A Nw Mol fo h Picing of Dflbl Bon Pof. D. Ri Zg Mnich Univiy of chnology Mi 6. Dzmb 004 HVB-Ini fo Mhmicl Finnc
A Nw Mol fo h Picing of Dflbl Bon Ovviw Mk Infomion - Yil Cv Bhvio US y Sip - Ci Sp Bhvio US Inil A - Ci Sp Bhvio US Inil BBB - conomic Bhvio US Go Domic Poc (GDP) h Mol fo h Picing of Dflbl Bon Mol Compion Fh Rch HVB-Ini fo Mhmicl Finnc
y n Sp D US Mk 993-003 Amicn y Sip A- n BBB- Amicn Inil Mii bwn 3 monh n 30 y im i of wkly bon pic fom Okob 8 993 o Jn 00 (in mpl) im i of wkly bon pic fom Jn 8 00 o Ag 5 003 (o of mpl) All pic in US Doll i.. no cncy ik in ci p Pm imion ing Klmn fil HVB-Ini fo Mhmicl Finnc 3
- o 0-Y US y Sip in % im Pio: 993 003 0 75 5 5 0 HVB-Ini fo Mhmicl Finnc 4 0.0.993 5..994 9.0.996 4.03.997 08.05.998 0.07.999 5.08.000 9.0.00 3..00 Y 3 Y 5 Y 7 Y 0 Y Soc: Bloombg
- o 0-Y Ci Sp of US Inil A in % im Pio: 993 003.8.6.4. 0.8 0.6 0.4 0. 0 Soc: Bloombg HVB-Ini fo Mhmicl Finnc 5 0.0.993 6.09.994 0.09.995 6.08.996 0.08.997 7.07.998 0.07.999 6.06.000 0.06.00 7.05.00 0.05.003 Y 3 Y 5 Y 7 Y 0 Y
- o 0-Y Ci Sp of US Inil BBB in % im Pio: 993 003.5.5 0.5 0 Soc: Bloombg HVB-Ini fo Mhmicl Finnc 6 0.0.993 6.09.994 0.09.995 6.08.996 0.08.997 7.07.998 0.07.999 6.06.000 0.06.00 7.05.00 0.05.003 Y 3 Y 5 Y 7 Y 0 Y
A Nw Mol fo h Picing of Dflbl Bon Ovviw Mk Infomion h Mol fo h Picing of Dflbl Bon - Schmi n Zg [000] (Sp pn on fim-pcific fco) - Bkhi Mn Zhng [00] (Sp pn on y & fim-pcific fco) - Gnliz Schmi n Zg [004] (Sp pn on mcoconomic & fim-pcific fco) Mol Compion Fh Rch HVB-Ini fo Mhmicl Finnc 7
h Mol of Schmi n Zg [000] Moling of h Sochic Poc Un h Mingl M Q Dynmic of h yil cv (non-flbl ho ) () [ θ ( ) ( ) ] + σ W ( ) [0 ] > 0 σ > 0 Dynmic of h nobvbl conpy qliy (nciny inx)* () [ θ ( ) ] + σ ( ) W ( ) [0 ] θ 0 > 0 σ > 0 Dynmic of h yil p (ho- ci p) ( ) [ b ( ) ( ) ] + σ ( ) W ( ) [0 ] b > 0 > 0 σ > 0 h Win poc W W n W ncol * Lvg n book-o-mk cn b cib by mn-ving ochic poc (.g. Bkhi Mn Zhng [00] ) HVB-Ini fo Mhmicl Finnc 8
9 HVB-Ini fo Mhmicl Finnc hom (Hll n Whi [990] Hll[997]). h im vl P() of non-flbl zo-copon bon wih miy i givn by wih n ( ) ( ) ( ) B A P ( ) ( ) ( ) B ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ). ln 4 0 ln 0 0 3 P P P B A σ h Mol of Schmi n Zg [000] Picing of Non-Dflbl Bon
0 HVB-Ini fo Mhmicl Finnc hom (Schmi n Zg [000]). h im vl P () of flbl zo-copon bon wih miy i givn by wh ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) D C A D C B A P P ( ) ( ) ( ) ( ) ( ) { } ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) v v A A A A v v v D k K K K C k k ln wih complic wih n wih + + σ θ σ δ σ δ δ δ h Mol of Schmi n Zg [000] Picing of Dflbl Bon ymic fim pcific
