清华大学货币银行学讲义（考研必备）ch1

1,Ch1. The Role of a Financial System,What a financial system consists of Who uses it and for what purposes The distinctive features of financial institutionsThe distinctive features of financial marketsThe principles of financial system the puzzle of financial systemWhy financial intermediation exist Why the performance of the financial system is relevant to the rest of the economy,Ch1, 3 & Ch 11 of the textbook,2,本章目录,1. The framework of financial system 金融体系概要Definition, channels and participant2. Types & functions of financial intermediaries (FIs)3. Financial market: framework, instruments and functions 4. Principles of financial system5. 问题讨论：金融体系的谜团8个谜团, D-D模型，破解谜团的思路:6. Why market and FIs (financial intermediaries) coexisted?ArrowDebreu model, the first generation model第二代解释模型DD（1983），Diamond（1984）第三代模型：简单的道德风险模型 Diamond 19947. Financial system and development of economy,3,1. The framework of financial system,A set of markets for financial instruments, and the individuals and institutions who trade in those markets which offered the facilities can be summarized as:intermediation between surplus and deficit unitsfinancial services such as insurance and pensionsa payments mechanismportfolio adjustment facilities,4,1.1 Channels direct channel: ultimate lenders and ultimate borrowers deal directly with each other. Costly, inefficient, risky.indirect channel Organized markets: in this markets, lenders buy the liabilities issued by borrower. If the liability is newly issued the the issuer receives funs directly from the lender. Organized markets reduce the search costs, risk.indirect channel Financial intermediaries: channeling the funds by financial institutions. Ultimate lender acquires an asset, typically a deposit of bank or building society, or claims on insurance fund, which cannot be trade or not easy to be traded but only be returned to intermediary. Similarly, intermediaries create liabilities, typically in the form of loans, for the borrowers.,5,1.2 Key Participants:lender(surplus units, ): are subset of those with a financial surplus. Surplus units are those whose income exceeds consumption and any spending on real capital assets. households, enterprises, governments, foreign sectors. Their savings: financial surplusborrower(deficit units): are a subset of those with a financial deficit. Deficit units have income which is insufficient to meet their planned spending on consumption and real capital assets.,6,2. Financial institutions and their functions2.1 Financial institutions and their functions Financial institutions specialize in one or more of the following functions:provide a payments mechanismproviding a means of lending and borrowing providing other services, such as services for foreign exchange, insurance, asset management.These institutions issue their own securities and purchase primary securities. Thus, their come between ultimate lender and ultimate borrowers.,7,Balance sheet of FIs (EU) (%, 2000),8,Financial intermediaries create:,Assets and liabilities,liquidity,By means of:Maturity transformationPooling savingrisk reductionsearch and transaction cost reduction,To create assets for lenders and liabilities for borrowers which are more attractive to each than would be the case if the parties had to deal with each other directly,2.3 Further functions:,9,Functions:Maturity (insurance for liquidity, pooling saving): “borrow short and lend long”. A financial intermediary is able to transform a primary security of certain maturity into indirect securities of different maturities. As result, the maturity of the primary and the indirect securities may march to the demand of lenders and borrowers. Financial intermediary can keep some proportion of the funds it receives in liquidity form, and provided that depositors do not all wish to withdraw deposits at once, depositors can have instant access to their funds even though the vast majority of funds have been lent for a long period.,10,Functions:transaction costs: reduce search cost, exploited economics of scale, economic of scope, provide insurance for liquidityinformation production: financial intermediary is able to develop information on the ultimate borrower in a more efficient manner then the saver. Reduce the asymmetry of information, Reduce the moral hazard problem, thus, protect the confidentiality of information.,11,risk transformation (Diversification and risk ): financial intermediaries are able to reduce risk through a number of devices. The two principal ones are diversification and specialist management. By purchasing a number of different primary securities, the financial intermediary is able to spread risk. If these securities are less than perfectly correlated with each other, the intermediary is able to reduce the risk associated with fluctuations in value of principal. Specialist scanning and Monitoring is alternative solution to reduce risk. (costs and efficiency),12,Financial market 金融市场Financial markets are the places where financial instruments are bought and sold. It serves three roles in economic system: offer saver allow risk sharing. 