金融場(chǎng)與金融機(jī)構(gòu)課后習(xí)題答案

《金融市場(chǎng)與金融機(jī)構(gòu)》米什金第七版課后習(xí)題答案（請(qǐng)集中復(fù)習(xí)1-6、10-13、15章）第一章為什么研究金融市場(chǎng)與金融機(jī)構(gòu)■AnswerstoEnd-of-ChapterQuestionsBecauseiheyehmine]fundsfrom(hesewhodonothuve；ipruduciiveuseforihcmtoihosewhodu.therebyresulcingitihighereconomicctriciency.Businesseswouldculinvestmenl*pendingbecausethec<isrcffinancingihisspendingKnowhigheruiulconsumerswouldbelikelytopurchaseahou^eoracarbecuu^eIheco^tuffinuiKingIheir卩urvluscishigher.Achangeininterestratesaffectstheoustotacquiringfundslorfiinancialinslitutinnaswell』忌changestheincomecmassetsMichssI燭bothofwhichaffectprofits.Inaddition,changesininlere^tvn\csjffcclllicpriceufassetsMichusxt(>cknndbundsOutthefinjneialinstilutHitiuwnswhicheunIcudtuprofH:orlossesN<>.Peoplewhuhismiwtupurthastuhousei】racarareworsebevuwitcosInthemitmhciofinuncctheirpurchase;hoivever,?uvei\beneFlhec；iu.\clheycaneumhigherinrere.stratesontheirlivingsThelowerpriceloraJinn'sshui^^mc;ms[hu(itcunrui^cusmalleramountuffunds,un<JminvcMmcntinplantundcquipmcnlwill由I】，6-Higherprice、meantha(cynMiiners1weuhhishigherandtheywillbemorelikelytoincrease[heirspending.7..(tmakesforeigngiwidsirore亡xpensiveandshBritishconsumerswillbuylessforeigngtiodsandmaredomtMicguods,&1( Brilishmureexpensivenbh(ivcloAmericangutKls.AincricunbiiMne\M；svmHRuditeasiertoselltheirgoodsintheUnitedStatesandabmad,andthedemandfb「theirpnxiuctiiwillrise.U_ChancesinforeignexchangenJeschangelhevalueofassetsheldhynnnncialinstitulionsundihusleadlogEiins?ndonthese Alsouhangesinforeigncxuhangi：nile^utTcul[heprofileTrudebyIriidersinfbnr電ntr^chan^whuworkftirflmmciEilinsiitutions,1“Inthemid-\t>late197()sundlhelarcIMSDsandearly1990s.thevalue(ifthedollarwas1nwLiiiLiking(raveljibruiidrelalivelymureexpensive；ihutwuuJdhavebeenugotdlimetovueaHunintheIJniiedSutcsundncc(heGrundCutiyon.Asthedidhr\vyluer｛爪cinlhecurlyI980s4ir^vcldbruudbccumcrelativelycheapermakingitagoodLimelavisiltheTowerofLondon.Bunksiicceprdepositiindthenglheresultingfundstcmiikelouns.Savingsiindloaniissuciution^.rnuUiEilsavingsbunks,creditunions.inHsuruneccoinpanies,inuruulfunds,pension伽曲anilfinancecumpumes.An^wer-'iwillvurj.Theprulilabililyofrmanciulinslidilion^isaheeledb>changesinin[crestrates,^luckprices,andforeignexchangerales;fluctuationsinlhesevariablesexjwsetheseinstitutionsterisk.BcfdUHtheFederalReservealleelsmtcrestrates,inlluiioikjndbiiKinesKcycles,dllofwhichhaveanimportunttmpuctontheprofiiubilii\offinunciulin^iitulion^.■QuantitativeProblemsThefollowingtableliststkurignexchangeratesbetweenUSdollarsandBritishpenindsduringApril.DateUSIMlanptTGRPDuteUSDvlhnperGBP4/11.95M4/1Hl.75(U4/41/J2934/191.72554/519144/201.69144/61.93744/211.6724/71.%]4/22J,66844/S1.