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）︰2012/1/13
考試時限（分鐘）：120mins
是否需發放獎勵金：yes
（如未明確表示，則不予發放）
試題 :
1.(20points) Consider a manager issue debts(corporate bonds) to finance
investment, paying 5% of interest rate. He has two choice: (i)Safe investment:
yields a fixed net rate of return 7%；and (ii) Risky investment: yields 80% of
net rate of return with probability 0.05, 0% of net return with probability
0.95. There is limited liability of the debts.
(a) which investment has a higher net expected return? Which investment will
the manager choose?(hint: To see which investment the manager chooses, compute
expected return to the borrower (manager) for the two investments)
(b) which type of asymmetric information is this? How can net worth or
collateral mitigate this problem.
2. (8 points) Recent research finds that the single most important factor
behind the recent rise in delinquencies and foreclosures in U.S. has been
the sharp decline in house prices. Briefly explain why falling real estate
prices lead to increased default rates and loan losses at banks?
3. (8 points) Explain how a sudden depreciation in domestic currency may
worsen the asymmetric information problem and deepen a financial crisis.
4. (8 points) During the sub-prime crisis, the decline of house prices
accelerated, defaults and foreclosures on mortgages rose rapidly. How
does it affect the shadow banking system, such as SIVs?
5. (8 points) Explain why the episode of so-called"Mississippi Bubble",
in June 1720 can be possibly supported by economic fundamentals. And
what was the possible cause for the downfall if John Law?
6. (8 points) In the article "Can monetary policy really be used to
stabilise asset prices? " by Assenmacher-Wesche and Gerlach(2008),
they find that monetary policy cannot do the job. Briefly explain why.
7. (8 points) Explain why securitization may lower the lending standards
of mortgage lenders and brokers and its consequence.
8. (8 points) What was the main difference between the Great Depression
1929 and previous financial crisis in the past, i.e., why did the recession
in the Great Depression went so deep and dragged so long?
9. (8 points) Sometimes banks restrict themselves from making more loan, i.e.
credit rationing(信用分配). Explain the intuition behind this behavior.
10.(8 points) As in the papers we discussed in the class, housing wealth
accounts for a larger share in Taiwan's household wealth and Taiwan has a
higher ownership rate, but is is found that the housing wealth effect
on consumption is insignficant, compared with other advanced countries.
Explain this observation.
11.(8 points) Brief explain the graph below regarding the movents of household
debt, and wealth is U.S. before and after the sub-prime crisis.
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