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利率期限结构与利率模型

于 2022-08-06 发布 文件大小:15.38 kB
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利率期限结构与利率模型 利率的期限结构理论由于存在着期限长短不同,多种种类的债券,资金的时间价值的存在。从而不同偿还期的债券所要求的收益率是不同的。利率的期限结构是描述利率及收益率的高低与时间的关系的理论。可以用来解释利率的期限结构的理论有:合理预期理论,流动性偏好理论与市场分割理论,习惯偏好理论。纯粹的合理预期理论:认为金融市场的参与者决定证券的收益率,以至于持有N期的债券的收益等于持有一个一年期债券N年所获得的收益。也就是说长期债券的利率实际上是对持有一系列短期债券利率的预期的平均值。而且作为债券持有者对短期债券或长期债券并无特别偏好,而几个类债券是完全可以替代的。流动性偏好理论:认为利率反应了短期利率与预期短期利率的总和,正如合理预期理论加上流动性风险溢价。因为随着时间的延长,不确定性会增加,投资者更偏爱短期债券,而融资者更偏爱长期债券,以确保资金的供应,投资者可以获得流动性补偿,从而借出长期资金。而投资于短期债券,则

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