8/13/2013

1
CHNG 2
LI SUT
NI DUNG CHNH
I. GI TR THI GIAN CA TIN & K THUT
PHN TCH DNG TIN CHIT KHU
II. TNG QUAN V LI SUT
III. CC NHN T NH HNG N LI SUT
IV.CHNH SCH LI SUT CA VIT NAM
2
I. GI TR THI GIAN CA TIN& K THUT
PHN TCH DNG TIN CHIT KHU
1.GI TR HIN TI & GI TR TNG LAI CA
TIN
Tin t c gi tr theo thi gian, c ngha l mt
ng nhn c ngyhmnaycgitr hn mt ng
nhn trongtng lai
Quanim:
Vi cngmt lng tin nhn c, gitr ca n s
khng ging nhau nu vo nhng thi im khc
nhau
3
1.1. GI TR HIN TI & GI TR TNG
LAI CA TIN
Ldo:
Sinhli
Ri ro
Lm pht
4
1.1. GI TR HIN TI & GI TR TNG
LAI CA TIN
GI TR TNG LAI
5
n
i PV FV ) 1 ( + =
0
FV ( Future Value): Gi tr tng lai ca khon tin n
PV (Present Value): Gi tr hin ti
i (interest rate): li sut yu cu/ t l chit khu
n : k hn ( thng l nm number of year)
V D
S tin 5triu VND hin ti ng gibao
nhiu vo thi im 4 nm sau nu li sut
trung bnh trn th trng giai on ny l
14%/nm?
6
8/13/2013
2
1. GI TR HIN TI & GI TR TNG LAI
CA TIN
GI TR HIN TI
7
0
n
i
FV
PV
) 1 ( +
=
Chit khu
Chit khu (discounting) lk thut nhm chuyn gitr tng lai
thnhgitr hin ti. Gitr hin ti ph thuc vo li sut chit
khu, haycngi lt l chit khu (discount rate)
V D
Mi nm sau tac tha k 1 ti sn l
500tr VND. Khon tin ng gibaonhiu
ti thi im hin ti, nu li sut l12%?
8
BI TP
1.Anh Hong ang d nh dnh tin xy nh sau 3
nm na mkhngmun vaytin. S tin cn choanh
l900 triu. Vy hi anh ta by gi cn c bao nhiu
tin gi ngnhngnu li sut l14%/ nm, nhp li
gc 1ln 1nm
2.Mt ngi gi 7000 USD vo ngn hng, sau 5 nm
ngi ny nhn c s tin bao nhiu, bit li sut l
14%/nm(li nhp gc 1nm 1ln)
3.Chngtab ra1000$ mua1cngc n c tr li
kphngnm l15%. Sauthi gianbaoluchngtas
nhn c c gc ln li l5000$
9
BI TP
4.Mt ngi cch y 3 nm gi vo ti khon tit kim
mt s tin 300triu. Hin gi s tin lnn 437,74
triu. hi ti khon tit kim ny c hng li sut
bao nhiu bit li c tnh 6 thng1 ln, nhp gc v
trongthi giangi ngi khngrt tin
5.Bn i muamt chic xemygi40triu, bn s chn
phng nmuano
a.Tr trc 10 triu, tr 30 triu cnli sau1nm.
b.Nu tr ngay th bn c gim git 40 triu cn35 triu Bit
li sut th trng l12%/nm
10
BI TP
6. Sau bao nhiu nm GDP ca Vit Namtng gp
i so vi GDP nm 2011 nu Chnh ph tac th
a ranhng chnhschduytr tc tng trng
mc 9%/nm
Quytc 72
11
~
i
72
S nm con s ban u tng ln gp i
I. GI TR THI GIAN CA TIN& K THUT
PHN TCH DNG TIN CHIT KHU
2. CC XC NH GI TR HIN TI & TNG LAI
CA CC DNG TIN C BIT
Dngtin t (CASH FLOW CF): l1chui cckhon chi
hoc thuxy raqua1s thi k nht nh
Dngtin chi (outflow): 1 chui cc khon chi chng hn
nh kthc, chi ph, hay1khon chi tr bt k no
Dng tin thu (inflow): mt chui cc khon thu nhp t
doanhthubnhng, li tc u t, nhn vn vay
12
8/13/2013
3
CC LOI DNG TIN T (CASH
FLOW)
Dng nin kim(dngtin u - annuity) dng tin t bao gm cc
khon bng nhau xy raqua1 s thi k nht nh. Dng nin kim
cnc phn chiathnh:
Dng ninkimthng thng (Odinary annuity): xy ra cui k
Dng ninkimu k (Annuity due): xy ra u k
Dngninkimvnh cu (Perpetuity): xy racui k vkhngbaogi
chm dt
Dngtin hn tp (Unevenor mixedcashflows): dngtin t khng
bng nhau xy raqua1s thi k nht nh.
13
I. GI TR THI GIAN CA TIN& K THUT
PHN TCH DNG TIN CHIT KHU
Gi tr tng lai ca mt dng tin sau n nm
chnhltng gitr tng lai ca tng khon tin
xy ra tng thi im khcnhautrongnnm.
Gitr hin ti ca mt dngtin saunnm chnh
ltng gitr hin ti ca tng khon tin xy ra
tng thi im khcnhautrongnnm.
14
Dng nin kimthng thng
(Odinary annuity)
15
0
CF
CF CF CF
CF(1+i)
n-1
CF(1+i)
1
CF(1+i)
n-2
.
Future value of cash flows
0 1
2 1
) 1 ( ... ) 1 ( ) 1 ( i CF i CF i CF
n
n n
+ + + + + + =

