课程名称︰货币银行学一 课程性质︰必修 课程教师：陈南光 开课学院：社会科学院 开课系所：经济系 考试日期（年月日）︰2011/11/11 考试时限（分钟）：120 mins 是否需发放奖励金：是 （如未明确表示，则不予发放） 试题 : Total: 105 points (1) (21 pts.) There are two default-free zero-coupon bonds available to investors, each with a face value of $1000 at maturity. Suppose the spot rates of one-year and the two-year bond are r01 = 2%, r02 = 3%, respectively. Answer the following questions. (1a) What is the forward rate f12 implied by the spot rates? Under Liquidity Premium Theory, is the expected short-term rate higher or lower than the forward rate? Explain. (1b) Suppose the public expects that the future short-term interest rate will rise to 5%. According to the Liquidity Premium Theory, will an investor be happy to purchase a long term bond? How would the investors react? (1c) Suppose currentlythe yield curve is upward-sloping as in our example, but forecast for the outllok of the world economy are not good. How do you explain this observation? (2) (14 pts.) The essential properties of a medium of exchange (MOE) include those that are widely accepted, easily standardized, divisible, easily portable, and durable. (2a) Which is not an intrinsic property? Explain. (2b) Is a MOE must be legal tender? Is a means of payment (MOP) must be a MOE? Explain. (3) (14 pts.) Measures of Money (3a) What items in M1B are the liabilities of the commercial banks? Should government deposits and the balances of credit card charges be included in monetary aggregates? Explain. (3b) How to choose a good measure of money from the central banker's point of view? Does the central bank need various measures of money? (4) (7 pts.) Explain the difference between e-money and using on-line banking to transferring funds. (5) (7 pts.) Suppose the 10-year nominal rate for a nominal T-bond is 3%, and a Treasury inflation-protected securities (TIPS) guarantees a 1.8% real return. At the same time, since nominal bond holders are compensated by a premium for the inflation risk of 0.1%, and TIPS holders are compensated by a premium for lower liquidity of 0.6%. Compute the TIPS-derived expected inflation rate adjusted for inflation and liquidity risk. Explain briefly why we need to adjust for liquidity premiun. (6) (7 pts.) Explain briefly how the laws and enforcement mechanisms view explains the effect of finance development on economic growth. (7) (7 pts.) 根据中央银行对於直接金融与间接金融的定义，当央行降低银行 的资产所能投资於股票的最高比例时(比如，原来最高25%降为20%)，这对於我国 的直接金融比率有何影响？请解释。(According to the definition of direct finance and indirect finance by the Central Bank, explain what may happen if the Central Bank lowers the maximum proportion of commercial banks' assets that can be invested in equities (for example, lowering the maximum proportion from 25% to 20%? Explain.) (8) (7 pts.) How did Wallace (1980) define fiat money? Can Menger's evolutionary view of the prigin of moey explain why the public may suddenly abandon fiat money? Explain. (9) (7 pts.) Explain intuitively why the risk premium such as the Baa spread (Baa yield-Treasury bond rate) is counter-cyclical. (10) (7 pts.) What are the difference between Repurchase Agreements (Repos) and commercial papers. Explain why Repos is an important financial instrument for financial institutions. (11) (7 pts.) During the sub-prime crisis (late 2008), the TED Spread rose to a historic high. Explain what TED spread is and why it increased substantially. --

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