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?(116.4/12

2.2) = 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.

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%

R –

R*

450

(F-S

)/S -0.1

25 1.58

58 1.00 -1.00

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%. 3.

The four markets are graphed below.

Graph 1, the spot market for the euro.

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 t he 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

e.

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 D0 to 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 S0) 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 intermediary, and likely has achieved economies of scale in doing so. By entering a foreign market, it helps to allocate the savings

Q s Q d

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

and the elasticity of foreign exchange supply is

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 Germany.

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.

7. 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 wea lth identity is given 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）

金融经济学名词解释

确定性：是指自然状态如何出现已知，并替换行动所产生的结果已知。它排除了任何随机事件发生的可能性。 风险：是指那些涉及已知概率或可能性形式出现的随机问题，但排除了未数量化的不确定性问题。即对于未来可能发生的所有事件，以及每一事件发生的概率有准确的认 识。但对于哪一种事件会发生却事先一无所知。 不确定性：是指发生结果尚未不知的所有情形，也即那些决策的结果明显地依赖于不能由决策者控制的事件，并且仅在做出决策后，决策者才知道其决策结果的一类问题。即知道未来世界的可能状态（结果），但对于每一种状态发生的概率不清楚。 自然状态：特定的会影响个体行为的所有外部环境因素。 自然状态的特征：自然状态集合是完全的、相互排斥的（即有且只有一种状态发生） 自然状态的信念（belief）：个体会对每一种状态的出现赋予一个主观的判断，即某一特定状态s出现的概率P（s）满足：0≤p（s）≤1，这里的概率p（s）就是一个主观概率，也成为个体对自然的信念。不同个体可能会对自然状态持有不同的信念，但我们通常假定所有的个体的信念相同，这样特定状态出现的概率就是唯一的。 数学期望最大化原则：数学期望收益最大化准则是指使用不确定性下各种可能行为结果的预期值比较各种行动方案优劣。这一准则有其合理性，它可以对各种行为方案进行准确的优劣比较，同时这一准则还是收益最大准则在不确定情形下的推广。 期望效用原则：指出人们在投资决策时不是用“钱的数学期望”来作为决策准则，而是用

“道德期望”来行动的。而道德期望并不与得利多少成正比，而与初始财富有关。穷人与富人对于财富增加的边际效用是不一样的。即人们关心的是最终财富的效用，而不是财富的价值量，而且，财富增加所带来的边际效用（货币的边际效用）是递减的。 效用函数的表述和定义：不确定性下的选择问题是其效用最大化的决定不仅对自己行动的选择，也取决于自然状态本身的选择或随机变化。因此不确定下的选择对象被人们称为彩票（Lottery）或未定商品（contingent commodity。 不确定性下的偏好关系表述：个体所有可选择抽奖的集合称为抽奖空间，记为：L=（p，x，y）同样地，假设个体在抽奖空间上存在一个偏好关系，即可以根据自己的标准为所有抽奖排出一个优劣顺序。 公理1： 公理2： 公理3 公平博彩是：指不改变个体当前期望收益的赌局，如一个博彩的随机收益为，其期望收益为，我们就称其为公平博彩。 风险厌恶者：如果经济主体拒绝接受公平博彩，这说明该个体在确定性收益和博彩之间更偏好确定性收益，我们称该主体为风险厌恶者。 风险偏好者：如果一个经济主体在任何时候都愿意接受公平博彩，则称该主体为风险偏好者。

