NEW2012Money,BankingandFinancialMarkets-1

1、Money, Banking and Financial MarketsLecturer: Zhao ZhiBegin with the Current Affairs lReferences:Frederic S. Mishkin，货币、银行和金融市场经济学，北京大学出版社，2006Lawrence S. Ritter，货币银行学，中国高等教育出版社，2002张红伟，货币银行学，四川大学出版社，2001Chapter 1 An Introduction to Money and the Financial SystemlThe Five Parts of the Financial Syst

2、emMoney: used to pay for purchases and store wealth.Financial Instruments工具: used to transfer resources from savers to investors and to transfer risk to those best equipped to bear it.Financial markets: allow us to buy and sell financial instruments quickly and cheaply.Financial Institutions: provid

3、e a myriad无数的 of services, including access to financial markets, and collect information about prospective borrowers to ensure确保 that they are creditworth信誉可靠的.Group discussion: Whats the function of a bank? A bank is a financial intermediary中间人的 for the safeguarding, transferring, exchanging, or l

4、ending of money.Central Banks: monitor and stabilize使稳定 the economy.l The Five Core Principles of Money and Banking A. Time has value As a result of interest, time affects the value of financial transactions. B. Risk requires compensation补偿 The world is filled with uncertainty; Investors must be pai

5、d to assume risk, and the higher the risk the higher the required payment. Car insurance is an example. C. Information is the Basis基础 for Decisions The collecting and processing of information is the foundation of the financial system. Some transactions are arranged so that information is NOT needed

6、; for example, stock exchanges are organized to eliminate排除 the need for costly information gathering and thus facilitate促进 the exchange of securities. D. Markets Set Prices and Allocate分配 Resources Financial markets are essential to the economy, channeling its resources and minimizing减小化 the cost o

7、f gathering information and making transactions. E. Stability Improves Welfare By stabilizing the economy as a whole, monetary policymakers eliminate排除 risks that individuals cant and so improve everyones welfare in the process.Chapter 2 Money and the Payments SystemlThe Origin of Money barter emerg

8、ence of money曾用作货币的物品曾用作货币的物品 贝壳贝壳 谷物谷物 铜铜 鲸鱼牙鲸鱼牙 盐盐 黄铜黄铜 乌龟壳乌龟壳 皮革皮革 铁铁 啄木鸟头皮啄木鸟头皮 小刀小刀 青铜青铜 香烟香烟 酒酒 镍镍 牛牛 石头石头 银银 马马 布匹布匹 金金 货 朴素商品货币阶段 实物货币 作为货币的价值与作为 货币 币 实物货币 商品的价值相等 的形 发 贵金属货币阶段 代用货币 代表着一定的贵金属的 式与 展 价值 阶 银行凭证货币阶段 信用货币 价值由购买力决定 构成 段 lMoney, Wealth and Income Money (货币): an asset资产 that is gene

9、rally accepted as payment for goods and services or repayment偿付 of debt债务.Different meanings of Money (钱)Your money or your life?Bill Gates has lots of money.He makes lots of money. Wealth (财富): the total collection of pieces of property资产 that serve to store value. Income (收入): a flow of earnings p

10、er unit of time.lFunction of Money 1. Means of Payment 支付手段 used in exchange for goods and services 2. Unit of Account 价值尺度 used to quote引用 prices and record debts 3. Store of Value 价值储藏 used to move purchasing购买 power into the future Liquidity (流动性): a measure of the ease轻松 with which an asset can

11、be turned into a means of payment, namely money.lThe Payment SystemCommodity商品 and Fiat Monies Fiat money (法定货币): currency with no intrinsic本质的 value. It has value as a consequence of government decree法令判决.Check 支票 an instruction指令 to the bank to take funds from one account and transfer them to anot

12、her.Electronic Payments 电子支付 and note: credit cards do not represent money.lMonetary System 货币制度 Monetary Standard 货币本位 Standard Money 本位货币:一国货币制度规定的标准货币 Characteristics of standard money:Unlimited legal tender 无限法偿货币: 用其偿还债务,债权人不得拒绝接受.Final means of payment 最后的支付工具: 采用本位货币来支付时,接受支付的一方不得要求改用其他货币. Th

