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課程名稱︰貨幣銀行學一
課程性質︰必修
課程教師︰陳南光
開課學院：社會科學院
開課系所︰經濟學系
考試日期（年月日）︰2009/11/13
考試時限（分鐘）：110min
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
Total:102 points
(1)(18 pts.) There are two default-free zero-coupon bonds available
to investors, each with a face value of $1000 at maturity.
Suppose the spot rates of the one-year and the two-year bond are
r01 = 2%, r02 = 2.6%, respectivly. Answer the following questions.
(1a) What is the forward rate f12 implied by the spot rates? What
assumption do you impose when computing the forward rate?
(1b)Under Liquidity Premium Theory, is the expected short-term rate
higher or lower than the forward rate? Explain.
(1c)Suppose the public expects that the future short-term interest rate
will rise to 5%. According to the Liquidity Premium Theory, will
an investor happy to purchase a long term bond? How would the
investors react?
(2)(12 pts) The essential properties of a medium of exchange(MOE)
include widely accepted, easily standardized, divisible, easily portable
, and durable.
(2a) Which is not an intrinsic property?
(2b) Is legal tender must be a MOE at any time? Is a MOE must be legal
tender? Is a means of payment(MOP) must be a MOE? Explain.
(3)(12pts.) Suppose the 10-year nominal rate for a nominal T-bond is 3%,
and a Treasury inflation-protected securitied(TIPS) guarantees a 0.8%
real return. At the same time, since nominal bond holders are
compensated by a premium for the inflation risk of 1%, and TIPS holders are
compensated by a premium for lower liquidity of 0.6%.
(3a) What does this imply for TIPS-derived expected inflation rate?
(3b)Suppose the realized inflation rate turns out to be 5%, what are
the ex-post real rates of return fo bondholders of TIPS and nominal
T-bond respectively?
(4)(12 pts.) Measures of Money
(4a) M1B之中有那些是商業銀行的負債？政府存款與信用卡消費餘額應計入貨幣
總計數嗎？理由分別是什麼？
(4b)How to choose a good measure of money from the central bander's
point of view? Does the central band need various measures of money?
(5)(12 pts.) E-money
(5a)How would the development of e-money affect the liability
of the central bank? And how does it affect the central bank's
seignorage?
(5b)Explain the differences between e-money products and the following
access products:
(i)Prepaid telephone cards
(ii)Transferring funds using on-line banking
(6)(6 pts) Suppose the face value of a 10-year US Treasury bond is
F=$1000. The semi-annual coupon rate is 0.1%. Suppose the price of the
bond is currently at P=998. What is the implied annual yield-to-maturity
(YTM)? (Simply write down the formula for solving the interest rate.
You do not have to solve it.)
(7)(6 pts) 根據中央銀行對於直接金融與間接金融的定義，當央行降低銀行的
資產能投資於股票的比例時，這對於我國的直接金融比率有何影響？請解釋。
(8)(6 pts) 你認為Menger的"演化論"貨幣起源說能夠解釋人們為何突然不接受
法令貨幣(Fiat money)嗎？為什麼？
(9)(6 pts)Explain intuitively why the high yield spread(HYS) is a good
predictor for future economic activity.
(10)(6 pts) What are the difference between Repurchase Agreements
(Repos or RPs) and commercial papers. Explain why Repos is an important
financial instrument fo financial institutions.
(11)(6 pts) Duting the sub-prime crisis(late 2008), the
Treasury-Eurodollar (TED) Spread rose substantially. Explain.
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