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精选-国际货币与金融经济学课后习题答案

Answers to End of Chapter Questions

Chapter 1

Keeping Up With a Changing World-Trade Flows, Capital Flows, and the Balance Of Payments

1. The balance on merchandise trade is the difference between exports of goods, 719 and the

imports of goods, 1,145, for a deficit of 426. The balance on goods, services and income is 719 + 279 +284 – 1145 - 210 – 269, for a deficit of 342. Adding unilateral transfers to this gives a current account deficit of 391, [-342 + (-49) = -391]. (Note that income receipts are credits and income payments are debits.)

2. Because the current account balance is a deficit of 391, then without a statistical

discrepancy, the capital account is a surplus of 391. In this problem, however, the statistical discrepancy is recorded as a positive amount (credit) of 11. Hence, the sum of the debits in the balance of payments must exceed the credits by 11. So, the deficit of the current account must be greater than the surplus on the capital account by 11. The capital account, therefore, is a surplus of 391 – 11 = 380.

3. A balance-of-payments equilibrium is when the debits and credits in the current account and

the private capital account sum to zero. In the problem above we do not know the private capital account balance. We cannot say, therefore, whether this country is experiencing

a balance-of-payments surplus or deficit or if it is in equilibrium.

4 The current account is a deficit of $541,830 and the private capital account balance is a

surplus of $369,068. The U.S., therefore, has a balance of payments deficit.

5 Positive aspects of being a net debtor include the possibility of financing domestic

investment that is not possible through domestic savings; thereby allowing for domestic capital stock growth which may allow job, productivity, and income growth. Negative aspects include the fact that foreign savings may be used to finance domestic consumption rather than domestic savings; which will compromise the growth suggested above.

Positive aspects of being a net creditor include the ownership of foreign assets which can represent an income flows to the crediting country. Further, the net creditor position also implies a net exporting position. A negative aspect of being a net creditor includes the fact that foreign investment may substitute for domestic investment.

6 A nation may desire to receive both portfolio and direct investment due to the type of

investment each represents. Portfolio investment is a financial investment while direct investment is dominated by the purchase of actual, real, productive assets. To the extent that a country can benefit by each type of investment, it will desire both types of investment.

Further, portfolio investment tends to be short-run in nature, while FDI tends to be long-run in nature. This is also addressed in much greater detail in Chapter 7.

7. Domestic Savings - Domestic Investment = Current Account Balance

Domestic Savings - Domestic Investment = Net Capital Flows

Therefore, Current Account Balance = Net Capital Flows

8 Using the equations above, private savings of 5 percent of income, government savings of

-1 percent, and investment expenditures of 10 percent would results in a current account deficit of 6 percent of income and a capital account surplus (net capital inflows) of 6 percent of income. This could be corrected with a reduction in the government deficit (to a surplus) and/or an increase in private savings.

Chapter 2

The Market for Foreign Exchange

1. Because it costs fewer dollars to purchase a euro after the exchange rate change, the euro

depreciated relative to the dollar. The rate of depreciation (in absolute value) was [(1.2168 – 1.2201)/1.2201]100 = 0.27 percent.

2. Note that the rates provided are the foreign currency prices of the U.S. dollar. Every value

has been rounded to two decimal places which may cause some differences in answers.

3 The cross rate is 1.702/1.23

4 = 1.379 (€/￡), which is smaller in value than that observed

in the London market. The arbitrageur would purchase ￡587,544 ($1,000,000/1.702) with the $1 million in the New York market. Next they would use the ￡587,544 in London to purchase €837,250 (￡587,544*1.425). Finally, they would sell the €837,250 in the New York market for $1,033,167 (€837,250*1.234). The profit is #33,167.

4. Total trade is (163,681 + 160,829 + 261,180 + 210, 590) = 796,280. Trade with the Euro area

is (163,681 + 261,180) = 424,861. Trade with Canada is (160,829 + 210,590) = 371,419. The weight assigned to the euro is 424,861/796,280 = 0.53 and the weight assigned to the Canadian dollar is 0.47. (Recall the weights must sum to unity.)

Because the base year is 2003, the 2003 EER is 100. The value of the 2004 EER is:

[(0.82/0.88)?0.53 + (1.56/1.59)?0.47]?100 = (0.4939 + 0.4611)?100 = 95.4964, or 95.5. This represents a 4.5 percent depreciation of the U.S. dollar.

5 The real effective exchange rate (REER) for 2003 is still 100. The real rates of exchange

are, for 2003, 0.88?(116.2/111.3) = .9187, 1.59?(116.2/111.7) = 1.6541, and for 2004,

0.82?(119.0/114.4) = 0.8530, 1.56?(119.0/115.6) = 1.6059. The value of the 2004 REER is:

[(0.8530/0.9187)?0.53 + (1.6059/1.6541)?0.47]?100 = (0.4921 + 0.4563)?100 = 94.84, or 94.8.

This represents a 5.2 percent depreciation of the U.S. dollar in real terms

6. This is a nominal appreciation of the euro relative to the U.S. dollar. The percent change

is [(1.19 –1.05)/1.05]?100 = 13.3 percent.

7. The January 200 real exchange rate is 1.05?(107.5/112.7) = 1.0016. The May 2004 real rate

is 1.19?(116.4/122.2) = 1.1335.

8 In real terms the euro appreciated relative to the U.S. dollar. The rate of appreciation

is [(1.1335 – 1.0016)/1.0016]*100 = 13.17 percent.

9 Absolute PPP suggests the May 2004 exchange rate should be 122.2/116.4 = 1.0498. The actual

exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar by (1.19 – 1.0498)/1.0498]?100 = 13.35 percent.

10Relative PPP can be used to calculate a predicted value of the exchange rate as: S PPP = 1.05?[(122.2/112.7)/(116.4/107.5)] = 1.0014.

11. The actual exchange rate is 1.19. Hence, the euro is overvalued relative to the U.S. dollar

by (1.19 –1.0014)/1.0014]?100 = 18.83 percent.

Chapter 3

Exchange Rate Systems, Past to Present

1. Ranking the various exchange rate arrangements by flexibility is not so clear cut.

Nonetheless the arrangements described in this chapter are (from fixed to flexible): dollarization, currency board, commodity (standard) peg, dollar (standard) peg,

currency basket peg, crawling peg, managed float, flexible.

2. The two primary functions of the International Monetary Fund are: surveillance of member

nations' macroeconomic policies, and to provide liquidity to member nations experiencing payments imbalances.

3. The value of the Canadian dollar relative to gold is CAN$69 (1.38 ? $50) and the value

of the British pound relative to gold is ￡33.33 ($50/1.50).

4. The exchange rate between the Canadian dollar and the British pound is C$/￡2.07 (1.38

? 1.50).

5. The currency value of the peso can be expressed as $0.50 + €.50=P1. The exchange rate

between the dollar and the euro can be used to convert the euro amount to its dollar equivalent of $0.55. Hence, $1.05=P1, or and exchange value of 0.952 P/$. Using the exchange rate between the dollar and the euro again, the exchange rate between the peso and the euro is 0.1.048 P/€ (0.952 P/$ ? 1.10 $/€).

6. Because $1.05 is the currency content of the basket, as shown above, and $0.50 of that

content is attributable to the dollar, the weight assigned to the dollar is 0.50/1.05 = 0.476, or 47.6 percent. Because the weights must sum to unity, the weight assigned to the euro is 52.4 percent.

7. The main difference between the two systems was that, in the Smithsonian system, the dollar

was not pegged to the value of gold. One reason that the system was short was because there was little confidence that U.S. economic policy would be conducted in a manner conducive to a system of pegged exchange rates.

