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）︰2012/1/13 考试时限（分钟）：120mins 是否需发放奖励金：yes （如未明确表示，则不予发放） 试题 : 1.(20points) Consider a manager issue debts(corporate bonds) to finance investment, paying 5% of interest rate. He has two choice: (i)Safe investment: yields a fixed net rate of return 7%；and (ii) Risky investment: yields 80% of net rate of return with probability 0.05, 0% of net return with probability 0.95. There is limited liability of the debts. (a) which investment has a higher net expected return? Which investment will the manager choose?(hint: To see which investment the manager chooses, compute expected return to the borrower (manager) for the two investments) (b) which type of asymmetric information is this? How can net worth or collateral mitigate this problem. 2. (8 points) Recent research finds that the single most important factor behind the recent rise in delinquencies and foreclosures in U.S. has been the sharp decline in house prices. Briefly explain why falling real estate prices lead to increased default rates and loan losses at banks? 3. (8 points) Explain how a sudden depreciation in domestic currency may worsen the asymmetric information problem and deepen a financial crisis. 4. (8 points) During the sub-prime crisis, the decline of house prices accelerated, defaults and foreclosures on mortgages rose rapidly. How does it affect the shadow banking system, such as SIVs? 5. (8 points) Explain why the episode of so-called"Mississippi Bubble", in June 1720 can be possibly supported by economic fundamentals. And what was the possible cause for the downfall if John Law? 6. (8 points) In the article "Can monetary policy really be used to stabilise asset prices? " by Assenmacher-Wesche and Gerlach(2008), they find that monetary policy cannot do the job. Briefly explain why. 7. (8 points) Explain why securitization may lower the lending standards of mortgage lenders and brokers and its consequence. 8. (8 points) What was the main difference between the Great Depression 1929 and previous financial crisis in the past, i.e., why did the recession in the Great Depression went so deep and dragged so long? 9. (8 points) Sometimes banks restrict themselves from making more loan, i.e. credit rationing(信用分配). Explain the intuition behind this behavior. 10.(8 points) As in the papers we discussed in the class, housing wealth accounts for a larger share in Taiwan's household wealth and Taiwan has a higher ownership rate, but is is found that the housing wealth effect on consumption is insignficant, compared with other advanced countries. Explain this observation. 11.(8 points) Brief explain the graph below regarding the movents of household debt, and wealth is U.S. before and after the sub-prime crisis. --

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