《金融市场与金融机构》课后习题答案

《金融市场与金融机构》米什金第七版课后习题答案

(请集中复习1-6、10-13.15章)

第一章为什么研究金融市场与金融机构

■AnswerstoEnd-of-ChapterQuestions

1.Because(heychannelfundsfrom(hosewhodono(haveaproductiveusefor(hemtothosewhodo,

therebyresultinginhighereconomicefficiency.

2.Businesseswouldcutinvestmentspendingbecausethecostoffinancingthisspendingisnowhigher,

andconsumerswouldbelesslikelytopurchaseahouseoracarbecause(hecostofHnancingtheir

purchaseishigher.

3.Achangeininterestratesaffectsthecostofacquiringfundsforfinancialinstitutionaswellas

changestheincomeonassetssuchasloans,bothofwhichaffectprofits.Inaddition,changesin

intercslratesaffect(hepriceofassetssuchasstockandbonds(ha((hefinancialinstitutionowns

whichcunlead(oprofitsorlosses.

4.No.Peoplewhoborrowtopurchaseahouseoracarareworseoffbecauseitcoststhemmoretofinance

theirpurchase;however,saversbenefitbecause(heycaneamhigherinterestratesontheirsavings.

5.Thelowerpriccforafirm'ssharesmeans(hati(canraiseusmalleramountoffunds,andso

investmentinplantandequipmentwillfall.

6.Higherstockpricesmeanthatconsumers'wealthishigherandsotheywillbemorelikelytoincrease

(heirspending.

7.ItmakesforeigngoodsmoreexpensiveandsoBritishconsumerswillbuylessforeigng(x)dsand

moredomesticgoods.

8.1(makesBritishgoodsmoreexpensiverelative(oAmericangoods.Americanbusinesseswillfindit

easiertoselltheirgoodsintheUnitedStatesandabroad,andthedemandfortheirproductswillrise.

9.Changesinforeignexchangerateschangethevalueofassetsheldbyfinancialinstitutionsandthus

leadtogainsandlosseson(heseassets.Alsochangesinforeignexchangeratesaffcc(theprofits

madeb)1tradersinforeignexchangewhoworkforfinancialinstitutions.

1().Inthemid-tolate1970sandthelate1980sandearly1990s.thevalueofthedollarwaslow.making

travelabroadrelativelymoreexpensive;thatwouldhavebeenagoodtimetovacationintheUnited

Statesundsee(heGrandCanyon.As(hedollar'svaluerosein(heearly1980s,(ravelabroadbecame

relativelycheaper,makingi(agoodtimetovisittheTowerofLondon.

11.Banksacceptdepositsand(henusetheresultingfundstomakeloans.

12.Savingsandloanassociations,mutualsavingsbanks,creditunions,insurancecompanies,mutual

funds,pensionfunds,andfinancecompanies.

13.Answerswillvary.

14.Theprofitabilityoffinancialinstitutionsisaffectedbychangesininterestrates,stockprices,and

foreignexchangerates;fluctuationsinthesevariablesexposetheseinstitutionstorisk.

15.Because(heFederalReserveaffectsinterestrates,inflation,andbusinesscycles,allofwhichhave

animportantimpacton(heprofitabilityoffinancialinstitutions.

■QuantitativeProblems

1.ThefollowingtablelistsforeignexchangeratesbetweenUSdollarsandBritishpoundsduringApril.

DateUSDollarsperGBPDateUSDollarsperGBP

4/11.95644/i81.7504

4/41.92934/191.7255

4/51.9144/201.6914

4/61.93744/211.672

4/71.9614/221.6684

4/81.89254/251.6674

4/111.88224/261.6857

4/121.85584/271.6925

4/131.7964/281.7201

4/141.79024/291.7512

4/151.7785

Whichdaywouldhavebeenthebestdaytoconvert$200intoBritishpounds?

Whichdaywouldhavebeentheworstday?Whatwouldbethedifferenceinpounds?

Solution:Thebcs(dayis4/25,A(arateofS1.6674/pound,youwouldhave£119.95.Theworst

dayis4/7.At$1.961/pound,youwouldhave£101.99.oradifferenceof£17.96.

