《货币、银行和金融市场经济学》第八版

1、Copyright 2010 Pearson Addison-Wesley. All rights reserved.Chapter 01Why Study Money, Banking, and Financial Markets?Copyright 2010 Pearson Addison-Wesley. All rights reserved.1-2Why Study Money, Banking, and Financial Markets To examine how financial markets such as bond and stock markets work To e

2、xamine how financial institutions such as banks work To examine the role of money in the economyCopyright 2010 Pearson Addison-Wesley. All rights reserved.1-3Part1 Introduction Chap1 Why Study Money, Banking and Financial Markets? Chap2 An overviews of the Financial System Chap3 What is Money?Copyri

3、ght 2010 Pearson Addison-Wesley. All rights reserved.1-4Part2 Financial Markets and Financial Institutions Chap4 Understanding Interest Rates Chap5 The Behavior of Interest Rates Chap6 BankingCopyright 2010 Pearson Addison-Wesley. All rights reserved.1-5FIGURE 1 Interest Rates on Selected Bonds, 195

4、02008Copyright 2010 Pearson Addison-Wesley. All rights reserved.1-6Part3 Central Banking and the Conduct of Monetary Policy Chap7 Structure of Central banks Chap8 Multiple Deposit Creation and the Money Supply Process Chap9 Determinants of the Money Supply Chap10 Tools of Monetary Policy Chap11 What

5、 should central Banks Do? Monetary Policy Goals, Strategy and TacticsCopyright 2010 Pearson Addison-Wesley. All rights reserved.1-7Part4 Money Theory Chap12 The Demand for Money Chap13 Aggregate Demand and Supply Analysis Chap14 Transmission Mechanisms of Monetary Policy: The Evidence Chap15 Money a

6、nd InflationCopyright 2010 Pearson Addison-Wesley. All rights reserved.1-8FIGURE 4 Aggregate Price Level and the Money Supply in the United States, 19502008Copyright 2010 Pearson Addison-Wesley. All rights reserved.1-9Money and Inflation The aggregate price level is the average price of goods and se

7、rvices in an economy A continual rise in the price level (inflation) affects all economic players Data shows a connection between the money supply and the price levelCopyright 2010 Pearson Addison-Wesley. All rights reserved.1-10FIGURE 5 Average Inflation Rate Versus Average Rate of Money Growth for

8、 Selected Countries, 19972007Source: International Financial Statistics.Copyright 2010 Pearson Addison-Wesley. All rights reserved.1-11FIGURE 6 Money Growth (M2 Annual Rate) and Interest Rates (Long-Term U.S. Treasury Bonds), 19502008Copyright 2010 Pearson Addison-Wesley. All rights reserved.1-12Mon

9、ey and Interest Rates Interest rates are the price of money Prior to 1980, the rate of money growth and the interest rate on long-term Treasury bonds were closely tied Since then, the relationship is less clear but the rate of money growth is still an important determinant of interest ratesCopyright

10、 2010 Pearson Addison-Wesley. All rights reserved.1-13FIGURE 3 Money Growth (M2 Annual Rate) and the Business Cycle in the United States, 19502008Copyright 2010 Pearson Addison-Wesley. All rights reserved.1-14How We Will Study Money, Banking, and Financial Markets A simplified approach to the demand

11、 for assets The concept of equilibrium Basic supply and demand to explain behavior in financial markets The search for profits An approach to financial structure based on transaction costs and asymmetric information Aggregate supply and demand analysisCopyright 2010 Pearson Addison-Wesley. All right

12、s reserved.1-15References 米什金，货币金融学（中文）（8)，清华大学出版社，2009 米什金，货币金融学（中文）（9)，人民大学出版社，2011 易纲、吴有昌，货币银行学，上海人民出版社，1999年 武康平， 货币银行学教程清华大学出版社2006年 黄达，货币银行学， 中国人民大学出版社2000年 戴国强，货币银行学， 上海财经大学出版社，2003 托马斯，货币，银行业和金融市场机械工业出版社2008 R.哈里斯著，梁小民译：货币理论，中国金融出版社，北京，1989Copyright 2010 Pearson Addison-Wesley. All rights re

13、served.Chapter 3What Is Money?Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-17Meaning of Money（货币货币） What is it? Money (or the “money supply”): anything that is generally accepted in payment for goods or services or in the repayment of debts. Copyright 2010 Pearson Addison-Wesley. All

