米什金金融場與金融機構(gòu)課后習題與答案

Chapter1WhyStudyFinancialMarketsandInstitutions?WhyStudyFitiauciiilMarkets?DebtMiiirkelandImeiestR-I'hcSlouk.MarkelRheFomignEsetisingcMarkelWhy5tudvPirmiwiiilIiMiluti*”丹CentralBaakstuidltheCondu.cl口「MonctaiyPolicySimtlureufiteFii印m1SushriBanksandOtherFlnandaillosiitution^FihancialInnovationMonngingRiskinFinancialInstiLtutioniS4Ppi沁IMMiia^crialPnsprttivirHowWeWillStudyFinHiidH】M&rk￡tsundh冶微utlui”Escpbriii^IhcWebColkclingandGiaphuiigDaiaWubExcr-ciscCLfutludhiKR肥iMark曾■AnswersloEnd-af-ChapterQuestionsBcc4iusttheychtirinc]iundsfrcun[卜?苫已wbudunu<uproductivej&tfyribemthsc-,whod。，therebyresiiLlincinhigherecunuinicfiriciency.BnsInesseiiwouldcutinvestmeinspendingbecausethecqsf(ii'tliuncinx[his$pendingisnowhigher,undccnsunicrswouldbelc$3likelytopurchuscaIioilscoractirbctiiu'icihccos(cffiiiiiiiciiigtheirpurchJM：hhigher.5.AcliiingeinruereMratesnrfeet"irhecostofacx]Hiringfund<『orfin;mchlnsrirufionaswellasMun本*(l\cincline<jnyssrbxl.cIimI31%buitiuTwhicl.tiffecipryfiis.Inyddiliyti.chungesi:iinterestratesaffectthepriceofassetssucho&stuckandbondsdi凱thefinandu]institutionuwns畢'hichcunHWtuprufitsorlotsct；.1.No.Peciplewhoborrowtopurchase』house：jriicurarew(irseoffbecauseiKcoststhemmoretcfinancetheirpujitluhc,hijwevtr,mivcjtsbenefit dcyC4incumliiglitrnicixiLralesynttci「si*ng%TheIuwerpric*furxi6rmsharesincunsrhjtiteunthIkcusmallerain(?untoffund%and卜口inve^innenimplamandeqnipnetil飛iII;.II.slockpricesJncanthillcun?jUEb?i'wcilUhishigheruiidsolhc>willbejitonelikelyI。increasetheirhpending,IimatestcmdgngoodsimxiEexpensiveandBritishcoDEameiswillbuyessftseigngcwidsandrnurcdumcMi^jiwds.頁腳.h?riakcsBritishgoodsmuree?ipensiverelativetoAmcricnj-.goods.Amencuntuiaincssei造illfinditetisierloselliheirintheUnitedStatesandiibmad.iindthedemandfortheirpivdiut^willrkc.Chjjn^esinforeignexchangeratesd^ngethevjlue居setsheldl>yflnuricijlinsliULiicnisaadthuslejdM工iiirriindlossesunihe^cassets.Alsuchurigcsinforeignexchiuiac閭陰uircciHiepr^iihmtidcbyIrDillcrainforeignexchtmgewhoworkforfiniinciialirLscituliunii.1().[nthemid-tolateI97()j(andthekte19KDsandearlyL99()s,thevalueofthedollarwaslow.mukjngtravelubrtiadrelativelymorecKpengiwe;山瞅w^uldhavebeenugtuxltime((jvuctition\a(heUnited\；mdmpihcGyand(?；inyoi..A?；ihedoIuf'svjjIiil：tk】m、舊ihesitrly19X(l\,門hniudbecinticnelijlivelyuD：Eapertindkiiii￡iiaguudLii?cluvisit(heTowerufLundun.IJ,Bunksacosptdepositsandih?nuse【恥:resultingtun出(omakeIm熊.I2.Savingsandloanassociations^inutualsavim摩bangcreditunians,insurancecon-panics,muhullunds,pensionfuids.und「inane日companieh.IvAnswersv^illvir)r.Theprvfitubilifyuf1'inuncixilir.slifali^nsisuffeetedbyehungerininterestrutes,■stuckprices,undfoi'eignexchangerates;fluittuatiGnsinthisevariablesexposetheseinstitutenstorisk.BecausetheFederalReher\eal'ketsinterestrjtes.inflyiion,卬1dbusinesscycles,allofwhichhuv?axiImooitantimpacton[heprufitabiliivoftlnancia]insritutioiis.