第二章金融体系概览

■AnswerstoEnd-of-ChapterQuestions

LTheshareofMicrosoftstockisanassetforitsownerbecauseitentitlestheownertoashareofthe

earningsandassetsofMicrosoft.TheshareisaliabilityforMicrosoftbecauseitisaclaimonits

eamingsandassetsby(heownerof(heshare.

2.Yes,Ishouldtakeouttheloan,becauseIwillbebelteroffasaresultofdoingso.Myinterestpayment

willbe$4,500(90%of$5,000),butasaresult,Iwillearnanadditional$10,000,solwillbeaheadof

thegameby$5,500.SinceLarry'sloan-sharkingbusinesscanmakesomepeoplebetteroff,asinthis

example,loansharkingmayhavesocialbcncfils.(Oneargumentagainstlegalizinglounsharking,

however,isthatitisfrequenllyaviolentactivity.)

3.Yes,becausetheabsenceofimancialmarketsmeansthatfundscannotbechanneledtopeoplewho

have(hemostproductiveusefor(hem.Entrepreneurs(hencanno(acquirefunds(osc(upbusinesses

(hatwouldhelptheeconomygrowrapidly.

4.TheprincipaldebtinstnimentsusedwereforeignbondswhichweresoldinBritainanddenominated

inpounds.TheBritishgainedbecause(heywereabletoearnhigherinterestralesasaresultof

lending(oAmericans,while(heAmericansgainedbecause(heynowhadaccess(ocapital(ostartup

profitablebusinessessuchasrailroads.

5.Thisstatementisfalse.Pricesinsecondarymarketsdeterminethepricesthatfinnsissuingsecurities

receiveinprimarymarkets.Inaddition,secondarymarketsmakesecuritiesmoreliquidandthus

easier(osellin(heprimarymarkets.Therefore,secondarymarketsarc,ifanything,moreimportanl

thanprimarymarkets.

6.Youwouldratherholdbonds,becausebondholdersarepaidoffbeforeequityholders,whoare(he

residualclaimants.

7.Becauseyouknowyourfamilymemberbetterthanastranger,youknowmoreabouttheborrower's

honesty,propensityforrisktaking,andothertraits.Thereislessasymmetricinfonnationthanwith

astrangerandlesslikelihoodofanadverseselectionproblem,withtheresultthatyouaremorelikely

(olend(othefamilymember.

9.Loansharkscanthreatentheirborrowerswithbodilyharmifborrowerstakeactionsthatmight

jeopardizepayingofftheloan.Henceborrowersfromaloansharkarelesslikely(oengagein

moralhazard.

10.Theymightnotworkhardenoughwhileyouarcnotlookingormaystealorcommitfraud.

11.Yes.becauseevenifyouknowthataborroweristakingactionsthatmightjeopardizepayingoffthe

loan,youmuststillstoptheborrowerfromdoingso.Becausethatmaybecostly,youmaynotspend

thetimeandefforttoreducemoralhazard,andsomoralhazardremainsaproblem.

12.True.Iftherearenoinformalionortransactionscosts,peoplecouldmakeloansloeachotheratno

costandwouldthushavenoneedforfinancialintermediaries.

13.Becausethecostsofmakingtheloantoyourneighborarehigh(legalfees,feesforacreditcheck,

andsoon),youwillprobablynotbeabletoearn5%ontheloanafteryourexpenseseventhoughit

hasa10%interestrale.Youarebetteroffdepositingyoursavingswithafinancialintennediaryand

earning5%interest.Inaddition,youarelikelytobearlessriskbydepositingyoursavingsatthebank

rather(hanlending(hemtoyourneighbor.

14.Increaseddiscussionofforeignfinancialmarketsin(heU.S.pressand(hegrowthinmarketsfor

internationalfinancialinstrumentssuchasEurodollarsandEurobonds.

第三章利率的含义及其在定价中的作用

■AnswerstoEnd-of-ChapterQuestions

1.$2000=$100/(1+1)+$100/(1+/)’+…+$100/(1+$+$1000/(1+0".

2.Youwouldratherbeholdinglong-termbondsbecause(heirpricewouldincreasemorethan(heprice

oftheshort-termbonds,givingthemahigherreturn.

