Yield Curve
金融外汇买卖相关英语词汇翻译
金融外汇买卖相关英语词汇翻译金融外汇买卖相关英语词汇翻译Accepted 承兑Accrued interest累计利息advance 放款American style 美式选择权appreciation 升值Arbitrage 套利交易asset allocation 资产分配原则Asset swap 就持有的资产利息进行交换Asset/liability management 资产负债管理Assets liquidity 资产的流动性Assets safety 资产安全Assets yield 资产的获利性AT the money (ATM) 价平Auction 标售Authority letter 授权书Banker’s acceptance 银行承兑汇票Basis swap (floating -against floating IRS)Bear call spread 买权看空价差Bear put spread 卖权看空价差Bearer form 持有人形式best order 最佳价格交易指示单Bid rate 借入利率（或买入价格，汇率）Big figure 大数（交易时忽略不报的前几位数）Book entry form 无实体形式Break-even exchange rate 两平点汇率Bretton Woods system 布莱登国际货币制度Broken date 畸零天期(见Odd date)Bull call spread 买权看多价差Bull put spread 卖权看多价差Buy call 买入买权Buy or sell forward 买卖远期Buy or sell spot 买卖即期Buy put 买入卖权Buyer 买方Calendar spread 水平式价差策略Call option 买权Calling customer 询价者Calling party 询价者Cash flow book 现金流量登记薄Cash flow gap 现金流量缺口Cash flow gap 资金缺口Cash flow projection现金流量之预期Cash 当日交割CD(certificate of deposit) 存单Chain method 联算法Chief money dealer首席货币交易员Clearing house 清算所Commercial hedge 进出口商避险Commercial paper商业本票Commodity futures trading commission 美国期货交易委员会Competitive bid 竞标Contract date 定约日Contract limit 契约额度Contract risk 契约风险Counter party 交易对手Country limit 国家额度Coupon rate 票面利率Coupon swap (fixed-against floating IRS)Cover 补回，冲销covered interest arbitrage 无汇率波动风险的套利操作Credit risk 信用风险Cross hedge 交叉避险Cross rates 交叉汇率（通过第三种货币计算两种货币的汇率）Currency future 外汇期货Currency futures contracts 外汇期货契约Currency futures 外汇期货Current yield 当期收益率Cut off time 营业截止时间Day trading 当日冲销（使当日净部位为零）Dealer’s authority 交易权限Dealing day 交易日Dealing room 交易室Dealing ticket 交易单Delivery Date 交割日Direct quotation=price quotation直接报价Discount 贴水Dj index future 道·琼斯指数期货合约Draft 汇票Duration 存续期间Easy money 低价货币Effective interest rate 有效利率Engineered swap transaction操纵式换率交易（将买入卖出两个不同交易合并，使其具有换汇交易的效果）European currency unit(ECU)欧洲货币单位Exchange control system 外汇管制制度Exercise price 履约价格Expiry date 到期日Face value 面值（股票、票据上记载的名目价值）Firm market 行情坚挺的市场Firm order 确定指示单Fixed exchange rate system 固定汇率制定Fixed rate liability 利率固定负债Fixing date 指标利率定订基准日Flat yield curve 水平收益率曲线floating exchange 浮动汇率制度Floor broker 场内经纪商Floor trader 场内交易商Follow up action 动态策略Forward against forward远期对远期换汇交易Forward rate agreement（FRA）远期利率协定Forward rate 远期汇率Forward value date 远期外汇到期日FT-SE 100 Index Future 伦敦金融时报指数期货Futures 期货FX risk 汇率风险Gapping 期差操作General floating 普遍浮动Generic Swap 标准型的IRS 交易gold exchange standard金汇兑本位制度gold export point 黄金输出点Gold rush 黄金抢购风gold standard 金本位制度Government bonds 政府债券Group of Twenty 20国委员会Hang Seng Index 恒生估价指数Hedging interest rate risk规避利率波动风险Hit 询价者以bid rate 卖出被报价币给报价银行Holding position 持有部位If order 附条件交易指示单IMM 芝加哥国际货币市场In the money (ITM) 价内Index swap 利率交换indirect quotation=quantity quotation 间接报价Inter bank offer rates 银行同业拆放利率Interest rate futures 利率期货Interest rate parity theory 利率平价理论Interest rate return 报酬率Interest rate swaps(IRS)利率交换intermediary 中间人international payment system 国际支付制度Intra day limit 日间额度Intra-day trader日间交易者，短线交易员Intrinsic value 隐含价值Junior money dealer资浅货币交易员LIBOR 伦敦银行同业拆借利率LIFFE 伦敦国际金融期货交易所Line of credit 信用额度Line of limit 额度限制liquidity premium流通性风险补贴London inter bank bid rate (LIBID) 伦敦银行间存款利率Long butterfly call spread 买入碟式买权价差Long butterfly put spread 买入碟式卖权价差Long currency future contract 买入外汇期货契约Long Straddle 买入跨式部位，下跨式部位Long strangle 买入不同履约价格的跨式部位Margin call 追加保证金Margin trading 保证金交易Mark to market 调整至市场价Market order 市场价格指示单Mismatch gapping 到期缺口Money market swap IRS持有时间短于两年者Money position 货币部位long position 买超或长部位（借入的金额大于贷）Monthly limit 每月限额multiple currency reserve system多种货币准备制度Nasdaq Index Future 纳斯达克指数期货Near the money 价近Negative yield curve 负收益率曲线Negotiable certificate of deposit 可转让定期存单Net mismatch 净缺口Nikki index future 日经指数期货Nominal interest rate 名目利率Nominal Interest rate名目利率（票面或双方约定的利率，减通货膨胀等于实质利率）Non earning asset 非利率敏感资产Non profitable liability非利率敏感负债Non reference currency 报价币Notional amount 承作金额Odd date（Odd maturity）畸零天期，畸零期（FX交易非整周整月的日期，如10天，40天）Off-balance Sheet 表外交易工具（衍生性金融产品）Offer rate 贷放利率（或卖出价格，汇率）Offset 对冲，轧平Open spot net position 即期净部位Operation risk 作业风险Option date forward 任选交割日的远期汇率Option 选择权Options reserve 选择权保留额度Order 交易指示单Out of the money(OTM) 价外Outright forward 远期直接汇率Over the counter店头市场，柜台交易市场Overall limit 总合限额Overbought 买超Overnight(O/N) 当日交割之隔夜拆放Oversold 卖超Par 报价与被报价币的利率相同，换汇汇率为零。
债券收益率曲线的形态
债券收益率曲线的形态
债券收益率曲线的形态是描述不同期限或到期日的债券收益率之间的关系，常见的形态有以下几种：
1. 正常型（Normal Yield Curve）：较短期限的债券收益率低
于较长期限的债券收益率。
这种情况下，市场预期经济将保持稳定，长期债券的风险较高但回报也相应较高，而短期债券的风险较低且回报较低。
