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）︰97/01/17
考試時限（分鐘）：10:20-12:00
是否需發放獎勵金：要
（如未明確表示，則不予發放）
試題 :
1.Event:(Nov. 30, 2007) By the end of regular trading in the market of
Treasury securities, the three-month rate is 4.58% the 2-year notes yields
4.73%, and 10-year yield 5.12%. (Dec. 20, 2007) The three-month rate stands
at 4.65%, the 2-year and 10-year yields are 4.89% and 5.25%, respectively.
Answer the following questions:
(1) (4%) Show the yield curves for treasury securities on Nov.30 and Dec. 20,
2007.
(2) (16%) If the interest rates of bonds of different maturities move as we
see in question(1), which theory (or theories) of the term structure would
you be more willing to accept? Explain.(State the key assumptions and
proposition of the theory)
(3) (7%) Suppose you believe the the expectations theory is the correct
theory of the term structure. If you see the yield curve on Nov.30,2007,
what would you think of the market's prediction about the movement of
short-term interest rates and inflation rates in the future? Explain.
2.(1)(8%) 私部門提供訊息以解決金融市場訊息不對稱問題時會有「搭便車」(free
rider)的問題。而銀行解決訊息不對稱如何避免「搭便車」的問題？
(2)(12%) 銀行辦理「信貸承諾」(loan commitments) 有什麼好處？請說明銀行辦理
「貸款承諾」可能遭遇到什麼信用風險？
3.(12%) The Bush tax cut passed in 2001 scheduled a reduction of the top
income tax bracket from 39% to 35% over a ten-year period. What is the
effect of this income tax decrease on interest rates in the municipal bond
market relative to those in the Treasury bonds market? Use the demand and
supply for bonds to explain the change in the interest spread.
4.A銀行的資產負債表如下
資產 負債(億元)
-----------------------------------------------------------
準備金 25 存款 240
央行三個月期定期存單 120 向他行借款 20
民營企業債券 40
放款 100 資本 25
---------------------------- ---------------------------
285 285
請回答下列問題：
(1) (16%) A銀行對某企業信用放款5億元，抵押貸款15億元。假設現在景氣蕭條，該企業
宣布倒閉，A銀行拍賣抵押品獲得5億元。
(a) A銀行的資產負債表發生什麼變化？
(b) 假設政府規定銀行資本不得低於風險性資產的比例為10%，請問A銀行是否滿足此
一規定？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。
(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
麼措施來應付這個狀況？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？請列舉兩項成本最低的措施說明。
5. Suppose Band B has the following balance sheet.
Asset Liability(million)
--------------------------------------------------------------
Reserves $40 Variable-rate CDs $40
one-month commercial Long-term CDs $20
paper $20 Checkable deposits $50
Long-term securities $30 Equity capital $20
Variable-rate loans $30
Long term fixed-rate
loans $10
--------------------------------------------------------------
(1) (8%) What are the rate sensitive assets? What are the rate-sensitive
liabilities? Calculate the "gap" for Bank B. If interest rate suddenly
increases from 10% to 11%, how do Band B's profits change?
(2) (8%) Suppose that the average duration of Bank B's asset is 3 years. while
the average duration of its liabilities is 2 years. How does Bank B's net
worth change if interest rate increases from 10% to 11%?
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