8. The principle responsibilities of a currency board are to issue domestic currency notes

and peg the value of the domestic currency. A currency board is not allowed to purchase domestic debt, act as a lender of last resort, or set reserve requirements.

9. The Lourve accord established unofficial limits on currency value movements. In a sense,

it was peg with bands for each of the main currencies (dollar, yen and mark).

10. Differences in the fundamental determinants of currency values between the pegging

country and the other country should be considered. To this point of the text, the rate of inflation is a good example. Relative PPP can be used to determine the rate of crawl.

11. Under a currency board system, a nation still maintains its domestic currency. Hence,

policymakers can change exchange rate policies and monetary policies if they so desire.

When a nation dollarizes and disposes of its domestic currency it no longer has this option.

Chapter 4

The Forward Currency Market and International Financial Arbitrage

1. Given that the exchange rate is expressed as dollars to euros, we treat the dollar as the domestic currency. Note also that interest rates are quoted on an annual basis even though the

maturity period is only one month. In this problem we divide the interest rates by 12 to put them on a one-month basis.

a. The interest rate differential, therefore, is (1.75%/12 - 3.25%/12) = -0.125%. The

forward premium/discount, expressed as a percentage, is calculated as:

((F-S)/S)?100 = ((1.089 –1.072)/1.072)?100=1.5858%

b. Transaction costs are shown in the figure above by the dashed lines that interest the

horizontal axis at values of -1.00 and 1.00.

c. The positive value indicates that the euro is selling at a premium. In addition, the interest

rate differential favors the euro-denominated instrument. Hence, a saver shift funds to euro-denominated instruments.

2. Using the provided information:

(1.75/12) – (3.25/12) < [(1.089 - 1.072/1.072)]?100

-0.125% < 1.5858%.

Graph 1, the spot market for the euro.

R –

450

(F-S

)/S

-0.1

1.58

1.00

-1.0

$/€$/€

In graph 1,

the demand for the euro rises as international savers shift funds into euro-denominated instruments. In graph 2, the supply of euros increases in the forward market. (Consider a U.S. saver that moves funds into a euro-denominated instrument. They would desire to sell the euro forward so they may convert euro-denominated proceeds at the time of maturity into their dollar equivalent.) Graph 3 illustrates a decrease in loanable funds in the United States as savers shift funds to euro-denominated instruments. Graph 4 illustrates the increase in the supply of loanable funds that occurs when savers shift funds to the euro-denominated instrument.

4. Because (1.03125) > (1.04250)(1.4575/1.5245) = 0.9967, an arbitrage opportunity exists in

this example if one were to borrow the pound and lend the euro. Suppose you were to borrow one pound, the steps are then:

a. Borrow ￡1, convert to €1.5245 on the spot market.

b. Lend euros, yielding €1.5245?(1.03125) = €1.5721.

c. See euros forward, yielding €1.5721/1.4575 = ￡1.0787.

d. Repay the pound loan at ￡1?(1.04250) = ￡1.04250.

e. The profit is ￡0.0362, or 3.62 percent.

5. Because interest rates are quoted as annualized rates, we need to divide each interest rate

by 4 (12/3). The uncovered interest parity equation is:

R -R* = (S e+1 - S) /S

a. Rewriting the equation for the expected future expected exchange rate yields:

S e+1 = [(R- R*) + 1]S

b. Using the values given yields the expected future spot rate

S e+1 = [(0.0124/4 - 0.0366/4) + 1]?1.5245 = 1.5153.

6. Given this information, we can calculate the forward premium/discount with the UIP condition:

(F - S)/S = R - R*

The interest differential is 1.75% - 3.25% = 1.5%. This is the expected forward premium on the euro. Hence, (F – 1.08)/1.08 = 0.015 implies that F = 1.0962.

7. We can adjust for the shorter maturity by dividing the interest rates by 2 (12/6). Now the

interest differential is 0.75%, still a forward premium on the euro. The forward rate now is (F – 1.08)/1.08 = 0.0075 implies that F = 1.0881.

8. The U.S. real rate is 1.24% – 2.1% = -0.86% and the Canadian real rate is 2.15% – 2.6% =

-0.45%. Ignoring transaction costs, because the real interest rates are not equal, real interest parity does not hold.

9. Uncovered interest parity is R -R* = (S e+1 - S) /S + ρ.

a. Using the same process as in question 5 above, the expected future spot rate is:

S e+1 = [(R- R*) + 1]S,

S e+1 = [(0.075 - 0.035) + 1]?30.35 = 31.564.

b. Using the same process as in question 5 above, the expected future spot rate is:

S e+1 = [(R- R*) + 1 - ρ]S,

S e+1 = [(0.075 - 0.035) + 1 –0.02]?30.35 = 30.957.

10. Because the forward rate, 30.01, is less than the expected future spot rate, 30.957, you should

sell the koruna forward. For example, $1 would purcase k30.957, which you could sell forward yielding k30.957/30.01 = $1.0316.

11. International financial instruments:

a. Global Bond: long term instruments issued in the domestic currency.

b. Eurobond: term is longer than one year and is issued in a foreign currency.

c. Eurocurrency: keyword is that it is a deposit.

d. Global equity: keyword is that it is a shar

Chapter 7

The International Financial Architecture and Emerging Economies

1. The difference between direct and indirect financing has to do with whether the borrower and

lender seek each other out or whether an intermediary matches borrowers and lenders. Direct financing requires no intermediary to match savers and borrowers. An economy will benefit from having both direct and indirect financing because both are appropriate ways to save and invest under different circumstances. As discussed in the text, financial intermediaries absorb a fraction of each saver's dollar that is borrowed. Thus, the intermediary takes some of the funds that otherwise would have gone to a borrower. However, the financial

intermediary provides an important service by reducing information asymmetries, allowing savers to pool risk, and matching risk and return. Therefore, when an individual cannot research these issues on his/her own, the intermediary is necessary to help the financial markets operate. However, a strong bond market, in which borrowers and savers can directly interact, allows for informed parties to save the funds that otherwise would go to an intermediary. This, in turn, uses the savings more efficiently.

2. Portfolio flows are relatively short term in nature (have a shorter term to maturity), involve

lower borrowing costs, and can generate near-term income. They also do not require a firm to give up control to a foreign investor. Consequently, they may help to improve capital allocation within an economy and help the economy's financial sector develop. These are all potential benefits of portfolio investments. By the same token, however, they are also relatively easy to reverse in direction, which is a potential disadvantage of portfolio investment.

On the other hand, foreign direct investment (FDI) involve some degree of ownership and control of a foreign firm, are typically long term in nature, and help provide a stabilizing influence on a nation's economy. As such, FDI is typically more difficult to arrange.

It is not advantageous to rely on either type of investment exclusively, in so far as each type accomplishes different goals for an economy. Both near-and long-term capital are important for an economy's growth.

3. As either portfolio investment of FDI increase, the demand for the local currency rises (e.g.,

there is a shift from D0to D1), which puts upward pressure on the value of the currency, from S0 to S1. If the central bank expects to hold the value of the currency constant at S0, it will have to increase the quantity of the domestic currency supplied (e.g., accommodate the excess quantity demanded at the initial spot rate S

0) to maintain the peg. The opposite would hold for capital outflows.

4. Suppose that a multinational bank (MNB) headquartered in a developed economy enters a

developing economy. The MNB has gained considerable expertise in working as a financial

Q s Q d

intermediary, and likely has achieved economies of scale in doing so. By entering a foreign market, it helps to allocate the savings more efficiently through its intermediation services;

which in turn will lead to additional economic development. Specifically, it should help to make sure that the best investment projects are funded. Moreover, the competition it introduces into the capital market helps to improve the quality of the indigenous financial intermediaries. This, in turn, should also add to financial stability.