14、 rights reserved.3-18Meaning of Money Money (a stock concept) is different from: Currency: consist of dollar bills（钞票） and coins（硬币）, currency is one type of money. Wealth（财富）: the total collection of pieces of property that serve to store value Income（收入）: flow of earnings per unit of time (a flow

15、concept) Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-19Functions of Money Medium of Exchange（交易媒价）: Eliminates the trouble of finding a double coincidence of needs (reduces transaction costs) Promotes specialization A medium of exchange must be easily standardized be widely accepted

16、 be divisible be easy to carry not deteriorate quicklyCopyright 2010 Pearson Addison-Wesley. All rights reserved.3-20Functions of Money Unit of Account（计算单位）: used to measure value in the economy reduces transaction costs Store of Value（价值尺度）: used to save purchasing power over time. other assets al

17、so serve this function Money is the most liquid of all assets but loses value during inflationCopyright 2010 Pearson Addison-Wesley. All rights reserved.3-21Evolution of the Payments System（支付制度的演变）（支付制度的演变） Commodity Money（商品货币）: valuable, easily standardized and divisible commodities (e.g. preciou

18、s metals, cigarettes). Fiat Money（不兑现纸币）: paper money decreed by governments as legal tender（法定货币）.Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-22Evolution of the Payments System Checks（支票）: an instruction to your bank to transfer money from your account Electronic Payment (电子支付，e.g.

19、 online bill pay). E-Money (electronic money，电子货币): Debit card Stored-value card (smart card) E-cash Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-23Measuring Money How do we measure money? Which particular assets can be called “money”? Construct monetary aggregates using the concept

20、of liquidity: M1 (most liquid assets) = currency（通货） + travelers checks（旅行支票） + demand deposits （活期存款）+ other checkable deposits（其他支票存款）. Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-24Measuring Money M2 (adds to M1 other assets that are not so liquid) = M1 + small denomination time

21、deposits（小面额定期存款） + savings deposits and money market deposit accounts （储蓄存款和货币市场存款账户）+ money market mutual fund shares（retail）（货币市场互助基金份额（非机构持有）. Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-25Table 1 Measures of the Monetary AggregatesCopyright 2010 Pearson Addison-Wesley. All righ

22、ts reserved.3-26Monetary AggregatesCurrencyTravelers ChecksDemand DepositsOther Check. DepM1M2M3Small Den. Dep.Savings and MMMoney Market Mutual Funds SharesCopyright 2010 Pearson Addison-Wesley. All rights reserved.3-27Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-28Copyright 2010 Pe

23、arson Addison-Wesley. All rights reserved.3-29 货币概览货币概览 Monetary Survey项目项目 Items2005 2005 货币和准货币货币和准货币 Money & Quasi money296040.13 货币货币 Money（M1）107279.91 流通中现金流通中现金 Currency in circulation 24032.82 活期存款活期存款 Demand deposits83247.09 准货币准货币 Quasi money188760.22 定期存款定期存款 Time deposits33099.99 储蓄存

24、款储蓄存款 Saving deposits141050.99 其他存款其他存款 Other deposits14609.24Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-30M1 vs. M2 Does it matter which measure of money is considered? M1 and M2 can move in different directions in the short run (see figure). Conclusion: the choice of monetary agg

25、regate is important for policymakers. Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-31FIGURE 1 Growth Rates of the M1 and M2 Aggregates, 19602008Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-32How Reliable are the Money Data? Revisions are issued because: Small deposito

26、ry institutions report infrequently Adjustments must be made for seasonal variation We probably should not pay much attention to short-run movements in the money supply numbers, but should be concerned only with longer-run movementsCopyright 2010 Pearson Addison-Wesley. All rights reserved.3-33Table

27、 2 Growth Rate of M2: Initial and Revised Series, 2008 (percent, compounded annual rate)Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-34Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-35Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-36Copyright 2010 Pearson

28、Addison-Wesley. All rights reserved.3-37Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-38M2 Growth RateGDP GDP Growth Rate2000 11.8 7.9 2001 16.8 9.6 2002 17.8 11.3 2003 18.1 12.0 2004 10.5 13.1 2005 15.5 15.7 2006 14.0 15.5 2007 11.3 12.9 均值均值15.6 11.1 M2 Growth RateGDP Growth Rate199