h Mol of Schmi n Zg [000] Pm imion Pm imion Pm imion imion y A BBB ( l ) Sip 0.0367 (0.44) ( l ) σ (%) 0.94569 (.9995) 0.5044 0.96698 (.34760) 6.6900 σ (%) l-wol mn vion lvl fo (%) 0.83004 6. Avg obv 3-Monh R: y: 5. % Sp A: 0.59 % Sp BBB: 0.76 % l-wol mn vion lvl fo (%) θ (%) ( l ) σ (%) l-wol mn vion lvl fo (%) 0.4 0.886 0.963 (0.9990) 0.06 0.94 0.63 0.0347 0.0070 (0.04683) 3.639 0.67 HVB-Ini fo Mhmicl Finnc
h Mol of Schmi n Zg [000] Lin Rgion of Mol v. mpiicl y Sip* In mpl: O of mpl: qáãéíçj~íìêáíó b R² im o Miy b R² Y -.65553*0-5 0.893 0.6985 Y -.5500*0-4 0.7893 0.66 (.86057*0-6 ) (0.8693) (0.7500) (-7.807*0-5 ) (0.79067) (0.7060) 3 Y -9.8756*0-6.06 0.944 3 Y -4.89500*0-5.0376 0.939 (-4.8053*0-6 ) (.03008) (0.9560) (-.9950*0-5 ) (0.9967) (0.994) 5 Y -.3477*0-6.0904 0.987 5 Y.03988*0-5.09909 0.997 (-.684*0-6 ) (.08467) (0.996) (.96055*0-5 ) (.0860) (0.99) 7 Y 4.7347*0-6.0956 0.953 7 Y 3.90855*0-5.06966 0.9633 (.03906*0-6 ) (.08400) (0.9606) ( 4.3930*0-5 ) (.09057) (0.979) 0 Y 6.58*0-6.08763 0.9 0 Y 6.778*0-5.0369 0.980 (-.95064*0-6 ) (.07958) (0.9404) ( 4.7364*0-5 ) (.0770) (0.948) * Vl in bck wiho.5% of mx. oli HVB-Ini fo Mhmicl Finnc
h Mol of Schmi n Zg [000] Lin Rgion of A - Mol v. mpiicl Ci Sp* In mpl: O of mpl: im o Miy b R² im o Miy b R² Y -4.40045*0-6.49338 0.657 Y.6433*0-6.487 0.657 (-.00039*0-5 ) (.38773) (0.6690) (-9.38798*0-6 ) (.3570) (0.64) 3 Y -4.34480*0-6.43305 0.453 3 Y.7865*0-5.789 0.3975 ( 5.93*0-6 ) (.36455) (0.46) ( 5.33658*0-6 ) (.46988) (0.3304) 5 Y -8.600*0-6.6880 0.3904 5 Y.3477*0-5.49348 0.4404 (-.78*0-6 ) (.537) (0.386) (.86*0-5 ) (.8500) (0.403) 7 Y -6.85*0-6.7777 0.930 7 Y -.76*0-5 0.8099 0.5 (-3.608*0-6 ) (.55750) (0.745) (.838*0-5 ) (0.694) (0.89) 0 Y.3400*0-6.64530 0.68 0 Y -.88*0-5 0.80043 0.0437 (-.89566*0-6 ) (.596) (0.680) (-5.6*0-6 ) (0.6547) (0.0406) * Vl in bck wiho.5% of mx. oli HVB-Ini fo Mhmicl Finnc 3
h Mol of Schmi n Zg [000] Lin Rgion of BBB - Mol v. mpiicl Ci Sp* In mpl: O of mpl: im o Miy b R² im o Miy b R² Y -5.497*0-6.5047 0.86 Y 7.4333*0-6.4305 0.990 (-7.5586*0-6 ) (.449) (0.8503) ( 8.94970*0-6 ) (.3738) (0.973) 3 Y -3.0676*0-6.494 0.53 3 Y.93*0-5.4058 0.5975 ( 6.50870*0-6 ) (.749) (0.5643) (.44*0-5 ) (.4689) (0.750) 5 Y -9.555*0-7 0.87634 0.893 5 Y.83098 0-6 0.69734 0.088 ( 3.34430*0-6 ) (0.77505) (0.968) (.36*0-5 ) (0.5877) (0.9) 7 Y -.3409*0-7 0.94840 0.335 7 Y 5.77097 0-6 0.9573 0.3444 (-9.5004*0-6 ) (0.9787) (0.3489) ( 3.9880*0-5 ) (0.88070) (0.48) 0 Y -7.3040*0-7.0454 0.3538 0 Y -.57533*0-5 0.9349 0.36 (.008086*0-5 ) (.0975) (0.4397) (-.93676*0-5 ) (0.9395) (0.453) * Vl in bck wiho.5% of mx. oli HVB-Ini fo Mhmicl Finnc 4