5. Savers and borrowers can also benefit from the regulation of financial intermediaries when

portfolio capital flows dominate a country's capital inflows. It can be argued that regulation to limit short-term inflows can stabilize the economy and that these regulations can be gradually lifted as the economy becomes more stable (financial markets develop) and resilient to external shocks. These regulations do impose costs in that they require resources to enforce, and may inhibit otherwise helpful capital inflows which may aid economic development. However, these costs must be considered against the potential losses that may be incurred if the absence of capital controls would lead to more volatile and capital markets (which may deter the inflow of foreign capital).

6. Policymakers should undertake actions that attract both portfolio capital flows and FDI flows.

Actions that improve transparency in both the private a public sector reduces information asymmetries and their associate problems thereby making portfolio flows more stable, in other words, reducing the risk of massive capital outflows. Policymakers may also undertake actions that promote education, improve the tax structure and tax collection, and improve the countries infrastructure. These actions may, in turn, attract FDI.

7. In the following two examples it is assumed that the policymaker maintains a pegged-exchange

rate regime and does not opt for a floating-rate regime. Hence, the policymaker may either intervene and maintain the peg or change the value of the peg. In both cases there is pressure for the domestic currency to appreciate vis a vis the foreign currency.

a. If the exchange rate pressure is only temporary in nature, then the policymaker may

intervene by accommodating the excess quantity demanded, as explained in question 3 above.

b. Because the exchange rate pressure is longer-term in nature, the policymaker would be

well advised to revalue the domestic currency.

8. The World Bank was initially established to help countries rebuild after WWII and in the 1960s

expanded to also make long term loans to developing nations in order to help reduce poverty and improve living standards. Recently, some of the World Bank's activities have begun to overlap the IMF's activities to finance long-term structural adjustments and provide refinancing for some heavily indebted countries. Critics may argue that the tasks that are duplicated by the IMF and the World Bank create conflicting goals for the World Bank. Thus, the two organizations may each benefit by focusing on different aims. For instance, the IMF may return to financing shorter-term objectives and leave the World Bank to worry about longer-term projects.

Another conflicting line of reasoning involves donors' expectation that the World Bank maintain a revenue stream form its projects. This can be argues as unrealistic, however, in that the poorest countries are less likely to yield a payoff for the needed projects; and these are precisely the countries that the World Bank is designed and intended to help. On the other hand, the less risky projects, which could provide a positive revenue stream are likely to attract private capital.

9. The first cause of a crisis could be an imbalance in the economy. In other words, an

incongruity in economic fundamentals could cause a crisis. Possible indicators include theoretical divergences between various economic variables such as the exchange rate and interest rates, income, and money supply. In terms of evaluation, if fundamental economic variables seem to be out of line, there may be an impending crisis.

A second cause is that of self-fulfilling expectations and contagion effects. In this case,

mere expectations of a potential inability to maintain a specified exchange rate or a slight incongruity between economic conditions and the market exchange rate may cause a cascade of speculation that leads to a crisis. Since this is based on perception, it is difficult to find an indicator. One possible indicator would be trading volumes of currency for countries that may be at risk from the viewpoint of economic fundamentals. If trading volumes grew quickly, a crisis may be on the horizon.

Finally, the structural moral hazard problem may indicate a crisis. In this case, a credit rating bureau, such as Moody's may provide the data needed to indicate a potential crisis.

The quality of the credit rating would be relatively easily interpreted to indicate a potential crisis.

10. It can be argued that such below market interest rate loans are critical for a developing

nation's economy in order for the economy to grow unburdened by high interest payments when it is trying to funnel profits back into the economy and sustain growth. Conversely, providing these non-market rate loans can also be argued to distort the market for loanable funds and attract inefficient investment. Students' perspectives will vary as to which argument is the best.

Chapter 8

Traditional Approaches to Exchange-Rate and Balance-Of-Payments Determination

1. Using the formula provided in the question, the elasticity of foreign exchange demand is,

in absolute value ()(),5236.01818.00952.020.100.12/100.120.12002202/1220200==??

????+-??

????+- and the elasticity of foreign exchange supply is ()().5782.01818.01053.020.100.12/100.120.12001802/1180200==??

????+-??

????+- 2.

A 1 percent depreciation of the Canadian dollar results in a 0.52 percent decline in imports demanded and a rise of 0.58 percent in exports supplied. 3. In absolute value, the smallest elasticity measure (most inelastic) is Germany’s elasticity

of import demand from the U.K. In absolute value, the largest elasticity measure (most elastic) is the United States’ elasticity of demand for imports from G ermany.

4. Table 8-1 provides measures of the price elasticity of import demand. If the U.S. dollar

depreciates relative to the Japanese yen, U.S. exports become relatively less expensive to Japanese consumers and Japanese exports become relatively more expensive to U.S. consumers.

a. The U.S. quantity of imports demanded from Japan falls by 1.13 percent.

b. Japan’s quantity of imports demanded from the U.S. rises by 0.72 percent.

c. Because U.S. exports rise and imports decline, the trade balance should improve.

5. The trade balance may not improve in the short-run because of pass-through and J-curve effects.

Over a longer time horizon, import demand is relative more elastic and the trade balance should improve. 6. If the Canadian dollar depreciates relative to the U.S. dollar, then the quantity of hockey

pucks demanded declines. Hence, Slovakian manufacturers would have to absorb all of the exchange rate change in their profit margins and the price of hockey pucks would have to decline by 5 percent for the quantity demanded to remain unchanged.

Using the values given in the problem:

a. real income, y, equals c + i + g + x = $23,500, absorption, a, equals c + i + g + im = $24,000.

b. Net exports, x - im, equals -$500. Therefore, there is a trade deficit of $500. 8.

Net exports now equal $550 - $950 = $400. The devaluation did improve the external balance. 9. The advertising campaign would induce consumers to increase expenditures on domestic output

and decrease expenditures on foreign output. Domestic absorption will rise and, if

expenditures on imports decrease, the trade balance improves.

10. As the U.S. economy expands, we would expect real income and real absorption to increase.

On the one hand, if real income increases more than real absorption, net exports will rise. This would lead to an appreciation of the U.S. dollar. If, on the other hand, real absorption rises faster than real income, net exports fall. This would lead to a depreciation of the U.S. dollar.

Chapter 9

Monetary and Portfolio Approaches to Exchange-Rate and Balance-of-Payments Determination

1. Using the formula provided on page 222, m(DC + FER) = kSP*y.

a. The money stock is 2($1,000 + $80) = $2,160 million.

b. The level of real income is: [2($1,000 + $80)]/[(0.20)(1.2)(2)] = $4,500 million.

2 An open market purchase of securities in the amount of $10 million:

a. A fixed exchange rate regime requires a decrease in foreign reserves in an equal amount.

Hence, this action results in a balance of payments deficit in the amount of $10 million.

b. A flexible exchange rate regime results in a new spot exchange rate of 2.019, which is

a depreciation of the domestic currency. This problem is solved by using the value for

real income derived in 5 b above: [(2($1,010 + 80)]/[(0.20)(1.2)($4,500)] = 2.019. 3. The wealth identity is given on page 229 as W≡ M + B+ SB*. An open market sale of securities

would reduce bank reserves, increasing the domestic interest rate. Individuals would shift from foreign bonds to domestic bonds, leading to an appreciation of the domestic currency.

