4007.1264.650002国债0502000571.0610.55670.50527.3234.8660
63 用于Bootstrapping的几种国债类型 1、on-the-run treasury2、on-the-run and selected off-the-run treasury3、all treasury coupon securities and bills4、treasury coupon strips
64 2、on-the-run and selected off-the-run treasury Disadvantages: 1、on-the-run treasuryAdvantage:Uses only the most accurately priced issues.Disadvantage:Large maturity gaps after the 5-year note.2、on-the-run and selected off-the-run treasuryDisadvantages:Still doesn't use all issuesmay be distorted by the repo market
65 3、All Treasury coupon securities and bills Advantage: Does not ignore information from issues excluded by other approaches.Disadvantages:Some maturities have more than one yieldcurrent prices may not be available for all maturities.
66 4、Treasury coupon strips Advantage: Intuitive approach that does not require bootstrapping to derive spot rates.Disadvantage:Liquidity premium and tax law impact observed rates.
103 主要发现Campbell R. Harvey, 1991，“The Term Structure and World Economic Growth”, Journal of fixed Income, 1(1): 7-19.主要发现: 长短期利率之差，在很多国家都是GNP增长率的好的预测指标Model:TS = 90天国库券收益率与5年期以上债券收益率之差在美国和加拿大这一回归方程可以解释几乎50%的GNP增长。