的25V2SJ.66744/11I.SK224/2n1力S574/121.85584/271.69254/131.7%4/2SL72O14/141.741)2川四1.75124/1517785Whichdaywouldhavebeenthebestdaytoconvert$200intoBritishpounds?Whichdaywouldhavebeen(hewursiday?Whatwtmldbe(hedifferenceinpounds?Solution:Thebestdayis4/25.Atarateuf$l.6674/puund,yoowouldhave￡119.95.Theworstdayis4/7.AcJl^l/pound,youwimldhave￡101.99.orudifftrenceof￡17.^第二章金融體系概覽■AnswerstoEnd-of-ChapterQuestionsTheshareofMicrosoftMockisanassetforitsownerbecauseitentitlestheownertoashareofthee^irningsandassets<jfMicixjsofl,TheshureisaliabilityforMicrosoftbecauseilisachimonilsearningsandussehby(heowneroftheshare,￥靄，1shouldlakeuuctheloan,bcc；iuse【willbebetteroffiiiaresultofdoingso.Myinterestpayincutwillbe$4,500(9(1%of$5,000),butasaresult,IwillearnanadditionalJKWlXhso1willbeaheadoflhegameby$5h5OO.SinceLarry'sluun-shaikingbusinesscunmukesomepeoplebetierafT.眄inihiscxdmpkbk)^nshdrkingmuyhaveweialb^nefih.(Oneargument [egalizingluqnshirking,however,isthatilhtrcqucnilyaviolentaciivit}J.<\Pes,becauseLheabsenceofhimicialmarketsiiieanj;lhaifundscanntHbechanneledtopeoplewhohave[hemostproductiveusefor[hem.Entrepreneurs(hencunnulucquircfimtlslosetupbusinessesLhalwouldhelptheecunciTi)growrapidl).Theprincipaldebtinstnimcjiisusedwereforeignbundswhichwere鮒IdinBritainanddenurninatedinpuuixhTheBritishgainedbecausetJicywereable旳eurnhigherinterestrulesasare^lioflendingtnXincricans,whileIhe\mcricuTi^g】in(xlbe創(chuàng)listIheyntiwhaduetesstocapitjlto^tartupprullublebuhinehiessuch◎rtihlruads.Thisstatementist^lse.Pricesinsecondarymarketsdelcrmiiwthepricesthiitfirmsissuingsecurilicsreceiveinprimarjmurkets.Innddiiion,>ccondar^mulctsinukeMieurilicsmureliquid^ndIhuseasier(osellin[he卩rimurjinarkls.Therefore,secondaryiriarkubarc.ir<iny(hinti,moreitTiporiJiitthanprimariniarkcLs.YouwouldiJlhcrholdhoiidshbecausebondhaldcrxlirepaidoftbetnrecquilyholders,whoarelhercsidoalclaimants”Becauseyouknowy<mrihmilymemberhellerihunuslJLangcr.youknowmorejbemttheIximiwcr'shonesty^propensityforrisktaking,andolhertrails.Thereislessasymmetricinformalionthanwith□'itratiger;mdlikelihoodi、『jhadversesclcclion卩rohlcm.withlheicmjIiihdlyou;livinonclikelyIokndtothefuinil)member.Loanshai'kxcanihrcutenll叱irboiru昭cmwithbodilyharmifboiru^crslakeacliuiisthalmi容hljeiipiirdizepqyingoffthel<un.HenceborrowersfromaIcmnsharkarelesslikelyioengageinmoralhazard.Theytnighlndwofichurdenoughwhileyouarcnvllookingin*muys(c?ilurcinTiiriitfruuij.II.YesTbecauseevenifyoukntiwthatnburrciweristakingactionsthatmightjeopardizepayingoffLheloanhyouinuxt、lillsloplheborryv-erfromdoingmlHecaiiseItuimaybecostly,younotspend(herimeandefforttoreducemurdlha7urd,andsonnorulhazardremains□problem.True.Iftheirarenoinlbnnuliondrirans?ic(iun?icuib.peoplecouldmakeloanstoeachotheralnocostandwouldthushavenoneedforfinancialinlennediaries.BecuU!>Cthecv$tsofmutingthelountoyourneighborarehigh(legalIce'*,teesI'oi*uEdilchecksundsoon),youwillprobablynu(beiblctoearn5%onlheloanafterynurexpensesevenihoughilhasa10%mLereslrale.YouarebelteroffdeposilingyoursavingswithafinancialinlennediaiAandearning5'.