3.No.Ifinterestratesrisesharplyinthefuture,long-(cnnbondsmaysuffersuchasharpfallinprice

(hat(heirrc(ummightbequitelow,possiblyevennegative.

4.Peoplearemorelikelytobuyhousesbecausetherealinterestratewhenpurchasingahousehasfallen

from3percent(=5percent-2percent)(o1percent(=10percent-9percent).Therealcostoffinancing

(hehouseisthuslowereventhoughmortgageraleshaverisen.(If(he(axdeducibilityofinterest

paymentsisallowedfor,thenitbecomesevenmorelikelythatpeoplewillbuyhouses.)

■QuantitativeProblem

I.Calculatethepresentvalueof$I.(XM)zero-couponbondwith5yearstomaturityiftherequired

annualinterestrateis6%.

Solution:PV-FVI(\+1)",

whereFV=1000,i=0.06、n=5

PV=747.25grandprizeis

2.Alotlcryclaimsitsgrandprizeis$10million,payableover20yearsat$500,000pcryear.If(hefirst

paymentismadeimmediately,whatis(hisgrandprizereallyworth?Useadiscountraceof6%.

Solution:Thisisasimplepresentvalueproblem.Usingafinuncialcalculalon

N=2();PMT=5(X),(XM);尸/=();/=6%;PmtsinBEGINmode.

ComputePV:PV=$6,079,058.25

3.Considerabondwitha7%annualcouponandafacevalueof$1.000.Completethefollowingtable:

YearstoMaturityDiscountRateCurrentPrice

35

37

67

97

99

Whatrelationshipdoyouobservebetweenyieldtomaturityandthecurrentmarketvalue?

Solution:________________________________________________

YearstoMaturityYieldtoMaturityCurrentPrice

35$1.054.46

37$1.000.00

67$1.000.00

95$1.142.16

99$880.10

Whenyieldtomaturityisabovethecouponrate,theband'scurrentpriceisbelowitsface

value.Theoppositeholdstruewhenyieldtomaturityisbelowthecouponrate.Foragiven

maturity,thebond'scurrentpricefallsasyieldtomaturityrises.Foragivenyieldto

maturity,abond'svaluerisesasitsmaturityincreases.Whenyieldtomaturityequalsthe

couponrate,abond'scurrentpriceequalsitsfacevalueregardlessofyearstomaturity.

I.Consideracouponbondthathasa$1,000pervalueandacouponrateof10%.Thebondiscurrently

sellingfor$1,150andhas8yearstomaturity.Whatisthebond'syieldtomaturity?

Solution:Tocalculatethebond'syieldtomaiuriryusingafinancialcalculator:

N=8;PMT=1000x0.10=100;1000;Pr=1150

Compute1:1-7.44

5.Youarcwilling(opay$15,625now(opurchaseuperpetuitywhichwillpayyouundyourheirs

31.250eachyear,forever,startingattheendofthisyear.Ifyourrequiredrateofreturndoesnot

change,howmuchwouldyoubewillingtopayifthiswerea2()-yeanannualpayment,ordinary

annuityinsteadofaperpetuity?

Solution:Tofindyouryieldtomaturity.Perpetuityvalue=PMTII.

So.15625=1250/7.7=0.08

Theanswertothefinalpart,usinguGnancialcalculator:

V=20;7=8;1250;FK=0

ComputePV.PV=12,272.69

6.PropertytaxesinDeKalbCountyareroughly2.66%of(hepurchasepriceeveryyear.Ifyoujust

boughta$1(M).O(X)home,whatisthe尸Pofallthefuturepropertytaxpayments?Assumethatthe

houseremainsworth$100,000forever,property(axratesneverchange,and(hu(a9%discountrate

isusedfordiscounting.

Solution:ThetaxesonaSI00.000homeareroughlyl(X).000x0.0266=2.66().

ThePVofallfuturepayments=2,660/0.09=$29,555.55(aperpetuity).

7.Assumeyoujustdeposited$1.000intoabankaccount.Thecurrentrealinterestraleis2%and

inflationisexpectedtobe6%overthenextyear.Whatnominalinterestratewouldyourequirefrom

(hebankoverthenextyear?Howmuchmoneywillyouhaveat(heendofoneyear?Tfyouare

savingtobuyastereothatcurrentlysellsfor$1,050,willyouhaveenoughtobuyit?

