1. TASAS
Finanzas II - LAE
Alejandro M. SALEVSKY
Pablo M. YLARRI
Juan M. CASCONE
Santiago de LAVALLAZ
Clara LLERENA
Facultad de Ciencias Sociales y Económicas
Universidad Católica Argentina
2. YIELD
CURVE INDICE
1. Noticias
2. Repaso de Tasas
CERCA DEL CLIENTE
3. Ejercicios Tasas
4. Spot & Forward Rates / Yield Curve
2
3. YIELD
CURVE REPASO
1. Interes simple vs. compuesto
2. TNA VS. TEA
CERCA DEL CLIENTE
3. Tasa equivalente
4. Tasa de interés vs. tasa de descuento
5. Tasa nominal vs. Tasa Real
3
4. YIELD
CURVE
1. Interés simple vs. compuesto
7.900
CERCA DEL CLIENTE 7.400
6.900
6.400 $ Capital final
5.900
5.400
4.900
4.400
Interés simple
3.900
3.400 Interés compuesto
Tiempo
2.900
0 1 2 3 4 5 6 7 8 9 10
4
5. YIELD
CURVE
2. TNA vs. TEA
Es la tasa efectiva de una
operación proporcionada al
año. No indica con precisión el
CERCA DEL CLIENTE rendimiento de la operación ya
que no considera el efecto de
la capitalización de intereses.
Es la tasa de retorno que
efectivamente se
obtiene por realizar una
inversión durante un
determinado período
5
6. YIELD
CURVE
3. Tasas Equivalentes
CERCA DEL CLIENTE
=
6
7. YIELD
CURVE
4. Tasa de interés vs. Tasa de descuento
CERCA DEL CLIENTE
7
8. YIELD
CURVE
5. Tasa nominal vs. Tasa Real
CERCA DEL CLIENTE
(1+n) = (1+i) x (1+φ)
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9. YIELD
CURVE
RISK FREE RATE
•Títulos emitidos por el US Department of the Treasury, están
respaldados por el gobierno de USA, por lo que son considerados
por todos como títulos sin riesgo de crédito
•EEUU al ser mayor emisor de deuda en el mundo y dado gran
Generalidades volumen de cada emisión, hacen que el mercado de estos títulos
CERCA DEL CLIENTE sea el más activo y el más líquido del mundo
•Representa el retorno mínimo que un inversor espera por
cualquier inversión (relación riesgo – retorno)
•Hay dos categorías de US Treasury securities: discount
Tipos
(vencimiento a 1 año o menos) y coupon
•Es el rendimiento extra por sobre un bono libre de riesgo. Ej: yield
Risk Premium Bono Tesoro: 8% y bono “X”: 9% => riesgo adicional (spread) 100
basis points
9
10. YIELD
CURVE
2001 / 2003
CERCA DEL CLIENTE
2007 / 2009
10
11. YIELD
CURVE
CERCA DEL CLIENTE
-550 puntos en -450 puntos en
36 meses 18 meses 11
12. YIELD
CURVE
YTM – YIELD TO MATURITY
•Es la tasa de retorno promedio anual que se obtendrá por
una inversión si se la mantiene desde hoy hasta su
Generalidades vencimiento (maturity date)
•Es la tasa de mercado que hace que el flujo de fondos descontado
de un bono sea igual a su precio.
CERCA DEL CLIENTE
•Se tiene un bono con un valor nominal de $100, tasa cupón del
10% (anual) y madurez a 5 años (amortización total a fin del
período). Calcular el precio (valor actual) del bono si
•YTM=10.00%
•YTM=12.00%
Ejemplo •YTM=8.00%
•RTA:
•100.00
•92.79
•107.99
¿Qué relación existe entre la el valor de un bono (inversión), y sus
¿Qué relación existe entre actividad económica de un país
? niveles inflacionarios?
la tasa cupón (tasa pactada) y la YTM (tasa de mercado) en
¿Qué relación existe en un país entre los niveles inflacionarios y los
una economía?
12
13. YIELD
CURVE
SPOT RATE
•Es la YTM del bono discount (zero-coupon). Se expresa en forma
efectiva anual (TEA). Ej: una S2 es la tasa efectiva anual de un
Generalidades bono zero-coupon de dos años de madurez.
