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Bond Markets, Analysis, and Strategies (7th Edition) by Frank J. Fabozzi_2

Tham khảo tài liệu 'bond markets, analysis, and strategies (7th edition) by frank j. fabozzi_2', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | KMIS KKKM W.IHj.MB MSM MIMI BWHSKfl 5BtJ535 BSS 59 K5s s asa _BsbShI SjiSMal I 12 CHAPTER s Factors Affecting Bond Yields and the Term Structure ofinterest Rates EXHIBIT 5-12 Four Shapes That Have Been Observed for the Yield Curve Yield Flat Maturity c EXHIBIT 5-13 Term .Structure Theories Source Frank J. Fabozzi Valuation affixed Income Securities and Derivatives Third Edition New Hope PA Frank J. Fabozzi Associates 1998 p. 53. CHAPTER 5 Factors Affecting Bond Yields and the Term Structure of Interest Rates 113 a given time reflects the market s current expectations of the family of future shortterm rates. Under this view a rising term structure as in part a of Exhibit 5-12 must indicate that the market expects short-term rates to rise throughout the relevant future. Similarly a flat term structure reflects an expectation that future short-term rates will be mostly constant and a falling term structure must reflect an expectation that future short rates will decline steadily. We can illustrate this theory by considering how the expectation of a rising shortterm future rate would affect the behavior of various market participants so as to result in a rising yield curve. Assume an initially flat term structure and suppose that subsequent economic news leads market participants to expect interest rates to rise. 1. Those market participants interested in a long-term investment would not want to buy long-term bonds because they would expect the yield structure to rise sooner or later resulting in a price decline for the bonds and a capital loss on the long-term bonds purchased. Instead they would want to invest in short-term debt obligations until the rise in yield had occurred permitting them to reinvest their funds at the higher yield. 2. Speculators expecting rising rates would anticipate a decline in the price of long-term bonds and therefore would want to sell any long-term bonds they own and possibly to sell-short some they do not now own. Should interest rates .