金融市场利率与流量 英文版·第5版PDF电子书下载

CHAPTER1 The Function of Financial Markets 1

Savings-Investment Foundation 1

preface 1

Efficiency of Financial Markets 2

Contents 3

Stages of Efficiency 3

Financial Assets 3

Contents 4

Contents 4

The Role of Financial Intermediarles 5

Contents 7

Disintermediatton and Securitization 8

Country Efficiency 9

Contents 9

Financial Innovation 9

The Catalyst for Change 10

Types of Innovations 11

The Implications of Savings 11

Degrees of Moneyness 13

Interest Rates and Arbitrrage Efficiency 14

Selected References 15

Summary 15

CHAPTER2 The Flow-of -Funds System 17

The Structure of the System 17

Source and Use Statements 18

Sectoring 18

The Preparation of a Matrix and Its Use 20

Federal Reserve Flow-of-Funds Data 21

Credit Flows 23

Implications of Analysis 25

Summary 27

Selected References 28

CHAPTER3 Foundations for Interest Rates 29

The Interest Rate in an Exchange Economy 29

The Individual Choice 29

Opumum with Exchange 31

Combined Effect 33

Market Equihbrium 35

Behavtor of Indyvidual Economic Units 39

Intere Rates in a World with Risk 39

Utility for Financtal Assets 40

Utility for Other Assets 42

Utility for Financtal Liabtlities 42

Market Equlibrium 43

Maximizing Utility for the Economic Unit 44

The Action of All Economic Units 45

Summary 46

Appendix:The Equilibrium Prices of Financial Assets 47

Market Equihbrium:Two Economic Units 50

Market Equihbrium:Multiple Financial Assets 51

Selected References 53

CHAPTER4 Prices and Yields for Bonds and Money Market Instruments 55

Review of Present Values 55

Annuittes 56

Present Value When Interest It Compounded More Than Once a Year 56

Continuous Compounding 57

The Price of a Bond 57

Price When Next Coupon Payment Is Less Than Six Months Away 58

Yield Calculations for Bonds 60

Zero-Coupon Bonds 60

Imphcu Remvestment Rate Assumption 61

Current Yield 61

Holding Period Return 61

Yield for Perpetuities 62

Yield-to-Maturity for Zero-Coupon Bonds 62

Money Market Instrument Returns 63

Bank Discount Rate 63

Implications 64

Summary 64

Selected References 65

CHAPTER5 Inflation and Returns 66

The Historical Record in Brief 66

The Nature of Inflation Premiums 69

Unantycipated Inflation 70

The Fisher Effect 72

Nominal Interest Rates and Inflation,Theoretically 73

Empirical Evidence on Nominal Interest Rates 74

Problems in Empirical Testing 74

Testing for the Effect of Inflation 75

The Fisher Effect More Directly 77

A Summing UP 77

Nominal Contractiong Effects 77

Depreciation 78

Inventories 78

Debtor-Creditor Claims 78

Empirical Testing 79

The Mechanics 79

Inflation Indexed Bonds 79

Corporate Value 79

Other Aspects 80

Summary 80

selected References 81

Definition of Term Structure 83

The Pure Expectations Theory 84

Forward Rates of Interest 85

Substitutability of Maturities 86

Technical Problems 87

Arbytrage and Market Efficiency 88

Uncertainty and Term Premiums 89

Market Segmentation 90

Cox-Ingersoll-Ross Theory 92

General Equilibrium Notions 92

Term Structure Implications 92

Other Models of the Term Structure 93

Multifactor Models 94

Lattice-Type Models 95

Summary 97

Empirical Evidence 97

Selected References 98

The Coupon Effect 101

CHAPTER7 Price Volatility,Coupon Rate,and Maturity 101

Sensittvity of Prtce to Various Properties 102

The Duration Measure and Its Changing Behavior 103

Relationship between Duration and Maturity 105

Relationship between Duration and Coupon Payment 106

Relationship between Duration andChanges in Interest Rates 106

Volatiluy Duration 108

Modified Duration Formula 109

Convexity 109

The Convexity Measure 110

Illustration of Price-Change Estimates Using Modified Duration and Convexity 111

Further Observations on Convexity 112

Immunization of Bond Portfolios 113

Immunization with Coupon Issues 114

An Illustration 114

Mapping the Stochastic Piocess 116

Fisher-Well Duration 116

Testing for Immumzation Effectiveness 117

Equilibration between Coupon and Noncoupon Bond Markets 118

Additional Immunization Considerations 118

Coupon Stipping 119

Term Structure of Pure Distount Bonds 120

Arbitrage Efficiency between the Markets 120

Summary 122

Selected References 123

CHAPTER8 The Default-Risk Structure of Interest Rates 125

Promised,Realized,and Expected Rates 125

Distribution of Possible Returns 126

Empirical Evidence on Default Losses 128

Credit Ratings and Risk Premiums 131

Some Studies of Bond Ratings 132

Cyclical Behavior of Risk Premiums 133

The Market Segmentation Effect 135

Issuers and Use in Acquisitions 137

Speculative-Grade(Junk)Bonds 137

Risk versur Return 138

Event Risk 139

Empirlcar Evidence 141

Risk Structure and the Term Structure 141

Summary 143

Selected References 144

CHAPTER9 Derivative Securities:Interest-Rate Futures 146

Introduction to Contract 146

Features of Futures Markets 148

Margin Requtrements 148

Money Market Instruments 148

Marking-to-Market and Pryce Movements 149

Longer-Term Instruments 149

Quality Delivery Options 149

Hedging and Speculation 151

Some Hedging Fundamentals 151

Long Hedges 152

Futures and Spot Prices 152

Hedge Ratios 154