Under a fixed exchange rate, the open market sale would result in an improvement of the domestic nation’s balance of payments. (The elasticity diagrams in Chapter 8 are useful in answering this question.)

4. This answer is an illustration of problem 3 under flexible exchange rates. The open market

sale would cause an increase in the demand for the domestic currency and the domestic currency would appreciate as a result.

5. The wealth identity is giv en on page 315 as W≡ M + B SB*. From the foreign nation it is

W ≡ M* + B* + (1/S)B. An open market sale of securities by the foreign central bank would reduce foreign bank reserves, increasing the foreign interest rate relative to the domestic interest rate. Individuals would shift from domestic bonds to foreign bonds, leading to an depreciation of the domestic currency.

Chapter11

Economic Policy with Fixed Exchange Rates

(Chose the right answers from the following 10 answers by yourself . SuGuangjin）

1. Achieving a balance-of-payments surplus requires that the sum of the capital account balance

and current account balance is positive, which requires a higher interest rate to attract greater capital inflows and lower real income to dampen import spending. Consequently, the BP schedule would lie above and to the left of the position it otherwise would have occupied if the external-balance objective were to ensure only a balance-of- payments equilibrium.

Undoubtedly, if the central bank felt pressure to sterilize under the latter objective, the pressure to do so would be greater if it seeks to attain a balance-of-payments surplus, which would require the central bank to steadily acquire foreign-exchange reserves. In the absence of sterilization, the nation's money stock would steadily decline.

2. In this situation, variations in the domestic interest rate relative to interest rates in

other nations would have not effect on the nation's capital account balance and its balance of payments. Its BP schedule, therefore, would be vertical. An expansionary fiscal policy, given a fixed exchange rate (as assumed in this chapter), would cause the IS schedule to shift rightward, initially inducing a rise in equilibrium real income. This, however, would cause import spending to increase, and the nation would experience a balance-of-payments deficit, which would place downward pressure on the value of its currency. To prevent a change in the exchange rate, the central bank would have to sell foreign exchange reserves. If this

intervention is unsterilized, then the nation's money stock would decline, ultimately causing the LM schedule to shift back too a final IS-LM equilibrium at a point vertically above the initial equilibrium point, along the vertical BP schedule.

3. A reduction in the quantity of money shifts the LM schedule leftward. At the new IS-LM

equilibrium, the nominal interest rate rises and real income declines. Irrespective of the shape of the BP schedule, this would result in a balance of payment surplus, which would tend to place upward pressure on the value of the nation's currency. To maintain a fixed exchange rate, the central bank would have to purchase foreign exchange reserves. If this

foreign-exchange-market intervention is unsterilized, then the nation's money stock

increases, causing the LM schedule to shift back to the right. Ultimately, the original IS-LM equilibrium is re-attained.

4. If capital is highly mobile, a drop in government spending will likely cause a private payments

deficit. The fall in income will cause a decrease in imports and a trade surplus. As the domestic interest rate increases, however, the capital outflow will lead to a private payments deficit. If capital is not mobile, the capital outflows are likely not large enough to counteract the effect of a drop in imports. Therefore, a private payments surplus would result.

5. A contractionary fiscal policy action, such as a reduction in government spending, causes

the IS schedule to shift leftward, inducing an initial decline in the nominal interest rate and reduction in real income. As a result, there is a capital outflow and fall in import spending. Because capital is highly mobile, the capital-outflow effect dominates, and the nation experiences a balance-of-payments deficit. This places downward pressure on the value of the nation's currency, which induces the central bank to sell foreign exchange reserves.

If this action is unsterilized, then the nation's money stock declines, causing the LM schedule to shift back to the left was well, which yields a new IS-LM equilibrium along the BP schedule to the left of the original equilibrium point.

6. If, on the other hand, there is low capital mobility, the nation experiences a

balance-of-payments surplus. This places upward pressure on the value of the nation's currency, which induces the central bank to purchase foreign exchange reserves. If this action is unsterilized, then the nation's money stock rises, causing the LM schedule to shift to the right.

7. A foreign fiscal contraction leads to the foreign IS schedule to shift to the left, resulting

in a lower y* and r*. Financial resources will flow from the foreign country to the domestic country, placing pressure on the domestic currency to gain value. In response, therefore, the domestic central bank purchases foreign exchange to maintain the fixed exchange rate.

Consequently, the domestic money supply rises, leading the domestic country's LM schedule to shift rightward. The lower foreign income level also leads to lower domestic exports (few foreign imports). Therefore, the domestic country's IS schedule shifts left and the foreign country's IS schedule shifts to the right. In both countries' graphs, the BP schedule shifts down to reflect lower interest rates.

8. A domestic fiscal contraction leads to a leftward shift in the domestic IS schedule, resulting

in a lower domestic income level and interest rate. Consequently, domestic imports fall (foreign exports fall). Further, as foreign exports fall, the foreign IS schedule shifts left and decreases foreign income. In turn, domestic exports fall and domestic IS schedule shifts further left. The lower domestic interest rate leads to a capital outflow of the domestic country and puts pressure on the value of the domestic currency to fall. The domestic central bank responds by selling foreign exchange in order to maintain the fixed exchange

rate. As the domestic money supply falls, the domestic LM schedule shifts to the left. Finally, both countries' BP lines shift down to the new lower equilibrium interest rate.

9. A domestic monetary expansion shifts the domestic LM schedule rightward, which reduces the

domestic interest rate. This tends to induce a domestic balance-of-payments deficit and places downward pressure on the value of the domestic currency relative to the foreign currency.

Now, both central banks work together to keep the exchange rate unchanged, so the foreign central bank must increase its own money stock, shifting its LM schedule to the right and reducing the equilibrium foreign interest rate as well. In the end, therefore, both BP schedules shift downward, and the nations' interest rates are equalized, so payments

imbalances are eliminated. Equilibrium real income rises in both nations, so there is a locomotive effect on the foreign country as a result of the domestic monetary expansion, assuming unchanging price levels.

10. A domestic fiscal expansion causes the domestic IS schedule to shift to the right, which raises

the domestic interest rate. This tends to induce a domestic balance-of-payments surplus and places upward pressure on the value of the domestic currency relative to the foreign currency.

Both central banks work together to keep the exchange rate fixed, so the foreign central bank must reduce its own money stock, shifting its LM schedule leftward and increasing the foreign interest rate as well. In the end, both BP schedules shift upward, and the nations' interest rates are equalized, so payments imbalances are eliminated. Equilibrium real income rises in the domestic country but declines in the foreign country. Thus, there is a

beggar-thy-neighbor effect on the foreign country as a result of the domestic fiscal expansion, assuming unchanging price levels.

Chapter12

Economic Policy with Floating Exchange Rates

1. A currency depreciation leads to a rise in exports. To maintain a balance-of-payment

equilibrium, the nominal interest rate must decline, to induce an inflow of financial asset, or real income must rise, to induce a rise in imports. Consequently, the BP schedule, or set of interest rate-real income combinations that yield balance-of-payments equilibrium, must lie down and to the right of its previous position following a depreciation of the home currency.

2. An expansionary fiscal policy action, such as an increase in government expenditures, shifts

the IS schedule rightward along the LM schedule, inducing a rise in equilibrium real income and spurring import spending. Because capital is perfectly immobile, this unambiguously causes a balance-of-payments deficit, which result is a rightward shift of the BP schedule to a crossing point at the final IS-LM equilibrium, with a higher level of real income.

