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5-1Copyright©2001byHarcourt,Inc.Allrightsreserved.CHAPTER5TheFinancialEnvironment:Markets,Institutions,andInterestRates◼Financialmar

kets◼Typesoffinancialinstitutions◼Determinantsofinterestrates◼Yieldcurves5-2Copyright©2001byHarcourt,Inc.Allright

sreserved.DefineTheseMarkets◼Marketsingeneral◼Physicalassets◼Financialassets◼Moneyvs.Capital◼Primaryvs.Secondary◼Spotvs

.Future5-3Copyright©2001byHarcourt,Inc.Allrightsreserved.◼Directtransfer◼Investmentbankinghouse◼Fina

ncialintermediaryThreePrimaryWaysCapitalIsTransferredBetweenSaversandBorrowers5-4Copyright©2001byHarcourt,Inc.Allrightsreserved.BankNameCoun

tryTotalassetsDeutscheBankAGGermany$735billionUBSGroupSwitzerland$687billionCitigroupUnitedStates$669billionBankofAmericaU

nitedStates$618billionBankofTokyoJapan$580billionTheTop5BankingCompaniesintheWorld,19995-5Copyright©2001byHarcourt,Inc.Allright

sreserved.PhysicalLocationStockExchangesvs.ElectronicDealer-BasedMarkets◼Auctionmarketvs.Dealermarket(Exchangesvs.OTC)◼NYSEvs.Nasd

aqsystem◼Differencesarenarrowing5-6Copyright©2001byHarcourt,Inc.Allrightsreserved.◼Whatdowecalltheprice,orcost,ofdebtcapital?Th

einterestrate◼Whatdowecalltheprice,orcost,ofequitycapital?RequiredDividendCapitalreturnyieldgain=+5-7Copyright©2001byHarcourt,Inc.Al

lrightsreserved.Whatfourfactorsaffectthecostofmoney?◼Productionopportunities◼Timepreferencesforconsumption◼Risk◼Expectedinflation5-8Copyright©

2001byHarcourt,Inc.Allrightsreserved.“Real”Versus“Nominal”Ratesk*=Realrisk-freerate.T-bondrateifnoinflation;1%to4%.=

Anynominalrate.=RateonTreasurysecurities.kkRF5-9Copyright©2001byHarcourt,Inc.Allrightsreserved.k=k*+IP+

DRP+LP+MRP.Here:k=requiredrateofreturnonadebtsecurity.k*=realrisk-freerate.IP=inflationpremium.DRP=defaultriskpre

mium.LP=liquiditypremium.MRP=maturityriskpremium.5-10Copyright©2001byHarcourt,Inc.Allrightsreserved.PremiumsAddedtok*forDiffer

entTypesofDebt◼S-TTreasury:onlyIPforS-Tinflation◼L-TTreasury:IPforL-Tinflation,MRP◼S-Tcorporate:S-TIP,DRP,LP◼L-Tcorp

orate:IP,DRP,MRP,LP5-11Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatisthe“termstructureofinterestrates”?Whatisa“yi

eldcurve”?◼Termstructure:therelationshipbetweeninterestrates(oryields)andmaturities.◼Agraphofthetermst

ructureiscalledtheyieldcurve.5-12Copyright©2001byHarcourt,Inc.Allrightsreserved.TreasuryYieldCurve051015102030YearstoMatur

ityInterestRate(%)1yr5.2%5yr5.8%10yr5.9%30yr6.0%YieldCurve(August1999)5-13Copyright©2001byHarcourt,Inc.Allrightsreserved.YieldCurveConstructionSt

ep1:FindtheaverageexpectedinflationrateoverYears1ton:IPn=.=n1ttINFLn5-14Copyright©2001byHarcourt,Inc.Al

lrightsreserved.Suppose,thatinflationisexpectedtobe5%nextyear,6%thefollowingyear,and8%thereafter.IP1=5%/

1.0=5.00%.IP10=[5+6+8(8)]/10=7.50%.IP20=[5+6+8(18)]/20=7.75%.MustearntheseIPstobreakevenvs.inflation;theseIPswouldpermityoutoearnk*(be

foretaxes).5-15Copyright©2001byHarcourt,Inc.Allrightsreserved.Step2:FindMRPBasedonThisEquation:MRPt=0.1%(t–1).MRP1=0.1%x0=0.0%.MRP10=0.1%x9

=0.9%.MRP20=0.1%x19=1.9%.5-16Copyright©2001byHarcourt,Inc.Allrightsreserved.Step3:AddtheIPsandMRPstok*:kRFt=k*+IPt+MRPt.kR

F=Quotedmarketinterestrateontreasurysecurities.Assumek*=3%:kRF1=3.0%+5.0%+0.0%=8.0%.kRF10=3.0%+7.5%+0.9%=11.4%.kRF20=3.00%+7.75%+1.90%=12.65%.5

-17Copyright©2001byHarcourt,Inc.Allrightsreserved.HypotheticalTreasuryYieldCurve05101511020YearstoMa

turityInterestRate(%)1yr8.0%10yr11.4%20yr12.65%Realrisk-freerateInflationpremiumMaturityriskpremium5-18Copyright©2001byHarcourt,In

c.Allrightsreserved.Whatfactorscanexplaintheshapeofthisyieldcurve?◼Thisconstructedyieldcurveisupwardsloping.