<inierest.Inaddition,youarelikelytobearlessriskbydeportingyoursavingsatthebankrather(hanlendingthemtoyourneighbor.14*Increaseddiscussionofforeignfiiiuncialmarketsin(heUSpressundIhegrowthinmarketsfurinternalianalfinancialinstnunentssuchasEurodollaniandEurobonds,第三章利率的含義及其在定價(jià)中的作用■AnswerstoEnd-of-ChapterQuestionsS2Grx>=SI0(VH+O+SI(X>/[1+0'+■+SKXW(1i0“+$1000/(1 .Youwouldratherbeholdinglong-termbondsbecauseLheirpricewouldincreasemorethanthepriceof(hesbcirt-tciinbotuh,givingthemuhigherreturn.No.Ifinterestrulesrisesharplyin(hefuture^lung-tcnnbondsmaysuffersucha&hurpfallinprice[halihciireturnmighl.bequiteluwLpossiblyevennegative.Peoplearerriorelikel\LubuyhousesbecauselherealinlereslratewhenpurvhasinEahou瞪hasfullenfrom3peiteni(=5pervent-2percent)1percent(=IQpcrceni-9pertcnl}.Therealcostoffinancingthehouseinthuslower,even(houghmortgageraleshaverisen.(FTlhelaxJcductibilii}ofinterestpaymentisallowedihenirbecomesevenmorelikelythatpeoplewillbuy■QuantitativeProblemCaJcuJatethepresentvalueof1LIXX)zertt-couponbondwith5yearstomaturityiftherequiredmanualinterestrateis6%.Solution：PVf=FVK\i0H.whereFF=I(XJO.i=006.n=5PV=747.25grandprizeis\loilcryclaimsitsgrandprizeisSLUmillion^payableover20yearsat$500,(XX)peryear.IfihcfirstpayTiicnlismadeinimcdijldy;whulh(his^rimdprizercull}worth?Umadiscountrjkul'0%-.Solurioii'Thisisnsimplepresentvuhieprohkni.UningnfinancedCEalculjtnrJV-20;PA/T=5g0tt);Hz=0:/=6%;PmtsinBEGINmode.CuinpulcPV\FF=^6t079.05H25Consoleruhondwitha7%animalcouponandaface^Faluent$IJMill.Completerhefollowing(able:YearstoXlnturityDiscouiitRateCurrentPrice353767勺79WhutrehtionshipdoyouubsenrcbetweetiyieldluinuUiriLyandtheeurrcniniurkcivaluc?Solution; \carstoMaturityYieldtoMaturity■(urrentPrice35$\tl54.4t37S1JMMHXJG7iLOOO.OU95S1J42.I699$M80.10Whenyield[uinaLiiriLyisabovethecouponrate,thehaiiil\current卩riceisbdluvit^facevalue.Theoppositeho】血inicwhet)yieldtoniamrityisbekwthecouponrate.Faragivenmatuiily.thebond'scurrentpricefull*nsyieldtomaturityrises.Fi)iagivenyiclJLnmaiurity.ubond'svuluerisesasiisnia[urityiiwrtaf記乩WlienyieldR)inaturiiyequalsthecouponrate,abond\ciirrentpriceequakiT只facevalueregardlessofyears；romatiiriiy.IConsidercouponbondthathasa$hO(XJpervalueandacouponraleut10^.Thebondiscurrentlysellingfor$1,150andhasKyearsromaturity.WhacKihebond1ftyieldcomanirity?Solution:Tocaknlatethebond*syieldtomaturityusingafinancialcalculator：N=^\PMT=1000XU」U=100;FV=1000;rV=1150ComputeI;Z=7.44Youarcwillingiopaj$15,625nowtupurchaseaperpetuitywhichwillpayyouanilyuurheirsSI.25()eachyear,forever.hUntingidlheendofihkjear.Ifyournequnrdndeofrelundoesnolchange,hdtvmuchwouldyutibewi]]iinghipayifthiswerea20-year,annujlpayment,anlinanannuityinstrjdnfaperpetuity?Solution:Tofindyouryieldtomaturity,Perpemityvalue=PMTILSc,15625=125(VZ./=0.0?TheanswertuLlicfindIpjrl.using』lltianeiulCdlcuhtur:￥^20;Z=8;P\fT=1250:FHComputePr: 12,272.69Propcny(axesinDeK;ilbCuun(>iirtroughly2,66%ofthepurchasepricecvcr>year.IfyoujoiiboughtjSHKJJKX)home,whaidthePVtil!ihcriiturcproperlyluxpuynieni'i1Ax^nncihatthehouserernmnsworthSlUU.OCOfureverprupert}ta?tnitesneverchange,andfhaia9%di^coumrateisusedh)rdiseounling.Scluiion:TheluxesonuSK)O.