•Un bono (inversión) con cupones y/o amortizaciones (pagos)
parciales puede transformarse en un bono zero-coupon
•Calcular la spot rate de un bono zero coupon de madurez 1 año,
CERCA DEL CLIENTE precio actual de 938.58 y valor nominal de 1.000
m0 1
FF Bono $ -938,58 $ 1.000
YTM 6,54%
Ejemplo#1
•Calcular la spot rate de un bono zero coupon de madurez 2 años,
precio actual 857.34 y valor nominal de 1.000
m0 1 2
FF Bono $ -857,34 $ - $ 1.000
YTM 8,00%
Síntetización •Se puede encontrar la tasa spot para más de un año utilizando en
de bonos bonos con cupon tasas spots conocidas para descontar los flujos
cupón anuales previos
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14. YIELD
CURVE
FORWARD RATE
•Es la tasa de interés, fijada hoy, que se pagará por dinero a ser
Generalidades prestado en el futuro y que será devuelto más adelante aún,
en una fecha determinada
MATURITY STRATEGY
S2=[(1+r)^(1/2)]-1
CERCA DEL CLIENTE
m0 2y
1y
S1=[(1+r)^(1/1)]-1 F1-2=[(1+r)^(1/1)]-1
ROLLOVER STRATEGY
En teoría, en condiciones de equilibrio ambas estrategias
deberían generar el mismo rendimiento.
(1+S2)^2 = (1+S1) * (1+f1-2)
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15. YIELD
CURVE
FORWARD RATE
•Se tienen los siguientes bonos emitidos por el gobierno.
Determinar la Spot1, f1-2 y f2-3
Bono mo y1 y2 y3
Ejemplo
A (952.38) 1.000
B (873.44) 0 1.100
CERCA DEL CLIENTE C 1.100
(793.83) 0 0
SPOT
BONO m0 1 2 3 (Anual)
A $ -952,38 $ 1.000 5,00%
B $ -873,44 $ - $ 1.000 7,00%
C $ -793,83 $ - $ - $ 1.000 8,00%
Forward Rate 1-2 (1+S2)^2 = (1+S1) * (1+f1-2)
(1+,07)^2 = (1+0,05) * (1+f1-2)
f1-2 = 0,0903
Forward Rate 2-3 (1+S3)^3 = (1+S1) * (1+f1-2) * (1+f2-3)
(1+,08)^3 = (1+0,05) * (1+0,0903) * (1+f2-3)
f2-3 = 0,1002
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16. YIELD
CURVE
YIELD CURVE
•El gráfico que muestra la relación del retorno (yield) de
bonos con la misma calificación crediticia (bonos del
Tesoro USA), pero con diferentes vencimientos (maturities
Generalidades •La yield curve está armada a partir de observaciones de
precios y retornos en el Treasury market, porque 1) Treasury
securities son libres de default risk 2) al ser el mercado más grande
CERCA DEL CLIENTE y activo, hay pocos problemas de iliquidez
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17. YIELD
CURVE
LAS FORMAS DE LA YIELD CURVE
r r
CERCA DEL CLIENTE
t t
NORMAL INVERTIDA
r r
t t
HUMPED FLAT
•
¿Qué relación existe entre con una recesión en el futuro?
¿Cuál esta asociada la actividad económica de un país y sus
? •
niveles inflacionarios?
¿Con el riesgo asociado al tiempo?
•¿una transición económica?
¿Qué relación existe en un país entre los niveles inflacionarios y los
•¿Qué relación existe entre la pendiente y la brecha de
rendimientos corto/largo plazo?
17
18. YIELD
CURVE
TEORÍA DE LAS EXPECTATIVAS
La forward rate representa la opinión promedio de la futura spot
rate
La única razón para que la pendiente sea positiva es que los
Generalidades inversores esperan que los tasas de corto plazo en el futuro sean
mayores que las actuales
El mercado espera que la spot rate cambie porque la tasa real o la
tasa de inflación va a cambiar
CERCA DEL CLIENTE
(1+S2)^2 = (1+S1) * (1+f1-2)
donde
(1+f1-2) = (1+r) * (1+φ1-2)
•Si un bono zero coupon ofrece a dos años una YTM del 6.00% y
un bono zero coupon ofrece a dos años una YTM del 7.00% ¿cuál
Ejemplo es la forward rate para el año 3?