CF(1+i)
0
Dng nin kimthng thng
(Odinary annuity)
Gitr tng lai ca dngninkimthng
thng:
FVA Future value of annuity

16
0 1 1
) 1 ( ) 1 ( ... ) 1 ( i CF i CF i CF FVA
n
+ + + + + + =

Dng nin kimthng thng
(Odinary annuity)
17
0
CF CF CF CF
Present value of cash flows
1
) 1 (

+
n
i
CF
0
0
1
1
1
1
) 1 ( ) 1 (
...
) 1 ( ) 1 ( i
C
i
C
i
C
i
C
n
n
n
n
+
+
+
+ +
+
+
+
=

2
) 1 ( i
CF
+
1
) 1 ( i
CF
+
n
i
CF
) 1 ( +
Dng nin kimthng thng
(Odinary annuity)
Gitr hin ti ca dngninkimthng
thng:
PVA Present value of annuity

18
1 1
) 1 (
...
) 1 ( ) 1 ( i
CF
i
CF
i
CF
PVA
n n
+
+ +
+
+
+
=

8/13/2013
4
CNG THC
( )
(

+
= + =

=
i
i
CF i CF FVA
n n
t
t 1 ) 1 (
1
1
0
( )
(

+
=
(

+
=
+
=

=

i
i
CF
i i
CF
i
CF
PVA
n
n
n
t
t
) 1 ( 1
) 1 (
1
1
1
1
Gitr hin ti ca dngninkimthngthng
Gitr tng lai ca dngninkimthngthng
CF: khon thu/ chi nh k
Dng nin kimu k (Annuity
due)
20
0
CF CF CF CF
CF(1+i)
n
CF(1+i)
n-1
CF(1+i)
1
CF(1+i)
n-2
.
Dng nin kimu k (Annuity
due)
Gitr tng lai ca dngninkimu k:
FVAD Future value of annuity due