■QuantitativeProblemsI.TheIqIlowingtablelists氏時/nexchnn^ejutesLeiweenUSdullmandBritishpoundsduringApiil.DuteUSLk?ll?rsperCBPDateLffiDollMnperGEF4/11里4/181.75[)44/4L煙3wig1,72554Z51.9144/201.69144/61.937.J4/211.6724/71.9614/221.66844/H1aH4/251.66744/111.S8224061.6K5T4/121&53S4/27147131.7904/2ti1.721)1WE1.791)24/291.75114/15LT7K5w：iichdaywouldhavebeenthebest卿由convert$200intoBritishpounds?WJiichdaywouldhavebeentheworstlay?Whatwouldbethediftbrcnccinpounds?Solution：ThebustdayisJ/25,AturuleofSI.6674/pound,youwculdhiiveill19.95.Theworstdayk4/7.At』1.9bI/poundyouwouldhave￡I。I一99.uradifferenceof'￡17.%.Chapter2OverviewoftheFinancialSystem頁腳.■AnswerstoEnd-of-ChapterQuestionsTheshaneofMicrtnsoftstockisunassetforhsownerbecaaseitentitles[heownertoisshireofinceurningswid Microsoft,ThejjhuneisaliabilityforMicrosoftbecauseitisudairi；>nitsearningsiind冶bytheowneroftheshare,1stiuuldlakeovt[helotuistuecauieIwillbeDelleroff羽aresultcfd口ingso.Myinlene%pnyinentwilltieS4.3州190%of55,0001,but&&aresult,1willearnunadUitionilSI0,000.so1willbe1gdofthegamebyS5.51M).Sincelorry'sIixin-shai'kingbusinesscunrimkestimepeoplebetteroff,a4in:hiscoLdmple.loansharkin￡nnayhavesocialbenefits.(Onedrsnmenfagaiml值galizinglounsharion上however.■(butilisfrcqucnllyaviolentafilivily/)Yes,tiecauseiheabsenceoffinancialmarkelsmeansthatfundscannotbecnuntieledtnpeoplewhohavethemustproductiveli&eforthem,RnitrcpTCcieursthenuunnotsquirefundstosetupbiiMHCs&C￡出illwuultlheJptheeconcmygrowrapidly.日.Thepr-ncipaldehrinsitruiTirntsHiedwereforeignbondswhir上weiiesinldinBritnin:inddenotuin:iledInpounds.TheBriiishgainedbecauseihc>werewcamhi皂herInierestRiesasuresukoflendingtoAmerictini,whiletheAmericatiigainedbtchuseihcyn◎8卜udlicccsbtac^piLidttjstacTupprulliablebusinessessuch能railnjaiJs.5.ThisAtateminii\l^lsePricesinsiertHitfciiymiarkeKiie(?rnriLneihepricesthati<AuingKBUuritieairucivcinprimarymdrkuts.1n111klilion.sucondijr.^murkcEsrrmkcsctuiilicsitictcliquidanditiuscxisicrlusclinfhcprimtirymarkets.Thcrcfm,scouTtdiirymiirkctsarc,it-ariything,mureimportantitianprimarvmarltels.(>.YtmwouldRUbcrliuldbundi,boi^iuicbondhukkritirepaidufjbcltjrcequityhWdcrs,whuarcdie欣dualcJ4imania.7.BecauseyouknowyourfamilyinemberbetterthanasB^ingerhy(iuknowtnnreabciut(heboiTower'shon始6r.prepen\ityferric<(iling,andothertmiH.Thereisles^aftymmetricinformahenthan^'ithiiMtiiin^crandlesslikelihoodofanadverseselectionproblem,withtheresultthatyouarcmorelikely10lendtotheftimUymcmbei.9.Lcnnshaikhcatithrealci]iheiilujnuwej'i嗝ilhbodilyharjciifborrowersluketciiuiisthatmightjcopirdizepjyingofftheloan.Henceborrowersfmmaloannharkjrelessikelyi(?etigageinmoralhi7ard,hlTheymightnutwork1nLMenunghwhilcyouart?n<jllookingmayorcummifiniud.II.Yesi,becauseevenifyouknowthulatxjrnjwei'值talking21cti仆nsihiilmightjeDpurdizepayingcfl-theloan,yonmoststillstoptheborrowerfrorndoingso.RecausethatmaybeQistly,youmaynotspendilicliiritutideflvn川redute1力口啟1’卜源讓電andwmoralhWiiKdrtii電i[篤upr^tilcn.I2.'J'mc.]TihcrcnrenoinfonnalLonorir^nsaclianscost!