Solution:Therequirednominalratewouldbe:

i=『

=2%+6%=8%.

Atthisrate,youwouldexpecttohave$1.000x1.08.or$1.080a(theendoftheyear.

Canyouaffordthestereo?Intheory,thepriceofthestereowillincreasewiththerateof

inflation.So.oneyearlater,thestereowillcost$1,050x1.06,or$IJ13.Youwillbe

shortby333.

8.A10-year,7%couponbondwithafacevalueof$I.(XX)iscurrentlysellingfor$871.65.Compute

yourrateofreturnifyousellthebondnextyearfor$880.1().

Solution:

R=C=7O+88O」O-87L65.9%

P,871.65

9.Youhavepaid$980.30forun8%couponbondwithafacevalueof$1.000(hatmatureinfiveyears.

Youplanonholdingthebondforoneyear.Ifyouwantloearna9%ra(eofreturnon(hisinvestment,

whatpricemustyousell(hebondfor?Isthisrealistic?

Solution:Tofindtheprice,solve

80+匕1-980.30

=0.09for匕厂=988.53.

980.30

Although(hisappearspossible,theyieldtomaturitywhenyoupurchased(hebondwas

8.5%.At(hatyield,youonlyexpect(hepricetobe$983.62nextyear.Infact,theyield

wouldhavetodropto8.35%forthepricetobe$988.53.

1().Calculatethedurationofa$I.(XX)6%couponbondwiththreeyearstomaturity.Assumethatall

marketinterestratesare7%.

Solution:

Year123Sum

Payments60.0060.001060,00

ProfPayments56.0752.41865.28973.76

TimeWeightedPKofPayments56.07104.812595.83

TimeWeightedPVo(Payments0.060.112.672.83

DividedbyPrice

Thisbondhasadurationof2.83years.Note(hatthecurrentpriceofthebondisS973.76.

whichisthesumof(heindividual"P-ofpayments.**

11.Consider(hebondin(hepreviousquestion.Calculatetheexpectedpricechangeifinterestrates

dropto6.75%using(hedurationapproximation.Calculatetheactualpricechangeusingdiscounted

cashflow.

Solution:Using(heduracionapproximation,(hepricechangewouldbe:

Solution:Using(hedurationapproximation,(hepricechangewouldbe:

AP=-DURx—xP=-2.83xN12空x973.76=6.44.

l+i1.07

Thenewpricewouldbe$980.20.Usingadiscoursedcashflowapproach,thepriceis

980.23―onlyS.03different.

Year123Sum

Payments60.0060.001060.00

Profpayments56.2152.65871.3980.23

12.Thedurationofa$10()millionportfoliois10years.$40millioninnewsecuritiesareaddedto

theportfolio,increasingthedurationoftheportfolioto12.5years.Whatis(hedurationofthe

S40millioninnewsecurities?

Solution:First,note(hattheportfolionowhasSI40millionini(.Thedurationofaportlbliois(he

weightedaveragedurationofitsindividualsecurities.IxtDequal(hedurationofthe

$40millioninnewsecurities.Then,thisimplies:

12.5=(100/140x10)+(40/140xD)

12.5=7.1425+0.2857D

18.75=0

Thenewsecuritieshaveadurationof18.75years.

13.Abankhastwo.3-yearcommercialloanswithapresentvalueof$70million.ThefirstisaS30million

loan(ha(requiresasinglepaymentof$37.8millionin3years,withnootherpaymentsuntilthen.

Thesecondisfor$40million.Itrequiresanannualinterestpaymentof$3.6million.Theprincipalof

S40millionisduein3years.

u.Whaiis(hedurationof(hebank'scommercialloanportfolio?

b.Whatwillhappen(o(hevalueofitsportfolioif(hegenerallevelofinterestralesincreasedfrom

8%to8.5%?

Solution:Thedurationofthefirstloanis3yearssinceitisazero-couponloan.Thedurationofthe

secondloanisasfollows:

Year123Sum

Payment3.603.6043.60

ProfPayments3.333.0934.6141.03

TimeWeightedPKofPayments3.336.18103.83

TimeWeightedPVofPayments0.080.152.532.76

DividedbyPrice

Thedurationofaportfoliois(heweightedaveragedurationofitsindividualsecurities.

