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Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen
[Yield curve analysis]

  • Lenz, Rainer
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    Die Renditestruktur determiniert die Relation zwischen Zinsänderungsrisiko und Zinsertrag bei Investitionen und Finanzierungen und ist insofern für die Wahl der Laufzeit von fundamentaler Bedeutung. Mit Hilfe der impliziten Terminzinssätze ist es möglich, die Entscheidungssituation des Investors und des Finanziers zu modellieren. Dabei lassen sich aus der Analyse der drei gestaltgebenden Merkmale der Renditestrukturkurve Niveau, Steigung und Krümmung Entscheidungsregeln für das bewusste Eingehen eines Risikos bei entsprechendem Mehrertrag durch die Wahl der Laufzeit ableiten. The shape of the yield curve determines the relationship between interest rate risk and return of investments. Should the investor or financier choose short- or long term bonds or loans? The management decision of the “right” maturity depends on three form-giving factors of the yield curve: general level of interest rates, the slope and the curvature of the curve. By using implicit forward rates the decision situation of investors and financiers is modeled and general decision rules for financial managers are derived.

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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 26621.

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    Date of creation: 15 Sep 2010
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    Handle: RePEc:pra:mprapa:26621
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    1. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
    2. Guedes, Jose & Opler, Tim, 1996. " The Determinants of the Maturity of Corporate Debt Issues," Journal of Finance, American Finance Association, vol. 51(5), pages 1809-33, December.
    3. Franco Modigliani & Richard Sutch, 1967. "Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience," Journal of Political Economy, University of Chicago Press, vol. 75, pages 569.
    4. Robin Grieves & Alan J. Marcus, 1990. "Riding the Yield Curve: Reprise," NBER Working Papers 3511, National Bureau of Economic Research, Inc.
    5. David S. Bieri & Ludwig B. Chincarini, 2004. "Riding the Yield Curve: Diversification of Strategies," Finance 0410002, EconWPA.
    6. Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003. "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, vol. 70(2), pages 261-291, November.
    7. Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004. "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings 142, Econometric Society.
    8. Christiansen, Charlotte & Lund, Jesper, 2002. "Revisiting the shape of the yield curve: the effect of interest rate volatility," Finance Working Papers 02-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    9. Gerlach, Stefan, 1995. "The Information Content of the Term Structure: Evidence for Germany," CEPR Discussion Papers 1264, C.E.P.R. Discussion Papers.
    10. Fildes, Robert A & Fitzgerald, M Desmond, 1980. "Efficiency and Premiums in the Short-Term Money Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(4), pages 615-29, November.
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