米什金货币金融学(商学院版)第9章课件上课讲义

1、Copyright 2010 Pearson Addison-Wesley. All rights reserved.Chapter 9 Banking and the Management of Financial Institutions第一页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-29.1 The Bank Balance Sheet第二页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-39.1.1 Lia

2、bilities1. Checkable depositBank accounts that allow the owner to write checks to third parties.Includes :-Demand deposit-NOW accounts:-MMDAs: similar to money market mutual funds and not subject to reserve requirementsOnce are the most important source of bank funds, but the share has shrunk over t

3、ime.Usually the lowest-cost source of bank fund.第三页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-4 2. Nontransaction Deposit Primary source of bank funds. Owners cannot write checks, but the interest rates are usually higher. Two types: -Savings accounts -Time deposit: have a f

4、ixed maturity length. 3. Borrowings More and more important.第四页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-5 4. Bank Capital The difference between total assets and liabilities.(8%) Raised by selling new stock or from retained earnings. Is a cushion against a drop in the valu

5、e of its assets.第五页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-69.1.2 Assets 1. Reserves Reserves = Vault cash + Deposits in an account at the central bank ( required reserves + excess reserves) No interest payment. Banks hold reserves for two reasons: 1) Reserve requirement

6、2) Reserves are the most liquid and can be used to meet its obligations when funds are withdrawn. 中国的历次中国的历次(lc)调整调整http:/ 2010 Pearson Addison-Wesley. All rights reserved.10-7 2. Cash items in process of collection Suppose a check written on an account at another bank is deposited in your bank and

7、the funds for this check have not yet been received from the other bank. 3. Deposits at other banks Many small banks hold deposits in larger banks in exchange for a variety of services. All of the above three are referred to as cash items. Importance shrinking over time.第七页，共34页。Copyright 2010 Pears

8、on Addison-Wesley. All rights reserved.10-8 4.Securities An important income-earning asset.(23%) Made up entirely of debt instruments. 5. Loan Banks make their profits primarily by issuing loans. (66%) Typically less liquid and have a higher probability of default than other assets. 5. Other assets

9、The physical capital owned by the banks.第八页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-9浦发银行浦发银行2011年资产年资产(zchn)负债表负债表资产资产现金及存放中央银行款项366,957,099,00014%存放同业和其它金融机构款项267,876,482,00010%拆出资金111,415,298,0004%买入返售金融资产281,509,782,00010%发放贷款及垫款1,302,323,950,00049%可供出售金融资产147,929,131,

10、0006%持有至到期投资158,535,453,0006%负债负债 同业和其它金融机构存放款项440,908,269,00016%拆入资金66,970,025,0002%吸收存款1,851,055,121,00069%负债合计2,535,150,909,00094%所有者权益合计149,542,780,0006%第九页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-109.2 Basic Banking Asset transformation Selling liabilities with one se

11、t of characteristics and using the proceeds to buy assets with a different set of characteristics. “Borrows short and lends long.”第十页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-11T-account Analysis:Deposit of $100 cash into First National BankAssetsLiabilitiesVault Cash + $10

12、0Checkable Deposits + $100(=Reserves)Deposit of $100 check into First National BankAssetsLiabilitiesCash items in processCheckable Deposits + $100of collection + $100First National BankSecond National BankAssetsLiabilitiesAssetsLiabilitiesCheckableCheckableReservesDepositsReservesDeposits+ $100+ $10

13、0 $100 $100Conclusion: When bank receives deposits, reserves by equal amount; when bank loses deposits, reserves by equal amount第十一页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-12Basic Banking: Making a ProfitFirst National BankFirst National BankAssetsLiabilitiesAssetsLiabili

14、tiesRequired reserves+$100Checkable deposits+$100Required reserves+$100Checkable deposits+$100Excess reserves+$90Loans+$90第十二页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-139.3 General Principles of Bank Management1. Liquidity Management2. Asset ManagementManaging Credit RiskM

15、anaging Interest-rate Risk3. Liability Management4. Capital Adequacy Management第十三页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-149.3.1 Liquidity ManagementReserve requirement = 10%, Excess reserves = $10 millionAssets LiabilitiesReserves$20 millionDeposits$100 millionLoans$80

16、 millionBank Capital$ 10 millionSecurities $10 millionDeposit outflow of $10 millionAssets LiabilitiesReserves $10 millionDeposits$ 90 millionLoans$80 millionBank Capital$ 10 millionSecurities $10 millionWith 10% reserve requirement, bank still has excess reserves of $1 million: no changes needed in

17、 balance sheet第十四页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-15 Liquidity ManagementNo excess reservesAssets LiabilitiesReserves$10 millionDeposits$100 millionLoans $90 millionBank Capital$ 10 millionSecurities$10 millionDeposit outflow of $ 10 millionAssets LiabilitiesReser

18、ves$ 0 millionDeposits$ 90 millionLoans $90 millionBank Capital $ 10 millionSecurities$10 million第十五页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-16Liquidity Management1. Borrow from other banks or corporationsAssets LiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans $90