【采用1】金融计量学 课程教学大纲

金融计量学 教学大纲 基本信息 1.课程类型：专业必修课 2.学时：48 3.学分：3 4.授课对象：金融学本科生 课程简介 本课程是金融学和金融工程专业本科生的学科基础课，是建立在经济、统计学和数理统计的基础上的一门重要的独立学科，主要为后续的专业课和专业选修课奠定金融学定量分析和实证研究的方法论基础。金融计量学结合数量方法来对金融问题进行认识分析，并辅助于计算机专门软件，具有较强的应用性和可操作性。本课程主要介绍了金融计量学的一般概念及工作步骤、模型估计的基本方法、模型检验与修正方法，典型计量经济模型专题讨论、联立方程组模型的基本知识（包括模型的识别、估计、检验及应用）、计量经济模型的应用案例。 课程目标 金融计量学是在对社会经济现象作定性分析的基础上，探讨如何运用数学模型方法定量分析和描述具有随机性特征的经济变量关系的经济学分支，是金融学本科专业的学科基础课程。教学的主要目的在于向学生介绍现代金融计量学的基础理论、模型和方法，培养学生在经济金融理论的基础上，借助计量分析软件建立金融计量学模型的能力，拓宽学生分析、研究现实经济金融问题的思路，增强学生的数量分析和实际动手能力，从而为对我国金融学理论研究与实证研究打下坚实的基础。 课程内容大纲 其主要内容可以分为：第一部分是金融计量学基础，主要包括一元线性回归模型、多元线性回归模型、放宽基本假定后的回归模型、虚拟变量模型、非线性

模型等内容；第二部分是金融时间序列模型，主要包括单位根检验、自回归移动平均（ARMA）模型、协整检验、修正误差模型（ECM）、广义自回归条件异方差（GARCH）模型等内容；以及金融计量学的应用实例，主要向学生介绍国内外学者相关的金融计量实证研究。 第一单元：绪论（建议学时数：3学时） 【学习目的和要求】 1.知识掌握：本单元是课程的纲。通过教学，要求学生达到：了解金融计量经济学的基本概念；了解金融计量经济学的内容体系，以及本课程涉及的内容；理解计量经济学的是一门经济学科，以及它在经济学科中的地位；掌握金融计量经济学的主要应用；重点掌握建立与应用经典计量经济学模型的工作步骤，以及在每一步骤中应注意的关键。 2.能力培养：帮助学生理解金融计量经济学的基本概念、金融计量经济学的内容体系、金融计量经济学的主要应用及本课程涉及的内容；通过本单元的学习，使学生掌握建立金融计量经济模型的步骤和要点、培养学习金融计量经济学的兴趣。 3.教学方法：讲授法，练习法 【重点】本单元概括介绍计量经济学这一学科，重点使学生了解金融计量经济学的有关基本概念、研究对象、在整个经济学科中的地位、应用领域和建模步骤，对本课程的全貌有一个基本的认识，是本课程的总纲。 【难点】经济变量、模型、计量经济模型、样本、散点图、数据的类型等几个基本概念。 第二单元：简单线性回归模型（建议学时数：10学时） 【学习目的和要求】 1.知识掌握：要求学生了解回归分析与回归函数，掌握OLS法的基本原理以及基本假定，熟练掌握一元线性回归模型的参数估计、理解拟合优度的度量，掌握回归系数的区间估计和假设检验，理解回归模型的预测。 2.能力培养：通过本章的学习，要求掌握简单线性回归模型的理论与方法；会运用上述理论与方法对具有一个变量的简单实际经济问题进行实证研究，使学生掌握一元线性回归模型参数估计和统计检验的Eviews软件实现。 3.教学方法：讲授法，案例分析法，理论联系实际 【重点】回归分析与回归函数、简单线性回归模型的参数估计 【难点】OLS法的基本原理及其假定 第三单元：多元线性回归模型（建议学时数：8学时） 【学习目的和要求】 1.知识掌握：了解多元线性回归模型及其古典假定，理解系数的估计误差与

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 )(')("