A Nw Mol fo h Picing of Dflbl Bon Ovviw Mk Infomion h Mol fo h Picing of Dflbl Bon - Schmi n Zg [000] (Sp pn on fim-pcific fco) - Bkhi Mn Zhng [00] (Sp pn on y & fim-pcific fco) - Gnliz Schmi n Zg [004] (Sp pn on mcoconomic & fim-pcific fco) Mol Compion Fh Rch HVB-Ini fo Mhmicl Finnc 5
h Mol of Bkhi Mn Zhng [00] Moling of h Sochic Poc Un h Mingl M Q Dynmic of h yil cv (non-flbl ho ) () () () () [ ] + σ ρ W + σ ρ W ( ) [0 ] > 0 σ > 0 ρ < Dynmic of h nobvbl if iving poc ( ) ( ) + ( ) [0 ] 0 > 0 > 0 θ σ W θ σ Dynmic of h nobvbl nciny inx ρ ρ () θ () + σ W () + σ W () ρ ρ θ 0 > 0 σ > 0 ρ < ρ h Win poc W W n W ncol HVB-Ini fo Mhmicl Finnc 6
h Mol of Bkhi Mn Zhng [00] Moling of h Sochic Poc Un h Mingl M Q h ho p i givn by ( ) ( ) ( ) ( ) Λ + Λ +Λ [0 ] Λ Λ Λ IR i.. 0 0 ( ) θ ( ) + ( ) ( ) + σ ( ) θ θ ( ) b b W wih : Λ +Λ b : Λ b : Λ 0 ρ ρ n σ W() : ( Λ) σ ρ +Λ σ W () () ( ) ( ) +Λσ W + Λ σρ W ρ ρ HVB-Ini fo Mhmicl Finnc 7
8 HVB-Ini fo Mhmicl Finnc hom 5. h im vl P() of non-flbl zo-copon bon wih miy i givn by wih n ( ) ( ) ( ) ( ) B A P ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) B + ( ) ( ) ( ) ( ) ( ) ( ). + + B B A θ σ σ ρ σ σ h Mol of Bkhi Mn Zhng [00] Picing of Non-Dflbl Bon
9 HVB-Ini fo Mhmicl Finnc hom 6. h im vl P () of flbl zo-copon bon wih miy i givn by wh ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Λ Λ D B A D B A P P ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Λ Λ + Λ + Λ + Λ + + Λ Λ Λ Λ D B D B D B A A A A D B B θ θ ρ σ σ ρ σ σ σ σ σ 0 h Mol of Bkhi Mn Zhng [00] Picing of Non-Dflbl Bon ymic fim pcific ymic
h Mol of Bkhi Mn Zhng [00] Pm imion Pm ( l ) ρ w σ (%) l-wol mn vion fo (%) θ w (%) w ( wl ) σ w (%) l-wol mn vion fo w (%) imion y 0.035 (0.49) -0.36*.346 5.6 (mp. 5.) 0.83 0.4036 (0.87) 0.37706 0.65 HVB-Ini fo Mhmicl Finnc Pm θ (%) ( l ) ρ σ (%) l-wol mn vion fo (%) Λ 0 Λ l-wol mn vion fo ho p (%) imion A 0.059 3.53*0-6 (0.65739) 0.5578 0.55 0.08 0.043 0.86654 0.57 (mp. 0.59) imion BBB 0.0684.573*0-6 (0.839) 0.58608 0.659 0.08 0.067 0.8334 0.8 (mp. 0.76) * Ngiv colion bwn IR movmn n long-m mn (.g. Chn Sco [93] Dfn Solnik [99] Di Singlon [00] Bkhi Mn Zhng [0] 0