•Si la tasa real exigida por los inversores para dicha inversión dado
su riesgo es del 4.00%, ¿cuál es la inflación esperada?
18
19. YIELD
CURVE
TEORÍA DE LAS EXPECTATIVAS
• Historically, inversions of the yield curve have preceded
many of the U.S. recessions. Due to this historical
correlation, the yield curve is often seen as an accurate
forecast of the turning points of the business cycle. A
CERCA DEL CLIENTE recent example is when the U.S. Treasury yield curve
inverted in 2000 just before the U.S. equity markets
collapsed. An inverse yield curve predicts lower interest
rates in the future as longer-term bonds are being
demanded, sending the yields down.
19
20. YIELD
CURVE
TEORÍA DE LA PREFERENCIA DE LA LIQUIDEZ
•Parte del supuesto que inversores prefieren inversiones de
corto plazo, por si llegan a necesitar pesos antes.
•Un inversor a 2 años, tal vez prefiera rollover strategy, pues puede
Generalidades obtener $$ a fin año 1. Para invertir a 2 años, el retorno debe
ser mayor
•¿Los prestamistas, pagarán esa mayor tasa por 2 años?
CERCA DEL CLIENTE •Sí, porque se evitan gastos y papeleo
(1+S2)^2 = (1+S1) * (1+f1-2)
donde
(1+f1-2) = (1+r) * (1+φ1-2) * (1+l)
•Spot rate a un año 7.00%. Spot rate a dos años 8.00%. Forward
Ejemplo rate año 1-2 8.60%. Si el mercado se encuentra arbitrado en estos
valores, ¿existe prima de liquidez? Calculela
20
21. YIELD
CURVE
TEORÍA DE LA PREFERENCIA DE LA LIQUIDEZ
La diferencia entre las tasas forwards y las tasas spot
esperadas se debe a la preferencia que tienen los
inversionistas por instrumentos de corto plazo, si la
liquidez influye en la curva de rendimiento, la tasa
CERCA DEL CLIENTE forward sobrestima las expectativas que tiene el
mercado de las tasas futuras de interés.
Una forma más apropiada de estimar la tasa forward sería
tomar en cuenta la prima de liquidez. Incluso con la
existencia de una prima de liquidez, se puede recurrir a
las curvas de rendimientos para interpretar las
expectativas sobre tasas. Una curva de rendimiento
plana indica que el mercado espera una reducción de
las tasas de interés (sin el efecto de la prima de
liquidez).
• -Una pendiente ligeramente ascendente significa que
no se esperan modificaciones de las tasas de interés
porque si se eliminara la prima de liquidez, esta curva
de rendimiento sería plana.
21
22. YIELD
CURVE
TEORÍA DE SEGMENTACIÓN DE LOS MERCADOS
•Los inversores tienen habitats preferidos, (corto o largo
plazo), a los cuales están restringidos por ley, preferencias o
costumbre
•Los bonos corto plazo demandados por bancos. Bonos largo plazo
demandados por fondos de pensión. Cada grupo demanda
diferentes plazos, entonces el mercado se segmenta
CERCA DEL CLIENTE
Generalidades
•Inversores y prestamistas no están dispuestos a cambiar
de un sector a otro para tomar ventaja de oportunidades que surjan
•Las spot rates están determinadas por las condiciones de la
oferta y la demanda de cada mercado
•Una curva con pendiente positiva tiene lugar cuando la
intersección de la oferta y la demanda para fondos a corto plazo
ocurre a menores tasas que para los fondos a largo plazo
La forma de la curva de rendimientos recibe la
influencia sobre la preferencia en vencimientos
de diferentes negociantes de bonos
institucionales.
22
23. YIELD
CURVE
¿CUAL DE ESTAS 3 TEORIAS ES LA CORRECTA?