；,peopleeoiiLJmakeloanslceachotherulnocistjndwouldthuchauennmesdforfinancialinlermediiries.15,Becausethecosts(>rirakingtheloan1口yourneighborarehigh(lega'li'2es,feeiforacretliic】@€k,midsuon)hyuuwilljrubabl)uutbeubkLuctim5%onihelounaftcr^'ourc?tpcn^eijwenthiiu^hhhusaI。要mLcrcsLrule.Ychllinebctlcroffdcpcslmgyou-savings^'ilh口Kiumcjulintennediarymidearning5岳interest.[11iddit.c^n,youare?likelytobeirlesj;『inkdep^^itingyoursavingsatthebankrathsrthanlendingthem10y(jurneiohb(ir.I+.T：ieiiCiificdiliicu&sioiivi'WitigLiIhicinciulruuikthinihcU.S.pressandgiowtliininuikct^furintcnnatiDnalflntiJicialinstiuincutssuchasEurodollarsundKurt>h<inds.頁腳.Chapter3WhatDoInterestRatesMeanandWhatisTheirRoleinValuation?MciisuringInturcstKiitcsiPrcscmValuerJiirtypesufCreditMdikelInsituniLDtsYieldtoMijiuriiyGlobalBal:N跑削而eT-BillRates?JapanShows[heWayThedistinctionRctwtemRea]andNoininalliitprcstRutesI'licDistinctionHctivccnInterestRntc^andRcrumsMini-CystBtix.WllIiTTPShRealInltreilRulesHaveBecumeOb;ser7iib1einnheUniiedStalesMamrityandtheVohiilKyufBondReiurn^;[merest-RaleRiskMiri-C；i?jBhkHeIpingInvestorshiSrItJCl[3e<ir?cInl^q-RjteRixk兄einVeslniEnLRi<kSllmrnarx'ThePractitihsManlier;CakulatingDurationtoMeasureIntcreit-RateRiskCul'LLihtingDurjtioiiDurationantiImereM-RiJteRisk■AnswerstoEnd-of-ChapierQuestionst2(]|X)=Sl(?V(l*『.，+第0(9I4j>3+-■■+MIW(.IHif+illXHl/d+?r.、'qUvoulumlhcrbeholdingong-tcTiinbondsbecauseihcirpriceworldincrcEiicr^orcthmiLhepriceofthefihart-1erin.bondF：,givingthemahigherreturn.NoIfinterestihMisriseJiurpHillihtIuLi;rctlong-icrmbondsmaybufferbucliashdJjfcillinpricechat[heirretmnmightbe<]oifelowTpossiblyc/ennegativePtfoplelinemor<liXclytctuyhousesbecausetherezi：mieresrratewhenpurchasinglihouwjbusfallenfrum3perccrtf(=^pcrccitl--pencenl'ituIpercent(='0pcrccm9pcrccnliTherc^lcastoffindncitigthehuLiss運rhuslowrheven「houghnnortg△齡niteshwvcrisen.(IftheIaxdednetibililyofinteitstpaymentsisallowedtor,thenitbecomesevenmorelikelyttunpeoplewillbuyhcusesj■QuantitativeProblemI.Calculatethepresentvalue(l$lh(KX)zcjxn;oufn)iibundwith5yearstorriaturityif1herequiredmuiujlintereitcute.“6%.Solution:PV-W(Llf)\whereFV-1000,i1-(J,06,fl-5Fl'=747.25grandprizeis..Alouciyc-aimi..tsgramlpjizcis510irillion.pu>u：ilutiycr20ycuiisut$500,000pericar.Tfthefiiisipaymciir:smudcimmediuk]卜whMiitliisgi'uiK-piizciCtillyw-uitli?U&cudi&cuun；nite6%\SuluUoii：Th.sLijsiriplcpresciilvalueprublcm,Usin￡afiiiancia]Hdcuhlur;M=隙；SaUNK匕FP=。3=k%;為MsinBFGINiruMe.Compute $607%M&2S頁腳.3.Considerabundwith油7%annualcouponandaiacevalue0f*1*000.Campleiediefed,owing[able:YearstoMaturityDiscountRMeCurrentPrice353767999WhatrcltLiioiistiipdoobservebctwcctiyieldti?maiuril}andihecurrentmarketvalue?Solution：、匕ar$I。MidurUyYield付M劉lurilyCurrentPrice3 5 Sl,O54,4<i3 7 51,000.006 7 $1,OUU,009 5 $1.142.16g g S看用iio