2. 倒挂型（Inverted Yield Curve）：较短期限的债券收益率高
于较长期限的债券收益率。
这种情况下，市场预期经济可能出现衰退或金融市场不稳定，导致投资者更愿意持有长期债券，从而推高其价格，使得收益率下降。
3. 扁平型（Flat Yield Curve）：各期限的债券收益率大致相等。
这种情况下，市场预期经济将保持一定程度的稳定，投资者对不同期限债券的风险和回报预期相对平衡。
4. 斜率型（Steep Yield Curve）：较长期限的债券收益率比较
短期限的债券收益率上涨更快。
这种情况下，市场预期经济将保持稳定，并且可能有较高的通胀预期。
投资者要求更高的回报来补偿通胀带来的资金贬值风险。
需要注意的是，债券收益率曲线的形态可能会受到多种因素的影响，包括货币政策、经济数据、市场情绪等。
因此，债券收益率曲线的形态可能随着市场情况的变化而变化。
第十七章 利率的期限结构
• 最后，绘制债券的利率期限结构图，如下图所示：
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以面值出售的附息国债的票面利率=到期收益率
财富网等平台进行实时发布，公布不同剩余期限的债券价格。国 债的剩余期限和发行期限不同，发行期限是国债发行时确定的债 券还本付息期限，即从债券的起息日到到期日的时间。剩余期限 是当期时刻距债券到期日还剩余的时间。
4
– 比如，2008年记账式（一期）国债发行日为2008年2月1日，起息 日为2008年2月13日，到期日是2015年2月13日，其发行期限是7 年；当期时刻是2009年2月13日，则称2009年2月13日这一天2008 年记账式（一期）国债的剩余期限是6年。
时期
11 12 13 14 15 16 17 18 19 20
期限（年） 5.5 6 6.5 7 7.5 8 8.5 9 9.5 10 年票面利率
5.3 5.4 5.5 5.55 5.6 5.65 5.7 5.8 5.9 6.0 （%）
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• 首先，表1.2中6个月和1年期的国债被称为短期国债，是零息债券工 具，所以6个月和1年期零息债券的到期收益率分别为3%和3.3%。
，即
同理可证，
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• 基于期望假说理论的结论： – 若远期利率上升，则长期债券的到期收益率上升，即上升型利率 期限结构；反之，相反。 – 长期投资与短期投资完全可以相互替代，即投资于长期债券的收 益率也可由重复转投（roll-over）于短期债券获得。
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收益率曲线
收益率曲线收益率曲线（Yield Curve）是显示一组货币和信贷风险均相同，但期限不同的债券或其他金融工具收益率的图表。
纵轴代表收益率，横轴则是距离到期的时间。
收益率是指个别项目的投资收益率，利率是所有投资收益的一般水平，在大多数情况下，收益率等于利率，但也往往会发生收益率与利率的背离，这就导致资本流入或留出某个领域或某个时间，从而使收益率向利率靠拢。
债券收益率在时期中的走势未必均匀，这就有可能形成向上倾斜、水平以及向下倾斜的三种收益曲线。
基本作用收益率曲线是分析利率走势和进行市场定价的基本工具，也是进行投资的重要依据。
国债在市场上自由交易时，不同期限及其对应的不同收益率，形成了债券市场的"基准利率曲线"。
市场因此而有了合理定价的基础，其他债券和各种金融资产均在这个曲线基础上，考虑风险溢价后确定适宜的价格。
在谈到利率，财经评论员通常会表示利率"走上" 或"走下"，好像各个利率的走动均一致。
事实上，如果债券的年期不同，利率的走向便各有不同，年期长的利率与年期短的利率的走势可以分道扬镳。
最重要的是收益率曲线的整体形状，以及曲线对经济或市场在未来走势的启示。
想从收益率曲线中找出利率走势蛛丝马迹的投资者及公司企业，均紧密观察该曲线形状。
收益率曲线所根据的，是你买入政府短期、中期及长期国库债券后的所得收益率。
曲线让你按照持有债券直至取回本金的年期，比较各种债券的收益率。
收益率曲线的形状收益率曲线的纵轴代表收益率，横轴则是距离到期的时间。
收益率曲线有很多种，如政府公债的基准收益率曲线、存款收益率曲线、利率互换收益率曲线及信贷收益率曲线(credit curves)等。
基准收益率曲线是市场上其他证券的参照标准，所用的证券必须符合流动性、规模、价格、可得性、流通速度和其他一些特征标准。
收益率曲线并非静止不变，随时都可能发生快速的变动。
例如，中央银行官员的三言两语即可引发较高的通货膨胀预期，从而令长期债券价格下跌的幅度高于短期债券。
CFA一级知识点总结最全
CFA 一级知识点总结Ethics 部分Objective of codes and standard ：永远是为了maintain public trust in1. Financial market2. Investment profession6个code of ethics1. Code 1—ethics and pertinent d persons2. Code 2---primacy of client’s interesta. Integrity with investment professionb. 客户利益高于自身利益3. Code 3---reasonable and independenta. 必须注意reasonable careb. 必须exercise independent professional judgment---必须独立判断！4. Code 4---ethical culture in the professiona. 不但自己要practice ， 而且要鼓励别人practice —不仅仅是自己一个人去做， 要所有人共同去做5. Code 5---ethnical culture in the capital market!a. 促进整个capital market 的integrity ，推广其相关法规---增强公众对资本市场的trust ！b. Capital market 是基于i. Fairly pricing of risky assets ；ii. Investors ‘ confidence6. 有关competence —能力---competence7个standard of professional conduct1. Standard 1---professionalism---knowledge of lawa. 不需要成为法律专家， 但是必须understand 和comply with applicable law ；b. 当两个law 发生conflict ，则要遵守更加严格的法律！c. Knowingly---know or should knowd. 必须attempt to stop the violation ， 如果不能stop ， then must dissociate from the violation ！必须从其中分离出去!i. Remove name from the written report;乐享科技CFA 一级考试知识点总结Stanhopeii.Ask for a different assignmente.并不要求向有关部门report！（do not require）f.向CFA 进行书面报告report--encouraged to so2. Standard 1 ---professionalism---integrity of capital marketa.Bias from client or other groups—listed company，controllingshareholder！b.Bias from sell side analystc.Buyer side client—d.Issuer paid report---只能接受flat fee for their work3.Standard 1 ---professionalism---misinterpretation—不能误导客户，不能剽窃其他人的研究成果4.Standard 1 ---professionalism---misconduct---5.Standard 2---integrity of capital marketa.不能使用非公开信息！---material nonpublic information---b.mosaic theory---conclusion from analysis of public and non-materialnonpublic information6.standard 3—duties to clientsa.Loyalty, prudence and care---i.如何定义客户？---考虑最终受益人！---雇佣我们的人未必就是我们的客户，要考虑最终受益人！ii.Soft dollar---when a manager uses client brokerage to purchase research report to benefit the investment manager---比如，作为基金公司，使用证券公司的席位进行交易，肯定会支付一定的费用，这些费用来自客户，所以基金公司只能用这些softdollar为客户服务！b.Fair dealing---i.对所有客户要公平客观ii.个别的客户要求，可以征收premium的费用之后，是可以做的！条件是，其他的分析都已经公布给其他客户了iii.More critical when changes recommendationiv.Investment action---taking investment action based on research recommendationv.Prorated the allocationc.Suitabilityi.了解客户的经验，风险和回报目标ii.要有书面目标—至少一年进行更新！iii.是否和客户的书面目标相符合？iv.是否符合客户的整个total portfolio的投资目标？