CERCA DEL CLIENTE
Todas tienen cierta validez. De ella podemos
concluir que, en cualquier punto del tiempo, la
forma de la Yield Curve depende de:
1) Expectativas sobre la Inflación
2) Preferencias de Liquidez
3) Oferta y Demanda de fondos en los segmentos corto y largo del
mercado
Tendremos YC ascendente cuando hay expectativas de mayor inflación,
preferencias de invertir en el Corto Plazo y mayor oferta relativa en el
segmento corto del mercado que en el largo
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24. YIELD
CURVE
UTILIDAD DE LA YIELD CURVE
•Se utiliza para analizar posibilidades de arbitraje entre
ARBITRAJE
distintos securieties (especialmente bonos)
•Securities de misma duration y mismo riesgo deben tener
1 mismo rendimiento
•De caso contrario el mercado arbitra.
CERCA DEL CLIENTE
•La yield curve puede ser entendida como las
PREDICTOR
ECONOMIA
expectativas que tiene el mercado sobre el valor futuro
de las tasas
2
•A niveles de rendimiento real constante, perspectivas
inflacionarias (deflacionarias) elevaran (disminuirán) la
tasa de interés y viceversa.
•
¿Qué relación existe entre la actividad económica de un país país
¿Qué relación existe entre la actividad económica de un y sus
niveles inflacionarios?
y sus niveles inflacionarios?
•
¿Qué relación existe en un país país entre los niveles
¿Qué relación existe en un entre los niveles inflacionarios y los
? costos de financiamiento?
inflacionarios y los costos de financiamiento?
•
¿Un aumento de los US Securities puede tener tener implicancias la
¿Un aumento de los US Securities puede implicancias en el
en el la economía local?
economía local?
•¿Qué variables cree Ud. que pueden ser obtenidas usando
¿Qué variables cree Ud. que pueden ser obtenidas usando como
proxy la YC? la YC?
como proxy
24
25. YIELD
CURVE
YIELD CURVES VS INFLATION (yoy)
CERCA DEL CLIENTE
NORMAL INVERTED
Inflation Rate: 6.44% Inflation Rate: 14.76%
http://www.stockcharts.com/charts/YieldCurve.html
http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1
25
26. YIELD
CURVE
YIELD CURVES VS INFLATION (yoy)
CERCA DEL CLIENTE
NORMAL FLAT
Inflation Rate: 4.60% Inflation Rate: 2.26%
http://www.stockcharts.com/charts/YieldCurve.html
http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1
26
27. YIELD
CURVE
YIELD CURVES VS INFLATION (yoy)
CERCA DEL CLIENTE
STEEP FLAT
Inflation Rate: 2.82% Inflation Rate: 2.54%
http://www.stockcharts.com/charts/YieldCurve.html
http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1
27
28. YIELD
CURVE
YIELD CURVES VS INFLATION (yoy)
CERCA DEL CLIENTE
FLAT STEEP
Inflation Rate: 3.41% Inflation Rate: 1.64%
http://www.stockcharts.com/charts/YieldCurve.html
http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1
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29. YIELD
CURVE
YIELD CURVES VS INFLATION (yoy)
CERCA DEL CLIENTE
FLAT HUMPED
Inflation Rate: 3.17% Inflation Rate: 3.24%
http://www.stockcharts.com/charts/YieldCurve.html
http://inflationdata.com/inflation/inflation_rate/HistoricalInflation.aspx?dsInflation_currentPage=1
29
30. YIELD
CURVE
YIELD CURVE EN ARGENTINA (YTM real)
CERCA DEL CLIENTE
30
31. YIELD
CURVE
YIELD CURVE EN ARGENTINA (YTM real)
CERCA DEL CLIENTE
31
32. YIELD
CURVE
YIELD CURVE ACTUAL EN ARGENTINA (YTM real)
CERCA DEL CLIENTE
32
33. YIELD
CURVE
La siguiente yield curve se obtuvo el pasado 17 de febrero del 2009 según los
rendimientos de los Bonos del Tesoro de los Estados Unidos.
CERCA DEL CLIENTE
Actualmente USA se encuentra en una marcada recesión y no existe aún un
consenso entre los especialistas sobre si el momento del quiebre de
tendencia se dará hacia fines del tercer trimestre del año o dentro del
primero o segundo trimestre del 2010. Sin embargo, la actual curva
presenta una fuerte pendiente positiva lo cual a priori debería indicar
altas expectativas de crecimiento económico. ¿Cómo puede Ud. explicar
esta situación?