29、122.4 12.9 199223.4 14.8 199319.7 16.8 19948.4 9.6 199510.6 7.5 199615.7 8.3 19912007年年M2与与GDP增长率增长率Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-39表1 美英德法四国批发物价指数年份年份（1816-1913）美国美国英国英国德国德国法国法国18161501479414318498246679418731371301141221896647269691913100100100100w 指数指数1913=100w 数据来源

30、：马君潞：数据来源：马君潞：国际货币制度研究国际货币制度研究， 中国财政经济出版社，中国财政经济出版社，1995。Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-40 In 1944, there was a meeting of 44 nations at In 1944, there was a meeting of 44 nations at Bretton Woods, New Hampshire. The meeting was Bretton Woods, New Hampshire. The meeting

31、 was called the Bretton Woods Conference, called the Bretton Woods Conference, officially known as the United Nations officially known as the United Nations Monetary and Financial Conference.Monetary and Financial Conference. An international agreement, called An international agreement, called Bret

32、ton Bretton Woods AgreementWoods Agreement, was reached to govern , was reached to govern monetary policy among nationsmonetary policy among nations The purpose was to design a postwar The purpose was to design a postwar international monetary ernational monetary system.Bretton Woods Syste

33、m:Bretton Woods System:1945-19721945-1972Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-41 Under the Bretton Woods System, the U.S. Under the Bretton Woods System, the U.S. dollar was pegged to gold at $35 per ounce dollar was pegged to gold at $35 per ounce and other currencies were p

34、egged to the U.S. and other currencies were pegged to the U.S. dollar.dollar. Each country was responsible for maintaining Each country was responsible for maintaining its exchange rate within its exchange rate within 1% of the adopted 1% of the adopted par value by buying or selling foreign par val

35、ue by buying or selling foreign reserves as necessary.reserves as necessary. The Bretton Woods System was a dollar-based The Bretton Woods System was a dollar-based gold exchange standard.gold exchange standard.Bretton Woods System:Bretton Woods System:1945-19721945-1972Copyright 2010 Pearson Addiso

36、n-Wesley. All rights reserved.3-42 世界出口贸易年平均增长率，世界出口贸易年平均增长率， 1948194819761976年为年为7.7%7.7%， 1913191319381938年，平均每年只增长年，平均每年只增长0.7%0.7%。Copyright 2010 Pearson Addison-Wesley. All rights reserved.3-43 On one hand, performing the role of the worlds reserve currency, the US dollar should keep its value

37、stable. On the other hand, the international economy needed dollars for liquidity purposes and to satisfy demand for reserve assets. This forced US to run consistently large current account deficits. Triffin argued that such persistent deficits would eventually put pressure on the US dollar and lead

38、 to the demise of the Bretton Woods system of international exchange. Triffin DilemmaTriffin DilemmaCopyright 2010 Pearson Addison-Wesley. All rights reserved.Chapter 4Understanding Interest RatesCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-45100$)10. 01/(110$nPV100$)10. 01/(110$PV10

39、0$)10. 01/(110$2PVPresent Value（现值）（现值） Definition （定义）: A dollar paid to you one year from now is less valuable than a dollar paid to you todayCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-46Time Line$100$110Year01PV$1002$121nCannot directly compare payments scheduled in different po

40、ints in the time line$100*(1+i)n$100$100$100Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-47Simple Present Value Formula（简单的现值公式）（简单的现值公式）nPV = todays (present) valueCF = future cash flow (payment) = the interest rateCFPV = (1 + )iiCopyright 2010 Pearson Addison-Wesley. All rights res

41、erved.4-48Time Line$100$100Year01PV1002$100$100n100/(1+i)100/(1+i)2100/(1+i)nCannot directly compare payments scheduled in different points in the time lineCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-49Four Types of Credit Market Instruments Simple Loan（简易贷款）:The lender provides the

42、 borrower with an amount of money, which must be repaid to the lender at the maturity date along with an additional payment for the interest. Fixed-Payment Loan（定期定额贷款）:This type of loan has the same cash flow throughout the life of the loan. Coupon Bond（息票债券）:A coupon bond pays the owner of the bon

43、d a fixed interest rate (coupon payment) every year until the maturity date, when a specified final amount is paid. Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-50Four Types of Credit Market Instruments Discount Bond（贴现发行债券）:A discount bond is bought at a price below its face value (

