課程名稱︰貨幣銀行學
課程性質︰必修
課程教師︰陳南光
開課系所︰經濟系
考試時間︰2005/1/12
試題 :Final Exam
I.(63 points)Answer the following questions
(1)Explain why we observe banks exercise credit rationing?
(2)Suppose there is an unexpected deflation,how may it affect the firm's
borrowing?
(3)How do banks benefit from the developmont of securitization?
(4)Explain why a decline in land prices may worsen the problems of adverse
selection and more hazard respectively and thus deepen the financial crisis
(5)Give a reason why there may be a conflict of interest when commercial banks
are allowed to do investment banking
(6)We know that it's safer to diversity your asset portfolio but why do we
observe that many banks heavily rely on lending to firms in a particular
industry?
(7)Explain how banks perform the function of asset transformation
(8)Analysts predicted that the Taiwan stock market will have a January effect.
is it cinsistnet with Efficient Market Hypothesis?Why?
(9)Professor Chen studies Taiwan's stock market and finds that the volatility
of the stock prices cannot be justified by the changes in fundmentals.
How do you explain?
II.(14 pts)There are three default free zero-coupun bonds available to
investors,each with a face value of $1,000 at maturity:
Bond Year to Maturity YTM
1 1 3%
2 2 2.6%
3 3 2%
(a)Compute the prices of the above three bonds and forward rates f and f
13 23
(b)Given the above yield curve,how do the Expectations Hypothesis and
Liquidity Premium Hypothesis respectively predict the future expected
short-trem rates?
III.(14 pts)Consider the following stock price evaluation
e e
Pt+1 ┼ Dt+1
Pt = ───────
1 ┼ Rt
e
where Dt+1 is expected dividend next peroid and R1 is risk-adjusted interest
rate.
(a)Suppose initially the dividends are expected to grow at a constant rate g.
Let g be 4% and current dividend is $5.Assume interest rate is fixed at 10%.
Use this formulation to explain how EMH can explain large fluctuations in
individual stock prices in a short period of time
(b)In order for EMH to explain the above large fluctuations in stock prices,
what assumptions do you need?
IV.(10 pts)How do the following changes in bank's portfolio affect a bank's
risk-adjusted capital-asset ratio?You must explain.
(a)loan default
(b)purchase more Treasury bills
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