金融经济学复习资料

资本资产定价模式（capital asset pricing model,简称CAPM）： 1.为一套叙述性理论架构模式。 2.用来描写市场上资产的价格是如何被决定的。 其目的在於： 1.描述在证券供需达到平衡状态时，存在於证券的市场风险与预期报酬的关系。 2.协助投资人创造最佳的投资组合，评估与决定各种证券的价值，使其能制定合宜的投资决策。 资本资产定价模型的意义 资本资产定价模型是第一个关于金融资产定价的均衡模型，同时也是第一个可以进行计量检验的金融资产定价模型。模型的首要意义是建立了资本风险与收益的关系，明确指明证券的期望收益率就是无风险收益率与风险补偿两者之和，揭示了证券报酬的内部结构。资本资产定价模型另一个重要的意义是，它将风险分为非系统风险和系统风险。非系统风险是一种特定公司或行业所特有的风险，它是可以通过资产多样化分散的风险。系统风险是指由那些影响整个市场的风险因素引起的，是股票市场本身所固有的风险，是不可以通过分散化消除的风险。资本资产定价模型的作用就是通过投资组合将非系统风险分散掉，只剩下系统风险。并且在模型中引进了β系数来表征系统风

险。 套利定价理论概述 套利定价理论APT(Arbitrage Pricing Theory) 是CAPM的拓广,由APT给出的定价模型与CAPM一样,都是均衡状态下的模型,不同的是APT的基础是因素模型。 套利定价理论认为，套利行为是现代有效率市场（即市场均衡价格）形成的一个决定因素。如果市场未达到均衡状态的话，市场上就会存在无风险套利机会. 并且用多个因素来解释风险资产收益，并根据无套利原则，得到风险资产均衡收益与多个因素之间存在(近似的)线性关系. 而前面的CAPM模型预测所有证券的收益率都与唯一的公共因子(市场证券组合)的收益率存在着线性关系。 套利定价理论的意义 套利定价理论导出了与资本资产定价模型相似的一种市场关系。套利定价理论以收益率形成过程的多因子模型为基础，认为证券收益率与一组因子线性相关，这组因子代表证券收益率的一些基本因素。事实上，当收益率通过单一因子(市场组合)形成时，将会发现套利定价理论形成了一种与资本资产定价模型相同的关系。因此，套利定价理论可以被认为是一种广义的资本资产定价模型，为投资者提供了一种替代性的方法，来理解市场中的风险与收益率间的均衡关系。套利定价理论与现代资产组合理论、资本资产定价模型、期权定价模

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-?=-=?

金融经济学复习

1、请阐述金融学在资源配置效率方面关注的焦点。（5分） 金融学关注的焦点是金融市场在资源配置中的作用和效率。在微观层面，配置效率关注的是经济参加者如何使用他们所拥有的资源来最优的满足他们的经济需要。在宏观层面，配置效率关注的是稀缺资源如何流向最能产出价值的地方。 2、金融经济学关心的三个主要问题是什么（5分） （1）个体参与者如何做出金融决策，尤其是在金融市场中的交易决策（2）个体参与者的这些决策如何决定金融市场的整体行为，特别是金融要求权的价格（3）这些价格如何影响资源的实际配置。 3、解释信息不对称下的逆向选择和道德风险，（4分）并举例。（2分） 逆向选择：是指在买卖双方信息不对称的情况下，差的商品必将把好的商品驱逐出市场的现象 举例：二手车市场 道德风险：是指个人在获得保险公司的保险后，降低防范意识而采取更冒险的行为，使发生风险的概率增大的动机。 举例：保险公司（家庭财产险） 4、解释偏好及其应满足的条件，偏好的基本假设有哪些（6分）经济学家采用效用函数分析偏好有哪些好处（2分）P13 偏好就是参与者对所有可能消费计划的一个排序。 偏好是C 上的一个二元关系，表示为≥，它满足：①完备性：a ，b ∈C ，a ≥b 或b ≥a ，或两者都成立；②传递性：a ≥b 且b ≥c ，则a ≥c 。 基本假设：①不满足性：如果a>b,那么a ﹥b ；②连续性：c ∈C ，集合{a ∈C ：a ≥c }和{b ∈C ：b ≥c }是闭的；③凸性：a ，b ∈C 以及a ∈（0,1），如果a ﹥b ，那么aa+（1-a ）b ﹥b 。 效应函数作为偏好的描述处理起来更为方便，更加易于分析。 5、在课程第二章中，我们是如何对一个经济体进行描述和定义的。（5分）假定在这样一个经济体中，有现在和未来两个时期，第k 个消费者的效用函数为01(,)k k k U c c ，现在和未来拥有的禀赋为01(,)k k e e ，证券市场结构为X ，价格为S ，假设消费者对证券持有量的选择为 ，请描述消费者的消费计划集，（2分）并给出