(MX)hiimeurtixjvghl)KXMXK)x0.026fi=2,6MJ.ThePFofnilfuturepaymtiUs>=工660/03=S29,55555(aperpetuiiy).AssumeyoujustdeposiledS1,OOUintoabankaccount.Thecumenlrealiniereslrdleis2%andiiifhUiimisexpectedtobeN彳overthenextycurWhatlUiiiiirtiiliiUcrcstrateWnnldymixquiitFrmnih亡banko*亡rthenextyear?Hywinuchmoneywillyouhavemtheendofoneyeur11Kyoiiareh；njngnjbuyasicrcolhalcurrentlysellsfur$1,05U.willyuuhaveenoughtobuyit?Solution:Therequirednuntidulniicwouldbe：i=ir±^=2%+6%=H%.Alihi、rjichwonLilu\pcclLuhjvc xI.<J&orSIaltht；endofthr^car.Cdnyouafford[hestereo?Tntheorj'.[hepriceoflhestereowillincreasewith(herateofinildtiun.S<j^one^tjjrlater,lhestereoui.Rcu^t$1.050x1.06.or$1.113.YoubebhortbyS33.K.A10-yeur.7^ctmpmibondwith□facevalueofSL(XW)iscurrentlycellingforSK71.65.Computeyourr址亡ofreturnifyousellthebondnextyeiirJbrIBKl).1().Solution：+阿心跖皿"gor9%.Pr 87165YouhavepaidS980.30foran8%couponbondwithafacevalueof￡1.000(hutinutureinfiveyears.Youplanunholdingthebondfortine5ear.[fyou業(yè);inttocama9倩rile<jfrelurnunthisinveslmeiu,whmpricemuxljuuselllhebondf<ir?Kthi\rtiiliMic?Solution:Tofindlheprice,solveSO+/JSO+/J+I-9S03Q9B0.30=0.09fur此嚴(yán)9眥處AlthoughThisuppciu^pus^ible,(heyieldiomu[unitywhenyoupurvh^cdthebundwasS.5^.Allhalyield,youonlyuxpeullhepri^ctot>e$9吊3,布2口莎1>ear.Infyul.theyieldwouldhave(odropluS.35%for(hepriceLube19K8.53.1().Calciibilethedurationofa$lt<XM)6%couponbondwiththreeyearsU)maturity.Assumethatullmarketinterestrulesare1%.SolMtion;Yi-ar123SvntPiiymciiu60.W060,001060,00f}TufPu}iticnts56.0752.41￡65.2897^.76TimeWeightedPTofPiiymcnts55.07IIJ4.KI2595.S3TimeWeightedPVofPayments006Oil2,672鵡DividedbyPriceThisbondhuudurutionof2,H3year^.Notethatthecurrentpriceofthebondis的73”76?whichisIheslim?ttheindividud)"rPr<Apayments.'"Cotiskier[hebundintheprcviuu'iqucsliun^Calculal{:thecxpcUcdpricechangeifinlcrc'ilru(ChiJt■"卩tobr75%UMngtheduration口卩卩n>xim>iliun,Cukulutelheaciuulpricechangeusingdisvuuntcdcashflow.S<?hifi<m:【lingtheduntidTiik]ipr(i\iiTij(L<?n.fhcpricechiinwewouldbe：Solution:Usin,g(hedurationapproximation,rhepricechangewouldbe；AP=-DURx—xP=-2,83x一°°此x973J6=6,44.l+f 1.07TliencVrpricewnuldbeS9KO.2O.Usingadisroinitedcuslifluuapprt*adihIhepriceis9KO.23一nljS.03difrcreni.Yeflr123[*□>inenli60.00trUW1060.00Pi'i>fpaymenirh56.2152.65S7J39SQ.2311iedurLiimsJiid'a$I{】U partliihui、1()ym「h.