货币金融学 米什金期末重点总结.docxVIP

计算 Term structure Expectations theory: int=it+it+1e+it+2e+…+it+n-1en Liquidity premium theory: int=it+it+1e+it+2e+…+it+n-1en+lnt Because of people preferred short- term bonds, there is a larger liquidity premium as the term to maturity lengthens. (上升图)Yield curves tend to have an especially steep upward slope. (下降图）Yield curves will not tend to have a steep downward slope, and maybe will slope upward. Stock pricing model One-Period Valuation Model： P0=Div11+ke+P11+ke P0=the current price of the stock Div1=the dividend paid at the end of year 1. ke=the required return on investments in equity. P1=the price at the end of the first period. Generalized Dividend Valuation Model： P0=t=1∞Dt1+ket Gordon Growth Model： P0=D0×1+g(ke-g)=D1(ke-g) D0=the most recet dividend paid. g=the expected constant growth rate in dividends. Interest-Rate Risk A change in its interest rate: percent change in market value of security≈-persentage-point change in interest rate×duration in years A1：The assets fall in value by $8 million(=$100 million×-2%×4 years)while the liabilities fall in value by $10.8 million(=$90 million×-2%×6 years). Because the liabilities fall in value by $2.8 million more than the assets do, the net worth of the bank rises by $2.8 million. The interest-rate risk can be reduced by shortening the maturity of the liabilities to a duration of 4 years or lengthening the maturity of the assets to a duration of 6 years. Alternatively, you could engage in an interest-rate swap, in which you swap the interest earned on your assets with the interest in another bank’s assets that have a duration of 6 years. A2: The gap is $10 million ($30 million of rate-sensitive assets minus $20 million of rate-sensitive liabilities). The change in bank profits from the interest rate rise is +$0.5 million (5%×$10 million); the interest rate risk can be reduced by increasing rate-sensitive liabilities to $30 million or by reducing rate-sensitive assets to $20 million. Alternatively,