Solufion：Therequiredriominalratewoikibe；i-tjf=2,46%=眄.AlthisiLiiehyouwouldcAprcltuhii'vc$1,000x1,U&urS].080alIhcendi?Pihcyciir.CanyouaflcnlIhestt'reo'1TnIheoiyJh「pMcfnflhrslere(iwilliktl'uscwith1henilsnFinflation.Su,oneyearlyter.ihesLereowi]lcostS].050x1,06hor$1』1土YouwillbeKhortbyS3J.&AIfLyear;?%couponbondwithafacevaluecf$1T0OQiscunentlycellingfhrSS71j65-Wompn杷yourruleolruuiiiifyouselldiebuiiJnextyearforSHKO.IO.SulutiutL：屋"LJ".』T16”ogor強.±Yuuhii'vcpiiiilS98030forutib%cuupunbond娓ilh口luceVLlteufS1,000thatmuturcinriveyeais.Yellplanonholumgthebondfbrerneyear.Ifyouwunttocumn9%ruleofreturnonthisinvestmentwbutpriceitunstyousellthebondfor?Isthisreafisfic?Solution:ToI'mdtheprice,solve80t 3()80t 3()9S0J0=009for卻*=9盼5上Allliougbthisappearspossible,th；：yic'lIk>maturitywhenyoupurchasedthebond瞑孤上5%.盒l(wèi)由由yieId.youonlycxpcclthepriceIobe$983,62nextycurInkiththeyield留uliIdhiivt!匕小叩[。丸35%forihfpik'clobe$畀￡一51IQ. LeuIlie[h￡diir^ticn a$Ih0(J(36版ctnipiJiiE、n，dwithchreeyearstomatuiity.A錦umethat^11m.iikctiiitcrcstratsarc深，Sulmion:Year1I3SumPaycncnU60.0060.(101060,00PIzofI1!)iiicnli56.07865.28973,76TiincWeighledPVofPayiitenui.16.07101.^12595.83TimeWeightedPVPaymenh0.C6QI1工記2,S3DividedbyPriceThi\biMtd]iusnduriilkjliof2.83ycm\.NoteLtidLLinecurrentprice仆「llicbundis597^5.76,wh：chif,由二sumoftheindividuH】‘甲AufpUFincr.tx：11CcM-.sidcr[hrh(indintheprcvii“l(fā)xquestion,CdlCUlii1iLtheexpectedprect:hnrigeit'ititcrcsfr；jtc\droplo仃,75%liningthedurationapproxiinalicn.CjlculaieLhcactudlpr匕w町hiirigeusingtlisoouniedciislilluw.Sulniivn：Usingthe:durationapproxiHialicn.[hepricethungtwouldtic:Sulmi典n：UsingthecuriUit.niappiK-ixirnEiliun,(hepriccchangewouldhe;必=-DIRm△xP=-2^3xWx973.^6=6.44.I\-i 1.07頁腳.Thenewpricewouldbe$980.20.UsingudiscuiniedcashHuwjpprotith.Lhtpriceis98023—onl?Sj03Uiiferenl.V印r1I3SumPaymenk6O.CC60.1XJ1060.00paymenls56.2152.658713卿TheduiaLMMiu『u5l(K)purilulicin1()予七*$一$44)iiiilli?ninnewscLLEJiiesuicadded1qthe|Kir(f<tlio,iiKnzasingthedurationoftheportfolio歸12,5ycais.Whuti>theduration口「theS40milliuTiinnewiCCLirificji,；Solution:First,notethatihiepernfuIionowtins$140niiliaLinit.Theduntianofaportlblioisihewpigtiuxlattzmg匚Uuialiuno『ii§indiviJiulscCUriiic^,Ijc(DtqUml(beUurj[i(mufLtiirS40nulliuiiinnewsecutilira.Then.\1\.\jin.plie^:12.5=(IW〃知為⑼十(40/140kD)115=7.1425-0.2S57Z?13,75=/>TIjlnc恒aaurii記$tiuvcuduruiitjnof1875years.Abdiikhastwo,3-yearcoiiuiiaxialkuin*withaprcurnlvalueof$70milliuiLThefirstmaS3DmillionloanthatrequiresAsin皂相paymentof$37xSmillionin3years,withnoetherpaymentsimlilthen.Thesecondisfor$4fimillion.T(requiiresmiannualinterefilpuymentof$3,6miIlion,TheprincipelofS40millioTiisduein3years.a.WhatistheduraHmicf(hebaitk1soonuneitialloanportfolio?hWh;ilwiIIkipp日n[口[he口「purlMlici「ihcgeneralkbvt?lofinlerewlru【E<increasedir-nn^屣toSoJution:Thedurationofthefirstloanis5yearssinceiliia2en)-CQiiponJoan.'Jhedu/ationofiheftecandleanis」我follows:Year123SumPayment3W43.60PJTofPiiymcnti.3,33工的346141.03TitreWeighted尸E'nfPriyineiits工科6.IRl(R汜TimeWeighLedPVofl^yments[；.152.532.70Divided.byPrice']?.cduFitionofaportfolioistheweighledaveragednrLUtionofitsindividualsecuriLict.So,theportfolio^dumtiun=3/7x(3)-1-4/7x(250)=2.86[fritesinertused.AF=一口UR乂n乂F=—工題k70,000,?