33
35. YIELD
CURVE
Yield To matuirity
Yield to maturity (YTM) is the yield promised by the bondholder on the assumption that the bond will be held
to maturity, that all coupon and principal payments will be made and coupon payments are reinvested at
the bond's promised yield at the same rate as invested. It is a measurement of the return of the bond.
This technique in theory allows investors to calculate the fair value of different financial instruments. The
YTM is almost always given in terms of annual effective rate.
The calculation of YTM is identical to the calculation of internal rate of return.
• If a bond's current yield is less than its YTM, then the bond is selling at a discount.
CERCA DEL CLIENTE
• If a bond's current yield is more than its YTM, then the bond is selling at a premium.
• If a bond's current yield is equal to its YTM, then the bond is selling at par.
Risk Free Rate
The theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest an
investor would expect from an absolutely risk-free investment over a specified period of time. In theory,
the risk-free rate is the minimum return an investor expects for any investment because he or she will
not accept additional risk unless the potential rate of return is greater than the risk-free rate.
In practice, however, the risk-free rate does not exist because even the safest investments carry a very
small amount of risk. Thus, the interest rate on a three-month U.S. Treasury bill is often used as the risk-
free rate.
Spot Rate
The yield to maturity of a zero-coupon bond, usually a Treasury bond, which is used as a benchmark for other
bond yields and valuations. Because a zero-coupon bond has no coupon payments, there is no
reinvestment risk and, therefore, the precise yield to maturity of the bond can be known. The
construction of a spot rate Treasury yield curve is used to demonstrate the arbitrage-free relationship
between spot rates and forward rates known as the term structure of interest rates. Spot rates are also
used in the calculation of a zero-volatility spread (Z-spread) used to price certain fixed-income securities.
35
36. YIELD
CURVE
Trying To Predict Interest Rates
Most investors care about future interest rates, but none more than bondholders. If you are considering a bond or bond fund
investment, you must ask yourself whether you think interest rates will rise in the future. If the answer is yes then you
probably want to avoid long-term maturity bonds or at least shorten the average duration of your bond holdings; or
plan to weather the ensuing price decline by holding your bonds and collecting the par value at maturity. (For a review
of the relationships between prevailing interest rates and yield, duration, and other bond aspects, please see the
tutorial Advanced Bonds Concepts.)
The Treasury Yield Curve
In the United States, the Treasury yield curve (or term structure) is the first mover of all domestic interest rates and an
influential factor in setting global rates. Interest rates on all other domestic bond categories rise and fall with
CERCA DEL CLIENTE Treasuries, which are the debt securities issued by the U.S. government. To attract investors, any bond or debt security
that contains greater risk than that of a similar Treasury bond must offer a higher yield. For example, the 30-year
mortgage rate historically runs 1% to 2% above the yield on 30-year Treasury bonds.
Below is a graph of the actual Treasury yield curve as of December 5, 2003. It is considered normal because it slopes
upward with a concave shape:
Consider three elements of this curve. First, it shows nominal interest rates. Inflation will erode the value of future
coupon dollars and principal repayments; the real interest rate is the return after deducting inflation. The curve
therefore combines anticipated inflation and real interest rates. Second, the Federal Reserve directly manipulates only
the short-term interest rate at the very start of the curve. The Fed has three policy tools, but its biggest hammer is the
federal funds rate, which is only a one-day, overnight rate. Third, the rest of the curve is determined by supply and
demand in an auction process.
Sophisticated institutional buyers have their yield requirements which, along with their appetite for government bonds,
determine how these institutional buyers bid for government bonds. Because these buyers have informed opinions on
inflation and interest rates, many consider the yield curve to be a crystal ball that already offers the best available
prediction of future interest rates. If you believe that, you also assume that only unanticipated events (for example, an
unanticipated increase in inflation) will shift the yield curve up or down.
36
37. YIELD Long Rates Tend to Follow Short Rates
CURVE Technically, the Treasury yield curve can change in various ways: it can move up or
down (a parallel shift), become flatter or steeper (a shift in slope), or become more or
less humped in the middle (a change in curvature).
