金融市场利率与流量 英文版·第5版2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载

金融市场利率与流量 英文版·第5版PDF格式电子书版下载

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CHAPTER1 The Function of Financial Markets1

Savings-Investment Foundation1

preface1

Efficiency of Financial Markets2

Contents3

Stages of Efficiency3

Financial Assets3

Contents4

Contents4

The Role of Financial Intermediarles5

Contents7

Disintermediatton and Securitization8

Country Efficiency9

Contents9

Financial Innovation9

The Catalyst for Change10

Types of Innovations11

The Implications of Savings11

Degrees of Moneyness13

Interest Rates and Arbitrrage Efficiency14

Selected References15

Summary15

CHAPTER2 The Flow-of -Funds System17

The Structure of the System17

Source and Use Statements18

Sectoring18

The Preparation of a Matrix and Its Use20

Federal Reserve Flow-of-Funds Data21

Credit Flows23

Implications of Analysis25

Summary27

Selected References28

CHAPTER3 Foundations for Interest Rates29

The Interest Rate in an Exchange Economy29

The Individual Choice29

Opumum with Exchange31

Combined Effect33

Market Equihbrium35

Behavtor of Indyvidual Economic Units39

Intere Rates in a World with Risk39

Utility for Financtal Assets40

Utility for Other Assets42

Utility for Financtal Liabtlities42

Market Equlibrium43

Maximizing Utility for the Economic Unit44

The Action of All Economic Units45

Summary46

Appendix:The Equilibrium Prices of Financial Assets47

Market Equihbrium:Two Economic Units50

Market Equihbrium:Multiple Financial Assets51

Selected References53

CHAPTER4 Prices and Yields for Bonds and Money Market Instruments55

Review of Present Values55

Annuittes56

Present Value When Interest It Compounded More Than Once a Year56

Continuous Compounding57

The Price of a Bond57

Price When Next Coupon Payment Is Less Than Six Months Away58

Yield Calculations for Bonds60

Zero-Coupon Bonds60

Imphcu Remvestment Rate Assumption61

Current Yield61

Holding Period Return61

Yield for Perpetuities62

Yield-to-Maturity for Zero-Coupon Bonds62

Money Market Instrument Returns63

Bank Discount Rate63

Implications64

Summary64

Selected References65

CHAPTER5 Inflation and Returns66

The Historical Record in Brief66

The Nature of Inflation Premiums69

Unantycipated Inflation70

The Fisher Effect72

Nominal Interest Rates and Inflation,Theoretically73

Empirical Evidence on Nominal Interest Rates74

Problems in Empirical Testing74

Testing for the Effect of Inflation75

The Fisher Effect More Directly77

A Summing UP77

Nominal Contractiong Effects77

Depreciation78

Inventories78

Debtor-Creditor Claims78

Empirical Testing79

The Mechanics79

Inflation Indexed Bonds79

Corporate Value79

Other Aspects80

Summary80

selected References81

Definition of Term Structure83

The Pure Expectations Theory84

Forward Rates of Interest85

Substitutability of Maturities86

Technical Problems87

Arbytrage and Market Efficiency88

Uncertainty and Term Premiums89

Market Segmentation90

Cox-Ingersoll-Ross Theory92

General Equilibrium Notions92

Term Structure Implications92

Other Models of the Term Structure93

Multifactor Models94

Lattice-Type Models95

Summary97

Empirical Evidence97

Selected References98

The Coupon Effect101

CHAPTER7 Price Volatility,Coupon Rate,and Maturity101

Sensittvity of Prtce to Various Properties102

The Duration Measure and Its Changing Behavior103

Relationship between Duration and Maturity105

Relationship between Duration and Coupon Payment106

Relationship between Duration andChanges in Interest Rates106

Volatiluy Duration108

Modified Duration Formula109

Convexity109

The Convexity Measure110

Illustration of Price-Change Estimates Using Modified Duration and Convexity111

Further Observations on Convexity112

Immunization of Bond Portfolios113

Immunization with Coupon Issues114

An Illustration114

Mapping the Stochastic Piocess116

Fisher-Well Duration116

Testing for Immumzation Effectiveness117

Equilibration between Coupon and Noncoupon Bond Markets118

Additional Immunization Considerations118

Coupon Stipping119

Term Structure of Pure Distount Bonds120

Arbitrage Efficiency between the Markets120

Summary122

Selected References123

CHAPTER8 The Default-Risk Structure of Interest Rates125

Promised,Realized,and Expected Rates125

Distribution of Possible Returns126

Empirical Evidence on Default Losses128

Credit Ratings and Risk Premiums131

Some Studies of Bond Ratings132

Cyclical Behavior of Risk Premiums133

The Market Segmentation Effect135

Issuers and Use in Acquisitions137

Speculative-Grade(Junk)Bonds137

Risk versur Return138

Event Risk139

Empirlcar Evidence141

Risk Structure and the Term Structure141

Summary143

Selected References144

CHAPTER9 Derivative Securities:Interest-Rate Futures146

Introduction to Contract146

Features of Futures Markets148

Margin Requtrements148

Money Market Instruments148

Marking-to-Market and Pryce Movements149

Longer-Term Instruments149

Quality Delivery Options149

Hedging and Speculation151

Some Hedging Fundamentals151