So,theportfolio'sduration=3/7x⑶+4/7x(2.76)=2.86

Ifralesincreased,AP=-DURxxP=-2.86x。x70,000,000=-926,852.

l+i1.08

14.Considerabondthatpromisesthefollowingcashflows.Therequireddiscountrateis12%.

Year01234

PromisedPayments16()17018()230

Youplantobuythisbond,holditfor2gyears,andthensellthebond.

a.Whattotalcashwillyoureceivefrom(hebondafter(he2/years?Assume(halperiodiccash

flowsarcreinvestedal12%.

b.Ifimmediatelyafterbuyingthisbond,allmarketinterestratesdropto11%(includingyour

reinvestmentrate),whatwillbetheimpactonyourtotalcashflowafter2%years?Howdoes

thiscomparetopart(a)?

c.Assumingallmarketinterestratesare12%,whatisthedurationofthisbond?

Solution:

a.Youwillreceive160.rcinvesccdihalfor1.5years,and170reinvestedfor0.5years.Thenyou

willsell(heremainingcashflows,discounteda(12%.Thisgivesyou:

1X0

,JO5

I60X(IJ2)+170x(1J2)+Y^^+y^?=$733.69.

b.Thisisthesameaspart(a),buttherateisnow11%.

Ion9in

160x(1.11)”+170x(1.11)05+—=$733.74.

LHn5L11M

Noticethatthisisonly$0.05differentfrompart(a).

c.Thedurationiscalculatedasfollows:

Year1234Sum

Payments160.00170.00180.00230.00

PKofPayments142.86135.52128.12146.17552.67

TimeWeightedPKofPayments142.86271.05384.36584.68

TimeWeighted尸/ofPayments0.260.490.701.062.50

DividedbyPrice

Sincethedurationandtheholdingperiixiarethesame,youareinsulatedfromimmediate

changesinintcresirates!1(doesn'talwaysworkout(hisperfectly,buttheideaisimportant.

第四章为什么利率会变化

■AnswerstoEnd-of-ChapterQuestions

1.a.Less,becauseyourwealthhasdeclined;

b.more,becauseitsrelativeexpectedreturnhasrisen;

c.less,becauseithasbecomelessliquidrelativetobonds:

d.less,becauseitsexpectedreturnhasfallenrelative(ogold;

e.more,becauseithasbecomelessriskyrelativetobon(h.

2.a.More,becauseyourwealthhasincreased;

b.more,becausei(hasbecomemoreliquid;

c.less,becausei(sexpectedreturnhasfallenrelative(oPolaroidstock;

d.more,becausei(hasbecomelessriskyrelative(ostocks;

c.less,becauseitsexpectedreturnhasfallen.

3.True,becausethebenefitstodiversificationaregreaterforapersonwhocaresmoreabout

reducingrisk.

4.Purchasingsharesinthepharmaceuticalcompanyismorelikelytoreducemyoverallriskbecausethe

correlationofreturnsoninyinvestmentinafootballteamwiththereturnsonthephannaceutical

companysharesshouldbelow.Bycontrast,(hecorrelationofreturnsonaninvestmentinafootball

teamandaninvestmentinabasketballteamareprobablyprettyhigh,sointhiscase(herewouldbe

littleriskreductionifIinvestedinboth.

5.True,becauseforariskaverseperson,morerisk,alowerexpectedreturnandlessliquiditymakea

securitylessdesirable.

6.WhentheFedsellsbondstothepublic,itincreasesthesupplyofbonds,thusshiftingthesupply

curveB'(o(heright.Theresultis(hattheintersectionof(hesupplyanddemandcurvesB'andB”

occursatalowerequilibriumbondpriceandthusahigherequilibriuminterestrate,andtheinterest

raterises.

7.Whentheeconomybooms、lhedemandforbondsincreases:(hepublic'sincomeandwealthrises

while(hesupplyofbondsalsoincreases,becausefinnshavemoreattractiveinveshnemopportunities.