The following chart compares the 10-year Treasury yield (red line) to the one-year
Treasury yield (green line) from June 1976 to December 2003. The spread between the
two rates (blue line) is a simple measure of steepness:
CERCA DEL CLIENTE
Consider two observations. First, the two rates move up and down somewhat together
(the correlation for the period above is about 88%). Therefore, parallel shifts are
common. Second, although long rates directionally follow short rates, they tend to lag
in magnitude. Specifically, when short rates rise, the spread between 10-year and one-
year yields tends to narrow (curve of the spread flattens) and when short rates fall, the
spread widens (curve becomes steeper). In particular, the increase in rates from 1977
to 1981 was accompanied by a flattening and inversion of the curve (negative spread);
the drop in rates from 1990 to 1993 created a steeper curve in the spread, and the
marked drop in rates from March 2000 to the end of 2003 produced a very steep curve
by historical standards.
Supply-Demand Phenomenon
So what moves the yield curve up or down? Well, let's admit we can't do justice to the
complex dynamics of capital flows that interact to produce market interest rates. But
we can keep in mind that the Treasury yield curve reflects the cost of U.S. government
debt and is therefore ultimately a supply-demand phenomenon. (For a refresher on
how increases and decreases in the supply and demand of credit affect interest rates,
see the article Forces Behind Interest Rates.)
37
38. YIELD
CURVE
Supply-Related Factors
Monetary Policy
If the Fed wants to increase the fed funds rate, it supplies more short-term securities in open market operations. The
increase in the supply of short-term securities restricts the money in circulation since borrowers give money to the
Fed. In turn, this decrease in the money supply increases the short-term interest rate because there is less money in
circulation (credit) available for borrowers. By increasing the supply of short-term securities, the Fed is yanking up
the very left end of the curve, and the nearby short-term yields will snap quickly in lockstep.
Can we predict future short-term rates? Well, the expectations theory says that long-term rates embed a prediction
of future short-term rates. But consider the actual December yield curve illustrated above, which is normal but very
CERCA DEL CLIENTE steep. The one-year yield is 1.38% and the two-year yield is 2.06%. If you were going to invest with a two-year time
horizon and if interest rates were going to hold steady, you would, of course, do much better to go straight into
buying the two-year bond (which has a much higher yield) instead of buying the one-year bond and rolling it over
into another one-year bond. Expectations theory, however, says the market is predicting an increase in the short
rate. Therefore, at the end of the year you will be able to roll over into a more favorable one-year rate and be kept
whole relative to the two-year bond, more or less. In other words, expectations theory says that a steep yield curve
predicts higher future short-term rates.
Unfortunately, the pure form of the theory has not performed well: interest rates often remain flat during a normal
(upward sloping) yield curve. Probably the best explanation for this is that, because a longer bond requires you to
endure greater interest rate uncertainty, there is extra yield contained in the two-year bond. If we look at the yield
curve from this point of view, the two-year yield contains two elements: a prediction of the future short-term rate
plus extra yield (i.e., a risk premium) for the uncertainty. So we could say that, while a steeply sloping yield curve
portends an increase in the short-term rate, a gently upward sloping curve, on the other hand, portends no change
in the short-term rate - the upward slope is due only to the extra yield awarded for the uncertainty associated with
longer term bonds.
Because Fed watching is a professional sport, it is not enough to wait for an actual change in the fed funds rate, as
only surprises count. It is important for you, as a bond investor, to try to stay one step ahead of the rate,
anticipating rather than observing its changes. Market participants around the globe carefully scrutinize the wording
of each Fed announcement (and the Fed governors' speeches) in a vigorous attempt to discern future intentions.
Fiscal Policy
When the U.S. government runs a deficit, it borrows money by issuing longer term Treasury bonds to institutional
lenders. The more the government borrows, the more supply of debt it issues. At some point, as the borrowing
increases, the U.S. government must increase the interest rate to induce further lending. However, foreign lenders
will always be happy to hold bonds in the U.S. government: Treasuries are highly liquid and the U.S. has never
defaulted (it actually came close to a default in late 1995, but Robert Rubin, the Treasury secretary at the time,
staved off the threat and has called a Treasury default "unthinkable - something akin to nuclear war"). Still, foreign
lenders can easily look to alternatives like eurobonds and, therefore, they are able to demand a higher interest rate if
the U.S. tries to supply too much of its debt.