Short Hedges 155

Basis Risk 155

More on Basis Risk 156

Sources of Basis Risk 158

Market Efficiency 158

Possible Reasons for Deviation of Forward and Futures Rates 159

Summary 160

Selected References 161

CHAPTER10 Derivative Securities:Options 163

Option Valuation 163

Expiration Date Value of an Option 164

Valuation Prior to Expiration 165

Black-Scholes Option Model 169

Debt Options 172

Features of Futures Options 172

Use of Debt Options 173

Caps,Floors,and Collars 174

Valuation of Debt Options 175

Yield Curve Options 177

Conversion Price/Ratio 179

Debt Plus Option Charateristic 179

Convertible Securities 179

Value of Convertible Securities 180

Premiums 181

Summary 183

Other Reasons for Premiums 183

AppendixA:Put-Call Parity 184

AppendixB:Application of Option Pricing Concepts to Valuing Convertible Securities 186

Selected References 190

CHAPTER11 Derivative Securities:Swaps 192

Swap Features 192

An Illustration 193

Valuation Issues 194

Comparative Advantage 194

Completing Markets 195

Default Risk 195

Skirting Tax Laws and Regulations 196

Credit Risk,Maturity,and Systemic Risk 197

Swap Valuation:A Summing UP 197

Default Provisions 198

Value at Risk 199

Secondary Market Values 200

Swaptions 201

Summary 201

Selected References 202

CHAPTER12 Embedded Options and Option-Adjusted Spreads 203

Option-Adjusted Spreads 203

The Basic Methodology 204

An Illustration 204

Some Caveats 205

The Nature of the Call Feature 205

Forms of the Provision 206

Redemption versus Callabiln 207

Putable Bonds 207

The Call Feature's Valuation 208

Interest-Rate Expectations 209

The Call Feature and Convexity 210

Valuation in an Option Pricing Context 211

Empirical Evidence on Call Valuation 212

The Sinking Fund 212

Characteristics of the Provision 213

Value of the Sinking Fund 214

Summary 215

Mortgage Pass-Through Security 215

Empirical Evidence 215

Selected References 216

CHAPTER13 Mortgeage Securities and Prepayment Risk 217

Some Features of Mortgages 217

Agency Pass-Throughs 218

Nonagency Pass-Throughs 219

Mortgage Derivatives 219

Collateralized Mortgage Obligations(CMOs) 220

Planned Amortization Class(PAC)and Targeted Amortization Class(TAC)Securities 221

Stripped Mortgage-Backed Securities 221

Floaters and Inverse Floaters 221

Prepayment Option and Its Valuation 222

Prepayment abd Convexity 222

Measures of Prepayment 223

Coupon Rate and Age 224

Additional Factors Explaining Prepayment 225

Modeling Prepayment Experience 226

Option-Adjusted Spread Approach 227

Planned Amortization Class securities 227

Prepayment Behavior of Certain Derivatives 227

Interest Only(IOs),Principal Only(POs),and Residual Class Securities 228

Other Asset-Backed Securities 230

Summary 230

Selected References 231

Risk and Return from Foreign Investment 233

CHAPTER14 Controlling Currency Risk 233

Exchange Rate Risk Management 234

Forward Exchange Market 235

Illustration of Spot and Forward Exchange Rates 236

A Single European Currency(Euro) 236

Underlying Relationships 238

The Law of One Price 238

Purchasing Power Parity 238

Interest-Rate Parity 240

Interest-Rate Parity Approximation 242

Covered Interest Arbitrage 242

Empirical Evidence Concerning Interest-Rate Parity(IRP) 243

Other Ways to Shift Risk 244

Currency Futures 244

Currency Options 244

Currency Swaps 245

Currency/Interest-Rate Swaps 246

Valuation Implications 246

The Cost of Currency Hedging 248

A Free Lunch? 248

The Amount to Hedge 248

Black's Universal Hedging 249

Closing Thoughts 249

Some Institutional Characteristics 250

Euro and Foreign Bonds 250

Currency-Option and Multiple-Currency Bonds 250

Summary 251

Selected References 252

CHAPTER15 The Influence of Taxes 254

Original Issue Discount(OID)Bonds 255

Tax Treatment of Capital Gains 255

Capital Gains Treatment for Taxable Coupon Bonds 256

The De Minimis Rule 257

Capital Gains Treatment for Municipal Bonds 257

Tax Timing Options 257

Municipal Bonds and the Taxation of Interest Income 258

Taxable Versus Tax-Exempt Yields 259

Value of the Tax Exemption Feature 261

Variation of Implied Tax Rate 262

Implied Tax Rate and Maturity 263

The Effect of Tax Reform and Supply 263

Preferred-Stock Tax Effects 264

Stralght Preferred-Stock Investments 264

Auction-Rate Preferred Stock 265

Summary 266

Selected References 266

CHAPTER16 The Social Allocation of capital 268

The Issues Involved 268

Ceilings on Borrowing Costs 269

The Effect of Usury Laws 270

The Negatives of Interest-Rate Ceilings 271

Government Guarantees and Insurance 272

The Transfer of Underlying Risk 273

Option-Pricing Valuation 274

Interest-Rate Subsidies 274

The Effect of the Dubsidy 274

Effectiveness of the Subsidy 275

Financial Intermediation Through Borrowing and Relending 276

The Situation Illustrated 277

Regulations Affecting Investor and Borrower Behavior 278

The Effect of Government Intermediation 278

The Effectiveness of This Approach 279

The Costs to Society 279

Qualification for Tax-Exempt Financing 280

Benefits,Costs,and Externalities 281

Policy Implications 281

Summary 283

Selected References 284

Index 285