=-926.SS^,]I； IUS頁腳.CoiiJiiderabondthatpromisextheI-olxiwingcashflows.Therequireddiscountraleis12?.Yearfl1234Prumi^cdPayintiils160170儂寸miplantobuythisbond,holditfur2%years-andthensei]thebund.Whutlutolcashw：i11y“ureceivefromibcbund;jtk：r[he3/yeurs?Assume(hatperiudic8&hflowsarertin\cMedat12%Ifiirinnec]i：ilrl\臺力打buyinglhi\bond,alImatrleiinterestrale!idropI什]I界(includingyourreiuxestmentnite),whaiwit]hetheinipactonyourttMUlca^hflowalter2*/iyears?Eiuwc()esthi^comparetipart(a)nAshLiningallniiirkHinlercslriilr$iiit12%,wtiulixitutduniliur.ufLhi!tbund?Snlutionju.Youwillreceive165reinvcsledth^tfor1.5yuiirs,and17(Jruinvcslcdi'br0.5years.T】】；nyvuwillsell(heremainingcashfluwjdiscountedal12%,Thisgivesyon；IRO2^(|160x(1.12￥s+170x(1,12)^4-^-+-^--$733.69.1,I2MLI-h.Thisi%ihekumezsp:iit(a),hutrheraleixm(iwII%-Inr1 7inIMIkUI]jr,4-170y(1.1I)'"I—： ：——=幻書74.1.1I"J11115NoticethatthiskonlyS0.05differtfitfn>inpart㈤一c.'Ihedurationisculcuhrcdaslb]ows-Ytar12JISumRiymt-nts160.00170,0(1川230.00PVofEaynentisI42.S&1.352I2S.121.46,J7552.67TimeWeightedFFHPiiymcnb142加27105384.365B468TimeWeightedPVofPdymrnh9260.49070106250DividedbyPriceSincedieJuialiuciunddieliuldingperitidiiirLhcbuinjyuuarciii&uldltdfauninlinediatEchangesinintcrcslnitcilIttloesn'lalways,werkuu(thisperfectly,butlhcideaisimpurttinlChapter4WhyDoInterestRatesChange?頁腳.■AnswerstoEnd-of^ChapterQuestionsI：「1點mlh(^：auseyourwealthhasdeclined;h.m()re,beciiii1^if*relativetxpeerednetunhasrisen：c.Iess+becauseithastbecomeLessliquidrelativetobond?1:Less,becauseii>expeccedremmhaslaiienreiaiive(ogold:?nure,beCcJtise1，h泄btxume忙依riskyrelativetob<mdir2,小More,t^causeyout'wealthhasincreased;more,becauseirhabccumumoreliquid;t.Ics：^.tKtuubcilsc?ipettedrulurnhasfuller,rclud^cloPohmid以爾匕J.more,bccuusuilhu>bcucmiclc>.sri&kjrchlivcloslocks;ksjbecausei相expectedreturnhasfuller..True,becansLthebenefilil口djveisific；iliojiaregrejteifbrapei'sujwhocaresinureaboutreducingrisk.Purchiihingsharesinl]icphaniiuccLLlica]ccmpanyishiotelikelytoreduceJiiyoverallriskbcciiuscthecocrelstionofreturnscnmyinve&(menlinii-utbaTreamwiththereturnsonthephannacenticailcumpjny&harv&shouldbulow.B\cun(nisi.Ihtcor'cli,lioilufrclurnsunaninvusinicmin;llocKbiillteamendaninvcslmcr.linabaiikclbuL]Icllihurcprobablyprctl3highhnointhis.g;15c(herewouldbelirieriskreductionitIinvestedinboth.Tn右becEiusetorrklaverseperwin.nuineiisk□Itm^rexpededreturn：indlessliquitjiiyTnak<hsisccLEitylc：hsdcsinbk.WhentheFedMilsbondstnthepublic,.lincreaAesihssupplyofb()ndJihthmchillint(hesupplycurveB''n?the:righc.HieresultthuttheintcrsceiiuncirhesupplyunddcmxindturveaR、undB'1occursstaloverequ1brinmbondpricetmdahighereqiiililmriuinjurerestrateandIlieinterestrateriscs.