21
1 1
) 1 ( ... ) 1 ( ) 1 ( i CF i CF i CF FVAD
n n
+ + + + + + =

( )
( ) ( ) i FVA i
i
i
CF FVAD
n
n
n
+ = +
+
= 1 1
1 1
CNG THC
V D
Trong k hoch 5 nm ti ca A, A s gi tit
kim 5triu VND vongy 02/01hngnm voti
khon hng li 14%/nm. Hi cui nm th 5A c
baonhiutin trongti khon?
22
Dng nin kimu k (Annuity
due)
23
0
CF CF CF CF
1
) 1 (

+
n
i
CF
2
) 1 (

+
n
i
CF
1
) 1 ( i
CF
+
0
) 1 ( i
CF
+
Dng nin kimu k (Annuity
due)
Gitr hin ti ca dngninkimu k:
PVAD Present value of annuity due

24
0 1 1
) 1 ( ) 1 (
...
) 1 ( i
CF
i
CF
i
CF
PVAD
n n
+
+
+
+ +
+
=

CNG THC
( )
( ) ( ) i PVA i
i
i
CF PVAD
n
n
n
+ = +
+
=

1 1
1 1
8/13/2013
5
V D
Bn muamt laptop vi hnh thc tr gp. Theo
, bn s tr chongi bn2triu VND mi thng
trong vng 1 nm, bt u t lc mua. Hi gica
laptopny lbao nhiu, vi li sut tr gplc ny
l2%/thng?
25
Dng nin kimvnh cu (Perpetuity)
26
i
CF
i i
CF
PVA =
(

+
=

) 1 (
1
1
V D
Bn mua mt chung c vi mc ch cho thu
trong di hn. Bn k vng c th thu c 120
triu VNDmt nm. Vy bn sn sng chi tr bao
nhiu muan nu mc li sut yu cu ca bn
l18%/nm
27
BI TP
1.Mt ngi thunh$1000/nm, thutrong3nm (tr
vo cui mi nm). Nhng ngi cho thu i ly
trc 1 ln. Vy githng lng nn lbao nhiu,
bit rng li sut bnhqunth trng l18%/nm
2.Bn cho thunhvi gi l6000$ /nm, thanh ton
vo 01/01 hng nm trong thi hn 5 nm. Ton b
tin cho thuc k gi vo ngn hngvi li sut
6%/nm, tr li kphngnm. Sau5nm s tin bn
cc c gc vli lbaonhiu?
28
BI TP
3.CngtyA c mt khon n 500triu phi tr sau1
nm. Hin ti cngtyA mun tr n hngthngvi
nhng khon tin bng nhau. Nu li sut l
2%/thngth s tin tr mi thnglbaonhiu?
4.Bn d nh sa nh, c tnh 38 triu. Mi thng
bn tch cp c 2tr mang gi vo ngn hng vi
li sut 1%/thng. Bit bao gi s tin 38 tr
sa nh?(Bt u gi vo thngti)
29
BI TP
5. Ngy 15/01/2012 bn gi vo ti khon tit
kim hng li 14%/nm s tin 500 ngn
VND. Tng t, vo 15/01 nm 2013, 2014,
2015, 2016 v 2017 bn cng gi vo ti
khon ny 500 ngn VND. Hi vo ny
15/01/2019 bn c bao nhiu tin trong ti
khon saukhi gi?
30
8/13/2013
6
2. NG DNG GI TR THI
GIAN CA TIN VO PHN
TCH D N U T 2.1. NGUYN TC NH GI D N U T DA TRN
GI TR HIN TI RNG (NPV net present value)
Net present value rule: Accept investments that have positive net
present value
n: s nm hot ng ca d n
t: nm bt u thc hin d nc coi lnm gc
CI
t
:gitr lung tin thuti nm t
CO
t
: gitr lung tin chi ti nm t 31
( )( ) | |

+ =
n
t
t
t t
i CO CI NPV
0
1
2. NG DNG GI TR THI GIAN CA TIN
VO PHN TCH D N U T
2.2. NGUYN TC NH GI D N U T DA TRN
T SUT HON VN NI B
IRR Internal rateof return(t sut hon vn ni b): mc li
sut md nc th t c m bo cho tng cc khon thu
ca d ncnbng vi cckhon chi
li sut chit khu lmchoNPV =0
32
( ) | | ( ) | |