v.必须理解其投资组合的constraints，只能进行符合其书面目标的投资推荐！1.Investment policy statement—IPS---risk tolerance，returnrequirement， investment2.Constraint---time horizon, liquidity needs, tax concerns, legaland regulatory factors, unique circumstancesd.Performance presentationi.这里有performance presentation的规定，同时在GIPS里面也有类似规定！其区别是1.一个是自愿的---GIPS，一个是必需的；2.一个是针对公司—firm wide，一个是针对个人member和candidate3.GIPS要求公司to use accurate input data and approvedcalculation method, to prevent the performance record inaccordance with a prescribed formate.Preservation of confidentiality---必须保密---可以不保密的情况i.违法行为ii.法律要求进行披露iii.Client或者prospective client同意披露iv.以现行法律为准v.CFA进行investigate固定收益债券，金融衍生品和alternative investment 部分Nonrefundable bond是指不能通过发行新的债券还旧债Sinking fund provisions---偿债基金条款---为了保护投资者，规定经过一段时间后，每年偿还一定金额的本金。
货币银行学题库Chapter4 (7)
货币银行学第六章纸质练习姓名：班级：学号：请注意，选择题的答案请写在下面的方框中，否则判为0分。
Multiple Choice1)The risk structure of interest rates is(a)the structure of how interest rates move over time.(b)the relationship among interest rates of different bonds with the same maturity.(c)the relationship among the term to maturity of different bonds.(d)the relationship among interest rates on bonds with different maturities.2)Default risk is the risk that(a)a bond issuer is unable to make interest payments.(b)a bond issuer is unable to make a profit.(c)a bond issuer is unable to pay the face value at maturity.(d)all of the above.(e)both (a) and (c) above.3)The spread between the interest rates on bonds with default risk and default-free bonds iscalled the(a)risk premium.(b)junk margin.(c)bond margin.(d)default premium.4)When the default risk in corporate bonds decreases, other things equal, the demand curve forcorporate bonds shifts to the _____ and the demand curve for Treasury bonds shifts to the _____.(a)right; right(b)right; left(c)left; left(d)left; right5)The risk premium on corporate bonds becomes smaller if(a)the riskiness of corporate bonds increases.(b)the liquidity of corporate bonds increases.(c)the liquidity of corporate bonds decreases.(d)the riskiness of corporate bonds decreases.(e)both (b) and (d) occur.6) A decrease in the liquidity of corporate bonds will _____ the price of corporate bondsand _____ the yield of Treasury bonds.(a)increase; increase(b)reduce; reduce(c)increase; reduce(d)reduce; increase(e)reduce; not affect7)An increase in marginal tax rates would likely have the effect of _____ the demandfor municipal bonds, and _____ the demand for U.S. government bonds.(a)increasing; increasing(b)increasing; decreasing(c)decreasing; increasing(d)decreasing; decreasing8)Three factors explain the risk structure of interest rates:(a)liquidity, default risk, and the income tax treatment of a security.(b)maturity, default risk, and the income tax treatment of a security.(c)maturity, liquidity, and the income tax treatment of a security.(d)maturity, default risk, and the liquidity of a security.(e)maturity, default risk, and inflation.9)The term structure of interest rates is(a)the relationship among interest rates of different bonds with the same maturity.(b)the structure of how interest rates move over time.(c)the relationship among the term to maturity of different bonds.(d)the relationship among interest rates on bonds with different maturities.10)When yield curves are steeply upward sloping,(a)long-term interest rates are above short-term interest rates.(b)short-term interest rates are above long-term interest rates.(c)short-term interest rates are about the same as long-term interest rates.(d)medium-term interest rates are above both short-term and long-term interest rates.(e)medium-term interest rates are below both short-term and long-term interest rates.11)According to the expectations theory of the term structure(a)the interest rate on long-term bonds will equal an average of short-term interestrates that people expect to occur over the life of the long-term bonds.(b)buyers of bonds do not prefer bonds of one maturity over another.(c)yield curves should be as equally likely to slope downward as slope upward.(d)all of the above.(e)only (a) and (b) of the above.12)If the expected path of one-year interest rates over the next five years is 4 percent, 5percent, 7 percent, 8 percent, and 6 percent, then the expectations theory predicts that today’s interest rate on the five-year bond is(a)4 percent.(b)5 percent.(c)6 percent.(d)7 percent.