“市场进款比值预期与远期进款比值“

> 本地 > 作者:locoy 2020-03-15 11:04 编辑:周建平
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  著:Antti Ilmanen 译:徐瑞龙

  市场进款比值预期与远期进款比值

  小伸

  Our recent report Overview of Forward Rate Analysis introduced a series on the theme Understanding the Yield Curve. It argued that three main forces determine the term structure of forward rates: the market's rate expectations; required bond risk premia; and the convexity bias. Separate reports discuss each of these forces. This report focuses on the impact of the market's rate expectations on the yield curve shape.

  我们近日到的报告《远期进款比值剖析概述》伸出产了《了松进款比值曲线》系列的本题。叁个首要要斋决议远期进款比值的限期构造:市场的进款比值预期、债券风险溢价和穹隆度偏袒,此雕刻些要斋将由孤立的报告讨论。本报告重心关怀市场进款比值预期对进款比值曲线外面形的影响。

  The impact of rate expectations on today's yield curve shape is best isolated by assuming that the pure expectations hypothesis holds. According to this hypothesis, all government bonds have the same near-term expected return (that is, all bond risk premia are zero). If the near-term expected returns are equal across maturities, initial yield differences must offset any expected capital gains or losses that are caused by the market's rate expectations. For example, if the market expects rates to rise and the long-term bonds to suffer capital losses, these bonds must have an initial yield advantage over the one-period bond (to offset the expected capital losses). Therefore, expectations of rising rates tend to make today's yield curve upward sloping. Conversely, expectations of declining future rates tend to make today's yield curve inverted. In a similar way, the market's expectations of future curve flattening or steepening influence the curvature of today's yield curve.

  要说皓进款比值预期对以后进款比值曲线外面形的影响最好假定完整顿预期假说成立。根据此雕刻个假说,所拥有内阁债券具拥有相反的近期预期报还(即所拥有债券风险溢价为洞)。假设不一限期债券的近期预期报还相当,这么初始进款比值差异必须顶消由市场进款比值预期形成的任何预期本钱损更加。比如,假设市场预期进款比值上升,临时债券遭受本钱损违反,此雕刻些债券必须比壹(年)期债券具拥有初始进款比值优势(以顶消预期的本钱损违反)。故此,对进款比值上升的预期日日会使以后的进款比值曲线向上倾歪。相反,对不到来进款比值下投降的预期日日使以后的进款比值曲线倒腾挂。异样的逻辑,市场对不到来曲线变平或变陡的预期影响以后进款比值曲线的曲比值。

  We emphasize the distinction between the statements "the forwards imply rising spot rates" and "the market expects rising spot rates". The first statement is related to the forward rates' role as break-even levels of future spot rates. By construction, the spot rate changes that the forwards imply for the next period are such rate changes that would make all government bonds earn the same one-period return. Whenever the spot rate curve is upward sloping, the forwards imply rising rates. That is, rising rates are needed to offset long-term bonds' yield advantage. However, it does not necessarily follow that the market expects rising rates. An upward-sloping spot rate curve also may reflect higher near-term required returns for long-term bonds than for the riskless one-period bond (so-called positive bond risk premia). The changes in spot rates that the forwards imply would be approximately equal to the expected spot rate changes only if the restrictive pure expectations hypothesis were true.

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