《貨幣、銀行和金融市場經(jīng)濟學》第八版

1、Chapter 01Why Study Money, Banking, and Financial Markets?Why Study Money, Banking, and Financial MarketsTo examine how financial markets such as bond and stock markets workTo examine how financial institutions such as banks workTo examine the role of money in the economyPart1 IntroductionChap1 Why

2、Study Money, Banking and Financial Markets?Chap2 An overviews of the Financial SystemChap3 What is Money?Part2 Financial Markets and Financial Institutions Chap4 Understanding Interest RatesChap5 The Behavior of Interest RatesChap6 BankingFIGURE 1 Interest Rates on Selected Bonds, 19502008Sources: F

3、ederal Reserve Bulletin; /releases/H15/data.htm.Part3 Central Banking and the Conduct of Monetary PolicyChap7 Structure of Central banks Chap8 Multiple Deposit Creation and the Money Supply ProcessChap9 Determinants of the Money SupplyChap10 Tools of Monetary PolicyChap11 What should central Banks D

4、o? Monetary Policy Goals, Strategy and TacticsPart4 Money TheoryChap12 The Demand for MoneyChap13 Aggregate Demand and Supply AnalysisChap14 Transmission Mechanisms of Monetary Policy: The EvidenceChap15 Money and InflationFIGURE 4 Aggregate Price Level and the Money Supply in the United States, 195

5、02008Sources: /fred/data/gdp/gdpdef; /releases/h6/hist/h6hist10.txt.Money and InflationThe aggregate price level is the average price of goods and services in an economyA continual rise in the price level (inflation) affects all economic playersData shows a connection between the money supply and th

6、e price levelFIGURE 5 Average Inflation Rate Versus Average Rate of Money Growth for Selected Countries, 19972007Source: International Financial Statistics.FIGURE 6 Money Growth (M2 Annual Rate) and Interest Rates (Long-Term U.S. Treasury Bonds), 19502008Sources: Federal Reserve Bulletin, p. A4, Tab

7、le 1.10; /releases/h6/hist/h6hist1.txt.Money and Interest RatesInterest rates are the price of moneyPrior to 1980, the rate of money growth and the interest rate on long-term Treasury bonds were closely tiedSince then, the relationship is less clear but the rate of money growth is still an important

8、 determinant of interest ratesFIGURE 3 Money Growth (M2 Annual Rate) and the Business Cycle in the United States, 19502008Note: Shaded areas represent recessions.Source: Federal Reserve Bulletin, p. A4, Table 1.10; /releases/h6/hist/h6hist1.txt.How We Will Study Money, Banking, and Financial Markets

9、A simplified approach to the demand for assetsThe concept of equilibriumBasic supply and demand to explain behavior in financial marketsThe search for profitsAn approach to financial structure based on transaction costs and asymmetric informationAggregate supply and demand analysisReferences米什金，貨幣金融

10、學（中文）（8)，清華大學出版社，2009米什金，貨幣金融學（中文）（9)，人民大學出版社，2011易綱、吳有昌，貨幣銀行學，上海人民出版社，1999年 武康平， 貨幣銀行學教程清華大學出版社2006年黃達，貨幣銀行學， 中國人民大學出版社2000年戴國強，貨幣銀行學， 上海財經(jīng)大學出版社，2003 托馬斯，貨幣，銀行業(yè)和金融市場機械工業(yè)出版社2008R.哈里斯著，梁小民譯：貨幣理論，中國金融出版社，北京，1989Chapter 3What Is Money?Meaning of Money（貨幣）What is it?Money (or the “money supply”): anythi

11、ng that is generally accepted in payment for goods or services or in the repayment of debts. Meaning of MoneyMoney (a stock concept) is different from:Currency: consist of dollar bills（鈔票） and coins（硬幣）, currency is one type of money. Wealth（財富）: the total collection of pieces of property that serve

12、 to store valueIncome（收入）: flow of earnings per unit of time (a flow concept) Functions of MoneyMedium of Exchange（交易媒價）: Eliminates the trouble of finding a double coincidence of needs (reduces transaction costs)Promotes specializationA medium of exchange mustbe easily standardizedbe widely accepte

13、dbe divisiblebe easy to carrynot deteriorate quicklyFunctions of MoneyUnit of Account（計算單位）: used to measure value in the economyreduces transaction costsStore of Value（價值尺度）: used to save purchasing power over time.other assets also serve this function Money is the most liquid of all assets but los

14、es value during inflationEvolution of the Payments System（支付制度的演變）Commodity Money（商品貨幣）: valuable, easily standardized and divisible commodities (e.g. precious metals, cigarettes).Fiat Money（不兌現(xiàn)紙幣）: paper money decreed by governments as legal tender（法定貨幣）.Evolution of the Payments SystemChecks（支票）:

