第5章 利率史与风险溢价 History of Interest rates and risk premiums
5-1 第 5 章 利率史与风险溢价 History of Interest Rates and Risk Premiums
利率史与风险溢价 History of Interest rates and risk Premiums 51利率水平的确定方式 52风险和风险溢价 53历史记录 54真实风险与名义风险 55收益分布和风险价值 56关于历史记录的全球观点 5.7长期预测
5-2 5.1 利率水平的确定方式 5.2 风险和风险溢价 5.3 历史记录 5.4 真实风险与名义风险 5.5 收益分布和风险价值 5.6 关于历史记录的全球观点 5.7 长期预测 利率史与风险溢价 History of Interest Rates and Risk Premiums
影响利率的因素 Factors Influencing Rates 资金供给 Supply 居民 Househo|ds ■资金需求 Demand 企业 Businesses ■政府净供给或净需求 Government's Net Supply and/or Demand 联邦储备银行运作 Federal reserve Actions
5-3 影响利率的因素 Factors Influencing Rates 资金供给 Supply –居民 Households 资金需求 Demand –企业 Businesses 政府净供给或净需求 Government’s Net Supply and/or Demand –联邦储备银行运作 Federal Reserve Actions
利率水平 Level of interest rates 利率 Interest rates 供给 Supply ■■■■■■■■■■鲁■■暑 Demand需 求 Qo Q Funds资金
5-4 Q0 Q1 r0 r1 Funds 资金 利率Interest Rates 供给Supply Demand 需 求 Q0 Q1 r0 r1 利率水平 Level of Interest Rates
真实利率与名义利率 Real ys nominal rates 费雪效应:近似 Fisher effect: Approximation 名义利率=真实利率+通货膨胀率 nominal rate real rate t inflation premium R=r+i or r=r 例如 Example r=3%,i=6% R=9%=3%+6%or3%≡9%-6% 费雪效应:严格 Fisher effect: Exact r=(R-1)/(1+) 283%=(9%-6%)/(1.06) 5-5
5-5 费雪效应: 近似 Fisher effect: Approximation 名义利率 =真实利率+通货膨胀率 nominal rate = real rate + inflation premium R = r + i or r = R - i 例如 Example r = 3%, i = 6% R = 9% = 3% + 6% or 3% = 9% - 6% 费雪效应: 严格 Fisher effect: Exact r = (R - i) / (1 + i) 2.83% = (9%-6%) / (1.06) 真实利率与名义利率 Real vs. Nominal Rates
真实利率与名义利率 Real ys nominal rates 例如,如果一年期储蓄存单的利率为8%,预 期下一年的通胀率为5%,利用近似公式可以 得到真实利率为 r=8%-5%=3%, 利用精确公式可以计算出真实利率为 r=(0.08-0.05)/(1+0.05)=0.028即286%。 由此可以看到,近似公式得出的真实利率高估 了14个基点(0.14%),通胀率较小或计算 连续复利情形时,近似公式较为准确 5-6
5-6 例如，如果一年期储蓄存单的利率为 8%，预 期下一年的通胀率为 5%，利用近似公式可以 得到真实利率为 r ＝ 8 % - 5 % ＝ 3 % ， 利用精确公式可以计算出真实利率为 r = (0.08 - 0.05)/(1+0.05)= 0.028 即2.86%。 由此可以看到，近似公式得出的真实利率高估 了 14个基点（ 0.14%），通胀率较小或计算 连续复利情形时，近似公式较为准确。 真实利率与名义利率 Real vs. Nominal Rates
利息收益:单周期 Rates of Return: Single Period HPR- PI-Po+Di 0 HPR=持有期收益率 Holding period return P0=期初价 Beginning price 期末价 Ending price D1=周期1的现金红利 Dividend during period one 5-7
5-7 P P P D HPR 0 1 − 0 + 1 = HPR = 持有期收益率Holding Period Return P0 = 期初价Beginning price P1 = 期末价Ending price D1 = 周期1的现金红利Dividend during period one 利息收益:单周期 Rates of Return: Single Period
利息收益:单周期举例 Rates of return Single Period Example 期末价 Ending Price= 48 期初价 Beginning Price 40 红利 Dividend 持有期收益率HPR=(48-40+2)(40)=25% 5-8
5-8 期末价 Ending Price = 48 期初价 Beginning Price = 40 红利 Dividend = 2 持有期收益率HPR = (48 - 40 + 2 )/ (40) = 25% 利息收益:单周期举例 Rates of Return: Single Period Example
方差或期望收益偏差的计算 Measuring Variance or Dispersion of Returns 例如,假定你有一笔钱用于投资,你把它们都投资于银行储 萱帐户和股票指数基金。指数基金每股价格为100美元,持 有期为 红利收高率每美元红利收人)为4%n的总接有收 益率 金 假定最好情形下你预期每股价格为110美元,那么持有期收 益为14%,持有期收益具体是指基金资本收益加上红利收益, 时间基点为期初 HPR=(股票期末价格-期初价格十现金红利)期初价格 本例中 110美元-100美元+4美 HPR= 0.14或14% 100美元 5-9
5-9 方差或期望收益偏差的计算 Measuring Variance or Dispersion of Returns 例如，假定你有一笔钱用于投资，你把它们都投资于银行储 蓄帐户和股票指数基金。指数基金每股价格为100 美元，持 有期为一年，你对年现金红利的要求为4美元， 所以你的期 望红利收益率（每美元红利收入）为4%。 你的总持有期收 益率（ HPR）取决于你对从现在起一年的基金价格的预期， 假定最好情形下你预期每股价格为110美元，那么持有期收 益为 14%，持有期收益具体是指基金资本收益加上红利收益， 时间基点为期初。 HPR＝ (股票期末价格-期初价格＋现金红利)/ 期初价格 本例中 110美元-100美元＋4美元 HPR＝ ＝0.14或14% 100美元
方差或期望收益偏差的计算 Measuring Variance or Dispersion of Returns For example, suppose you are considering investing some of your money, now all invested in a bank account in a stock market index fund The price of a share in the fund is currently $100, and your time horizon is one year. You expect the cash dividend during the year to be $4, so our expected dividend yield dividends earned per dollar invested)is 4%. Your total holding-period return(hPr)will depend on the expect to prevail one year from now. Suppose your best guess is that it will be $110 per share. Then your capital gain will be $10 and your HPR will be 14%. The definition of the holding-period return in this context is capital gain income plus dividend income per dollar invested in the stock at the start of the period HPR=(Ending price Beginning price Cash dividend)/ Beginning price In our case we have HPR=(110-100+4)/100=0.14(OR14%) 5-10
5-10 方差或期望收益偏差的计算 Measuring Variance or Dispersion of Returns For example, suppose you are considering investing some of your money, now all invested in a bank account, in a stock market index fund. The price of a share in the fund is currently $100, and your time horizon is one year. You expect the cash dividend during the year to be $4, so your expected dividend yield (dividends earned per dollar invested) is 4%. Your total holding-period return (HPR) will depend on the price you expect to prevail one year from now. Suppose your best guess is that it will be $110 per share. Then your capital gain will be $10 and your HPR will be 14%. The definition of the holding-period return in this context is capital gain income plus dividend income per dollar invested in the stock at the start of the period: HPR= (Ending price - Beginning price + Cash dividend) / Beginning price In our case we have HPR = (110-100＋4)/100=0.14 (OR 14%)