Boththesupplyanddemandcurvesand8。shifttotheright,butasisindicatedinthetext,the

demandcurveprobablyshiftsless(han(hesupplycurveso(heequilibriumin(ercs(raterises.Similarly,

when(heeconomyentersarecession,both(hesupplyanddemandcurvesshifttotheleft,butthe

demandcurveshiftslessthanthesupplycurvesothatthebondpricerisesandtheinterestratefalls.

Theconclusionisthatbondpricesfallandinterestratesriseduringboomsandfallduringrecessions:

thatis,interestratesareprocyclical.

8.Interestratesfall.Theincreasedvolatilityofgoldpricesmakesbondsrelativelylessriskyrelativeto

goldandcauses(hedemandforbonds(oincrease.Thedemandcurve.Wshiftstotherightand(he

equilibriumbondpricerisesand(heinterestratefalls.

9.Interestrateswouldrise.Asuddenincreaseinpeople'sexpectationsoffuturerealestateprices

raises(heexpectedrciumonrealestaterelative(obonds,so(hedemandforbondsfalls.The

demandcurve8"shiftstotheleft,andtheequilibriumbondpricefalls、sotheinterestraterises.

10.Interestratesmightrise.Thelargefederaldeficitsrequire(heTreasurytoissuemorebonds;thusthe

supplyofbondsincreases.Thesupplycurve.B'shifts(otherightand(heequilibriumbondprice

fallsand(heintcrcslraterises.Someeconomistsbelieve(ha(when(heTreasury1issuesmorebonds,

thedemandforbondsincreasesbecausetheissueofbondsincreasesthepublic'swealth.Tnthiscase,

thedemandcurve,B",alsoshiftstotheright,anditisnolongerclearthattheequilibriumbondprice

orinterestratewillrise.Thusthereissomeambiguityintheanswertothisquestion.

11.Theincreasedriskinessofbondslowersthedemandforbonds.Thedemandcurveshiftstotheleft

andtheequilibriumbondpricefallsandtheinterestraterises.

12.Theincreasedriskinessofbondslowersthedemandforbonds.ThedemandcurveB1'shiftstothe

left,theequilibriumbondpricefallsandtheinterestralerises.

13.Yes,interestrateswillrise.Thelowercommissiononstocksmakesthemmoreliquid(hanbonds,

andthedemandforbondswillfall.ThedemandcurveBdwillthereforeshifttotheleft,andthe

equilibriumbondpricefallsandtheinterestratewillrise.

14Ifthepublicbelievesthepresident'sprogramwillbesuccessful,interestrateswillfall.Thepresident's

announcementwilllowerexpectedinllalionso(hattheexpectedreturnongoodsdecreasesrelative

tobonds.Thedemandforbondsincreasesandthedemandcurve.B'.shifts(o(heright.Foragiven

nominalinterestrate,chelowerexpectedinflationmeans(hattherealinterestratehasrisen,raising

thecostofborrowingsothatthesupplyofbondsfalls.Theresultingleftwardshiftofthesupply

curve.B\andtherightwardshiftofthedemandcurve.Bd.causestheequilibriumbondpricetorise

andtheinterestratetofall.

15.TheinterestrateontheAT&Tbondswillrise.Becausepeoplenowexpectinterestratestorise,the

expectedreturnonlong-termbondssuchasthe8=sof2022willfall,andthedemandforthese

bondswilldecline.Thedemandcurvewillthereforeshift(otheleft,andtheequilibriumbond

pricefallsandtheinterestratewillrise.

16.Interestrateswillrise.Theexpectedincreaseinstockpricesraisestheexpectedreturnonstocks

relativetobondsandso(hedemandforbondsfalls.Thedemandcurve.shifttotheleftand(he

equilibriumbondpricefallsandtheinterestraterises.

17.Interestrateswillrise.Whenbondpricesbecomevolatileandbondsbecomeriskier,(hedemandfor

bondswillfall.Thedemandcurvewillshift(o(heleft,andtheequilibriumbondpricefallsand

theinterestratewillrise.

■QuantitativeProblems

I.YouownaS1.000-parzero-couponbond(hathas5yearsofremainingmaturity.Youplanonselling

(hebondinoneyear,andbelievethattherequiredyieldnextyearwillhavethefollowingprobability

distribution:

ProbabilityRequiredYield

0.1