$40inilliyninnewstcurilichareuiiilcdmlhepuTtfuliu.increasingIhedumionuftheporlfblioto12.5years,WhalisihcdunitiunoflheS40millioninnewsccuriiies7Solution:First,note(hattheportIolionowhasSI40millioninit.Theduracionofaportfoliohlheweightedaveragedurationofitsindividualsecurities.l.etDequalthedurationof(he$40millioninnewsecurities.Then,thisimpJiei：12.5=(IOU/14Ox10)+(40/140x0)12.5=7.1425+0.28571tt,75=DThenewsecurilie*haveadunjlionofIS.75yeiirvAbunkhitstwo.3-ycareommtrvialIwtinswithuprudentvalueofS70million.ThefirstisaS^Omillionl^Linthatrequiresasingkpajincnlul$37.SmiIlioninymr九withnt>otherpaymenisunlilthen.Thesecondisfor$40million.1(requiresanannualinterestpaymentof$3.6million.TheprincipalofS40millionisduein3years.ii”Whanislheduruiiunof〔hebank\curnmercinlloan卩urtfolio?'VhulwillhappentotheViiluecfit5purlibliolhegenerallevel!ofinierestfillerincreusedfnimK%toK,5%?Solution:Ttiedurulionof[hefirstloanis3yearssinceitisazenxuuponloan.Thedur^lionof[he密andlaiknisu*follows；liar123SurnPayinent3.603.604160P卩ufPayments3.0934.61-II.inTimeWeightedPiofPiiymenis3.33MSIO3.B3TimeWeightedPVofPaymen(sDividedbyPrice0.0S0.152.532.76Thtduralivnofapurtfulioistheweighleduvenigeduralionofitsindividualsecurities,Sa.theportfoliosduration=3/7x(3)4--V7x(2.76)=2.86汀nilcsincreased.AfJ=-l>lfRx xP=-2.86x—_x70,00(1,fXXl=-926^852.\+i LOS14Consideryh^ndihutprumiscKthefulkiwingcashTherequireddisctiuntraleis12%,Year011■34pRimisedI'uytMiii、16U1701802341Yimphntobu>山dbufhlhulditIbrll/2years,undthensellthetx>nd.n.Whatluttilc；i%hwillyoureceivefrurTilhebund;jfler(lie2'jyear\?Assutncthd(|Kritdicc^IlflowsartTtinvesfedu(12%,[fiinn^dutekuiicrbuyingthisLiund.dllmarketinterestralesdropto11%(inirludin^yourreinvestinenfrate),whatwillhetheimpactonyourtotalcashflowafter2'zyears?Howdiies山為c^npurehipart(□)?Aftsumingullmurketinterestrutesarc12%.whatisthedunitianofthisbond?Splutinn:YouwillreceiveIWkTcinvenicdihutfur1,5ycurs.und170reinvestedfur0,5ycan>.Thenyouwillsellthercnuiniinjjeashfluwshdiscountedal12%.Thisgixesyuu.IHOth(i160x{LJ2)LI+170x(l.l2f5+ +——=S73169.L12031J2,Jb.Thisisthesameaspart〔也匕butLheratei(inow11%.160x(1.11嚴(yán)+170x(1」【嚴(yán)十一 +——=S733.74.]rllniI.LI11NtHicclhj[thisisonly$0.05diH'erenci'rump^rl(jj.ThedufiiliuniscalcuhHediisfMk；%、：Ycnr123SumPijyrnvn(\160.00I7O.(X；isaoo23O.IX*尸 Paymenls142.86135.5212?J2J46.17552.67TimeWeightedP\ulPaymentsI42.4J627LO53K4.365S4.68TimeWeightedfFofPaynienis().26&490.7()1.()62.50DividedbyLrieeSincethediu^ilionnntllheholdingperiodaj_eLhesame,youareiiihulatedfromimmediatechangesinintcreslriitcs!Ililwsti'ljIw;i>sworkou((hhpcrrec[lyhbilllheidc；iisimporliint.第四章為什么利率會(huì)變化■AnswerstoEnd-of-ChapterQuestionsu.l.ess,bc<juscyourwiMilthhdsdcdincd;becauseilsrelaliveexpectedreturnhduris^n：less,becauseithashecumelesiLiquidrehlivetobondsiJ.In.becausec?