電力】￡[1theeconomytwoms,[hedemandforbondsincreases：[liepuNie'$incomeandwe^lttiriseswbilcth。supply<jfh^ndiidsoincrcuscs,becausefirmshuvemoreattractiveiavestnicntoppuitunitLCS,Boththesupplyanddemndcurves5,andshifttoihenghl,bolasisindicatedinthetent.theilciiiuiidcurvejrobdb'ysh舊、lesslliuiidiesupplycurvesuUiccquil'ihiiuininkLrcMrakliscb.Siiriiltul3,whenthf?eL^'Romycr.l^rs;aretesiiion,boththt?supplyanddemandeurve-ishiftI。theleft,butthedejnandcurveshiftsthmithesupplycurvescthatthebondpricerisesandtheimerestratefa：Is.Theconclusionisthatbc：ndprices向1andinterestratesriseduringboomsandfallduringrecessions:thjtishinterest咱te*areprcwyclical.FntereitritesfjT.,Th?incneastdvolatilityofgeldpA「小smakesbondst^huively]fgsriskyrelativercguldandcausesihcdemandforbundsluinci'eiise.Thedeir.andci.rvch8：shiftstotherightand[heequilibriumbendpricerisesand(heinterestralefalls,9.Interestrulesv/^uldrise：,Asuddenincreaseinpcuplt'sexpcctutiaisnHntuitmilesfutepricesmi&cgtheexpeeledreturn凸ittcjIcstuttrckitivctobondihsothe4cLm￡jndfarbundsIlJIs.thedemandcurveBr>shiftsin[heleft,andtheequilibr.Lmbondpricefulls,so[heinterestracerises.頁腳.ID.Interestruiexmi^hirixj?.Th?Iiirg&噲d?ruldePiciKrequiretheTreasurytoissuemorehnmk：由u*thesupplyoftjondsiii<reiiies.ThempplyoirvaB".shTtslotheri^hliindthecnu'ilibriunibinidpricefallsjndinterestrnteriset.Somecejtiuinis.[sbclitve山口twhenrheT^ciisur^i^smesmerebendjthedemanditjrbundsincreii配bbetiiibctheiy)uturbund?*increasesihtpublic'swculih.Inihiicast,thedeniJindciiive,a依口^hiltstt>theright,ididitisnnlongerclearthutiheequilibriumbondpriceorimerestratewillrise.Thusthereissomeambiguityhitheanswerto(];lscuesth}n.]I.Jtieiticjeasedjiskinc^ufbundsLuweriihctltJimtWibibinidft.Thedemandclive"hin%Wiheleft:indtheequilihriumbtimlprice由Iknue.[hfink-restrnterises.TheincensedriskinessofboneInversikedemutid1urbondxThedemandcurveK'intheIcfl,llicequilihriumbundpriceIdllsiind(heiiilErtstriteri^es.I4.Yc、itiUrc4t南忙wwillrise.The；owcrcommissi(juonstocksmukusthcniinoicliquidihunbond》、andthedemand(litbondswillfullr['hedemandcurvewilliheretiire%hItt。thelefuanddieequilibriumbundpriceiiilkanJtheinltrEsLrulewi11rihE.[ftiicpublicIxilicvcsLhcpTcsidc]；t\programwillbesucccs&fiiLinterestirtmswillfall.Thepresident'sannciLinajmeilwilliDwtreKpeuli'dnilalionscthiilItieexpecledreliimunilecreij^esrelalivcl凸bond%ThedcmLUidforbendsi]icrcci：ic&andthctLinandcurve.If'',shiftslotheright.FurHgiv&nimmmaluneD^strate,iheluwerexpectedmHjAitinmeansthatiherealinieirstrjilehas前用n,raisingthecoatuftitMTOwin5so(hatthesupply</bondsTheresultingleftwardshifttyfthesupplycurve.HIandtherightwardshiftofthedemiindcurve.RJcjnsiestheeqiiiihriuirib(^n(llpricerisieandtheinterestratttofull.TheintenesitrateontheAl'&Thcnd&willris;e.Bccunsiepioph1newexpectinteresttei(￡kt<jlise,theexpeciedreturnunLong-icimbunds^uchjsiheuf2022will「ML山ullIlctknundfmLlie^tbnndgvilldeclineTheUemumlcurveALIwiILl限neCnTL-、hiiicotheleft,andihe?