Lecture Money and capital markets: Chapter 9 – Peter S. Rose, Milton H.Marquis - TRƯỜNG CÁN BỘ QUẢN LÝ GIÁO DỤC THÀNH PHỐ HỒ CHÍ MINH
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Chapter 9
Interest Rate Forecasting
&
Hedging:
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<i>McGrawHill/Irwin</i>
<i>Money and Capital Markets, 9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
LearningObjectives
ã <sub>Tounderstandwhyfinancialanalyststodayusuallychoose</sub>
hedging(protecting)againstlossesfromchanginginterest
ratesandassetpricesratherthanattemptingtoforecastinterest
ratesorthepricesoffinancialassets.
ã <sub>Toexamineseveralpopularhedgingtools,includinginterest</sub>
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<i>McGrawưHill/Irwin</i>
<i>MoneyandCapitalMarkets,9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
Introduction
ã <sub>Foractivelytradedassets,demandandsupplyforcesare</sub>
continuallyshifting,suchthatinvestorsinterestedinthese
assetsmustconstantlystayabreastofthelatestdevelopments.
ã <sub>Itisthusnowonderthataccurateinterestưrateandassetưprice</sub>
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<i>McGrawưHill/Irwin</i>
<i>MoneyandCapitalMarkets,9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
InterestưRateandAssetưPrice
Forecasting
ã <sub>Thereare,however,afewpredictableaspectstointerestưrate</sub>
andassetưpricemovements.
ã Tounderstandthesefewregularitiesandhowthefinancial
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<i>McGrawưHill/Irwin</i>
<i>MoneyandCapitalMarkets,9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
InterestưRateandAssetưPrice
Forecasting
ã <sub>Interestratestendtofall(anddebtsecuritypricesrise)during</sub>
abusinessrecession,andrise(anddebtsecuritypricesfall)
duringaneconomicexpansion.
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<i>McGrawưHill/Irwin</i>
<i>MoneyandCapitalMarkets,9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
InterestưRateandAssetưPrice
Forecasting
ã <sub>Ingeneral,shortưterminterestratestendtobemoresensitive</sub>
tobusinesscyclechangesthanlongưterminterestrateson
bondsandothercapitalmarketsecurities.
ã <sub>Ontheotherhand,longưtermassetpricestendtobemore</sub>
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9ư9
<i>McGrawưHill/Irwin</i>
<i>MoneyandCapitalMarkets,9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
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<i>McGrawưHill/Irwin</i>
<i>MoneyandCapitalMarkets,9/e</i> <i>â2006TheMcGrawưHillCompanies,Inc.,AllRightsReserved.</i>
InterestưRateandAssetưPrice
Forecasting
ã <sub>Thereisevidencethatinterestratesalsodisplay</sub><i><sub>seasonality</sub></i><sub>,</sub>
tendingtobehigheratsometimesoftheyearthanatothers.
ã Forexample,someshortưtermratestendtorisethrough
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