(pvelcdic[unifallenrelative(ogold;nyjrt,becauseitha?,bewme心裁ri$tynelahvetobond*a.Mnretbecauseyourwealthhasincreased;mt>rv,becauseir血becomemureliquid;less,becauseitsexpectedrdumhasfallenrelative(oPolaroidstock;murv,becauseirh粘becomelessnskyrelativetastucks;c.Im、,beejusci(^c:\pecledrccurnhu、fallen,TrutJ,bcuausclhebejiefitstodivcrxitlcationaregreaterforjpultonwhocareimoreaboulrvducingrisk.l\irchij>inginlhephanruccutkalcompanyismorelikelytoirducemym’erullriskbecausethecorrelaliunyfreturn^unmyinveitmentin日fbotbullteamuilhthereturnsunthepharmuceuiicalcoTtipanyshuresslumIdbelow.ByconfnisL(hecurtvlaiionofrdurnsonyninvestmentinafbmball(painandaninve^lmenlinabasketball(earnareprobablypreUyhigh,sointhiscasetherewouldbelitderiskrcducnonifIinvestedinboth-TruVnbecausefurariskaverseperson,morerkk”uluwtrexpectedrclurnundlessliQuidhymukcasecuritj-lessdesirable.WhenIheFedsellsbondstoih亡public,iiincreasesthesupplyofbonds,thusshiftingthesupplycurveBlu[herighLTheresultislhallheiiilcfscctiuiiofthesupplyanddemandcurvesfijndH'￡H?cursatalowerequilibriumbondpriceandthusahigherequilibhuniinterestrale,andtheinterestralerises.When(heeconumybuoms,IhedemandJutIxindsincreases:thepublic'sincomeundwealthriseswhilethesupplyofbonthalwinereuses.becausefirmshuvemureuttraefiveinvestmentuppurtunities.BoththeNup卩l(xiāng)yjiu!demandcur^'es{B'andH*)nhiiitntherigh匚buti”indiemedinthetextthedemandcurveprwtxiblyshiftslesslhanIliesupplycurve(hec^uilihriviriintere^lrulerises.Similarly,uhentheecononiieiuersarecessionhboththe\uppl、inddemandcune；sshilltolheleft,butthedemandcuneshiftslessThunthe*ii卩卩l(xiāng)ycurvesothat(hebond卩riceri^esuntltheinterestralefulls.Thecooclusionisthatbondpricesfillandinicrestrulesriseduringboomsandfallduringrecessions:thatis.intcrc^lratesare卩rtxrycliral.&Interestratesfall.Theincreasedvolatilityofgoldpricesmakesbondsrelativelylessriskyrelativetogoldandcausesthedemandlorbondstoincrejie.Thedejiiandcurve.B!.shifblutherightandLheequilibriumbondpriceri、t>andlheintcrcslralefalls.U.Ttilercslruleswmikliim?.Asuddenincreaseinpeople'sexpectuliotisnffuturenjjlcs[j[cpricesraises(heexpectedrerunonreulesfiiiereluiivctobond^.suthederruindfurbundsfulh.Thedetnundcurve呂‘whifKto(hekit.undtheequilibriumbondpricefulK,⑷ihcinicrehtrulerises.Inteiest1'Jlesmightrise.Thelargei'cderuldeficiisrcquijvIlieTrcafiUAkJissuemorebuilds^thusthesupplyofbondsincreases.Themippi)curve.shifb(uIherightund(heequilibriurnbundpricefjllsandlheiiKercslralerises.Surncecoiiumishbelievelh;i(v.hcnTheTrcaminissuermorebunds,IhedeimndfkjrboruKincreasesbecause(hei>sueofbondsincreasesthepublic'swealth.Tnthiscase,thedemandeui"ve,H\^ilsoshiftstolheright,undilisnolongerclem'ihalLhcequilibriumbcmJ]irieeorinterestnitewillrise.Thusthereissomeamhiguityintheaikswertothisquestion.Theincirascdriskine^ufKoikKlowersthedemandfbrbtmds.Thedcniundcurveshiftstotheleftandtheequilibriumbondpricefulkundthemtere^cralerises.'['heincrejseJnskines^◎「bondslowersthedemundlorbonds.ThedemiindcuneE"shiftstoLh亡Icfl,theequilibriumbordpricefallsundlheiulcneslr；i(crih-cx,Yes,interestral“willrise.TheloweroathmissiononstocksmakesIhcmmoreliquidthftnbonds,andth亡demandfortx>ndswillfill.Thedemandcurve涉"willthereforeKhifttotheleft,andtheequilibriumbundpriceiulKundtheinterestrulewillrise.14Ifthepublicbelievesthepresidentprugrumwillbesuccosfukiniertslmt亡*willfall.ThepKMdcnt'sannounceTDenlui]|loixerexpectedinflationsothultheexpectedreturnongoodsdecreasesrelativelubonds.ThedemandforttunihincneiLscsundtheLbvniiLiidutirvc,U'1.