=

+ = +
n
t
t
t
n
t
t
t
i CO i CI
0 0
1 1
iu kin chn d n:
hoc: IRR caonht
r min: li sut i vay nu phi vay vn u t,
t sut li nhun nh mc do NN quy nh
nu vn doNSNN cp,
chi ph c hi nu s dng vn t c.
Nm1 Nm2 Nm3 Nm4 Nm 5
3000 2000 1000 500 500
1. Cng ty bn mua 1 my photocopy gi 6000USD s
dng trong 5 nm. Lung tin cng ty thu c trong
cc nmnh sau, li sut chit khu l 10%:
Tnh NPV?
BI TP
2. Tnh gi tr hin ti rng ca mt d n m bn b
vn ban u l 200 triu VND. nm 1 bn thu v 20
triu VND, nm2 bn chi ra 50 triu VND. n nm3
bn thu c 100 triu VND v nm 4 l 170 triu
VND. Vi li sut l 10%
BI TP
3. Bn ang d nh u t xy dng trang tri m
c th chu l 55 triu VND vo cui nm th nht,
nhng sau s thu li 95 triu VND, 140 triu
VND, 185 triu VND vo cui nmth 2 th 3 th 4,
v s phi tr chi ph ban u l 250 triu VND, vi
t l li sut l 12% nm. Hy nh gi vic u t
ny.
4. Bn nh gi th no v hai d n sau:
D n 1: bn b ra 200 triu VND nhn c 250
triu VNDvo 2 nmsau
D n 2: bn b ra 400 triu VND nhn c 500
triu vo 3 nmsau 35
Bn c mt ngi nh hin ang c nh
gi l 1 t 2. Bn ang mun cho thu trong
di hn th bn s cho thu bao nhiu mt
nm vi mc li yu cu ca bn l
18%/nm. Vi chi ph qun l bn b ra l 6
triu/nm
36
8/13/2013
7
II. TNG QUAN V LI SUT
13/08/2013 37
LI SUT Phnloi
Khi nim
o lng
KHI NIM
13/08/2013 38
Gica vic s
dng mt ng vn
Thu htngun vn nhnri
Kchthchcc t chc hot
ng hiu qu
Kchthchu t
Cngc d bo
Cngc iu tit
Li sut
(interest rate)
PHN LOI
13/08/2013 39
Cn c vo thi hn
Cn c vo lm pht
Cn c vo tnhlinhhot
Cn c vo phpghpli
Cn c vo nghip v ngnhng
Li sut
(interest rate)
O LNG LI SUT
Li n
Li kp
Tn sut ghpli
Li sut thc tr
Li sut thc vli sut danhngha
Li sut o hn
T sut sinhli (li sut)
13/08/2013 40
LI N & LI KP
13/08/2013 41
LI
N
LI
KP
Li tnh trn
gc ban u
Li sinh li
V d 1: Hp ng tndng c gitr 100 triu VND, li sut
1%/nm. Gc vli c thanhtonmt ln khi n hn. Tnh
tin li nhn c nu k hn ln lt l1thng, 2thng
13/08/2013 42
K hn Li
1 thng 100x 1% =1 triu
2 thng 100 x 1% x 2 =2 triu
8/13/2013
8
CNG THC
13/08/2013 43
S tin gc v li khi n hn:
(li n)
) 1 ( n i PV FV + =
n
PV
FV
i
1
=
V d 2: Hp ng tn dng c gitr 100 triu VND,
k hn 2nm. Li sut 10%/nm vc nhp gc. Hi
n khi o hn, nhu t thuc baonhiu?
13/08/2013 44
Tin gc Li trong k Gi tr cui k
Nm1
Nm2
Li sinhli:
CNG THC
13/08/2013 45
S tin gc v li khi n hn:
(li kp)
( )
n
i PV FV + = 1
1 =
n
PV
FV
i
LI SUT DANH NGHA & LI
SUT THC
13/08/2013 46
Cngthc Fisher:
Li sut thc = li sut danh ngha lm pht
Chi ph thc ca vic i vay &
thunhp thc ca ngi chovay
NGI C LI?
LM PHT TNG LM PHT GIM
V D 4
Tnh li sut thc ca hp ng gi tin ca
bn ti ngn hng, k hn 1 nm, li sut
12%/nm, tnh li hng nm. Bit t l lm pht
lc l10%/nm
13/08/2013 47
Cngthc Fisher:
Li sut thc = li sut danh ngha lm pht
= 12% - 10% = 2%
TN SUT GHP LI & LI SUT THC TR
LI SUT DANH NGHA
Nominal interest rate
LI SUT THC TR
Effective interest rate
13/08/2013 48
Tn sut ghp li
compounding)
Tn sut ghp li
(the frequency of
compounding)
s k ghpli trongmt nm
i li sut nim yt (theo nm)
i
ef
li sut thc tr (theo nm)
m: tn sut ghp li
1 1 |
.
|