(e)8 percent.13)According to the segmented markets theory of the term structure(a)the interest rate for each maturity bond is determined by supply and demand forthat maturity bond.(b)investors’ strong preferences for short-term relative to long-term bondsexplains why yield curves typically slope upward.(c)bonds of one maturity are close substitutes for bonds of other maturities, therefore,interest rates on bonds of different maturities move together over time.(d)all of the above.(e)only (a) and (b) of the above.14)The liquidity premium theory of the term structure(a)indicates that today’s long-term interest rate equals the average of short-terminterest rates that people expect to occur over the life of the long-term bond.(b)assumes that bonds of different maturities are perfect substitutes.(c)suggests that markets for bonds of different maturities are completely separatebecause people have preferred habitats.(d)does none of the above.15)If 1-year interest rates for the next four years are expected to be 4, 2, 3, and 3 percent, andthe 4-year term premium is 1 percent, than the 4-year bond rate will be(a)1 percent.(b)2 percent.(c)3 percent.(d)4 percent.(e)5 percent.16)According to the liquidity premium theory of the term structure(a)when short-term interest rates are expected to rise in the future, the yield curvewill be steeply upward sloping.(b)when short-term interest rates are expected to remain unchanged in the future, theyield curve is likely to be slightly upward sloping.(c)when short-term interest rates are expected to decline moderately in the future, theyield curve is likely to be flat.(d)all of the above.(e)only (a) and (b) of the above.17)Which of the following theories of the term structure is (are) able to explain the factthat interest rates on bonds of different maturities tend to move together over time?(a)The expectations theory(b)The segmented markets theory(c)The liquidity premium theory(d)Both (a) and (b) of the above(e)Both (a) and (c) of the above18)The preferred habitat theory of the term structure is closely related to the(a)expectations theory of the term structure.(b)segmented markets theory of the term structure.(c)liquidity premium theory of the term structure.(d)the inverted yield curve theory of the term structure.(e)risk premium theory of the term structure19)A particularly attractive feature of the _____ is that it tells you what the market ispredicting about future short-term interest rates by just looking at the slope of the yield curve.(a)segmented markets theory(b)expectations theory(c)liquidity premium theory(d)both (a) and (b) of the aboveFigure 6-120)The steeply upward sloping yield curve in Figure 6-1 indicates that(a)short-term interest rates are expected to rise in the future.(b)short-term interest rates are expected to fall moderately in the future.(c)short-term interest rates are expected to fall sharply in the future.(d)short-term interest rates are expected to remain unchanged in the future.Essay Questions21)Demonstrate graphically and explain how a reduction in default risk affects the demandor supply of corporate and Treasury bonds.22)What is the shape of the yield curve when short rates are expected to fall in themedium term, and then increase? Demonstrate this graphically.。
收益率曲线与期限结构理论
2）结合实际情况来看，预期理论有什么 缺陷？
•
路漫漫其悠远
3.2.2 流动性偏好理论
该理论认为，远期利率等于市场整体对未来短 期利率的预期加上一个流动性溢价（liquidity premium）。之所以如此，是因为市场通常由短期投 资者控制，对于这类投资者而言，除非fn＞E(rn)，即 远期利率相对于他们所预期的未来短期利率有一个 溢价，否则他们不愿意持有长期债券。因此，按照 这一理论，前面例子中的3年远期利率为12％并非因 为市场预期第3年的短期利率为12％，而是因为市场 预期第3年的短期利率为低于12％的某个值，比如11 ％，同时要求远期利率对未来短期利率有1％的流动 性溢价。
以下我们举例说明这种方法的应用。
•
路漫漫其悠远
例、假定国债市场上有如下6种债券，其中 息票债券为半年付息，面值都是100元。
到期日（年） 0.5 1.0 1.5
2.0 2.5 3.0
息票利率（％） 0.00 0.00 8.50
9.00 11.00 9.50
市价（元） 96.15 92.19 99.45
•
路漫漫其悠远
路漫漫其悠远
3.2.1 预期理论
该理论认为，远期利率等于市场整体对未来相
应时期短期利率的预期。因此，按照这一理论，上 例中3年期债券和2年期债券的到期收益率分别为10 ％和9％（对应着3年远期利率12％）就意味着市场 预期第3年的短期利率r3为12％，即f3=E(r3)。
通过循环迭代，式(3-1)可以变换为
根据式（3-1），如果当前的3年期和2年 期零息票债券的到期收益率分别为y3=10%和 y2=9%，则意味着市场在当前将第3年的短期 利率确定为远期利率f3 =1.13/1.092-1=12%。
货币银行学题库Chapter4 (7)
货币银行学第六章纸质练习姓名：班级：学号：请注意，选择题的答案请写在下面的方框中，否则判为0分。