|Li]libriumbtwdpricefalls<ndtheinterest-willrise.Interestruleswillrise.Theijxpecledincreuseir.slockpricesniisetiihiiexpectedreturnonslocks化latheicbondsandsothedEmundforbendskills.Thedemandcurve.￡T；shifttotheleftandLheequilibriumbondprkwtj|]sundlh，inleretLraleriset.Inlereslrales2illrise.Whenbendpricesbecomtxolalileandbondsbecomeriskier,ihcdemandforbondswiIIf；jll.ThedernandcurveS1willshirttvtheleft,undthe《quilibriumbondpricefullsandtheinterestratewillrise.■QuantitativeProblemsI.YuuownnII.iXJO-parLcru-cuiiptjnbondthathus5yearsufrcmMiinginatunty.Youplanotisellingthebtjrtdintmtycur,jndbelieve(haltherequiredyieldnextyearwillhavethefollowingprobabilitydistribuiion:]*rot)ahilityRequiredYield0.16.60%(1.26一75%(U7.00%(127.2,0%。」7必u.What15y<xirexpectedpricewhenyousellthebond?b.Whulii(hestandarddevinlioii?頁腳.Solmiun:ProbfllMlitTRequiredYkldPriceVmhKPrictPrrhX(Price-Rxp.Price/0J$77441$77.4411847^6241U.26.75%$S77JD7$154,01?.77566tll3l0.4工小用、￡762.91)R30S.I60.0130175120.27.如嗥$757222$151446E62fi()954l(1.17.45*S75D.02?75.016590犯24$763.074限由的79弱Theexpectedpriceis$763x07.ThevarianceisS46.3.oreistandarddevialioncPS&.79.Considera5],{l(M)-pi[jurkbundpayingaI2密aiinui.ciMJpuu.TlieLSsuins;cumpiinj]]泄州%chuiiceofdefjuultiiigthisyear;inwhichcase,Chebondwouldnotpayanything.Ifthecompanysurvivesther'irsiyciir.p^yin2[hi:anni.iilbinpm:piiymijrir,itthenhii$ueharictrnldcfAullLinginihesecondyear.Tftliccompanydefuuksinthesecundyear,neitherthefinaltuiipuiipciymcnt：i.vrpen'叫山心ofthebondwillbepaid-Whatpricemuxtinvestorspayfnrthikbi>ndtuexpectaI。@yieldtomattrity?Atthdtprice,whutistheexpectedholdingperiodreturn?Standartldeviaiion<ii'returns?AssumethatperiodiccashflowsarcreinvesteduiIO<,Solution：Tliccxp<K(<jdc^ish0<jwa(r,=(J20(0)+0.801120)=96TheespectedeachAuwalf7=(1.25(()1+0.75il.lZ】)=H40Thepricetodayshouldbe:Pa=-^-+ =781.491.10I.A)1At.theendof：wuyears,thsfollowingcashflowsandprobabilitiesesist:I'robabilit}rFinalC筋hFlowHoldingPeriodReturnProbxHP博Proby(HPH—Exp,TW)30.2$suo-100.00%-20,00^19.80%02E132.00-83J1%-16￡?%1365%(),6tJ252.006021%坂］二片UI1/一。萬0%5556黃Theexpectedholdingperiodrulumisiilinostzeru(-( Hiestandajiidevialienisroujzhlv74.5%(thesouurerootof55.56%L.i.Lastmonth,coiporalionssupplied1E25ObillionmbondhtcnivefitorsataniveragemaikelnitenfIIS%,Thismutuh,anadditional$25billioninbondsbecameavailable,andmarketratesincreased(□I22%,A晶liming;iLuiinjtbleFundsPriimevorkQ「interestratcshandthatthedcimandcurveremained(jonst皿derive&linearequationforthedemandfatbonds,usingpricesinsteadofinterestrates.Solution:First.crunjslatEdtheinterestralesintwprices.5T=X944鈉or『=a9L26b頁腳.Weknowlwopuini^vnthetlemandcurve：尸:占91.