\
|
+ =
m
ef
m
i
i
8/13/2013
9
V D 3:
Anh Nami gi 100 triu vo ti khon ti
ngn hng k hn 2 nm, li sut 12%/nm, li
tnhhngqu, nhp gc.
1. Li sut danhngha:
2. Tn sut ghpli:
3. Li sut thc:
13/08/2013 49 13/08/2013 50
K tnh li Li qu 1 Li qu 2 Li qu 3 Li qu 4 Li thc t
Mt nm
Hng qu
0
3
0
3
0
3
12
3
12
12,55
NG DNG
Tnhli sut thc tr ca cc ngnhngti
Vit Namhin nay?
13/08/2013 51
LI SUT O HN
(YEILD TO MATURITY YTM)
Lli sut lmcnbng gitr hin ti ca
tt c cc khon thutrongtng lai tnh ti khi
o hn vi th gica mt cngc ti chnh
Tndng n
Vaytr gp
Tri phiu coupon
Tri phiu consol
Tri phiu chit khu
13/08/2013 52
YTM TRI PHIU COUPON
13/08/2013 53
Tri phiu coupon:
Li tr nh k (ph thuc li sut coupon)
Gc tr khi o hn
0 1 ... ... n
P C C C + F
YTM
n
YTM
F C
) 1 ( +
+
1
) 1 ( YTM
C
+

YTM TRI PHIU COUPON

13/08/2013 54
n n
YTM
F
YTM
C
YTM
C
YTM
C
P
) 1 ( ) 1 (
....
) 1 ( 1
2
+
+
+
+ +
+
+
+
=
Li sut o hn (YTM) lnghim phng trnh:
( )
n
n
YTM F
YTM
YTM
C P

+ +
(

+
= 1
) 1 ( 1
3
2P F
n
P F
C
YTM
+

+
~
Ta c:
8/13/2013
10
YTM TRI PHIU COUPON
V d 6: Mt tri phiu c mnh gi 1000
USD, thi hn thanhton cn li l5nm, li
sut cung phiu l10%, tr li hngnm hin
c bnvi gi965USD. Hy tnhYTM ?
P= 965USD
F =1000USD
i
c
=10%
n=5
YTM=?
13/08/2013 55
V D 6:
13/08/2013 56
% 10 =
c
i
100 % 10 1000 = = =
c
i F C
Ta c:
YTM TRI PHIU CONSOL
13/08/2013 57
Tri phiu consol:
tr li nh k vhn
khnghontr gc
0 1 ... n
P C C
YTM
n
YTM
C
) 1 ( +
1
) 1 ( YTM
C
+