Multiple Choice1)The risk structure of interest rates is(a)the structure of how interest rates move over time.(b)the relationship among interest rates of different bonds with the same maturity.(c)the relationship among the term to maturity of different bonds.(d)the relationship among interest rates on bonds with different maturities.2)Default risk is the risk that(a)a bond issuer is unable to make interest payments.(b)a bond issuer is unable to make a profit.(c)a bond issuer is unable to pay the face value at maturity.(d)all of the above.(e)both (a) and (c) above.3)The spread between the interest rates on bonds with default risk and default-free bonds iscalled the(a)risk premium.(b)junk margin.(c)bond margin.(d)default premium.4)When the default risk in corporate bonds decreases, other things equal, the demand curve forcorporate bonds shifts to the _____ and the demand curve for Treasury bonds shifts to the _____.(a)right; right(b)right; left(c)left; left(d)left; right5)The risk premium on corporate bonds becomes smaller if(a)the riskiness of corporate bonds increases.(b)the liquidity of corporate bonds increases.(c)the liquidity of corporate bonds decreases.(d)the riskiness of corporate bonds decreases.(e)both (b) and (d) occur.6) A decrease in the liquidity of corporate bonds will _____ the price of corporate bondsand _____ the yield of Treasury bonds.(a)increase; increase(b)reduce; reduce(c)increase; reduce(d)reduce; increase(e)reduce; not affect7)An increase in marginal tax rates would likely have the effect of _____ the demandfor municipal bonds, and _____ the demand for U.S. government bonds.(a)increasing; increasing(b)increasing; decreasing(c)decreasing; increasing(d)decreasing; decreasing8)Three factors explain the risk structure of interest rates:(a)liquidity, default risk, and the income tax treatment of a security.(b)maturity, default risk, and the income tax treatment of a security.(c)maturity, liquidity, and the income tax treatment of a security.(d)maturity, default risk, and the liquidity of a security.(e)maturity, default risk, and inflation.9)The term structure of interest rates is(a)the relationship among interest rates of different bonds with the same maturity.(b)the structure of how interest rates move over time.(c)the relationship among the term to maturity of different bonds.(d)the relationship among interest rates on bonds with different maturities.10)When yield curves are steeply upward sloping,(a)long-term interest rates are above short-term interest rates.(b)short-term interest rates are above long-term interest rates.(c)short-term interest rates are about the same as long-term interest rates.(d)medium-term interest rates are above both short-term and long-term interest rates.(e)medium-term interest rates are below both short-term and long-term interest rates.11)According to the expectations theory of the term structure(a)the interest rate on long-term bonds will equal an average of short-term interestrates that people expect to occur over the life of the long-term bonds.(b)buyers of bonds do not prefer bonds of one maturity over another.(c)yield curves should be as equally likely to slope downward as slope upward.(d)all of the above.(e)only (a) and (b) of the above.12)If the expected path of one-year interest rates over the next five years is 4 percent, 5percent, 7 percent, 8 percent, and 6 percent, then the expectations theory predicts that today’s interest rate on the five-year bond is(a)4 percent.(b)5 percent.(c)6 percent.(d)7 percent.(e)8 percent.13)According to the segmented markets theory of the term structure(a)the interest rate for each maturity bond is determined by supply and demand forthat maturity bond.(b)investors’ strong preferences for short-term relative to long-term bondsexplains why yield curves typically slope upward.(c)bonds of one maturity are close substitutes for bonds of other maturities, therefore,interest rates on bonds of different maturities move together over time.(d)all of the above.(e)only (a) and (b) of the above.14)The liquidity premium theory of the term structure(a)indicates that today’s long-term interest rate equals the average of short-terminterest rates that people expect to occur over the life of the long-term bond.(b)assumes that bonds of different maturities are perfect substitutes.(c)suggests that markets for bonds of different maturities are completely separatebecause people have preferred habitats.(d)does none of the above.15)If 1-year interest rates for the next four years are expected to be 4, 2, 3, and 3 percent, andthe 4-year term premium is 1 percent, than the 4-year bond rate will be(a)1 percent.(b)2 percent.(c)3 percent.(d)4 percent.(e)5 percent.16)According to the liquidity premium theory of the term structure(a)when short-term interest rates are expected to rise in the future, the yield curvewill be steeply upward sloping.