、hHb(oIlierighl.Forjgivennominaliliteresirate,thelowerexpectedinH^tionmejns(huttherealinterestralehus.risen,rnisingtheconi<)fborrowingwihjtthesupplyofbonthfulIs.TheresultingleftwardshiftoftheMippljcurve.tJ\andtherighlwardshiftoflhedemandcurve.fi:,\ciusestheequilibriumbondpricetoriseandtheimerestratetokill.TheinterestruleimtheAT&Tbundswillrise,Bctuibcpeoplentiwcxpcclintcre^lratestorise,(heexpectedreturnonhjng-tennbundsinchustheol2022willfallandLhedemandi'orLhesebond、willdedine.ThedemandcurveH'、寂illihtrefurtshiftIolheleftandIhi;equilibriumbcmdpricehillsandlheinlcrcslratewillrise.fnlercstraleswillrise.Thetxpc^lcJmuiraseinxiiwkpricesruiuwihvcxptvledreturnunslocksrelativetobundsandsotht?deitundlorbondsfalls.Thedemandcurve.B\shifllothrIelland(heequilibriumbendpriceRillsandtheinterestralerises.Interestnilehwillrise.WhenbontJpricesbecomevolatileandbondsbecomeriskier,thedeinindforbondswillfall.ThedemandcurveSJwillshiftIotheleft,undIhecquilibriumbondpricefullsundtheinterestrulewillrise.■QuantitativeProblemsYouown3SI.(KMI-par/cru-eoupinbuildlhathas5yeansurrenminiiigm^[un(>.Xoupkmon\cUingthebandmoneycsir,undbelieveIhutrherequiredjitkinextyeari11huvethefollowingpnibubilirydi$4ribudon;ProbabilityRequirvcllVicld0,16.60%0.26.75%0.47.0U%027.20%0.1工45%Whatisyourexpecledpricewhen51msellthebond?Whaiisthe^landarddeviation?

lFrobnhi1iURcqutralYieldPrittPrubxPriceProbX(Prkc-Exp.Price)10,16,M)%$774.41$77.4412.K477624L0.26.75%S77O,O7$154.019.7756681310.47.W)%S762.90$305J6(W130175120.27,20%$75712$151.446.K62MJ954I0.J7.45%S750D2$75.0216.5903224$763.0746.0?<J37W9Sulutiun:Sulutiun:TheexpectedpriceisS763.D7.ThevaruiiLf冷$46.09horastuctdarddevialiunof$6.79.Considerusl,{)lM)-parjunkb?ndpuyinga12%unnuulcoupon.Theis\uingccnnpunj皿20%chancecldefaultingthisyear：inwhichm張"thebundvumldnotpayanything.Ifihecoinpupysurvivesthefirst)earTpaying[heannua]couponpuymcnr,ii(henha&a25%chanceofdefaultinginthesecondyear.Ifthecompanydefaultsinthesecondycur.neitherthefinalcouponpaymentnurparvalueoflhebniulwillbepaidTWhmpj-iccmustitiMctor.、payfurihi&baetdto叮利猶鞏alOriyieldtomuturily'?Alihalprice,whatislheexpectedholdingperiodreturn?Standarddeviatiancd'returns?Assumethatperiodiccashflowsarereinvestedut10%.Solution:Theexpectedcashflowat=020(0)4-0.80(120)=96Theexpectedcashflewatr,=0.25(())+(175(IJ20)=S4X)Thepricetodayshouldbe;Pf,= + =781.491.10lit)2Attheendcftwoyears,thefollowingcashRewsandprobabilitiesexist;ProbabilityFinalCashFlowHoldingPeriodReturnProbxHPRProbX(HPR-Exp+HPR/02S0.00-100,00%-20,00%19.80%0,2S132.00-8王1】俑-16.62%13.65%().6SL252.0060.21%36.12%22.11%-0.50%55-56%Theexpectedholdingperiodrctumisiilmosrzero(-U..5%).Thestandarddeviationisroughly74L5