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。

金融经济学整理

金融经济学 名词解释 自然状态：特定的会影响个体行为的所有外部环境因素。 自然状态的信念：个体会对每一种状态的出现赋予一个主观的判断，即某一特定状态s出现的概率P。 期望效用原则：人们在投资决策时不是用“钱的数学期望”来作为决策准则，而是用“道德期望”来行动的。而道德期望并不与得利多少成正比，而与初始财富有关。即人们关心的是最终财富的效用，而不是财富的价值量，而且，财富增加所带来的边际效用（货币的边际效用）是递减的。 效用函数的定义：不确定性下的选择问题是其效用最大化的决定不仅对自己行动的选择，也取决于自然状态本身的选择或随机变化。 公平博彩：指不改变个体当前期望收益的赌局，如一个博彩的随机收益为ε，期望收益为E(ε)=0，我们就称其为公平博彩。 效用函数的凸凹性的局部性质：经济行为主体效用函数的凸凹性实际上是一种局部性质。即一个经济主体可以在某些情况下是风险厌恶者，在另一种情况下是风险偏好者。效用函数是几个不同的部分组成。在人们财富较少时，部分投资者是风险厌恶的；随着财富的增加，投资者对风险有些漠不关心；而在较高财富水平阶段，投资者则显示出风险偏好。 确定性等价值：是指经济行为主体对于某一博彩行为的支付意愿。即与某一博彩行为的期望效用所对应的数学期望值（财富价值）。 风险溢价：是指风险厌恶者为避免承担风险而愿意放弃的投资收益。或让一个风险厌恶的投资者参与一项博彩所必需获得的风险补偿。 阿罗-普拉特定理：对于递减绝对风险厌恶的经济主体，随着初始财富的增加，其对风险资产的投资逐渐增加，即他视风险资产为正常品；对于递增绝对风险厌恶的经济主体，随着初始财富的增加，他对风险资产的投资减少，即他视风险资产为劣等品；对于常数绝对风险厌恶的经济行为主体，他对风险资产的需求与其初始财富的变化无关。 相对风险厌恶的性质定理：对于递增相对风险厌恶的经济主体，其风险资产的财富需求弹性小于1（即随着财富的增加，投资于风险资产的财富相对于总财富增加的比例下降）；对于递减相对风险厌恶的经济行为主体，风险资产的财富需求弹性大于1；对于常数风险厌恶的经济行为主体，风险资产的需求弹性等于1。 （均值-方差）无差异曲线：对一个特定的投资者而言，任意给定一个证券组合，根据他对期望收益率和风险的偏好态度，按照期望收益率对风险补偿的要求，可以得到一系列满意程度相同的（无差异）证券组合。所有这些组合在均值方差（或标准差）坐标系中形成一条曲线，这条曲线就称为该投资者的均值-方差无差异曲线。 有效集，有效前沿（边界）：同时满足在各种风险水平下，提供最大预期收益和在各种预期收益下能提供最小风险这两个条件就称为有效边界。 分离定理：在存在无风险资产与多个风险资产的情况下，投资者在有关多个风险资产构成的资产组合的决策（投资决策）与无风险资产与风险资产构成的资产组合比例的决策（金融决策）是分离的。 有效组合前沿：期望收益率严格高于最小方差组合期望收益率的前沿边界称为有效组合前沿。 两基金分离定理：在所有风险资产组合的有效组合边界上，任意两个分离的点都代表两个分离的有效投资组合，而有效组合边界上任意其它的点所代表的有效投资组合，都可以由这两个分离的点所代表的有效组合的线性组合生成。