3. The IS schedule shifts to the left as government spending falls. Given the low capital

mobility, there will likely be a private balance-of-payments surplus, resulting in a currency appreciation. Net exports consequently will fall which serves to shift the IS schedule further to the left at the same time as the BP schedule shifts to the left. As a result, the equilibrium interest rate and income level both fall.

4. The contractionary monetary policy shifts the LM schedule up. Given high capital mobility,

this will likely lead to a private balance-of-payments surplus. Thus, the currency will appreciate which will shift the BP line up and the IS schedule left. Thus, income falls and the interest rate rises.

5. As foreign government spending contracts, the foreign IS schedule shifts left. this results

in lower foreign income and interest rates. Capital will flow from the foreign economy to the domestic economy, which puts pressure on the foreign currency to lose value. As a result, domestic exports fall and imports rise (i.e., the domestic IS schedule shifts left) while at the same time foreign exports rise and imports fall (foreign IS shifts right). At the same time, the private balance of payments line shifts down such that each economy is in equilibrium at lower interest rates and lower income levels.

6. As the domestic government spending falls, the domestic IS schedule shifts left. As a result,

domestic income and interest rates fall. There is a capital outflow to the foreign economy and consequently the domestic currency loses value. Net exports rise in the domestic economy and net exports fall in the foreign economy. Thus, the domestic IS schedule shifts partially back to the right and the foreign IS schedule shifts to the left.

7. A rise in Japanese government spending and a Japanese tax cut would have caused the Japanese

IS schedule to shift to the right, driving up Japan's nominal interest rate. This would have induced a capital inflow into Japan, which with near-perfect capital mobility would have caused Japan to experience a balance-of-payments surplus, resulting in a rise in the value of the yen. This, along with the rise in Japanese real income that would have resulted, would have induced Japanese residents to purchase more U.S. export goods, causing the U.S. IS schedule to shift rightward, thereby pushing the U.S. interest rate upward and expanding equilibrium U.S. real income. Hence, this request was in the interest of the United States if its goal was to raise its own real income level.

8. An expansionary monetary policy action in Japan would have raised equilibrium real income

but would have led to a depreciation of the yen. If the effect of higher real income on Japanese spending on U.S. export goods would have been greater than the negative effect on such spending of the lower value of the yen, then this policy action also would have been advantageous for the United States.

9. As discussed in this chapter, fixing exchange rates does not eliminate the potential for risks

resulting from devaluations or revaluations. The fact that so many realignments occurred indicates that individuals and firms would have continued to face this type of risk in a Western European regime of fixed exchange rates.

10. Variability in government spending causes the IS schedule to shift to the right or left. Under

a fixed exchange rate, unsterilized monetary interventions to stabilize the exchange rate

ultimately induce LM shifts that reinforce the real-income effects of IS variations. Under

a floating exchange rate, however, movements in the exchange rate cause net export

expenditures to move in the opposite directions from variations in government spending, which automatically tends to stabilize the IS schedule's position. Thus, in this situation in which money demand is relatively stable, a floating exchange rate is more consistent, as compared with a fixed exchange rate, with real-income stability.

金融经济学》复习题

同等学力申请硕士学位（研修班）考试科目《金融经济学》题库

一、名词解释 1、什么是金融系统？ 2、什么是委托人-代理人问题？ 3、解释内涵报酬率。 4、解释有效投资组合。 5、分别解释远期合约和期货合约。 6、解释无风险资产。 7、什么是互换合约？ 8、简要介绍市盈率倍数法。 9、什么是NPV法则？ 10、解释衍生证券。 11、什么是一价原则？ 12、解释风险厌恶。 13、什么是套期保值？ 14、解释Fisher 分离定理。 15、解释远期利率。 16、什么是风险厌恶者？什么是绝对风险厌恶者？ 17、解释两基金货币分离。 18、解释卖空资产的过程。 19、什么是无摩擦市场？ 20、什么是最小方差证券组合？ 21、解释资本市场线。 22、解释证券市场线。 23、什么是实值期权？二、简答题 1、金融系统的核心职能都有哪些？ 2、简要介绍流动性比率的概念，及衡量流动性的主要比率种类。 3、简要回答“投机者”和“套期保值者”的区别。 4、CAPM模型成立的前提条件是什么？ 5、解释说明证券市场线。 6、根据CAPM，投资者构造最优化投资组合的简单方法是什么？ 7、期货合约和远期合约的不同之处有哪些？ 8、美式期权和欧式期权的区别是什么？ 9、远期价格是对未来现货价格的预测吗？ 10、期货市场中的投机行为有社会价值吗？如果有的话，活跃的投机者对市场经济有什么意义？ 11、资本市场中，资产分散化一定会减少投资组合的风险吗，为什么？

12、风险转移有哪几种方法？ 13、财务报表有哪些重要的经济功能？ 14、财务比率分析有哪些局限性？ 15、简述风险管理过程及其步骤。 16、比较内部融资和外部融资。 17、CAPM模型在验证市场数据时表现出的失效性有哪些可能原因？ 18、保险和风险规避之间的本质区别是什么？ 19、作图并描述不具有资本市场时边际替代率与边际转换率的关系。 20、作图并描述具有资本市场时边际替代率与边际转换率的关系。 21、解释名义利率与实际利率，并用公式表达它们之间的关系。 22、简述固定收益证券价格-收益曲线关系的特征。 23、简述绝对风险厌恶系数与初始财富之间的关系以及其经济意义。 24、简述相对风险厌恶系数与初始财富弹性之间的关系以及经济意义。 25、简述可行集的性质并画出由A,B,C三种证券组成的可行集简图。 26、作图说明风险厌恶者的最优投资策略，并说明市场存在无风险证券时可使参与者效用更高的原因。 27、解释分散化能缩减总风险的原因，并画图表示风险的分散化。 28、简述CAPM模型假设。 29、简述影响期权价格的因素并加以解释。 30、阐述欧式看涨期权和看跌期权之间的平价关系并解释。 31、作图并描述不具有资本市场时边际替代率与边际转换率的关系。 32、作图并描述具有资本市场时边际替代率与边际转换率的关系。 33、解释名义利率与实际利率，并用公式表达它们之间的关系。 34、简述固定收益证券价格-收益曲线关系的特征。 35、简述绝对风险厌恶系数与初始财富之间的关系以及其经济意义。 36、简述相对风险厌恶系数与初始财富弹性之间的关系以及经济意义。 37、简述可行集的性质并画出由A,B,C三种证券组成的可行集简图。 38、作图说明风险厌恶者的最优投资策略，并说明市场存在无风险证券时可使参与者效用更高的原因。 39、解释分散化能缩减总风险的原因，并画图表示风险的分散化。 40、什么是风险厌恶？用数学表达给出风险厌恶的定义。 41、请给出至少两种使得参与者具有均值-偏差偏好的条件？并分析你所给出的条件所带来的限制和约束。三、案例分析 1、以下信息摘自Computronics公司和Digitek公司1996年的财务报表：（除每股数值外，其他数值单位为百万美元）

金融经济学思考与练习题答案

金融经济学思考与练习题（一） 1、在某次实验中，Tversky 和Kahneman 设计了这样两组博彩：第一组：博彩A ：（2500，0.33； 2400，0.66；0，0.01）博彩B ：（2400，1）第二组：博彩C ：（2500，0.33； 0，0.67）博彩D ：（2400，0.34； 0，0.66）实验结果显示，绝大多数实验参与者在第一组中选择了B ，在第二组中选择了C ，Tversky 和Kahneman 由此认为绝大多数实验参与者并不是按照期望效用理论来决策，他们是如何得到这个结论的？解：由于第一组中选择B 说明 1（2400）φ0.33(2500)+0.66(2400)+0.01(0) 相当于 0.66（2400）+0.34（2400）φ0.66(2400)+ 0.34{3433 (2500)+ 34 1 (0)} 根据独立性公理，有 1（2400））φ 3433 (2500)+ 34 1 (0) (*) 第二组选择C 说明 0.33（2500）+0.67(0)φ0.34(2400)+0.66(0) 相当于 0.34{ 3433 (2500)+ 34 1 (0)}+0.66(0)φ0.34(2400)+0.66(0)

