著：Antti Ilmanen 译：徐瑞龙
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.
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.
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.