金融经济学教学大纲

《金融经济学》教学大纲 一、课程目的与任务： 金融经济学是关于金融市场的经济学，主要研究金融市场的均衡条件下金融资产的定价问题。微观经济学解决了一般商品市场均衡的存在性和惟一性问题，而金融经济学则解决了具有不确定性特性的金融市场均衡的存在性和惟一性。所以，金融经济学属于理论经济学的范畴，是金融学的经济学理论基础，在金融学科体系层次中具有经济学教学层次中微观经济学的地位。 通过本课程学习，要求学生理解金融市场存在的意义，掌握确定现金流和不确定现金流的金融资产的利率决定理论，也就是利率的期限结构理论、资本资产定价理论、套利定价理论、期权定价理论等现代金融理论。 二、教学内容： 包括导言、第1至7章。 导言： 1、金融经济学的研究对象 金融资产的定价公式 2、金融经济学课程结构 第一章：资本市场、消费和投资 金融市场存在的意义。（1.1~1.2）

1）两时期(现在和将来)纯交换经济分析框架：现在的货币与未来的货币的交换（生产投资、证券投融资） 2）经济行为主体的效用最大化下的消费策略问题 第二章：固定收入证券和利率的期限结构 给未来现金流确定的证券（即国债）定价。 1、国债的价格，到期收益率，名义年化利率 2、现货利率与远期利率 现货利率曲线 3、利率的期限结构理论：无偏期望、易变性偏好、市场分割 第3~7章，给未来现金流不确定的证券定价 第三章：不确定下的选择理论 3.1~3.6 1、不确定条件下的偏好关系与期望效用函数 期望效用表达定理及阿莱悖论 2、个体风险厌恶与效用函数的形式 第四章：均值——方差分析 均值—方差分析框架的由来。（4.1~4.4） 1、一些基本定义

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

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经济金融术语汉英对照表 A 安全网safety net 按可比口径on comparable basis 按轻重缓急to prioritize 暗补implicit subsidy 暗亏hidden loss B 颁发营业执照to license;to grant a licence to 办理存款业务to take deposits 保护农民的生产积极性to protect farmers'incentive to produce 备付金（超额准备金）excess reserves 本外币并账consolidation of domestic and foreign currencyaccounts 本外币对冲操作sterilization operation 本位利益localized interest;departmentalism 奔小康to strive to prosper;to strive to become well-to-do 避税（请见“逃税”）tax avoidance 币种搭配不当currency mismatch 币种构成currency composition 变相社会集资disguised irregular（or illegal） fund raising 表外科目（业务）off-balance-sheet items（operation） 薄弱环节weaknesses;loopholes

不变成本fixed cost 不变价at constant price;in real terms 不动产real estate 不良贷款（资产）problem loans；non-performing loans（assets）C 财务公司finance companies 财政赤字fiscal deficit 财政挤银行fiscal pressure on the central bank（over monetary policy） 财政政策与货币政策的配合coordination of fiscal and monetary policies 采取循序渐进的方法in a phased and sequenced manner 操作弹性operational flexibility 操纵汇率to manipulate exchange rate 产品构成product composition;product mix 产品积压stock pile;excessive inventory 产销率current period inventory;（即期库存，不含前期库存）sales/output ratio 产销衔接marketability 产业政策industrial policy 长期国债treasury bonds 敞口头寸open position 炒股to speculate in the stock market 承购包销underwrite（securities） 成套机电产品complete sets of equipment;complete plant（s）

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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。

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