h Mol of Bkhi Mn Zhng [00] Lin Rgion of Mol v. mpiicl y Sip* In mpl: O of mpl: im o Miy b R im o Miy b R Y -.338. 0-6 (5.69. 0-6 ) 0.85833 (0.8855) 0.8364 (0.853) Y -0.000034 (0.00005) 0.74895 (0.8049) 0.6795 (0.83) 3 Y.6. 0-6 (-3.43. 0-6 ).069 (.03) 0.9706 (0.978) 3 Y 3.997. 0-6 (0.00008).04570 (.044) 0.8905 (0.993) 5 Y 3.30. 0-6 (-.98. 0-6 ).0485 (.044) 0.9776 (0.984) 5 Y 6.57. 0-6 (0.00004).0886 (.068) 0.96443 (0.9663) 7 Y.994. 0-6 (8.33. 0-6 ).049 (.0355) 0.9774 (0.98) 7 Y 8.444. 0-6 (0.00003).04778 (.0364) 0.9766 (0.9786) 0 Y -.86. 0-6 (-3.30. 0-6 ).000 (.007) 0.98436 (0.655) 0 Y 4.775. 0-6 (-.96. 0-6 ) 0.9904 (0.9936) 0.9868 (0.986) HVB-Ini fo Mhmicl Finnc * Vl in bck wiho.5% of mx. oli
h Mol of Bkhi Mn Zhng [00] Lin Rgion of A-Mol v. mpiicl Ci Sp* In mpl: O of mpl: im o Miy b R im o Miy b R Y -9.34. 0-6 (-0.0000).0747 (.79) 0.376 (0.88) Y 9.759. 0-6 (0.00005) 0.96606 (0.693) 0.354 (0.0787) 3 Y -6.360. 0-6 (-5.59. 0-6 ).589 (.558) 0.700 (0.693) 3 Y 0.0000343 (0.000043).0793 (.9753) 0.7088 (0.6493) 5 Y -.7363. 0-6 (8.068. 0-6 ).7 (.386) 0.4304 (0.434) 5 Y.6660. 0-6 (9.87. 0-6 ).07 (0.90) 0.40694 (0.368) 7 Y -9.989. 0-6 (-4.70. 0-6 ).8 (.97) 0.435 (0.459) 7 Y -0.00006 (0.000098) 0.738 (0.65) 0.36 (0.36) 0 Y 4.7095. 0-6 (4.850. 0-6 ).06099 (.0874) 0.33634 (0.3953) 0 Y -0.0000589 (0.0000447) 0.7398 (0.875) 0.5 (0.083) HVB-Ini fo Mhmicl Finnc * Vl in bck wiho.5% of mx. oli
h Mol of Bkhi Mn Zhng [00] Lin Rgion of BBB-Mol v. mpiicl Ci Sp* In mpl: O of mpl: im o Miy b R im o Miy b R Y -0.00003 (-0.0000).989 (.335) 0.350 (0.769) Y -.955. 0-6 (0.000055).7096 (.000) 0.880 (0.3598) 3 Y 5 Y -0.0000 (-4.438. 0-6 ).788. 0-6 (7.087. 0-6 ).58459 (.4778) 0.8495 (0.739) 0.77056 (0.745) 0.994 (0.48) 3 Y 5 Y 0.000033 (0.00003) 3.657. 0-6 (-0.0000).89954 (.790) 0.7047 (0.590) 0.8079 (0.793) 0.685 (0.574) 7 Y 6.546. 0-6 (-8.396. 0-6 ) 0.83674 (0.8576) 0.38 (0.68) 7 Y 9.867. 0-6 (0.000038) 0.8639 (0.846) 0.3 (0.305) 0 Y 6.074. 0-6 (6.9. 0-6 ) 0.9774 (0.985) 0.9005 (0.355) 0 Y 3.59. 0-6 (-0.00003) 0.96050 (0.9598) 0.343 (0.4069) HVB-Ini fo Mhmicl Finnc * Vl in bck wiho.5% of mx. oli 3
A Nw Mol fo h Picing of Dflbl Bon Ovviw Mk Infomion h Mol fo h Picing of Dflbl Bon - Schmi n Zg [000] (Sp pn on fim-pcific fco) - Bkhi Mn Zhng [00] (Sp pn on y & fim-pcific fco) - Gnliz Schmi n Zg [004] (Sp pn on mcoconomic & fim-pcific fco) Mol Compion Fh Rch HVB-Ini fo Mhmicl Finnc 4