根据独立性公理，有 3433 (2500)+ 34 1 (0) φ1(2400) (**) (*)与(**)矛盾，因此独立性公理不成立，绝大多数参与者不是按照期望效应理论决策。 2、如果决策者的效用函数为,1,1)(1≠-=-γγ γ x x u ，问在什么条件下决策者是风险厌恶的，在什么条件下他是风险喜好的？求出决策者的绝对风险厌恶系数和相对风险厌恶系数。解：1)(",)('----==γγγx x u x x u 绝对风险厌恶系数： 1) (') ("-=- =x x u x u R A γ 相对风险厌恶系数： γγ==- =-x x x u x x u R R 1) (')(" 当γ>0时，决策者是风险厌恶的。当γ<0时，决策者是风险喜好的。 3、决策者的效用函数为指数函数,1)(α αx e x u --= ，问他的绝对风险厌恶系数是否会随其财富状态的改变而改变？投保者与保险公司的效用函数均为指数函数，且投保者的α=0.005，保险公司的α=0.003，问投保者与保险公司谁更加风险厌恶？解：αααα=--=- =--x x A e e x u x u R )(')("

金融经济学习题答案

计算题： 1.假定一个经济中有两种消费品1x 、2x ，其价格分别是4和9 ，消费者的效用函数为 12(,)U x x =72，求：（1）消费者的最优消费选择（2）消费者的最大效用。 2.假定一投资者具有如下形式的效用函数：2()w u w e -=-，其中w 是财富，并且0w >，请解答以下问题：（1）证券：a)该投资者具有非满足性偏好；b)该投资者是严格风险厌恶的。（2）求绝对风险规避系数和相对风险规避系数。（3）当投资者的初期财富增加，该投资者在风险资产上的投资会增加？减少？不变？（4）当投资者的初期财富增加1%时，该投资者投资在风险资产上投资增加的百分比是：大于1%？等于1%？小于1%？ 3.假定一定经济中有两种消费品1x 、2x ，其价格分别是3和9 ，消费者的效用函数为 12(,)U x x =+，并且他的财富为180，求：（1）消费者的最优消费选择（2）消费者的最大效用。 4.假定一投资者的效用函数为111()()1B u w A Bw B -= +-，其中w 是财富，并且0B >，m ax[,0]A w B >- ，请回答以下问题：（1）求绝对风险规避系数与相对风险规避系数。（2）当该投资者的初始财富增加时，他对风险资产的需求增加还是减少？为什么？（3）什么情况下，当投资者的初期财富增加1%时，该投资者投资在风险资产上投资增加的百分比是：大于1%？等于1%？小于1%？ 1.解：（1）消费者的最优化问题是 12,12m ax .. 4972 x x s t x x += 先构造拉格朗日函数 12(7249)L x x λ=-- F.O.C ： 1122121140 (1)2L x x x λ-?=-=?

金融经济学(王江)习题解答

金融经济学习题解答王江（初稿，待修改。未经作者许可请勿传阅、拷贝、转载和篡改。) 2006 年 8 月

第2章基本框架 2.1 U(c) 和V (c) 是两个效用函数，c2 R n+，且V (x) = f(U(x))，其中f(￠) 是一正单调函数。证明这两个效用函数表示了相同的偏好。解.假设U(c)表示的偏好关系为o，那么8c1; c22R N+有 U(c1) ? U(c2) , c1 o c2 而f(￠)是正单调函数，因而 V (c1) = f(U(c1)) ? f(U(c2)) = V (c2) , U(c1) ? U(c2) 因此V(c1)?V(c2),c1oc2，即V(c)表示的偏好也是o。 2.2* 在 1 期，经济有两个可能状态a和b，它们的发生概率相等： a b 考虑定义在消费计划c= [c0;c1a;c1b]上的效用函数： U(c) = log c0 + 1 (log c1a + log c1b) 2 3′ U(c) = 1 c01?°+21 1 c11a?°+ 1 c11b?°1?°1?°1?° U(c) = ?e?ac0?21? e?ac0+e?ac0 ￠证明它们满足：不满足性、连续性和凸性。解.在这里只证明第一个效用函数，可以类似地证明第二、第三个效用函数的性质。 (a) 先证明不满足性。假设c?c0，那么有c0 ? c00; c1a ? c01a; c1b ? c01b 而log(￠)是单调增函数，因此有 log(c0) ? log(c00); log(c1a) ? log(c01a); log(c1b) ? log(c01b) 因而U(c)?U(c0)，即coc0。

金融学试题及答案02097

试题一二、单项选择题（每小题2分，共10分） 1、在下列货币制度中劣币驱逐良币律出现在（）。 A、金本位制 B、银本位制 C、金银复本位制 D、金汇兑本位制 2 的。 A C 3 A C 4 A C 5 A C、汇率机制 D、中央银行宏观调控三、多项选择题（每小题3分，共15分） 1、信用货币制度的特点有（）。 A、黄金作为货币发行的准备 B、贵金属非货币化

C、国家强制力保证货币的流通 D、金银储备保证货币的可兑换性 E、货币发行通过信用渠道 2、银行提高贷款利率有利于（）。 A、抑制企业对信贷资金的需求 B C D E 3 A B C D 4 A C E 5、治理通货膨胀的可采取紧缩的货币政策，主要手段包括（） A、通过公开市场购买政府债券 B、提高再贴现率 C、通过公开市场出售政府债券 D、提高法定准备金率 E、降低再贴现率 F、降低法定准备金率四、判断题（每小题2分，共10分）

1、信用货币制度下金银储备成为货币发行的准备。（） 2、一般将储蓄随利率提高而增加的现象称为利率对储蓄的收入效应。（） 3、在市场经济条件下，货币均衡的实现离不开利率的作用。（） 4、金融自由化的标志之一就是政府放弃对金融业的干预。（） 5、特别提款权可以充当国际储备，用于政府间的结算，以及国际贸易和非贸 1 A C 2、 A C 3 A C 4 A、贷款利率 B、存款利率 C、市场利率 D、再贴现利率 5、下列不属于负债管理理论缺陷的是（）。 A、提高融资成本 B、增加经营风险 C、降低资产流动性 D、不利于银行稳健经营

三、多项选择题（每小题3分，共15分） 1、我国货币制度规定人民币具有以下的特点（）。 A、人民币是可兑换货币 B、人民币与黄金没有直接联系 C、人民币是信用货币 D、人民币具有无限法偿力 E、人民币具有有限法偿力 2 A B C D E 3 A C E 4 A B C、有助于提高金融资产储蓄比例 D、有助于提高经济效率 5、金本位制下国际货币体系具有哪些特征。（） A、黄金充当世界货币 B、两种货币兑换以铸币平价为基准 C、外汇收支具有自动调节机制 D、汇率波动以黄金输送点为限

