Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen

Lenz, Rainer (2010): Analyse der Renditestrukturkurve: Zur Laufzeitenstruktur von Investitions- und Finanzierungsentscheidungen.

Abstract

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.

• Item Type: MPRA Paper
• English Title: Yield curve analysis
• Language: German
• Keywords: Renditestrukturkurve, yield curve, Laufzeitenstruktur, term structure of interest rates, implizite Forward rates, Erwartungstheorie, implicit forward rates, expectation theory
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; G - Financial Economics > G3 - Corporate Finance and Governance > G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity; G - Financial Economics > G3 - Corporate Finance and Governance; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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