(b)when short-term interest rates are expected to remain unchanged in the future, theyield curve is likely to be slightly upward sloping.(c)when short-term interest rates are expected to decline moderately in the future, theyield curve is likely to be flat.(d)all of the above.(e)only (a) and (b) of the above.17)Which of the following theories of the term structure is (are) able to explain the factthat interest rates on bonds of different maturities tend to move together over time?(a)The expectations theory(b)The segmented markets theory(c)The liquidity premium theory(d)Both (a) and (b) of the above(e)Both (a) and (c) of the above18)The preferred habitat theory of the term structure is closely related to the(a)expectations theory of the term structure.(b)segmented markets theory of the term structure.(c)liquidity premium theory of the term structure.(d)the inverted yield curve theory of the term structure.(e)risk premium theory of the term structure19)A particularly attractive feature of the _____ is that it tells you what the market ispredicting about future short-term interest rates by just looking at the slope of the yield curve.(a)segmented markets theory(b)expectations theory(c)liquidity premium theory(d)both (a) and (b) of the aboveFigure 6-120)The steeply upward sloping yield curve in Figure 6-1 indicates that(a)short-term interest rates are expected to rise in the future.(b)short-term interest rates are expected to fall moderately in the future.(c)short-term interest rates are expected to fall sharply in the future.(d)short-term interest rates are expected to remain unchanged in the future.Essay Questions21)Demonstrate graphically and explain how a reduction in default risk affects the demandor supply of corporate and Treasury bonds.22)What is the shape of the yield curve when short rates are expected to fall in themedium term, and then increase? Demonstrate this graphically.。
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MEMORANDUMTO: Roger StaigerFROM: Yi WeiDATE: April 7, 2013SUBJECT: Yield Curve AssignmentIn this memorandum, we will discuss the yield curves of ten different countries. They are United States, Japan, China, Germany, France, United Kingdom, Canada, Portugal, Greece and Spain. We analyze those yield curves from March 2006 to March 2013. Data are collected from Bloomberg Terminal.Based on the data we get, we present the following graphs, which depict the yields changes over time in different countries. On the horizontal axis of the yield curve we have the time to maturity going from 1 month to 30 years. On the vertical axis, we have the yield to maturity going from 0 to 6 percent. Since we need to give every country the same scale, some graphs may not display the characteristics of the countries. If needed, new scale is applied to specific countries and additional graphs are also presented under the identically scaled graphs. Used data will be displayed in appendix.Generally speaking, the shape of yield curve is usually used to predict changes in future economic condition. It has five different kinds of shapes. There are normal yield curve with upward sloping, steep yield curve, flat yield curve, the humped yield curve and the inverted yield curve. Below is the analysis on each country.United StatesIn 2006, the curve is flat. In 2007, the curve shows a slightly inverted shape. The flat yield curve and inverted curve suggests an economic slowdown or downturn. Theinverted curve implies long-term rates are lower than short-term rates. This abnormal situation could happen under the circumstance that the expected inflation in long-term will decrease or the supply of bond will decrease significantly. Banks earn money by short-term borrowing and long-term lending spread. Thus, banks have fewer incentives to lend money to finance economic activities.The time is right before the financial crisis.From year 2008 to year 2013, we have steep yield curve. The normal curve is upward sloping which shows the risk compensation increases with maturity. If the increase of long-term yield is higher than that of the short-term, the curve will become a steep curve. The steep curve usually happens when economy starts to expand after an economic recession. Economic stagnation has already suppressed the short-term rate. Rates will begin to go up if increasing economic activities needs capital. United States is slowing