%(thesquarerootoT55L56%1La"manth.ci^qxirations扯1卩pliedS25()billioninbondstoinvestorsatnnaveragemaikelraleof11lK%.Thisrnuiilh,unaddilionjlS25billioninbondsbeciimeav*nhbkTiindmarkcirutesinuntii輯dic12.2%.Assumingu【.oiinabkHindsl:iuirieu.crkturii】u：TV、〔numand(hat[hetkrniundcuncremainedeanstinnl,deriveulineuTcquiitiunforihedemandforbends,usingpricesinsteadofinterestrates.Solution：Hist,translatedtheinterestrqtesinloprices.1000-P__1000-P__~PorP=S94.454】000-Pj=12.2%= ,urP=891,266Weknowtwopointsonthedemandcurve：P=891.266.0=275P=K94.454.Q=25U275-250275-250Using(hepoinf-slopefonnofthiline,Pnce-0.12755xQuunlity+Consfanr.Wccansubsmuleincitherpointtodeterminetheconstantstt^elhetlrsipoint:891.266?0,12755x2751-constufiLorconstant85氐189Finally,wehave;肥Price=OJ2755xQuundty+856.189Aneconomisth;ixcMimatedrh;iLnearlhep?inlofequilibrium,thedemandcurveundsupplycurveforbondscanbeestimatedusingtheAllowingequation^:BJ:Price=-^-Quantity+940FYicc=Qtmniiiy+WhdtisLheexpectedequilibriumpriceandquantilyoftx>ndsinthisniarket?h,Givenyouranswermpariu,,whichislheexpertledinterestrateinthismurkd?Sdution:a.SolvetheequationssimulmdboosIy:-[P=Q+jggj0-yt>+44fliur^=314.2857ThisimpliesthatP=814.2857b.1000-814.2857S142fiS7b.1000-814.2857S142fiS7=22.8%5.Asinquestion6.thedemandcurveandsupplycurvefcrbandsareestimatedusingLhefollowingtr1.Kic￡=寸Quaniiiy+940f?.Price=Quantity+500Followingudrumulicincre;iseitilhevalueofthe>l(Kkmarkedm;myretirees^hihedunoviingnumeyuurofthesti.ickTnarketandintobonds.Thisresulicdin副paRillclshiftmthedemandfurbonds,suchihdllhepriceolbondhataJIquanliliesincredsedS50.AsiUiningnochanseinthexuppl)equutionfurbonds,whal"lhenewcquilibriurripriceandquantily.'\\halisthenewnmrkctintcrc'.lrate?

Solution:Thenewdemandeqiimionisjsfollnws：3d:Price=—Quantity+9905\{iw.ctheequationssimultaneously：P^^-Q+990-UDO]0=^p+490.or0=350.00ThisimpliesthatP=851),001000-85000850.0(]1000-85000850.0(]=17.65%Fcllowingquestion5Tlhedenmiidcurveundsuppljcurvefurbond?*arccbtimalcdUMiig(hefollowingequations:BJ:Price=-y-Quan(iiy+990B\Price-Quumi[>+500As(huirockinurkclconiinued(yFglhe卜liknilReservekl((heneed[uinert<isc(lit:intentraws.Axuresult,lhenuuniurkclintgatrutcincrcuNCdto19,65%,but(heequilibriumquandiyrcmuinedunchanged.Whaturethenewdemandandsupplyequations?Assumeparallelshiftsintheequations.Solution:Mortuihcchungcininflutiun,lheequilibriumwusQ=■350.00undP=850,00,Tienewequilibriumprice匚hefemnJ帖follows；r^lW%= orP=S35.77LPThispoint(35()h835.771)willhecummontobothoquations.Furthersiiicctheshiftv脅□piirallelshifl.lhe^lopeofthepqualionsremainsunchanged,S?\vt?u%elheequilibriumpointandtheslopetosolvefortheconstantineuchequation:ti'1：S35,77J= 3^0+constant,ut□mfUiint=975-'771RdPrice=yQuantity+975.771andB：S35.771=350十constant,orconstant=4K5.771S"zlYice=Quantity+4ii5x771第五章利率的風(fēng)險(xiǎn)結(jié)構(gòu)和期限結(jié)構(gòu)如何影響利率■AnswerstoEnd*of*ChapterQuestionsThebondwithaCratin