◼Thisisduetoincreasingexpectedinflationandanincreasingmaturityriskpremium.5-19Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatkindofrelationshipe

xistsbetweentheTreasuryyieldcurveandtheyieldcurvesforcorporateissues?◼CorporateyieldcurvesarehigherthanthatoftheTreasurybond.How

ever,corporateyieldcurvesarenotneces-sarilyparalleltotheTreasurycurve.◼ThespreadbetweenacorporateyieldcurveandtheTreasurycurvewidensasthecorp

oratebondratingdecreases.5-20Copyright©2001byHarcourt,Inc.Allrightsreserved.HypotheticalTreasuryandCorporateYieldCurves0510150151015

20YearstomaturityInterestRate(%)5.2%5.9%6.0%TreasuryyieldcurveBB-RatedAAA-Rated5-21Copyright©2001byHarcourt,Inc.Al

lrightsreserved.HowdoesthevolumeofcorporatebondissuescomparetothatofTreasurysecurities?Recently,thevolumeofinvestmentgradeco

rporatebondissueshasovertakenTreasuryissues.‘95‘96‘97‘98‘99600450300150GrossU.S.TreasuryIssuance(inblue)In

vestmentGradeCorporateBondIssuance(inred)Billionsofdollars5-22Copyright©2001byHarcourt,Inc.Allrightsreserved.ThePureExpectationsHypothes

is(PEH)◼Shapeoftheyieldcurvedependsontheinvestors’expectationsaboutfutureinterestrates.◼Ifinterestratesareexpectedtoincrease,L-Trateswillbehighertha

nS-Tratesandviceversa.Thus,theyieldcurvecanslopeupordown.5-23Copyright©2001byHarcourt,Inc.Allrightsreserved.◼PEHassumesthatMRP=0.◼Long-termrates

areanaverageofcurrentandfutureshort-termrates.◼IfPEHiscorrect,youcanusetheyieldcurveto“backout”expectedfutureinterestrates.5-24Copyright©2001byHarc

ourt,Inc.Allrightsreserved.ObservedTreasuryRatesMaturity1year2years3years4years5yearsYield6.0%6.2%6.4%6.5%6.5%IfPEHholds,whatdoesth

emarketexpectwillbetheinterestrateonone-yearsecurities,oneyearfromnow?Three-yearsecurities,twoyearsfromno

w?5-25Copyright©2001byHarcourt,Inc.Allrightsreserved.01256.0%34x%6.2%PEHtellsusthatone-yearsecuritieswillyield6.4%,oneyearfromnow(x%).

6.2%=12.4%=6.0+x%6.4%=x%.(6.0%+x%)25-26Copyright©2001byHarcourt,Inc.Allrightsreserved.01256.2%34x%6.5%[2(6

.2%)+3(x%)]5PEHtellsusthatthree-yearsecuritieswillyield6.7%,twoyearsfromnow(x%).6.5%=32.5%=12.4%+3(x%)20.1%=3(x%)6.7%=x%.5-27Copyright©2001byHarc

ourt,Inc.Allrightsreserved.◼SomearguethatthePEHisn’tcorrect,becausesecuritiesofdifferentmaturitieshavedifferentrisk.◼Generalview(supportedby

mostevidence)isthatlenderspreferS-Tsecurities,andviewL-Tsecuritiesasriskier.◼Thus,investorsdemandaMRPtogetth

emtoholdL-Tsecurities(i.e.,MRP>0).ConclusionsaboutPEH5-28Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatvarioustypesofrisksarisewh

eninvestingoverseas?Countryrisk:Arisesfrominvestingordoingbusinessinaparticularcountry.Itdependsonthecountry’seconomic,politic

al,andsocialenvironment.Exchangeraterisk:Ifinvestmentisdenominatedinacurrencyotherthanthedollar,theinvestment’svalu

ewilldependonwhathappenstoexchangerate.5-29Copyright©2001byHarcourt,Inc.Allrightsreserved.TwoFactorsLeadtoExchangeRateFluctuations1.Chan

gesinrelativeinflationwillleadtochangesinexchangerates.2.Anincreaseincountryriskwillalsocausethatcountry’scurrencytofall.