Long Hedges152

Futures and Spot Prices152

Hedge Ratios154

Short Hedges155

Basis Risk155

More on Basis Risk156

Sources of Basis Risk158

Market Efficiency158

Possible Reasons for Deviation of Forward and Futures Rates159

Summary160

Selected References161

CHAPTER10 Derivative Securities:Options163

Option Valuation163

Expiration Date Value of an Option164

Valuation Prior to Expiration165

Black-Scholes Option Model169

Debt Options172

Features of Futures Options172

Use of Debt Options173

Caps,Floors,and Collars174

Valuation of Debt Options175

Yield Curve Options177

Conversion Price/Ratio179

Debt Plus Option Charateristic179

Convertible Securities179

Value of Convertible Securities180

Premiums181

Summary183

Other Reasons for Premiums183

AppendixA:Put-Call Parity184

AppendixB:Application of Option Pricing Concepts to Valuing Convertible Securities186

Selected References190

CHAPTER11 Derivative Securities:Swaps192

Swap Features192

An Illustration193

Valuation Issues194

Comparative Advantage194

Completing Markets195

Default Risk195

Skirting Tax Laws and Regulations196

Credit Risk,Maturity,and Systemic Risk197

Swap Valuation:A Summing UP197

Default Provisions198

Value at Risk199

Secondary Market Values200

Swaptions201

Summary201

Selected References202

CHAPTER12 Embedded Options and Option-Adjusted Spreads203

Option-Adjusted Spreads203

The Basic Methodology204

An Illustration204

Some Caveats205

The Nature of the Call Feature205

Forms of the Provision206

Redemption versus Callabiln207

Putable Bonds207

The Call Feature's Valuation208

Interest-Rate Expectations209

The Call Feature and Convexity210

Valuation in an Option Pricing Context211

Empirical Evidence on Call Valuation212

The Sinking Fund212

Characteristics of the Provision213

Value of the Sinking Fund214

Summary215

Mortgage Pass-Through Security215

Empirical Evidence215

Selected References216

CHAPTER13 Mortgeage Securities and Prepayment Risk217

Some Features of Mortgages217

Agency Pass-Throughs218

Nonagency Pass-Throughs219

Mortgage Derivatives219

Collateralized Mortgage Obligations(CMOs)220

Planned Amortization Class(PAC)and Targeted Amortization Class(TAC)Securities221

Stripped Mortgage-Backed Securities221

Floaters and Inverse Floaters221

Prepayment Option and Its Valuation222

Prepayment abd Convexity222

Measures of Prepayment223

Coupon Rate and Age224

Additional Factors Explaining Prepayment225

Modeling Prepayment Experience226

Option-Adjusted Spread Approach227

Planned Amortization Class securities227

Prepayment Behavior of Certain Derivatives227

Interest Only(IOs),Principal Only(POs),and Residual Class Securities228

Other Asset-Backed Securities230

Summary230

Selected References231

Risk and Return from Foreign Investment233

CHAPTER14 Controlling Currency Risk233

Exchange Rate Risk Management234

Forward Exchange Market235

Illustration of Spot and Forward Exchange Rates236

A Single European Currency(Euro)236

Underlying Relationships238

The Law of One Price238

Purchasing Power Parity238

Interest-Rate Parity240

Interest-Rate Parity Approximation242

Covered Interest Arbitrage242

Empirical Evidence Concerning Interest-Rate Parity(IRP)243

Other Ways to Shift Risk244

Currency Futures244

Currency Options244

Currency Swaps245

Currency/Interest-Rate Swaps246

Valuation Implications246

The Cost of Currency Hedging248

A Free Lunch?248

The Amount to Hedge248

Black's Universal Hedging249

Closing Thoughts249

Some Institutional Characteristics250

Euro and Foreign Bonds250

Currency-Option and Multiple-Currency Bonds250

Summary251

Selected References252

CHAPTER15 The Influence of Taxes254

Original Issue Discount(OID)Bonds255

Tax Treatment of Capital Gains255

Capital Gains Treatment for Taxable Coupon Bonds256

The De Minimis Rule257

Capital Gains Treatment for Municipal Bonds257

Tax Timing Options257

Municipal Bonds and the Taxation of Interest Income258

Taxable Versus Tax-Exempt Yields259

Value of the Tax Exemption Feature261

Variation of Implied Tax Rate262

Implied Tax Rate and Maturity263

The Effect of Tax Reform and Supply263

Preferred-Stock Tax Effects264

Stralght Preferred-Stock Investments264

Auction-Rate Preferred Stock265

Summary266

Selected References266

CHAPTER16 The Social Allocation of capital268

The Issues Involved268

Ceilings on Borrowing Costs269

The Effect of Usury Laws270

The Negatives of Interest-Rate Ceilings271

Government Guarantees and Insurance272

The Transfer of Underlying Risk273

Option-Pricing Valuation274

Interest-Rate Subsidies274

The Effect of the Dubsidy274

Effectiveness of the Subsidy275

Financial Intermediation Through Borrowing and Relending276

The Situation Illustrated277

Regulations Affecting Investor and Borrower Behavior278

The Effect of Government Intermediation278

The Effectiveness of This Approach279

The Costs to Society279

Qualification for Tax-Exempt Financing280

Benefits,Costs,and Externalities281

Policy Implications281

Summary283

Selected References284

Index285