YTM
C
YTM YTM
C
P =
(

+
=

) 1 (
1
1
YTM TRI PHIU CHIT
KHU
V d 8: Mt tri phiu chit khu c mnh gi
1000USD, bnvi gi850USD, thi hn cnli
l2nm. Li sut o hn ca nlbaonhiu?
P=850
F =1000
n=2
YTM=?
13/08/2013 58
Ta c:
T SUT SINH LI (LI SUT)
13/08/2013 59
LI SUT
(Rate of return)
Thu nhp thc ca mt ng
vn u t
interest
Capital gain
T SUT SINH LI (LI SUT)
V d 9: Mt tri phiu c mnh gi 1000USD, c li
sut coupon l 10%/nm, thi hn 5 nm. Tri phiu
c muavi gi1000USD vgi trong1nm ri bn
i vi gik vng l1100USD. Lc nyt sut sinhli
nh u t nhn c i vi khon u t ny l bao
nhiu?
13/08/2013 60
Ta c:
8/13/2013
11
T SUT SINH LI (LI SUT)
13/08/2013 61
t
t t
P
P P I
R
+
=
+1
R: t sut sinhli
I: tin li trongqutrnhnm gi
P
t+1
: gicngc thi im t+1
P
t
: gicngc thi im t
BI TP:
Mt tri phiu c mnh gi10 triu VND, c
li sut coupon l9%/nm, thi hn 5 nm. Tri
phiu c mua vi gi 9,5 triu VND v gi
trong1nm ri bni vi gilP
a. Li sut o hn ca vic u t tri phiu ny?
b. P=9 triu VND, YTM vli sut ca vic u
t ny?
c. P=8,5 triu VND, YTM v li sut ca vic
u t ny?
13/08/2013 62
IV. NHN T NH HNG LI SUT
1. nh hng ca cungcu vn tndng
2. nh hng ca lm pht d tnh
3. nh hng ca cungcu tin
4. nh hng ca chnhschv m
5. Cu trcri rovcu trck hn
13/08/2013 63
1. NH HNG CA CUNG CU VN
13/08/2013 64
LS: L = a
s
i + b
s
Vi a
s
> 0
LD: L = a
d
i + b
d
Vi a
d
< 0
Li sut
1. NH HNG CA CUNG CU VN
13/08/2013 65
L: ngun vn
i: li sut
LD
LS
LD
LS
L A
i
i
i
L A
i
LS
LD
13/08/2013 66
M hnh khun mu tin vay
(loanable funds framework)
8/13/2013
12
1. NH HNG CA CUNG CU
VN
13/08/2013 67
Nhn t thay i Cung vn Li sut
Thu nhp
Ri ro ca khon vay
Li tc ca khon vay
Lm pht d tnh
Tnh lng
NHN T NH HNG CUNG VN
1. NH HNG CA CUNG CU VN
13/08/2013 68
Nhn t thay i Cu vn Li sut
Kh nng sinh li d tnh
ca cc c hi u t
Thm ht NSNN
Lm pht d tnh
NHN T NH HNG CU VN
Lmpht
d tnh
Cungvn
Cu vn
Li sut
Nhng thay i trong lm pht d tnh
(Hiu ng Fisher)
Nhng thay i trong lm pht d tnh
(Hiu ng Fisher)
Nhng thay i trong lm pht d tnh
(Hiu ng Fisher)
Giai on pht trin kinh t
(Business Cylce Expansion)
Kinh t
pht trin
Cu vn
Cungvn
Li sut?
8/13/2013
13
Giai on pht trin kinh t
(Business Cylce Expansion)
5. CU TRC RI RO & CU TRC K HN
13/08/2013 74
CU TRC
RI RO
CU TRC
K HN
Cng k hn, khc ch th
khc li sut
Cng ch th, khc k hn
khc li sut
CU TRC RI RO
RISK STRUCTURE OF INTEREST RATE
13/08/2013 75
CU TRC
RI RO
Ri ro v n/thanh ton