US y Sip n Inil v. US Go Domic Poc im Pio: 993 003 8 7 6 5 4 3 0 0.0.993 5..994 9.0.996 4.03.997 08.05.998 0.07.999 5.08.000 9.0.00 3..00 3.5.5 0.5 0 y y (lh) 3 monh US GDP gowh (h) Soc: Bloombg Lin Rgion: R(+0.5+.5) -0.6 + 0.84 R(+) +.03 w() + ε Colion (993-00): ρ(r(+)w()) 008 HVB-Ini fo Mhmicl Finnc 5
US Ci Sp v. US Go Domic Poc im Pio: 993 003.5 y BBB p o i 3 monh US GDP gowh y A p o i.5 0.5 0 0.0.993 5..994 9.0.996 4.03.997 08.05.998 Soc: Bloombg Lin Rgion: HVB-Ini fo Mhmicl Finnc 0.07.999 5.08.000 9.0.00 3..00 S A (+0.5+.5) 0.5 + 0.84 S A (+) - 0.0 w() + ε S BBB (+0.5+.5) 0.4 + 0.77 S BBB (+) - 0.08 w() + ε Colion (993-00): ρ(s A (+)w()) -0 ρ(s BBB (+)w()) -05 Colion (993-00): ρ(w()fl pobbiliy BBB) -049 6
h Gnliz Mol of Schmi n Zg [004] Moling of h Sochic Poc Un h Mingl M Q Dynmic of h yil cv (non-flbl ho ) ( ) [ θ ( ) + b ( ) ( ) ] + σ W () [0 ] > 0 σ > 0 Dynmic of h conomy inx Dynmic of h nciny inx ( ) [ θ ( ) ] + σ W ( ) [0 ] θ 0 > 0 σ > 0 Dynmic of h yil p (ho- ci p) ( ) [ θ ( ) ] + σ W ( ) [0 ] θ 0 > 0 σ > 0 () [ θ + b () b () () ] + σ W () h Win poc W W W n W ncol [0 ] θ 0 b > 0 b > 0 σ > 0 > 0 HVB-Ini fo Mhmicl Finnc 7
8 HVB-Ini fo Mhmicl Finnc hom 7. h im vl P() of non-flbl zo-copon bon wih miy i givn by wih n ( ) ( ) ( ) ( ) B A P ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) b B + ( ) ( ) ( ) ( ) ( ) ( ). + B B A θ θ σ σ h Gnliz Mol of Schmi n Zg [004] Picing of Non-Dflbl Bon
9 HVB-Ini fo Mhmicl Finnc hom 8. h im vl P () of flbl zo-copon bon wih miy i givn by wh ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) + D C A D C B A P P ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) + + + + + + b b D C D C A A A A D C θ θ θ σ σ σ σ wih wih h Gnliz Mol of Schmi n Zg [004] Picing of Non-Dflbl Bon ymic fim pcific ymic
h Gnliz Mol of Schmi n Zg [004] Pm imion Pm imion Pm imion imion y A BBB ( l ) 0.0445 (0.076) ( l ).05334 (.49603).0934 (.66) b w 0.033 θ (%).33644.39585 σ (%).9036 σ (%) 0.6533 0.56953 l-wol mn vion lvl fo (%) θ w (%) w ( wl ) σ w (%) l-wol mn vion lvl fo w (%) 5. (mp. 5.).85687 0.545 (.4388) 0.7900.3 (mp..37) b w l-wol mn vion lvl fo (%) θ (%) ( l ) σ (%) l-wol mn vion lvl fo (%) 0.00395 0.60 (mp. 0.59) 0.03037 3.3995. 0-6 (0.7408) 0.008 0.7 0.0036 0.74 (mp. 0.76) 0.03444.070. 0-6 (0.6993) 0.9795 0.0 HVB-Ini fo Mhmicl Finnc 30
