Make up the fiscal deficit 弥补财政赤字 Raise funds 筹集资金 Carry out Macro economic policy 实施宏观经 济政策 Tool of macro-control 宏观调控的工具
3、Characteristics of Govt.Bonds
Research Contents
投资学研究如何把个人、机构的有限资源 分配到诸如股票、国债、不动产等（金融） 资产上，以获得合理的现金流量和风险/收 益率. 核心就是以效用最大化准则为指导，获得 个人财富配置的最优均衡解。
The development of the theory of investment
Securities investment theory
H. Markowitz, 1959 最优投资组合
W.Sharpe,1964 J. Lintner, 1965 J. Mossin, 1966 资本资产定价理论
Robert Merton， 1969，1971 连续时间CAPM
夏普单指数模型 Black and Scholes, 1973 期权定价理论 Cox,Ross and Rubinstein，1976 二项式期权定价模型
5、Special types of Gilts:
(a)Index Linked Gilts • These Gilts provied interest payments and captial repayment that are linked to CPI. • UK——RPI
(b)Convertible Gilts • Thes are short-dated issues that give the holder the option to convert the Gilts at a future date into a longer-dated security.
非线性分析方法 如“噪音交易”、 “羊群效应”、 “锚定现象”等
Ross，1976 套利定价理论
Lesson One Introduction to Fixed Income Securities
Bond 1、What is a Bond?
——A type of debt instrument issued by a borrower for a fixed period of time Issuer:Debater Buyer:Creditor
2、Classified by issuers:
1 2 3
Government bonds
Financial bonds
Corporate bonds
3、Parts of a bond
• • • • Bond par value coupon rate interest period redemption date
(e)Fiscal Risk
• This is the risk that withholding taxes will be increased. • The Government nornally levies withholding taxes on coupon payments.
(f )Currency Risk
新凯恩斯主义 投资理论
Samuelson,1939 加速原理
Keynes,1936
Harrod,1939 增长理论 Chernery,1952 灵活加速器模型 Koyck,1954 分布滞后加速器模型
Stigliz and Weiss,1981 Fazzari,Hubbard and Petersen,1988 宏观投资的微观基础
4、Risks to bond investing
(a) Interest Rate Risk • This is the most important risk because of the powerful relationalship between interest rates and bond prices. • The simple relationalship is that as interest rates go up, the bond prices usually fall.
Government Bonds
1、Define
Issuer: The Government Aim for: raise money • UK——Gilts • US——Treasuries • JAPAN——JGBs • CHINA——CGBs
2、Why the Govt.issues bonds?
Debentures These are bons issued by companines with the debt secured against the company's assest. (a) Fixed Charge——is security given over a special assest of the company. (b) Floating Charge——is secured against the assest in general.
Kaplan and Zingales, 1997 宏观投资的微观基础
Microscopic investment theory
Jorgenson,1963 新古典 厂商投资理论
Eisner and Strotz (1963) Lucas(1967)，Gould (1968) 以及Treadway(1969) 资本调整成本理论
Convertible Bonds • These bonds allow the holders to convert any holding of debt for a pre-specified amount of the firm's equity,on or before a pre-specified expiry date.
Tobin,1969 Q理论
Arrow, 1968 引入不可逆性假设 Abel, 1983,1984, 1985 Bernanke, 1983 McDonald and Siegel, 1986 Dixit and Pindyck, 1994
Abel and Eberly, 1994 Caballero and Leahy, 1996 固定调整成本模型
投资理论远流图
以庞巴维克、费雪等人 为代表的 新古典主义资本理论 投资行为的 微观分析基础 以马歇尔为代表的 新古典主义厂商理论
凯恩斯主义 投资理论
以克拉克为代表的 朴素加速器理论
投资行为的 宏观经济效应
Macroscopic investment theory
凯恩斯主义 投资理论 后凯恩斯主义 投资理论
(d)Liquidity and Marketability Risk • This refers to the ease with which a bond can be resold in the markets. • Smaller issues are more likely to face this type of risk.
经济学的家谱 魁奈 1758
重农学派
亚当．斯密 1776 古典学派
17世纪和 18世纪
重商主义
大卫．李嘉图 1817 社会主义
T.R.马尔萨斯 1798 J.S.穆勒 1848
新古典经济学
瓦尔拉斯、马 歇尔、费雪
马克思1867 列宁1917
前苏联 和东欧
J.M.凯恩斯经济学
Investment
严欣健 yanxinjian@
What is investment?
Investment refers to investors put a certain amount of money in current and hope returns in the future ,of course ,there are some risks. • 产业（实业）投资 Industrial Investment 房地产property、黄金gold、土地land…… • 证券（金融）投资 securities Investment 债券bond、股票stock、基金fund……
Unsecured Loan Stock • Some company have no security to offer,or may choose not to offer security. • High risk for investors.
Zero-Coupon Bonds • These are Corporate Bonds that pay no interest ,but only a redmption value.
6、Example of Government Security
P26
Corporate Bonds
1、Define Issuer: Company Aim for: raise money buy back their own shares
2、Types of Corporate bonds
• • • • High security Strong liquidity Stable income free of tax
4、Types of Govt.bonds
Classified by their lifespan: • SHORTS: within the next five years • MEDIUMS:not less than five years but not more than fifteen years • LONGS:more than fifteen years • Undated Gilts:need not redeem