recovering from the recession.JapanWe can see that from 2006 till now, the Japanes sovereign yield curves are upward sloping curves, which remain below 2.5%. The low level rates suggest that the economy remains in the doldrums. During the past ten years, Japan has been in a quite depressed condition--deflation. After financial crisis, like other countries, investors tend to choose treasury bond to avoid risks. Bond demand surged, which drove down the prices.In 2013, the main economic goal of Japanese government is to push the inflation to 2% by depressing Japanese sovereign yield and depreciating yen.ChinaBasically, all the eight years’ yield curves are normal curves, which indicate that the economic condition in China is much better than that in other countries. There is an obvious yield drop from 2008 to 2009 due to the financial crisis. People transferred their assets to a more secured place like treasury bond, bringing down the prices. At the mean time, the government adopted stimulus plans which include loose monetary policy after the crisis. From 2010 to 2013, the yield curve shift upwards, implying a steady recovery of economy.GermanyThe yield curve in 2006 is high. In 2007, the curve is flat. And in 2008 the curve is inverted. The yield curves of the three years show the consequeneces of global economic downturn caused by financial crisis. During post-crisis time, the yield curve shifts downward year after year. The short-term rates in 2012 and 2013 is almost zero, suggesting a sluggish economy mainly caused by the bad influence of European Debt Crisis.FranceUnited KingdomThe curves in 2006, 2007 and 2008 are basically inverted curves because of the global financial crisis. Like Germany, the yield curves from 2009 to 2013 shift downward. Although UK is not a member of Eurozone, it is a member of European Union. Its products mainly exported to European countries. The downturn in Eurozone certainly affected its performance. UK lowered interest rates to stimulate investments. CanadaGreecePortugalSpainAppendixU.S. 2006 2007 2008 2009 2010 2011 2012 2013 1 M o 4.500% 5.210% 1.200% 0.090% 0.120% 0.070% 0.080% 0.070% 3 M o 4.630% 5.050% 1.180% 0.200% 0.170% 0.100% 0.080% 0.090% 6 M o 4.810% 5.120% 1.320% 0.420% 0.240% 0.140% 0.150% 0.110%1 Y r 4.770% 4.930% 1.370% 0.670% 0.400% 0.230% 0.210% 0.140%2 Y r 4.690% 4.570% 1.470% 0.980% 0.960% 0.630% 0.370% 0.250%3 Y r 4.720% 4.500% 1.650% 1.360% 1.490% 1.080% 0.560% 0.400% 5 Y r 4.690% 4.460% 2.370% 1.870% 2.420% 2.000% 1.110% 0.840% 7 Y r 4.700% 4.470% 2.840% 2.480% 3.150% 2.680% 1.670% 1.350% 10 Y r 4.730% 4.540% 3.440% 2.890% 3.710% 3.330% 2.290% 2.010% 20 Y r 4.930% 4.780% 4.300% 3.840% 4.480% 4.210% 3.080% 2.850% 30 Y r 4.750% 4.690% 4.350% 3.660% 4.630% 4.470% 3.410% 3.220%Japan 2006 2007 2008 2009 2010 2011 2012 2013 1 M o 0.074% 0.590% 0.576% 0.247% 0.122% N/A N/A N/A 3 M o 0.124% 0.597% 0.555% 0.247% 0.121% 0.118% N/A 0.048% 6 M o 0.131% 0.580% 0.526% 0.299% 0.114% 0.132% 0.105% 0.045%1 Y r 0.564% 0.774% 0.560% 0.410% 0.140% 0.168% 0.110% 0.058%2 Y r 0.738% 0.850% 0.589% 0.509% 0.189% 0.215% 0.114% 0.042%3 Y r 0.955% 0.969% 0.654% 0.650% 0.332% 0.265% 0.169% 0.040% 5 Y r 1.335% 1.219% 0.768% 0.815% 0.613% 0.495% 0.364% 0.119% 7 Y r 1.538% 1.390% 0.887% 0.969% 0.944% 0.693% 0.654% 0.280% 10 Y r 1.720% 1.839% 1.744% 1.700% 1.804% 1.211% 1.047% 0.620% 20 Y r 2.089% N/A N/A N/A N/A 2.079% 1.800% 1.613% 30 Y r 2.330% N/A 2.594% 1.994% 2.340% 2.215% 1.964% 1.766%China 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A N/A N/A N/A 2.850% 2.600% 3 M o 1.440% 1.840% 3.600% 1.100% 1.420% 2.500% 2.850% 2.700% 6 M o 1.600% 1.950% 3.650% 1.200% 1.450% 2.700% 2.800% 2.700%1 Y r 1.580% 2.111% 3.519% 1.062% 1.508% 2.852% 2.855% 2.745%2 Y r 1.951% 2.294% 3.639% 1.369% 1.948% 3.236% 2.980% 3.055%3 Y r 2.051% 2.543% 3.703% 1.576% 2.386% 3.246% 2.977% 3.095% 5 Y r 2.354% 2.823% 3.904% 2.352% 2.702% 3.494% 3.168% 3.275% 7 Y r 2.601% 2.968% 3.993% 2.757% 3.022% 3.722% 3.436% 3.465% 10 Y r N/A 3.190% 4.116% 3.100% 3.436% 3.921% 3.540% 3.575% 20 Y r N/A N/A N/A N/A N/A N/A N/A N/A 30 Y r N/A N/A N/A N/A N/A N/A N/A N/AGermany 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A N/A N/A N/A N/A N/A 3 M o 2.503% 3.754% 3.829% 0.609% 0.254% N/A N/A N/A6 M o 2.665% 3.847% 3.792% 0.751% 0.380% 0.619% 0.021%-‐0.017%1 Y r 2.975% 3.982% 3.641% 0.947% 0.557% 0.867% 0.071% 0.012%2 Y r 3.192% 3.890% 3.243% 1.328% 1.031% 1.130% 