h Gnliz Mol of Schmi n Zg [004] Lin Rgion of Mol v. mpiicl y Sip* In mpl: O of mpl: im o Miy b R im o Miy b R Y -0.0000 (-0.0000) 0.744 (0.758) 0.70954 (0.7605) Y -0.0003 (-0.000089) 0.65090 (0.709) 0.67 (0.706) 3 Y -9.747. 0-6 (-.87. 0-6 ) 0.93959 (0.9577) 0.9509 (0.965) 3 Y -0.00005 (-0.000037) 0.94388 (0.8997) 0.9663 (0.956) 5 Y -6.56. 0-8 (-.00. 0-7 ).00896 (.0078) 0.9997 (0.9999) 5 Y 8.57. 0-7 (.47. 0-6 ).004 (.0087) 0.99987 (0.9999) 7 Y 6.449. 0-6 (5.6. 0-6 ).00989 (.009) 0.94460 (0.9556) 7 Y 0.000033 (0.000037) 0.987 (.0077) 0.9538 (0.9666) 0 Y 7.863. 0-6 (-5.766. 0-6 ).09 (.0085) 0.937 (0.934) 0 Y 0.000053 (0.000037) 0.9537 (.006) 0.89738 (0.9349) HVB-Ini fo Mhmicl Finnc * Vl in bck wiho.5% of mx. oli 3
h Gnliz Mol of Schmi n Zg [003] Lin Rgion of A-Mol v. mpiicl Ci Sp* In mpl: O of mpl: im o Miy b R im o Miy b R Y -.088. 0-6 (-6.83. 0-6 ).3997 (.6) 0.8966 (0.8987) Y 7.8. 0-6 (8.434. 0-7 ).3765 (.36) 0.9 (0.9006) 3 Y 5.354. 0-7 (.74. 0-6 ).097 (.0683) 0.456 (0.488) 3 Y 8.49. 0-6 (0.0000).367 (.30) 0.3554 (0.378) 5 Y -6.84. 0-6 (4.703. 0-8 ).3654 (.359) 0.5564 (0.5806) 5 Y 0.00006 (0.00009).4094 (.97) 0.5765 (0.5358) 7 Y -6.459. 0-6 (5.04. 0-8 ).4064 (.360) 0.5307 (0.5494) 7 Y.09. 0-6 (0.0000).080 (.0088) 0.3764 (0.45) 0 Y.. 0-6 (0.0000).073 (.50) 0.339 (0.4044) 0 Y -9.987. 0-6 (0.000044) 0.93 (0.9345) 0.44 (0.975) HVB-Ini fo Mhmicl Finnc * Vl in bck wiho.5% of mx. oli 3
h Gnliz Mol of Schmi n Zg [004] Lin Rgion of BBB-Mol v. mpiicl Ci Sp* In mpl: O of mpl: im o Miy b R im o Miy b R Y -4.803. 0-6 (-6.06. 0-6 ).488 (.4005) 0.8749 (0.87) Y 0.00007 (0.00008).545 (.457) 0.9053 (0.9057) 3 Y -3.33. 0-6 (3.648. 0-6 ).69 (.59) 0.46308 (0.59) 3 Y 0.0000 (0.00008).5953 (.484) 0.4797 (0.546) 5 Y -9.69. 0-7 (-.04. 0-6 ) 0.88573 (0.76) 0.47 (0.87) 5 Y 5.474. 0-6 (-0.0000) 0.80833 (0.6675) 0.59 (0.444) 7 Y -.473. 0-6 (-5.707. 0-6 ).00664 (0.9573) 0.7675 (0.854) 7 Y 0.0000 (0.000046).63 (.65) 0.97 (0.3998) 0 Y -4.78. 0-6 (6.0. 0-6 ).8693 (.37) 0.349 (0.4549) 0 Y.9. 0-6 (6.09. 0-6 ).83 (.087) 0.3384 (0.3560) HVB-Ini fo Mhmicl Finnc * Vl in bck wiho.5% of mx. oli 33
A Nw Mol fo h Picing of Dflbl Bon Ovviw Mk Infomion h Mol fo h Picing of Dflbl Bon Mol Compion - Scl Infomion - Siicl - Dfl Pobbilii Fh Rch HVB-Ini fo Mhmicl Finnc 34
Mol Compion Sniiviy of Ci Sp wih Rpc o Fim-pcific Fco 070% 060% 008000% Bkhi Mn Zhng [00] D(0)/*m% 050% 040% 030% 00% 00% long-m inflnc by D(0)/*0.08% 0080000% 0079990% conn inflnc ov im 0 4 6 8 0 4 6 8 0 4 6 8 US Inil BBB im o Miy US Inil A C(0)/*m % 000% 0 4 6 8 0 4 6 8 0 4 6 8 070% 060% 050% 040% 030% 00% US Inil A im o Miy ho-m inflnc by US Inil BBB Schmi Zg [000] 00% 000% 0 4 6 8 0 4 6 8 0 4 6 8 im o Miy HVB-Ini fo Mhmicl Finnc US Inil BBB US Inil A 35
