收益率曲线

表的内容
 The Expectations Hypothesis","level":2},{"tag":4,"text":"2. Liquidity Premium Hypothesis","link":"2-liquidity-premium-hypothesis","content":"2. Liquidity Premium Hypothesis","level":2},{"tag":2,"text":"Yield Curves","link":"yield-curves","content":"Yield Curves","level":0},{"tag":3,"text":"A Yield Curve expecting interest rates to rise over time","link":"a-yield-curve-expecting-interest-rates-to-rise-over-time","content":"A Yield Curve expecting interest rates to rise over time","level":1},{"tag":3,"text":"Interest rates are expected to remain unchanged","link":"interest-rates-are-expected-to-remain-unchanged","content":"Interest rates are expected to remain unchanged","level":1},{"tag":3,"text":"Interest rates are expected to drop. Signal of an oncoming recession:","link":"interest-rates-are-expected-to-drop-signal-of-an-oncoming-recession","content":"Interest rates are expected to drop. Signal of an oncoming recession:","level":1}]">

收益率曲线的定义

收益率曲线是不同期限债券收益率(利率)的图表。短的条款债券通常收益率较低,因为它们的流动性最强。

关于收益率曲线的三个基本事实

  • 利率不同期限的债券随着时间的推移,走势趋于一致。这意味着不同日期的收益率曲线通常不会相交。
  • 当短期利率很低时,收益率曲线往往呈陡峭的上升趋势。当短期利率非常高时,收益率曲线趋于平缓或向下倾斜
  • 收益率曲线几乎总是向上倾斜的。

三个基本事实的解释

1.预期假说

n年期债券,今天=我1年期债券,今天+我e1年期债券,t + 1年期+……+我e1, t (n = 1)/ n

疲软-上升斜率意味着利率每年都在上升,但并不总是这样。

优势-解释了为什么收益率曲线在短期债券非常低的情况下急剧上升,解释了为什么利率会一起变化。

例:我1、t= 5%,我e1, t + 1= 6%,我e1, t + 2= 7%,

一年期债券的利息= 5%

两年期债券利率= (5+6)/2 = 5.5%

三年期债券的利率= (5+6+7)/3 = 6%

2.流动性溢价的假设

流动性偏好理论认为,对货币的需求不是借钱,而是保持流动性的愿望。利率是货币的“价格”。的流动性溢价的假设流动性更强的资产风险更小,因此需要支付更少的风险溢价。

收益率曲线

预期利率将随时间上升的收益率曲线

预期利率将随时间上升的收益率曲线

预计利率将保持不变

短期收益率曲线

预计利率将会下降。即将到来的衰退信号:

收益率曲线利率下降

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