15、an instruction to your bank to transfer money from your accountElectronic Payment (電子支付，e.g. online bill pay).E-Money (electronic money，電子貨幣):Debit cardStored-value card (smart card)E-cash Measuring MoneyHow do we measure money? Which particular assets can be called “money”?Construct monetary aggreg

16、ates using the concept of liquidity:M1 (most liquid assets) = currency（通貨） + travelers checks（旅行支票） + demand deposits （活期存款）+ other checkable deposits（其他支票存款）. Measuring MoneyM2 (adds to M1 other assets that are not so liquid) = M1 + small denomination time deposits（小面額定期存款） + savings deposits and m

17、oney market deposit accounts （儲蓄存款和貨幣市場存款賬戶）+ money market mutual fund shares（retail）（貨幣市場互助基金份額（非機構(gòu)持有）. Table 1 Measures of the Monetary AggregatesMonetary AggregatesCurrencyTravelers ChecksDemand DepositsOther Check. DepM1M2M3Small Den. Dep.Savings and MMMoney Market Mutual Funds Shares存款的種類：*活期存款

18、：這種存款，支用時須使用銀行規(guī)定的支票，又稱為支票存款。企業(yè)、個人、政府機關(guān)、金融機構(gòu)都能在銀行開立活期存款賬戶。定期存款：指那些具有確定的到期期限才準提取的存款。儲蓄存款：這主要是針對居民個人積蓄貨幣之需所開辦的一種存款業(yè)務(wù)。一般不能據(jù)此簽發(fā)支票，支用時只能提取現(xiàn)金或先轉(zhuǎn)入存戶的活期存款賬戶。它可以進一步分為活期和定期兩大類。 中國的貨幣計量： M0 = 流通中現(xiàn)金 M1 = M0 + 企事業(yè)單位活期存款 M2 = M1 + 企事業(yè)單位定期存款+居民儲蓄存款 + 證券公司客戶保證金 + 其他存款 貨幣概覽 Monetary Survey項目 Items2005 貨幣和準貨幣 Money &

19、Quasi money296040.13 貨幣 Money（M1）107279.91 流通中現(xiàn)金 Currency in circulation 24032.82 活期存款 Demand deposits83247.09 準貨幣 Quasi money188760.22 定期存款 Time deposits33099.99 儲蓄存款 Saving deposits141050.99 其他存款 Other deposits14609.24M1 vs. M2Does it matter which measure of money is considered?M1 and M2 can move

20、in different directions in the short run (see figure). Conclusion: the choice of monetary aggregate is important for policymakers. FIGURE 1 Growth Rates of the M1 and M2 Aggregates, 19602008Sources: Federal Reserve Bulletin, p. A4, Table 1.10, various issues; Citibase databank; /releases/h6/hist/h6h

21、ist1.txt.How Reliable are the Money Data?Revisions are issued because:Small depository institutions report infrequentlyAdjustments must be made for seasonal variationWe probably should not pay much attention to short-run movements in the money supply numbers, but should be concerned only with longer

22、-run movementsTable 2 Growth Rate of M2: Initial and Revised Series, 2008 (percent, compounded annual rate)M2 Growth RateGDP Growth Rate200011.8 7.9 200116.8 9.6 200217.8 11.3 200318.1 12.0 200410.5 13.1 200515.5 15.7 200614.0 15.5 200711.3 12.9 均值15.6 11.1 M2 Growth RateGDP Growth Rate199122.4 12.9

23、 199223.4 14.8 199319.7 16.8 19948.4 9.6 199510.6 7.5 199615.7 8.3 199716.3 7.1 199815.8 6.8 199916.4 6.8 19912007年M2與GDP增長率表1 美英德法四國批發(fā)物價指數(shù)年份（1816-1913）美國英國德國法國18161501479414318498246679418731371301141221896647269691913100100100100指數(shù)1913=100數(shù)據(jù)來源：馬君潞：國際貨幣制度研究， 中國財政經(jīng)濟出版社，1995。In 1944, there was a meet

24、ing of 44 nations at Bretton Woods, New Hampshire. The meeting was called the Bretton Woods Conference, officially known as the United Nations Monetary and Financial Conference.An international agreement, called Bretton Woods Agreement, was reached to govern monetary policy among nationsThe purpose

25、was to design a postwar international monetary system.Bretton Woods System:1945-1972Under the Bretton Woods System, the U.S. dollar was pegged to gold at $35 per ounce and other currencies were pegged to the U.S. dollar.Each country was responsible for maintaining its exchange rate within 1% of the

