[試題] 100上 陳南光 貨幣銀行學一 期中考
課程名稱︰貨幣銀行學一
課程性質︰必修
課程教師：陳南光
開課學院：社會科學院
開課系所：經濟系
考試日期（年月日）︰2011/11/11
考試時限（分鐘）：120 mins
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
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.) 根據中央銀行對於直接金融與間接金融的定義，當央行降低銀行
的資產所能投資於股票的最高比例時(比如，原來最高25%降為20%)，這對於我國
的直接金融比率有何影響？請解釋。(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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