Академический Документы
Профессиональный Документы
Культура Документы
m
Cost of Money
6 Production opportunities
6 Time preferences for consumption
6 Risk
6 Expected inflation
Here:
k = Required rate of return on a
debt security.
k* = Real risk-free rate.
IP = Inflation premium.
DRP = Default risk premium.
LP = Liquidity premium.
MRP = Maturity risk premium.
6 ST Treasury:
kt = k* + IPt
6 LT Treasury:
kt = k* + IPt + MRPt
6 ST corporate:
kCt = k* + IPt + DRP+ LP
6 LT corporate:
kCt = k* + IPt + DRP+ LP + MRP
Interest 1 yr 6.3%
Rate (%) 5 yr 6.7%
15
10 yr 6.5%
30 yr 6.2%
10 Yield Curve
(May 2000)
5
0 Years to Maturity
10 20 30
Interest Rates
erm to maturity ar h 1 80 August 1 ebruary 2000
m m
m
m
m
m
m
m
Interest
Rate (%) 1 yr .0%
15 Maturity risk premium 10 yr 11.4%
20 yr 12.65%
10 Inflation premium
Interest
Rate (%)
15
BB-Rated
10
AAA-Rated
Treasury
6.0%
5 5.9% yield curve
5.2%
Years to
0
maturity
0 1 5 10 15 20
Copyright © 2010, Prepared by Amyn Wahid. All rights reserved. ?
Example of Yield Curves
½
Yield
Curve