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：經濟系
考試日期（年月日）：2010/11/12
考試時限（分鐘）：120 mins
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題：
Total: 105 points
(1) (14pts) 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?
Under Liquidity Premium Theory, is the expected short-term rate
higher or lower than the forward rate? Explain.
(1b) 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) (14pts) 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? Explain.
(2b) Is a MOE must be legal tender? Is a means of payment(MOP) must be
a MOE? Explain.
(3) (14pts) Measures of Money
(3a) What items in M1B are the liabilities of the commercial banks?
Should government deposits and the balances of credit charges included
in the monetary aggregates? Explain.
(3b)How to choose a good measure of money from the central banker's
point of view? Does the central band need various measures of money?
(4) (7pts) Explain the differences between e-money and using on-line
banking to transferring funds.
(5) (7pts) Suppose the 10-year nominal rate for a nominal T-bond is 3%,
and a Treasury inflation-protected securities (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 0.5%, and TIPS holders
are compensated by a premium for lower liquidity of 0.6%. Compute the
TIPS-derived expected inflation rate adjusted for inflation and liquidity risk.
(6) (7pts) When the price of a coupon bond is close to its face value,
the current yield is a good approximate of the YTM. Explain.
(7) (7pts) 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(比如，原來最高15%降為10%)，這對於我國的直接
金融比率有何影響？請解釋。
(8) (7pts) Can Menger’s evolutionary view of the origin of money explain
why the public may suddenly abandon fait money? Explain.
(9) (7pts) Explain intuitively why the high yield spread(HYS) is a
good predictor for future economic activity.
(10) (7pts) 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) (7pts) During the sub-prime crisis(late 2008), the Treasury-Eurodollar
(TED) Spread rose to historic high. Explain what TED spread is and why it
increased substantially.
(12) (7pts) Explain briefly how the financial services view explains the
effect of finance development on economic growth.
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※ 編輯: hsin0331 來自: 220.133.14.232 (11/13 10:45)