加0(J=275P=S94.454,Q=250=11.12755c? ?AP691.266-=11.12755275-250So,theslope=——△0275-250【king[htp[iin(Hopeformof(heline.Price=0.1275>xQuinl.fy+ChiishiuLWec^nsubs[ituteineitherpointtodeterminetheccnslani.Leisusethe『itslpoint:891.266=ti.12755x275+constanthorconfiturn=H56JS9Finally,wehaye：B(>\Price=0.12755xQu^nir+&56.189Aneconomisthusestimatedthat,nearIhepMnlofcqiLLlibriutn.Lhcdemandcurveandsupplycurveforbond5-rnhteslitnafedusingtheI-ljUoTvingequations-fi'"'-.Piicc=三Quantity4-?40從Price=QuuLilit}+500Whal%Jiee1|tedetlcquilihriunipricemidquinuiiyafbiniJs.llihixinaj'keL?Giver,ycuranswerlypurln.hwhichistheexpectediciLcrcslrateinLhiamaikcl?Solution:S?okftheeqnatit.mssinmkaneonsiy;尸=?已+§40~[P=Q卜500]q=」q+440.ur0=314.2857■■Iliisimplies(Ih.tP=K14.2857一814.2857As：n4ueirion6hthedemanlIeur^eundsnpphcurveibrbon<Knreestimatedmingihefi.'Iluringequnions:fikPrice==Quantity4940fl：Price-Quainity4-500Allowing；idmmaiieincreasein巾目vsiIll?ofth??lockm;irkef,nvmyrerireesstarredmovingmoneyoutufrhes?jckinarkciiindimubomds.Thisirsulicdidiiparallelshiftin[hedemandfurbonife.such:h」lLhcpriceufbondsmallquantitiesincreasedS5U.AssLunin^nochangeinthesupplyequationPerhnndii,whatisiheneuequJiliriLimpriceunr.i：Eanlity?Whnl&訃已newmaitslintereiitrlH產(chǎn)"頁腳.SolutionThenewdeinandequationisastallows：即?Price==5Qiumiiiy+990Now.sdvc(hecciULitioniisimnlfunccusly：P=^Q4900TF=0+5OO]0二30+49&0ra=35000ThisimpliestoP=850.00則上期一S850.00Fclbwingquesdori5.thedeinundcurveandsupplycurveforhundsarecstiinaiedusingthefi.^1lowingtX|D<LlicriK：H<s-Price--Quuntity4-990

5爾.Puce=Quantity+SX)Aithesktfkirurkctc-mutiniedtontehthuledcrtilReserversJtrheneedtnmereiitcth/irtercitmtCi.Aearesultsthenewnnarket.nterestrateitici'easedto19修竽版buttheequilibriumciiantjlyremiiuiedunchaiigeil.WlialarethenewcdiniuiiJandhuppl\equdLiDi^?AMiiiiitpara：配I^iJisinLlie6“。江1八由占.SnluTior:Priortothechangeininflatkn,theeqiiiLihriumwas。=.誥。H)andP-第(；1】".Thenewequilibriumpricecanbefoundasfallows:i-19.65%= .urP=835.77II1Thispoint(350,835.771)willbecoiiimaitobotheqiutions.Fuithersincetheshiftwasapuralk1]shifLhLhcs.upc□rthecqiutitMiiiTcriainsun&hiingcd.So.wc：Useitu?equilibriumpointandthe(dopetosolveI'：srtheconstantineachequation!Bd'.835.771=—350+constLnl,oramsLini=975.771)￥:Prkx-二Quantity+97?771andB33^.771=35t)+constantorconHamt=485_77]RzKricc=Quanlity+485.77]Chapter5HowDoRiskandTermStructureAffectInterestRates?頁腳.■AnswerstoEnd-of-ChapterQuestionsIThubonr.wi|h；itrnitirgshrnkihaveahigbcTnskpremiurnhecuusuiiti<isahigherdef<MiUrisl..whichleducefihsdemandandtai-ginierestjelaci^etvthatonthe:Baabund.U3, 忻]屈huvtluverdcUullri^kuudruoixliqliiiiiityi'：niune^ulhiblcCDmCun^qiiciiLly.ChedemandkrTreasurybills15lii^hcr,andtheyh；ivcalowerinterestratc.Duringbu^messcyclebuuins,fewercurpuiatiunsgubankruptandthere潔lessdduuhrinkuncorporatebend相vhich心we咐theirr&kpremium.SimUaiiy.diLrii]^iBcefixiunad^faullrihkaicorporutekindsincreasesindtheirriskpremiuniincnej^e!；.Theriskpremitinoncarporateblind