26、adopted par value by buying or selling foreign reserves as necessary.The Bretton Woods System was a dollar-based gold exchange standard.Bretton Woods System:1945-1972 世界出口貿(mào)易年平均增長率， 19481976年為7.7%， 19131938年，平均每年只增長0.7%。On one hand, performing the role of the worlds reserve currency, the US dollar sh

27、ould keep its value 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

28、US dollar and lead to the demise of the Bretton Woods system of international exchange. Triffin DilemmaChapter 4Understanding Interest RatesDiscounting the Future( )Present Value（現(xiàn)值）Definition （定義）: A dollar paid to you one year from now is less valuable than a dollar paid to you todayTime Line$100$

29、110Year01PV$1002$121nCannot directly compare payments scheduled in different points in the time line$100*(1+i)n$100$100$100Simple Present Value Formula（簡單的現(xiàn)值公式）Time Line$100$100Year01PV1002$100$100n100/(1+i)100/(1+i)2100/(1+i)nCannot directly compare payments scheduled in different points in the tim

30、e lineFour Types of Credit Market InstrumentsSimple Loan（簡易貸款）:The lender provides the 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（定期定額貸款）:This type of loan has the same cash flow thro

31、ughout the life of the loan.Coupon Bond（息票債券）:A coupon bond pays the owner of the bond a fixed interest rate (coupon payment) every year until the maturity date, when a specified final amount is paid. Four Types of Credit Market InstrumentsDiscount Bond（貼現(xiàn)發(fā)行債券）:A discount bond is bought at a price b

32、elow its face value (at a discount), and the face value is repaid at the maturity date.Yield to Maturity(到期收益率)Definition（定義）：The interest rate that equates the present value of cash flow payments received from a debt instrument（未來現(xiàn)金流的現(xiàn)值） with its value today（今天的價值）代表債券價格代表第t期債券的利息代表債券的期數(shù)代表債券本金代表到期收

33、益率The formula of Yield to Maturity(到期收益率的公式)Table 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 coupon rateThe price of a coupon bond and the yield to maturity are negatively

34、 relatedThe yield to maturity is greater than the coupon rate when the bond price is below its face valueTable 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 coupon rateThe pr

35、ice of a coupon bond and the yield to maturity are negatively relatedThe yield to maturity is greater than the coupon rate when the bond price is below its face valueConsol(統(tǒng)一公債) or Perpetuity（永久債券）Definition: A bond with no maturity date that does not repay principal but pays fixed coupon payments

36、foreverFor coupon bonds, this equation gives the current yield, an easy to calculate approximation to the yield to maturityDiscount Bond（貼現(xiàn)發(fā)行債券）1-57Other Measures of Interest Rates1-58Current Yield（當期收益率）、 C ic = P Two CharacteristicsIs better approximation to yield to maturity, nearer price is to p

37、ar and longer is maturity of bondChange in current yield always signals change in same direction as yield to maturity1-59 (F P) 360idb = x F (number of days to maturity)One year bill, P = $900, F = $1000 $1000 $900 360idb = x = 0.099 = 9.9% $1000 365Two CharacteristicsUnderstates yield to maturity;

38、longer the maturity, greater is understatementChange in discount yield always signals change in same direction as yield to maturityYield on a Discount Basis（貼現(xiàn)收益率） 2006 Pearson Addison-Wesley. All rights reserved1-60Bond Page of the NewspaperRate of Return（回報率）Definiton(定義): the rate of return is de

39、fined as the payments to the owner plus the change in its value.Rate of Return and Interest RatesThe return equals the yield to maturity only if the holding period equals the time to maturityA rise in interest rates is associated with a fall in bond prices, resulting in a capital loss if time to mat

40、urity is longer than the holding periodThe more distant a bonds maturity, the greater the size of the percentage price change associated with an interest-rate changeRate 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 i

41、ncrease in the interest rateEven if a bond has a substantial initial interest rate, its return can be negative if interest rates rise Table 2 One-Year Returns on Different-Maturity 10%-Coupon-Rate Bonds When Interest Rates Rise from 10% to 20%Interest-Rate RiskPrices and returns for long-term bonds

42、are more volatile than those for shorter-term bondsThere is no interest-rate risk for any bond whose time to maturity matches the holding periodReal and Nominal Interest RatesNominal interest rate makes no allowance for inflationReal interest rate is adjusted for changes in price level so it more ac

43、curately reflects the cost of borrowingEx ante real interest rate is adjusted for expected changes in the price levelEx post real interest rate is adjusted for actual changes in the price levelFisher EquationThe Relationship between Nominal interest rate and Real interest rate:FIGURE 1 Real and Nomi