金融经济学思考与练习题答案

金融经济学思考与练习题答案 TTA standardization office【TTA 5AB- TTAK 08- TTA 2C】

金融经济学思考与练习题（一） 1、在某次实验中，Tversky 和Kahneman 设计了这样两组博彩：第一组：博彩A ：（2500，； 2400，；0，）博彩B ：（2400，1）第二组：博彩C ：（2500，； 0，）博彩D ：（2400，； 0，）实验结果显示，绝大多数实验参与者在第一组中选择了B ，在第二组中选择了C ，Tversky 和Kahneman 由此认为绝大多数实验参与者并不是按照期望效用理论来决策，他们是如何得到这个结论的？解：由于第一组中选择B 说明 1（2400） (2500)+(2400)+(0) 相当于（2400）+（2400） (2400)+ { 3433 (2500)+ 341 (0)} 根据独立性公理，有 1（2400）） 3433 (2500)+ 341 (0) (*) 第二组选择C 说明（2500）+(0) (2400)+(0) 相当于

{3433 (2500)+ 34 1 (0)}+(0) (2400)+(0) 根据独立性公理，有 3433 (2500)+ 34 1 (0) 1(2400) (**) (*)与(**)矛盾，因此独立性公理不成立，绝大多数参与者不是按照期望效应理论决策。 2、如果决策者的效用函数为,1,1)(1≠-=-γγ γx x u ，问在什么条件下决策者是风险厌恶的，在什么条件下他是风险喜好的？求出决策者的绝对风险厌恶系数和相对风险厌恶系数。解：1)(",)('----==γγγx x u x x u 绝对风险厌恶系数：相对风险厌恶系数：当γ>0时，决策者是风险厌恶的。当γ<0时，决策者是风险喜好的。 3、决策者的效用函数为指数函数,1)(ααx e x u --= ，问他的绝对风险厌恶系数是否会随其财富状态的改变而改变？投保者与保险公司的效用函数均为指数函数，且投保者的α=，保险公司的α=，问投保者与保险公司谁更加风险厌恶？解：αααα=--=-=--x x A e e x u x u R )(')(" 由于投保者的绝对风险厌恶系数为，而保险公司为，因此投保者更加厌恶风险。

金融经济学习题

金融经济学习题 Final approval draft on November 22, 2020

作业5 一、单项选择题 1．在不具有无风险资产的证券组合前沿上，假定三个前沿证券组合A 、B 、C 的期望收益率分别为0、1、0.6，那私下列说法正确的是（） A ．B 不能由A 和C 生成 B ．B 能够由A 和 C 生成，并且在A 、C 的权重分别为0.4和0.6 C ．B 能够由A 和C 生成，并且在A 、C 的权重分别为0.6和0.4 D ．上述说法都不正确 2．下列关于前沿证券组合p 的零协方差组合()zc p 说法正确的（） A ．如果p 的期望收益率大于/A C ，那么()zc p 的期望收益率也大于/A C B ．p 的期望收益率总是大于()zc p 的期望收益率 C ．p 的期望收益率与()zc p 的期望收益率有可能相等 D ．p 的期望收益率与()zc p 的期望收益率决不可能相等 3．在现代证券组合理论中，关于风险资产收益率的协方差矩阵V ，下列说法正确的是（） A ．∑是正定矩阵，但不是对称矩阵 B ．∑既不是正定矩阵，也不是对称矩阵 C ．∑不是正定矩阵，是对称矩阵 D ．∑既是正定矩阵，也是对称矩阵 4．下列关于具有无风险资产的证券组合前沿的描述不正确的是（） A ．当无风险利率等于/A C （最小方差组合的期望收益率）时，具有无风险资产的证券组合前沿是不具有无风险资产证券组合前沿的渐近线 B ．当无风险利率等于/A C （最小方差组合的期望收益率）时，风险厌恶投资者对风险资产总需求为0 C ．当市场均衡时，无风险利率只能是小于/A C （最小方差组合的期望收益率） D ．具有无风险资产的证券组合前沿一定会和不具有无风险资产的证券组合前沿相切。 5．假定小李有1000元用于投资，该1000元全部投资于股票或全部投资于无风 A ．6．一投资组合的收益率在不同市场状况下的表现如下表，那么其预期收益率是（）

《金融经济学》复习题西财)

《金融经济学》复习题一、名词解释 1、什么是金融系统？答：金融系统由经济环境、市场参与者和金融市场构成。 2、什么是委托人-代理人问题？答：委托人-代理人问题是指委托人的目标和决策与代理人的目标和决策不一致，代理人和委托人之间可能存在利益冲突。在极端的情况下，代理人可能损害委托人的利益，例如股票经纪人与客户之间的代理问题、公司股东和管理者之间的代理问题等。 3、解释内涵报酬率。答：内涵报酬率是指使未来现金流入的现值等于现金流出现值的贴现率，即使得NPV恰好为零的利率。 4、解释有效投资组合。答：有效投资组合是指在既定风险程度下，为投资者提供最高预期收益率的投资组合；或在既定收益情况下风险最低的组合。 5、分别解释远期合约和期货合约。答：远期合约是交易双方在将来的一定时间，按照合约规定的价格交割货物、支付款项的合约。期货合约是指在有组织的交易所交易的标准化远期合约。交易所介于买卖双方之间，双方各自同交易所单独订立合约。 6、解释无风险资产。答：无风险资产是指，在投资者的决策和交易区间内收益率完全可预期的证券或资产。 7、什么是互换合约？答：互换合约是双方互相交换一定时期内一定价格的一系列支付。 8、简要介绍市盈率倍数法。答：市盈倍数方法可以用来快速测算公司股票的价值：首先通过其他可比公司的数据推导出适当的市盈倍数，再将其与该公司股票预期的每股盈利相乘，由此就得到该公司股票的价值。 9、什么是NPV法则？答：NPV等于所有的未来流入现金的现值减去现在和未来流出现金现值的差额。如果一个项目的NPV是正数，就采纳它；如果一个项目的NPV是负数，就不采纳。 10、解释衍生证券。答：衍生证券是一种金融工具，其价值取决于更基础的金融资产如股票、外汇、商品等，主要包括远期、期货、互换和期权，其主要功能是管理与基本资产相关的风险暴露。 11、什么是一价原则？答：一价原则指在竞争性的市场上，如果两个资产是等值的或者未来能获得相同的现金流，它们的市场价格应倾向于一致。一价原则体现的是套利的结果。 12、解释风险厌恶。答：指理性的经济人在面临公平赌博的时候总是拒绝的，而如果需要他接受这样的波动，就需要给他一定的补偿。 13、什么是套期保值？答：在衍生品市场上进入一个与现货市场反方向的头寸，当现货市场损失时衍生品市场可以盈利，当然当现货市场盈利时衍生品市场也会亏损。我们称这种旨在消除未来不确定性的行为为套期保

