課程名稱︰貨幣銀行學
課程性質︰必修
課程教師︰李怡庭
開課學院：社科院
開課系所︰經濟系
考試日期（年月日）︰950117
考試時限（分鐘）：110
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
1.(10%)Afeter Enron declared bankruptcy, the interest rates on Baa bonds
rose by 24 basis points, and the interest rates on Aaa bonds fell by 20 basis
points.Did the spread between interest rates on Aaa and Baa bonds rise or fall?
Use the demand and supply for bonds to explain the change in the interest
spread.
2.Event(Dec. 27,2006)By the end of regular trading in the market of treasury
securities, the 2-year yield stands at 4.38%, while 5-year notes yields 4.29%,
just 4 basis points more than three-month rate of 4.25%.
Answer the following questions:
(1)(4%)Show the yield curve for treasury securities on Dec.27,2006.
(2)(10%)If the expectation theory is the correct theory of the term structure,
what is the market predicting about the movement of future short-term interest
rates?What might the yield curve indicate about the market's predictions about
inflation rate in the future?State the key assumptions and proposition of the
expectations theory and explain.
(3)(8%)If the liquidity premium theory is the correct theory of the term
stucture,what is the market predicting about the movement of future short-term
interest rates?State the key assumptions and proposition of liquidity premium
theory.
3.請說明下列各方式是否足以解決金融市場的反選擇問題(adverse selection)?
(1)(6%)政府規範企業提供訊息
(2)(10%)銀行
4.Banking management
(1)(10%)How have the development of new financial instruments such as
negotiable CDs and an expansion of overnight loan markets changed bank's
liability management and asset management?
(2)(8%)銀行與顧客保持長期的關係為何有助於減低銀行面臨的訊息不對等的問題?
5.A銀行的資產負債表如下:
資產 負債(億元)
-----------------------------------------------------------------------
準備金 25 存款 200
放款 175 向他行借款 28
民營企業債券 20 資本 22
--------------------------------- ------------------------------
250 250
請回答下列問題:
(1)A銀行對某企業信用放款3億元且沒有保證人。現在該企業宣布倒閉
a.(12%)A銀行的資產負債表發生什麼變化?假設政府將銀行資本適足率由8%調高至10%。
請問A銀行是否滿足新規定?銀行經理可以採取哪些措施應付這個狀況?
請列舉兩項措施說明。
b.(10%)假設現在景氣蕭條，企業倒帳頻傳，如果整體銀沆都面臨類似A銀行的狀況，
說明調高資本適足率是否會加深景氣的蕭條。
(2)(12%)法定存款準備率是10%。假設存戶提領現金10億元，此時銀行經理可以採取什麼
措施來應付這麼狀況？銀行的資產負債表會發生什麼變化？採取這些措施有什麼成本?
請列舉兩項成本較低的措施說明。
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