Mol Compion Sniiviy of Ci Sp wih Rpc o Fim-pcific Fco 05% 00% 008000% Bkhi Mn Zhng [00] D(0)/*m% 05% 00% 005% long-m inflnc by D(0)/*0.08% 0080000% 000% 0 4 6 8 0 4 6 8 0 4 6 8 im o Miy US Inil BBB US Inil A conn inflnc ov im 08% 07% Schmi Zg [004] 0079990% 0 4 6 8 0 4 6 8 0 4 6 8 im o Miy US Inil BBB US Inil A C(0)/*m% 06% 05% 04% 03% ho-m inflnc by 0% 0% 00% 0 4 6 8 0 4 6 8 0 4 6 8 im o Miy US Inil BBB US Inil A HVB-Ini fo Mhmicl Finnc 36
Mol Compion Avg Abol Dviion of y Sip Ci Sp n R Avg bol Dviion of yil / p (%) Schmi Zg [000] Bkhi Mn Zhng [00] Schmi Zg [004] Avg R Schmi Zg [000] Bkhi Mn Zhng [00] Schmi Zg [004] y Sip 0.8687 (0.8467) 0.45 (0.9366) 0.7404 (0.965) y Sip 0.7468 (0.73733) 0.87807 (0.84) 0.874 (0.76946) Inil A 0.09970 (0.033) 0.0875 (0.6887) 0.06 (0.08976) Inil A 0.9696 (0.9966) 0.34563 (0.6440) 0.4638 (0.443) Inil BBB 0.0874 (0.496) 0.08 (0.354) 0.089 (0.643) Inil BBB 0.3763 (0.3936) 0.3058 (0.3646) 0.463 (0.4639) * Vl wiho bck in mpl vl in bck o of mpl HVB-Ini fo Mhmicl Finnc 37
Mol Compion Do h Inocion of Poiiv Sp o GDP Py? Avg bol viion of yil / p (%) Poiiv p no mco vibl (SZ 000) Noml p no mco vibl (b w b w 0) Noml p mco vibl (SZ 004) Avg R Poiiv p no mco vibl (SZ 000) Noml p no mco vibl (b w b w 0) Noml p mco vibl (SZ 004) y Sip 0.8687 (0.8467) 0.8687 (0.8467) 0.7404 (0.965) y Sip 0.7468 (0.73733) 0.7468 (0.73733) 0.874 (0.76946) Inil A 0.09970 (0.033) 0.0806 (0.6375) 0.06 (0.08976) Inil A 0.9696 (0.9966) 0.3894 (0.3854) 0.4638 (0.443) Inil BBB 0.0874 (0.496) 0.07654 (0.08798) 0.089 (0.643) Inil BBB 0.3763 (0.3936) 0.358 (0.303) 0.463 (0.4639) * Vl wiho bck in mpl vl in bck o of mpl HVB-Ini fo Mhmicl Finnc 38
Mol Compion Unciny Inx v. Dfl Pobbiliy fo Ring A Unciny Inx/ Dfl R 0.3 0. 0. 0 Schmi Zg 000 Schmi Zg 004 Bkhi Mn Zhng 00 Dfl R -0. 08.0.993 07.07.995 04.04.997 0.0.999 9.09.000 D HVB-Ini fo Mhmicl Finnc 39
Mol Compion Unciny Inx v. Dfl Pobbiliy fo Ring BBB Schmi Zg 000 Schmi Zg 004 Bkh Mn Zhng 00 Dfl R Unciny Inx / Dfl R 0.4 0.3 0. 0. 0-0. 08.0.993 07.07.995 04.04.997 0.0.999 9.09.000 D HVB-Ini fo Mhmicl Finnc 40
A Nw Mol fo h Picing of Dflbl Bon Ovviw Mk Infomion h Mol fo h Picing of Dflbl Bon Mol Compion Fh Rch - Inclion of Oh Mol (Dff [996]) - Ingion of Oh Mcoconomic Fco (Inflion) - Picing of Ci Diviv (Ci Dfl Swp) - Foc n Simlion of niion (Dfl) Pobbilii - Ing Mk n Ci Pofolio Mngmn HVB-Ini fo Mhmicl Finnc 4
HVB-Ini fo Mhmicl Finnc ïïïkã~íüñáå~ååékã~kíìãkçé HVB-Ini fo Mhmicl Finnc 4