3.1 structure/ classification （结构/分类）debt and equity market (债务和股权市场)primary and secondary market 一级市场和二级市场 A primary market for a newly issued instrument (in a primary market an instrument can only be traded once). Notice that it is only in the primary market that firms actually raise (borrow) new funds. The secondary market is the market for existing instruments. Firms can not raise new funds in secondary market. However, secondary market is important as: it attract buyer in primary market, it have function of pricing founding, provide mechanism for controlling as well as Merge and Acquiescent (M&A),13,Money markets and capital market: money markets: funds are borrowed and lent (initial maturity) for a maximum of one year.The discount markettreasury bills local authority billscommercial billsthe market for commercial paper CPthe certificate of deposit market CDinterbank market money market depositsrepurchase agreement (repos)Capital market: is the financial markets that funds are borrowed and lent (initial maturity) for more than of one year.Centralized exchanges and over-the-counter market（OTC)Debt & equity Vs. derivative marketsMarkets for financial claims or unferlying assetsMarket for claims based on an underlying assets,14,3.2 financial instrumentsDefinition of f-instrument: Is the written legal obligation of one party to transfer something of value, usually money, to another party at some future date, under certain conditions. It has some function of: means of payment, store of value, trading of risk.categories of financial instruments:money market instrument:capital market instrument:Derivative instrument: underlying vs. derivative instrumentsCharacteristics of financial instrumentsStandardization and informationPricing element for financial instrumentpromised payment, time, risk (possibility), convenience,15,4. Principles of monetary economy,Time has value, one $1 of today is better than $1 of tomorrowRisk and transaction costs require compensationInformation is the basis for decisions Market set prices and allocate resourcesFinancial technique can reduce risk Financial policies/ monetary policy should follow the market power or those policies will cause market distortionStability improves welfare,16,5 Eight financial puzzles (事实) (Mishkin)5.1 Eight puzzlesStocks are not the most important source of external financing for businessIssuing marketable debt & securities is not the primary way in which business finance their operationsIndirect finance, which involves the activities of financial intermediaries, is many times more important than direct finance.Bank are most important source of external funds used to finance businesses. 银行是企业外源融资的重要来源Only large, well-established corporations have access to securities markets to finance their activities.The financial system is among the most heavily regulated sectors of the business. 金融体系是受最严格管制的部门Debt contracts typically are extremely complicated legal documents that place substantial restriction on the behavior of the borrower,17,5.2. Preliminary explains : role of bank1. FIs reduce transaction costs：economics of scopeeconomics of scale （规模经济) Fixed cost：存款人和借款人倾向于联盟和集中以分散成本。 assets portfolio ：reduce non-system risk of investment liquidity insurance 流动性保险：参见Diamond and Dybvig, 1983 模型。微观银行学，西南财大出版社2. 信息不对称、道德风险 (金融机构的控制方法）3. 金融中介的委托监督机制（delegated monitoring),18,6. Why do FIs exist ?,Financial marketsBfBbBh,Firms I BfL,HouseholdsBhD S,banksL BbD,B&D means bond and deposit；subscript of “h,b,f ” represent to households, bank and firm；superscript “&” mean supply & demand,Conclusion of Arrow-Debreu model ：if firms and households have unrestricted access to perfect financial markets, then at the competitive equilibrium Banks make a zero profit 银行利润Pb=0The size and composition of banks balance sheet have no impact on other economic agents and: rrLrd,General equilibrium：each agent behaves optimally, saving=investment and ：D+=D-L+=L- Bh=Bf+Bb,6.1 challenge of ArrowDebreu （1953）model,19,Old-fashioned （first generation explanations）: transaction costs, transformation of risk, time and place, diversificationThe second generation explain: liquidity insurance, information problems like adverse selection, moral hazard, costly state verification. Liquidity insurance (Diamond-Dybvig, 1983):Information sharing coalitionsDelegated monitoring (Diamond, 1984)The third generation explanations: monitoring and reputation (Diamond,1991); monitoring and capital (Holstrom & Tirole, 1993),6.2 theories development of economics of FIs,20,6.2.1 Liquidity insurance（流动性保险模型的解释 Diamond and Dybvig, 1983 模型）,Idea: consumers are uncertain about the timing of consumption and invest their funds at the bank in a deposit as an insuranceFIs are a “pool of liquidity”If households vary in risk profiles，FIs do not need to hold full cash for the deposits,21,6.2.2 Information sharing coalitions,Idea: if a group of firms can credibly communicate the quality of investment projects, borrowing costs will decrease with the number of members of the groupA FI is a coalition of firmsScale economies are generated in lender-borrower relationships if firms are better informed on the quality of the investment project,22,6.2.3 Diamond (1984): delegated monitoring,Idea: banks are good in monitoring projects; increasing returns to scalen firms, 1 unit investment need for a firms projectcash flow y of firms uncertain, unobservable to FIK = monitoring costsC = costs of a debt contract: KCPer project m investors (each has 1/m funds) are needed,Direct financing of n projects costs nmK in monitoringLet the FI do t