38
39. YIELD
CURVE Demand-Related Factors
Inflation
If we assume that borrowers of U.S. debt expect a given real return, then an increase in
expected inflation will increase the nominal interest rate (the nominal yield = real yield +
inflation). Inflation also explains why short-term rates move more rapidly than long-term rates:
when the Fed raises short-term rates, long-term rates increase to reflect the expectation of
higher future short-term rates; however, this increase is mitigated by lower inflation
expectations as higher short-term rates also suggest lower inflation (as the Fed sells/supplies
more short-term Treasuries, it collects money and tightens the money supply):
CERCA DEL CLIENTE
An increase in feds funds (short-term) tends to flatten the curve because the yield curve reflects
nominal interest rates: higher nominal = higher real interest rate + lower inflation.
Fundamental Economics
The factors that create demand for Treasuries include economic growth, competitive
currencies and hedging opportunities. Just remember: anything that increases the demand for
long-term Treasury bonds puts downward pressure on interest rates (higher demand = higher
price = lower yield or interest rates) and less demand for bonds tends to put upward pressure
on interest rates. A stronger U.S. economy tends to make corporate (private) debt more
attractive than government debt, decreasing demand for U.S. debt and raising rates. A weaker
economy, on the other hand, promotes a "flight to quality", increasing the demand for
Treasuries, which creates lower yields. It is sometimes assumed that a strong economy will
automatically prompt the Fed to raise short-term rates, but not necessarily. Only when growth
translates or overheats into higher prices is the Fed likely to raise rates.
In the global economy, Treasury bonds compete with other nations's debt. On the global stage,
Treasuries represent an investment in both the U.S. real interest rates and the dollar. The euro
is a particularly important alternative: for most of 2003, the European Central Bank pegged its
short-term rate at 2%, a more attractive rate than the fed funds rate of 1%.
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40. YIELD
CURVE
Finally, Treasuries play a huge role in the hedging activities of market participants. In
environments of falling interest rates, many holders of mortgage-backed securities, for
instance, have been hedging their prepayment risk by purchasing long-term Treasuries.
These hedging purchases can play a big role in demand, helping to keep rates low, but the
concern is that they may contribute to instability.
Conclusion
We have covered some of the key traditional factors associated with interest rate
movements. On the supply side, monetary policy determines how much government debt
and money are supplied into the economy. On the demand side, inflation expectations are
the key factor. However, we have also discussed other important influences on interest
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rates, including: fiscal policy (that is, how much does the government need to borrow?) and
other demand-related factors such as economic growth and competitive currencies.
Here is a summary chart of the different factors influencing interest rates:
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41. YIELD
CURVE
• 1.- Teoría pura de las expectativas de Fisher. Sostiene que la forma de la curva
se debe exclusivamente a las expectativas de los inversores sobre los tipos de
interés. La curva tipo - plazo tendrá pendiente positiva cuando los inversores
anticipan tipos de interés crecientes, mientras que tendrán pendiente negativa
en el caso contrario.
Los tipos de interés a largo plazo serian un promedio entre el tipo de interés a
corto plazo en el momento actual y los tipos a corto plazo que se esperan en el
CERCA DEL CLIENTE futuro, siendo estos últimos predecibles por los tipos de interés "a plazo" o
"forward" que existen actualmente en los mercados.
• 2. Teoría de la preferencia por la liquidez de Hicks. Mantiene que en un mundo
incierto los inversores tienen aversión al riesgo y por lo tanto, los títulos con
mayor vencimiento incorporan una prima por riesgo, o bien una prima por
perdida de liquidez, que esta incorporada a la rentabilidad. Estas primas
crecientes invalida la teoría de Fisher, ya que los tipos forward implícitos en la
curva serian predictores sesgados de los tipos futuros.
• 3. Teoría de la segmentación de Mercados de Cullberston. Reformulada por
Modigliani - Sutch es también conocida como teoría del hábitat preferido. Estos
autores sostienen que los tipos de interés para un cierto vencimiento
solamente están determinados por la oferta y la demanda de fondos con
vencimientos concretos. Para cada vencimiento existirá un único mercado y los
inversores solamente estarán dispuestos a invertir en aquellos vencimientos
que obtengan significativas diferencias en la rentabilidad obtenida. De esta
forma, seria las presiones institucionales y de inversión, con sus respectivas
preferencias respecto a vencimientos concretos, los que determinan la curva
tipo - plazo.
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