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《金融经济学》复习题、名词解释 1、什么是金融系统？答：金融系统由经济环境、市场参与者和金融市场构成。 2、什么是委托人-代理人问题？答：委托人-代理人问题是指委托人的目标和决策与代理人的目标和决策不一致，代理人和委托人之间可能存在利益冲突。在极端的情况下，代理人可能损害委托人的利益，例如股票经纪人与客户之间的代理问题、公司股东和管理者之间的代理问题等。 3、解释内涵报酬率。答：内涵报酬率是指使未来现金流入的现值等于现金流出现值的贴现率，即使得NPV恰好为零的利率。 4、解释有效投资组合。答：有效投资组合是指在既定风险程度下，为投资者提供最高预期收益率的投资组合；或在既定收益情况下风险最低的组合。 5、分别解释远期合约和期货合约。答：远期合约是交易双方在将来的一定时间，按照合约规定的价格交割货物、支付款项的合约。期货合约是指在有组织的交易所交易的标准化远期合约。交易所介于买卖双方之间，双方各自同交易所单独订立合约。 6、解释无风险资产。答：无风险资产是指，在投资者的决策和交易区间内收益率完全可预期的证券或资产。 7、什么是互换合约？答：互换合约是双方互相交换一定时期内一定价格的一系列支付。 &简要介绍市盈率倍数法。答：市盈倍数方法可以用来快速测算公司股票的价值：首先通过其他可比公司的数据推导出适当的市盈倍数，再将其与该公司股票预期的每股盈利相乘，由此就得到该公司股票的价值。 9、什么是NPV法则？答: NPV等于所有的未来流入现金的现值减去现在和未来流出现金现值的差额。如果一个项目的NPV是正数，就采纳它；如果一个项目的NPV是负数，就不采纳。 10、解释衍生证券。答：衍生证券是一种金融工具，其价值取决于更基础的金融资产如股票、外汇、商品等，主要包括远期、期货、互换和期权，其主要功能是管理与基本资产相关的风险暴露。 11、什么是一价原则？答：一价原则指在竞争性的市场上，如果两个资产是等值的或者未来能获得相同的现金流，它们的市场价格应倾向于一致。一价原则体现的是套利的结果。 12、解释风险厌恶。答：指理性的经济人在面临公平赌博的时候总是拒绝的，而如果需要他接受这样的波动，就需要给他一定的补偿。 13、什么是套期保值？答：在衍生品市场上进入一个与现货市场反方向的头寸，当现货市场损失时衍生品市场可以盈利，当然当现货市场盈利时衍生品市场也会亏损。我们称这种旨在消除未来不确定性的行为为套期保值。14、解释远期利率。

金融经济学习题答案.docx

谢谢欣赏计算题：1.假定一个经济中有两种消费品、，其价格分别是4和9，消费者的效用函数为，并且他的财富为72，求：（1）消费者的最优消费选择（2）消费者的最大效用。 2.假定一投资者具有如下形式的效用函数：，其中是财富，并且，请解答以下问题：（1）证券：a)该投资者具有非满足性偏好；b)该投资者是严格风险厌恶的。（2）求绝对风险规避系数和相对风险规避系数。（3）当投资者的初期财富增加，该投资者在风险资产上的投资会增加？减少？不变？（4）当投资者的初期财富增加1%时，该投资者投资在风险资产上投资增加的百分比是：大于1%？等于1%？小于1%？ 3.假定一定经济中有两种消费品、，其价格分别是3和9，消费者的效用函数为，并且他的财富为180，求：（1）消费者的最优消费选择（2）消费者的最大效用。 4.假定一投资者的效用函数为，其中是财富，并且，，请回答以下问题：（1）求绝对风险规避系数与相对风险规避系数。（2）当该投资者的初始财富增加时，他对风险资产的需求增加还是减少？为什么？（3）什么情况下，当投资者的初期财富增加1%时，该投资者投资在风险资产上投资增加的百分比是：大于1%？等于1%？小于1%？ 1.解：（1）消费者的最优化问题是先构造拉格朗日函数解得：（2）消费者的最大效用为 2.解：（1）证明：因为投资者具有如下形式的效用函数：，所以：因此该投资者具有非满足性偏好。又，所以该投资者的效用函数严格凹的，因此该投资者是严格风险厌恶的。（2）绝对风险规避系数为：相对风险规避系数为：（3）因为，所以，其中是投资者在风险资产上的投资，因此当投资者的初期财富增加，该投资者在风险资产上的投资不变（4）因为，所以，因此当投资者的初期财富增加1%时，该投资者投资在风险资产上投资增加的百分比小于1% 3.（1）消费者的最优化问题是先构造拉格朗日函数解得：（2）消费者的最大效用为 4.（1）绝对风险规避系数为：相对风险规避系数为：（2）谢谢欣赏

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《金融经济学》期末复习题一、单项选择题 1. 不具有资本市场的个体的消费和投资法则是（A ）。 A．MRT=MRS B．MRT>MRS C．MRT

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《金融经济学》习题参考答案第一章（1）图略：（a ）利率外生下降，债权人效用减小，债务人效用增加；（c ）生产投资增加。（3）第二章（1）a ）10%；b ）9.76%；c ）9.57% （5）7.5% （6）5.6%，5.9%，6.07%，6.25%，6.32% （7）a ）7% （8）略补充题：1年、2年和3年的现货利率分别为3.6%，5.1%，6%。第三章 1、略。 2、()1/2u z z =递减绝对风险厌恶（因为3/211/21()14()1()22 A z u z R z z u z z ----''=-=-='），E [u (x)]= 5851/2×0.2+5901/2×0.3+6001/2×0.1+6101/2×0.25+6301/2×0.15=24.513；E [u (y)]=5801/2×0.2+5891/2× 0.3+5951/2×0.1+6181/2×0.25+6401/2×0.15=24.546，因此选择选择乙证券； ()1z u z e -=-常绝对风险厌恶；()ln u z z =递减绝对风险厌恶。第四章之一 1、（1）12 1.1 1.1 1.112 2.5x X x ????==????????，12?0.220.220.22??0.330.330.66r r r ????==????-?? ?? C 0 C 1

（2）价格13.5； 5*0.9+6*1.1=13,5 组合权重，第一只为5*0.9/13.5=0.33 ()()0.220.220.22??0.330.670.1470.2930.5130.330.330.67T p r w r ??===-??-?? 2、（1）0.20.5r ??= ???，211222120.010.0030.0030.09V σσσσ????== ? ?? ??? （2）()0.2?()0.6210.37931.3%0.5T p E r w r ??=== ???， ()20.010.0030.6210.6210.3790.01820.0030.090.379P σ????== ??????? 第四章之二例4.3.2.1 1196.1232.3886.74632.3817.5929.91586.7469.91574.557V ---?? ?=- ? ?-?? A=10.756，B=2.21，C=69.846，D=38.72， 3.2770.6511.626g ?? ?=- ? ?-?? ，14.1223.76610.346h -?? ?= ? ??? 3.2771 4.122?0.651 3.766[]1.62610.346p p w E r -???? ? ?=-+ ? ? ? ?-???? 例4.3.2.2 ()()2 2??[]0.15410.0140.008p p r E r σ --= 例4.3.4.1 H=1.462，??[]4% 1.21()p p E r r σ=+ 第五章（6）a ）2 1.29AM AM M σβσ==甲甲甲，2 1.53AM AM M σβσ==乙乙乙 b ）iii c ）A=117.037，B=27.111，C=523.457，D=493.827。对于甲：[]27.5%M E r =甲，

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金融经济学习题答案精编W O R D版 IBM system office room 【A0816H-A0912AAAHH-GX8Q8-GNTHHJ8】

4.假定一投资者的效用函数为111()()1 B u w A Bw B -=+-，其中w 是财富，并且0B >，max[,0]A w B >-，请回答以下问题：（1）求绝对风险规避系数与相对风险规避系数。（2）当该投资者的初始财富增加时，他对风险资产的需求增加还是减少？为什么？（3）什么情况下，当投资者的初期财富增加1%时，该投资者投资在风险资产上投资增加的百分比是：大于1%？等于1%？小于1%？ 1.解：（1）消费者的最优化问题是先构造拉格朗日函数解得：129,4x x == （2）消费者的最大效用为12(,)6U x x == 2.解：（1）证明：因为投资者具有如下形式的效用函数：2()w u w e -=-，所以：因此该投资者具有非满足性偏好。又2()40w u w e -''=-<，所以该投资者的效用函数严格凹的，因此该投资者是严格风险厌恶的。（2）绝对风险规避系数为：相对风险规避系数为：

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