44、at a discount), and the face value is repaid at the maturity date.Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-51Yield to Maturity(到期收益率到期收益率) Definition（定义）： The interest rate that equates the present value of cash flow payments received from a debt instrument（未来现金流的现值） with its val

45、ue today（今天的价值）Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-52ntnttyFyCP10)1 ()1 (0P代表债券价格代表债券价格tC代表第代表第t期债券的利息期债券的利息n代表债券的期数代表债券的期数F代表债券本金代表债券本金y代表到期收益率代表到期收益率The formula of Yield to Maturity(到期收益率的公式到期收益率的公式)Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-53Table 1 Yie

46、lds to Maturity on a 10%-Coupon-Rate Bond Maturing in Ten Years(Face Value = $1,000) When the coupon bond is priced at its face value, the yield to maturity equals the coupon rate The price of a coupon bond and the yield to maturity are negatively related The yield to maturity is greater than the co

47、upon rate when the bond price is below its face valueCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-54Table 1 Yields to Maturity on a 10%-Coupon-Rate Bond Maturing in Ten Years(Face Value = $1,000) When the coupon bond is priced at its face value, the yield to maturity equals the coupo

48、n rate The price of a coupon bond and the yield to maturity are negatively related The yield to maturity is greater than the coupon rate when the bond price is below its face valueCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-55Consol(统一公债统一公债) or Perpetuity（永久债券永久债券） Definition: A bo

49、nd with no maturity date that does not repay principal but pays fixed coupon payments foreverconsol theofmaturity toyieldpaymentinterest yearly consol theof price/ccciCPiCPccPCi/: thisasequation above rewritecan For coupon bonds, this equation gives the current yield, an easy to calculate approximat

50、ion to the yield to maturityCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-56Discount Bond（贴现发行债券贴现发行债券） For any one year discount bondi = F - PPF = Face value of the discount bondP = current price of the discount bondThe yield to maturity equals the increasein price over the year divi

51、ded by the initial price.As with a coupon bond, the yield to maturity is negatively related to the current bond price.Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-571-57Other Measures of Interest RatesCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-581-58Current Yield（当期

52、收益率当期收益率）、 C ic = P Two Characteristics Is better approximation to yield to maturity, nearer price is to par and longer is maturity of bond Change in current yield always signals change in same direction as yield to maturityCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-591-59 (F P) 36

53、0idb = x F (number of days to maturity)One year bill, P = $900, F = $1000 $1000 $900 360idb = x = 0.099 = 9.9% $1000 365 Understates yield to maturity; longer the maturity, greater is understatement Change in discount yield always signals change in same direction as yield to maturityYield on a Disco

54、unt Basis（贴现收益率贴现收益率）Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-60 2006 Pearson Addison-Wesley. All rights reserved1-60Bond Page of the NewspaperCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-61Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-62Rate of Ret

55、urn（回报率）回报率）Definiton(定义): the rate of return is defined as the payments to the owner plus the change in its value.Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-63Rate of Return and Interest Rates The return equals the yield to maturity only if the holding period equals the time to ma

56、turity A rise in interest rates is associated with a fall in bond prices, resulting in a capital loss if time to maturity is longer than the holding period The more distant a bonds maturity, the greater the size of the percentage price change associated with an interest-rate changeCopyright 2010 Pea

57、rson Addison-Wesley. All rights reserved.4-64Rate of Return and Interest Rates (contd) The more distant a bonds maturity, the lower the rate of return the occurs as a result of an increase in the interest rate Even if a bond has a substantial initial interest rate, its return can be negative if inte

58、rest rates rise Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-65Table 2 One-Year Returns on Different-Maturity 10%-Coupon-Rate Bonds When Interest Rates Rise from 10% to 20%Copyright 2010 Pearson Addison-Wesley. All rights reserved.4-66Interest-Rate Risk Prices and returns for long-te

59、rm bonds are more volatile than those for shorter-term bonds There is no interest-rate risk for any bond whose time to maturity matches the holding periodCopyright 2010 Pearson Addison-Wesley. All rights reserved.4-67Real and Nominal Interest Rates Nominal interest rate makes no allowance for inflat

60、ion Real interest rate is adjusted for changes in price level so it more accurately reflects the cost of borrowing Ex ante real interest rate is adjusted for expected changes in the price level Ex post real interest rate is adjusted for actual changes in the price levelCopyright 2010 Pearson Addison-Wes