19、millionBorrowings$ 9 millionSecurities$10 millionBank Capital $ 10 million2. Sell SecuritiesAssets LiabilitiesReserves$ 9 millionDeposits$ 90 millionLoans$90 millionBank Capital$ 10 millionSecurities$ 1 million第十六页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-17Liquidity Manage

20、ment3. Borrow from FedAssets LiabilitiesSecurities$10 millionBank Capital$ 10 millionReserves$ 9 millionDeposits$ 90 millionLoans$90 millionDiscount Loans$ 9 million4. Call in or sell off loansAssets LiabilitiesReserves $ 9 millionDeposits$ 90 millionLoans$81 millionBank Capital$ 10 millionSecuritie

21、s $10 millionConclusion: excess reserves are insurance against above 4 costs from deposit outflows第十七页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-18Bank Run of Northern Rock Northern Rock was best known for becoming the first bank in 150 years to suffer a bank run after havin

22、g had to approach the Bank of England for a loan facility, to replace money market funding, during the credit crisis in 2007. Having failed to find a commercial buyer for the business, it was taken into public ownership in 2008, and was then bought by Virgin Money in 2012.第十八页，共34页。Copyright 2010 Pe

23、arson Addison-Wesley. All rights reserved.10-199.3.2 Asset Management: Three Goals 1. Seek the highest possible returns on loans and securities 2. Reduce risk 3. Have adequate liquidity第十九页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-20Asset Management: Four Tools 1.Find borro

24、wers who will pay high interest rates and have low possibility of defaulting 2. Purchase securities with high returns and low risk 3. Lower risk by diversifying 4. Balance need for liquidity against increased returns from less liquid assets第二十页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights

25、reserved.10-219.3.3 Liability Management1.Important since 1960s2.Banks no longer primarily depend on deposits3.When see loan opportunities, borrow or issue CDs to acquire funds第二十一页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-229.3.4 Capital Adequacy Management1.Bank capital i

26、s a cushion that helps prevent bank failure.2. Higher is bank capital, lower is return on equityROA = Net Profits/AssetsROE = Net Profits/Equity CapitalEM = Assets/Equity CapitalROE = ROA EMCapital , EM , ROE 3. Tradeoff between safety (high capital) and ROE第二十二页，共34页。Copyright 2010 Pearson Addison-

27、Wesley. All rights reserved.10-234.Banks also hold capital to meet capital requirements5.Managing Capital:A. Issue or buy back stocksB. Change dividends to change retained earningsC. Change asset growth第二十三页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-24Capital Adequacy Manage

28、ment: Preventing Bank FailureHigh Bank CapitalLow Bank CapitalAssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$90MBank Capital$10MLoans$90MBank Capital$4MHigh Bank CapitalLow Bank CapitalAssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDepo

29、sits$96MLoans$85MBank Capital$5MLoans$85MBank Capital-$1M第二十四页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-259.4 Managing Credit RiskSolving Asymmetric Information Problems9.4.1.Screening and MonitoringScreeningSpecialize in Lending Monitoring and Enforcement of Restrictive Co

30、venants9.4.2Establish Long-Term Customer Relationships第二十五页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-269.4.3Loan Commitment A banks commitment to provide a firm with loans up to a given amount at an interest rate that is tied to some market interest rate.9.4.4Collateral and

31、 Compensating BalancesCompensating Balances: A firm receiving a loan must keep a required minimum amount of funds in a checking account at the bank. Help increase the likelihood that a loan will be paid off.第二十六页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-279.4.5Credit Ration

32、ingRefusing to make loans even though borrowers are willing to pay the stated interest rate or even a higher rate.Two forms 1. Refuse to make a loan even if the borrower is willing to pay a higher interest rate. 2. Make a loan but restricts the size to less than the borrower would like. 第二十七页，共34页。C

33、opyright 2010 Pearson Addison-Wesley. All rights reserved.10-289.5 Managing Interest Rate RiskFirst National BankAssetsLiabilitiesRate-sensitive assets$20MRate-sensitive liabilities$50MVariable-rate and short-term loansVariable-rate CDsShort-term securitiesMoney market deposit accountsFixed-rate ass

34、ets$80MFixed-rate liabilities$50MReservesCheckable depositsLong-term loansSavings depositsLong-term securitiesLong-term CDsEquity capital第二十八页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-29 If a bank has more rate-sensitive liabilities than assets , a rise in interest rate wil

35、l reduce bank profits and a decline in interest rates will raise bank profits.第二十九页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-30Managing Interest-Rate RiskGap AnalysisGAP= rate-sensitive assets rate-sensitive liabilities= $20 $50 = $30 millionWhen i 5%:1. Income on assets =

36、+ $1 million(= 5% $20m)2.Costs of liabilities = +$2.5 million(= 5% $50m)3. Profits = $1m $2.5m = $1.5m= 5% ($20m $50m) = 5% (GAP) Profits = i GAP第三十页，共34页。Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-31 Duration Analysis% value (% point i) (DUR)Example: i 5%, duration of bank assets = 3 years, duration of liabilities = 2 years; % assets = 5% 3 = 15% liabilities = 5% 2 = 10%If total assets = $100 million and total liabilities = $90 million, then assets $15 million, liabilities $9 million, and b