(default risk)
Ri ro thanh khon
(liquidity risk)
Hiu ng thu thu nhp
(Income tax considerations)
CU TRC RI RO
RISK STRUCTURE OF INTEREST RATE
13/08/2013 76
Ri ro v n/
thanh ton
khng th tr tin li v hon tr vn
gc vo ngy o hn
Tri phiu khobc: phi ri ro
(default free bonds)
Phn b ri ro (risk premium)
Xp hng tndng
RI RO V N/THANH TON
(DEFAULT RISK )
13/08/2013 77
XP HNG TN DNG
13/08/2013 78
8/13/2013
14
13/08/2013 79
HIU NG THU THU NHP
INCOME TAX CONSIDERATIONS
13/08/2013 80
C=1 triu
Tri phiu chnh ph
Tri phiu cng ty
Tri phiu
F=10 triu
i
c
=10%
Thu nhp sau thu
Cc tri phiu thi hn khc nhau c
xu hng bin ng cng chiu
CU TRC K HN
TERM STRUCTURE OF INTEREST RATE
13/08/2013 82
CU TRC
K HN
L thuyt k vng thun ty
(pure expectations theory)
L thuyt phn khc th trng
(market Segmentation Theory)
L thuyt phn b thanh khon
(Liquidity PremiumTheory)
CU TRC K HN
TERM STRUCTURE OF INTEREST RATE
13/08/2013 83
K vng
thun ty
cccngcvi k hn khc nhaul
nhng cngc thay th honho chonhau
Tri phiu 1 nm
+ tri phiu 1 nm
Tri phiu 2 nm
Li sut
mong i
L thuyt k vng thun ty
(pure expectations theory)
13/08/2013 84
Tri phiu 1 nm
+ tri phiu 1 nm
t=0 t= 1 t= 2
t
i
e
t
i
1 +
) 1 )( 1 (
1
e
t t
i i
+
+ + ) 1 (
t
i + 1
8/13/2013
15
L thuyt k vng thun ty
(pure expectations theory)
13/08/2013 85
Tri phiu 2 nm
t=0 t= 1 t= 2
t
i
2
2
2
) 1 (
t
i + 1
L thuyt k vng thun ty
(pure expectations theory)
13/08/2013 86
2
2 1
) 1 ( ) 1 )( 1 (
t
e
t t
i i i + = + +
+
2
2 2 1 1
2 1 1
t t
e
t t
e
t t
i i i i i i + + = + + +
+ +
2
1
2
e
t t
t
i i
i
+
+
=
n
i i i i
i
e
n t
e
t
e
t t
nt
) 1 ( 2 1
...
+ + +
+ + + +
=
Ta c
Hay
L thuyt k vng thun ty
(pure expectations theory)
13/08/2013 87
K hn
Termtomaturity
li
sut
Yieldto
maturity
K hn
Termtomaturity
li
sut
Yieldto
maturity
K hn
Termtomaturity
li
sut
Yieldto
maturity
CU TRC K HN
TERM STRUCTURE OF INTEREST RATE
13/08/2013 88
Phn khc
th trng
Th trng cccngc k hn
khcnhauhontonringbit
Quan h cung cu
CU TRC K HN
TERM STRUCTURE OF INTEREST RATE
13/08/2013 89
Phn b
thanh khon
cccngc vi k hn khc nhaul nhng
cngc thay th khng hon ho chonhau
Li sut mong i Yu t thanh khon
K vng thun ty Phn thng thanhkhon
nt
e
n t
e
t
e
t t
nt
l
n
i i i i
i +
+ + + +
=
+ + + ) 1 ( 2 1
...
L thuyt phn b thanh khon
(Liquidity Premium Theory)
13/08/2013 90
8/13/2013
16
L thuyt phn b thanh khon
(Liquidity Premium Theory)
13/08/2013 91