0.160% 0.023%3 Y r 3.232% 3.877% 3.201% 1.688% 1.432% 1.524% 0.278% 0.044% 5 Y r 3.453% 3.866% 3.319% 2.240% 2.183% 2.112% 0.666% 0.244% 7 Y r 3.580% 3.889% 3.502% 2.723% 2.659% 2.584% 1.167% 0.580% 10 Y r 3.684% 3.903% 3.730% 3.057% 3.153% 3.051% 1.786% 1.247% 20 Y r 3.928% 4.092% 4.400% 4.120% 3.804% 3.362% 2.534% 1.964% 30 Y r 3.926% 4.060% 4.437% 3.919% 3.928% 3.656% 2.685% 2.292% France 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A 3.908% 0.804% 0.294% 0.573% 0.045% N/A 3 M o 2.508% 3.752% 3.860% 0.673% 0.288% 0.732% 0.076% 0.023% 6 M o 2.687% 3.842% 3.833% 0.758% 0.377% 0.904% 0.129% 0.032%1 Y r 2.905% 3.959% 3.680% 0.902% 0.597% 1.188% 0.253% 0.089%2 Y r 3.301% 3.890% 3.247% 1.936% 1.665% 1.561% 0.513% 0.181%3 Y r 3.403% 3.881% 3.368% 2.380% 1.908% 1.913% 0.804% 0.375% 5 Y r 3.536% 3.892% 3.524% 2.858% 2.659% 2.649% 1.797% 0.916% 7 Y r 3.643% 3.910% 3.695% 3.241% 3.098% 2.960% 2.264% 1.240% 10 Y r 3.855% 4.042% 4.333% 4.058% 3.827% 3.470% 2.957% 2.064% 20 Y r 3.960% 4.117% 4.585% 4.234% 4.114% 3.883% 3.574% 2.908% 30 Y r N/A N/A N/A N/A N/A 3.952% 3.716% 3.186% UK 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A 0.549% 0.510% 0.488% N/A 0.348% 3 M o 4.473% 5.350% N/A 0.608% 0.420% 0.559% N/A 0.320% 6 M o 4.462% 5.363% N/A N/A 0.525% 0.623% N/A 0.344%1 Y r 4.372% 5.284% 3.992% 0.934% 0.655% 0.763% 0.415% 0.178%2 Y r 4.416% 5.156% 3.790% 1.996% 1.866% 1.197% 0.456% 0.222%3 Y r 4.395% 5.089% 3.871% 2.215% 2.379% 1.615% 0.605% 0.343% 5 Y r 4.366% N/A N/A N/A 3.297% 2.256% 1.178% 0.816% 7 Y r 4.348% 4.896% 4.214% 2.495% 3.719% 2.995% 1.680% 1.313% 10 Y r 4.271% 4.666% 4.471% 3.568% 4.532% 3.525% 2.369% 1.935% 20 Y r 4.024% 4.264% 4.358% 3.935% 4.630% 4.237% 3.236% 2.900% 30 Y r N/A N/A N/A N/A N/A 4.293% 3.430% 3.290%Canada 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A 0.256% 0.165% 0.879% 0.865% N/A 3 M o 3.714% 4.142% 2.185% 0.427% 0.202% 0.931% 0.930% 0.935% 6 M o 3.820% 4.101% 2.442% 0.511% 0.330% 1.030% N/A 0.990% 1 Y r 3.930% 4.104% 2.522% 0.599% 0.718% 1.269% N/A 1.019% 2 Y r 3.913% 3.925% 2.427% 0.963% 1.561% N/A N/A N/A 3 Y r 3.968% 3.902% 2.543% 1.413% 1.870% 1.625% 1.269% 0.988% 5 Y r 4.082% 3.915% 2.854% 1.872% 2.796% 2.206% 1.514% 1.291% 7 Y r 4.141% 3.951% 3.116% 2.232% 2.996% N/A 1.698% 1.399% 10 Y r 4.194% 4.017% 3.481% 2.869% 3.492% 3.062% 2.092% 1.780% 20 Y r 4.288% 4.147% 3.988% 3.734% 4.073% N/A N/A N/A 30 Y r 4.222%4.107%4.016%3.596%4.066%3.742%2.713%2.543%Greece 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A N/A N/A N/A N/A N/A 3 M o 2.703% 3.896% 4.062% 1.701% 2.905% 6.591% N/A 3.454% 6 M o 2.846% 4.003% 3.869% 2.005% 3.044% 4.816% N/A 4.160% 1 Y r 3.102% 4.016% 3.798% 1.856% 3.720% N/A N/A N/A 2 Y r 3.305%3.978%3.588%3.273%4.649%N/A N/A N/A 3 Y r 3.429% 3.966% 3.747% 4.407% 5.285% 15.986% N/A N/A 5 Y r 3.528% 3.999% 3.896% 5.042% 5.718% 15.689% N/A N/A 7 Y r 3.772% 4.045% 4.074% 5.302% 5.883% 13.538% N/A N/A 10 Y r 3.983% 4.163% 4.409% 6.028% 6.209% 13.311% N/A N/A 20 Y r 4.136% N/A N/A N/A N/A N/A N/A N/A 30 Y r 4.332% 4.451% 5.184% 6.462% 6.371%N/A15.770%10.416%Yi Wei Yield Curve Assignment11Portuga l 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A N/A N/A N/A N/A N/A 3 M o 2.580% 3.769% 4.064% 1.043% N/A N/A 2.259% 0.611% 6 M o 2.744% 3.810% 3.943% 0.876% 0.693% 2.863% 2.689% 0.732% 1 Y r 2.986% 3.968% 3.792% 1.076% 0.992% 4.307% 3.735% 1.092% 2 Y r 3.277% 3.992% 3.678% 2.311% 1.816% N/AN/A N/A 3 Y r 3.378% 3.926% 3.511% 2.905% 2.495% 6.090% 12.153% 2.911% 5 Y r 3.560% 3.948% 3.647% 3.536% 3.363% 7.206% 15.687% 4.136% 7 Y r 3.651% 3.951% 3.821% 4.008% 3.821% 7.242% 15.955% 4.988% 10 Y r N/A 4.066% 4.310% 4.692% 4.244% 7.414%14.944% 5.737% 20 Y r N/A N/A N/A N/A N/A N/A N/A N/A 30 Y r N/A 4.264% 4.858% 4.796% 4.827% N/A N/A N/A Spain 2006 2007 2008 2009 2010 2011 2012 2013 1 M o N/A N/A N/A N/A N/A N/A N/A N/A 3 M o 2.570% 3.750% 3.940% 0.900% 0.360% 1.225% 0.390% 0.281% 6 M o 2.725% 3.845% 3.875% 1.000% 0.440% 1.625% 0.657% 0.733% 1 Y r 2.960% 3.940% 3.680% 1.200% 0.725% 1.950% 1.258% 1.354% 2 Y r 3.176% 3.943% 3.353% 1.912% 1.486% N/A 1.666% 1.498% 3 Y r 3.315% 3.884% 3.449% 2.515% 1.997% 2.802% 2.353% 2.321% 5 Y r 3.510% 3.887% 3.501% 3.205% 2.867% 3.773% 3.261% 3.208% 7 Y r 3.607% 3.907% 3.605% 3.681% 3.317% 4.367% 4.254% 3.675% 10 Y r 3.702% 3.962% 4.136% 4.056% 3.871% 4.932% 5.001% 4.529% 20 Y r N/A N/A 4.658% 4.760% 4.570% N/A N/A N/A 30 Y r 3.974%4.135%4.722%4.636%4.780%5.771%5.851%5.332%。