44、nal Interest Rates (Three-Month Treasury Bill), 19532008Sources: Nominal rates from /releases/H15. The real rate is constructed using the procedure outlined in Frederic S. Mishkin, “The Real Interest Rate: An Empirical Investigation,” Carnegie-Rochester Conference Series on Public Policy 15 (1981):

45、151200. This procedure involves estimating expected inflation as a function of past interest rates, inflation, and time trends and then subtracting the expected inflation measure from the nominal interest rate.Chapter 5The Behavior of Interest RatesDetermining the Quantity Demanded of an AssetWealth

46、: the total resources owned by the individual, including all assetsExpected Return: the return expected over the next period on one asset relative to alternative assetsRisk: the degree of uncertainty associated with the return on one asset relative to alternative assetsLiquidity: the ease and speed

47、with which an asset can be turned into cash relative to alternative assetsTheory of Asset DemandHolding all other factors constant:The quantity demanded of an asset is positively related to wealthThe quantity demanded of an asset is positively related to its expected return relative to alternative a

48、ssetsThe quantity demanded of an asset is negatively related to the risk of its returns relative to alternative assetsThe quantity demanded of an asset is positively related to its liquidity relative to alternative assetsSummary Table 1 Response of the Quantity of an Asset Demanded to Changes in Wea

49、lth, Expected Returns, Risk, and LiquiditySupply and Demand for BondsAt lower prices (higher interest rates), ceteris paribus, the quantity demanded of bonds is higher: an inverse（相反的，負向的） relationshipAt lower prices (higher interest rates), ceteris paribus, the quantity supplied of bonds is lower:

50、a positive relationshipFIGURE 1 Supply and Demand for BondsMarket EquilibriumOccurs when the amount that people are willing to buy (demand) equals the amount that people are willing to sell (supply) at a given priceBd = Bs defines the equilibrium (or market clearing) price and interest rate. When Bd

51、 Bs , there is excess demand, price will rise and interest rate will fallWhen Bd Bs , there is excess supply, price will fall and interest rate will riseShifts in the Demand for BondsWealth: in an expansion with growing wealth, the demand curve for bonds shifts to the right Expected Returns: higher

52、expected interest rates in the future lower the expected return for long-term bonds, shifting the demand curve to the leftExpected Inflation: an increase in the expected rate of inflations lowers the expected return for bonds, causing the demand curve to shift to the leftRisk: an increase in the ris

53、kiness of bonds causes the demand curve to shift to the leftLiquidity: increased liquidity of bonds results in the demand curve shifting rightSummary Table 2 Factors That Shift the Demand Curve for BondsFIGURE 2 Shift in the Demand Curve for BondsShifts in the Supply of BondsExpected profitability o

54、f investment opportunities: in an expansion, the supply curve shifts to the rightExpected inflation: an increase in expected inflation shifts the supply curve for bonds to the rightGovernment budget: increased budget deficits shift the supply curve to the rightSummary Table 3 Factors That Shift the

55、Supply of BondsFIGURE 3 Shift in the Supply Curve for BondsFIGURE 4 Response to a Change in Expected InflationFIGURE 5 Expected Inflation and Interest Rates (Three-Month Treasury Bills), 19532008Source: Expected inflation calculated using procedures outlined in Frederic S. Mishkin, “The Real Interes

56、t Rate: An Empirical Investigation,” Carnegie-Rochester Conference Series on Public Policy 15 (1981): 151200. These procedures involve estimating expected inflation as a function of past interest rates, inflation, and time trends.FIGURE 6 Response to a Business Cycle ExpansionFIGURE 7 Business Cycle

57、 and Interest Rates (Three-Month Treasury Bills), 19512008Source: Federal Reserve: /releases/H15/data.htm.The Liquidity Preference FrameworkFIGURE 8 Equilibrium in the Market for MoneyDemand for Money in the Liquidity Preference FrameworkAs the interest rate increases:The opportunity cost of holding

58、 money increasesThe relative expected return of money decreasesand therefore the quantity demanded of money decreases.Shifts in the Demand for MoneyIncome Effect: a higher level of income causes the demand for money at each interest rate to increase and the demand curve to shift to the rightPrice-Le

59、vel Effect: a rise in the price level causes the demand for money at each interest rate to increase and the demand curve to shift to the rightShifts in the Supply of MoneyAssume that the supply of money is controlled by the central bankAn increase in the money supply engineered by the Federal Reserv

60、e will shift the supply curve for money to the rightFIGURE 9 Response to a Change in Income or the Price LevelFIGURE 10 Response to a Change in the Money SupplySummary Table 4 Factors That Shift the Demand for and Supply of MoneyEverything Else Remaining Equal?Liquidity preference framework leads to