13、e History of Monetary System silver parallel gold and silver bimetallic metallic 金融的 lame monetary货币的财政的 gold coin standard gold gold bullion金银块 system gold exchange paper lSilver Standard west European countries lGold and Silver Standard parallel bimetallic lame薄片 Ex. 15 on P.34 Greshams Law (格雷欣定律

14、): Bad money drives good money out of circulation. 劣币驱逐良币lGold Standard Gold coin standard Gold bullion金条 standard Gold exchange standardlPaper Standard paper money as the standard moneylMeasuring Money A good method to classify money is to consider the functionality of a broad category种类 of financi

15、al assets and sort them by their degree of liquidity (i.e. we could sort them by the ease with which they can be converted转变 into a means of payment.)Monetary Aggregate in China: M0 = 流通中现金 M1 = M0 + 活期存款 M2 = M1 + 定期存款 + 储蓄存款 + 其他存 款 + 证券公司客户保证金 M1: 狭义货币量 M2: 广义货币量 M2 M1: 准货币M1/M2: Liquidity of the

16、 money supply 货币供给的”流动性”,反映货币流动效 率高低. 比值趋于增大,表明:货币供给流动性 增强;消费、投资信心增强,经济趋热;反之亦 然. Repurchase agreement (repo,回购协议):A short-term collateralized以做抵押 loan贷款 in which a security is exchanged for cash, with the agreement that the parties will reverse倒退交换 the transaction on a specific future date, as soon

17、as the next day. Eurodollars(欧洲美元):dollar-denominated deposits in foreign banks outside the US or in foreign branches of US banks.Question: How to comprehend理解 the concept of the “liquidity” of the money supply? Whats the significance?v Theory of MoneylDevelopment of the Theory of Money Medium of Ex

18、change AssetlTraditional Quantity Theory of Money David Hume David RicardolTraditional Quantity Theory of Money Irving Fisher Equation of Exchange: MVT = PT (1)MV = PY (2)In the short-term, the velocity速率速度 of money can be deemed相信 as a constant不断地.Provided that the velocity of money is fixed, the n

19、ominal名义上的 national income would totally depend on the money supply.The change in money supply would cause the change of the general price level in the same proportion.比率 M = PY (3)V1When the money market is in equilibrium, Md = PY (4)The demand for money depends on both the velocity of money and th

20、e nominal national income.Since the velocity of money is comparatively fixed, the demand for money depends on the nominal national income.V1Question:Is velocity of money really a constant?lTraditional Quantity Theory of Money Alfred Marshall Arthur Cecil Pigou Factors affecting the amount of money p

21、eople want to hold:Total amount of wealthOpportunity cost of holding moneyExpectations of income, expenditure and price level in the future Md = k PY (1) M = k PY (2)Chapter 3 Financial Instruments, Financial Markets, and Financial Institutions Sources of gaining financial resources from family memb

22、ers and friends from formal international financial systemlWays to obtain the financial resources from the international financial system: indirect finance (间接融资)direct finance (直接融资)Indirect finance An institution like a bank stands between the lender and the borrower, borrowing from the lender and

23、 providing the funds to the borrower.Direct finance Financing in which borrowers sell securities directly to lenders in the financial markets.lThe Relationship between Financial and Economic DevelopmentlFinancial Instruments the written legal obligation义务责任证券债务 of one party to transfer something of

24、value, usually money, to another party at some future date, under certain conditions.Essentials基本点written legal法律的 obligationone party to transfer something of value, usually money, to another partyat some future datespecifies certain conditionslUses of Financial InstrumentsMeans of Payment (as mone

25、y): Purchase of goods or servicesStore of Value (as money): Transfer of purchasing power into the futureTransfer of Risk (different from money): Transfer of risk from one person or company to anotherGroup discussion: Ex. 3 on page 59lCharacteristics of Financial InstrumentsStandardization标准 规格Inform

26、ationGroup discussion: Credit cards usually charge higher rates of interest than most other forms of lending. In terms of information, collateral担保物 and monitoring, how might these higher rates be explained?l金融工具的”三性”流动性 主要衡量指标: 买卖差价收益性 以收益率表示风险性 市场风险与信用风险lUnderlying潜在的 versus对 Derivative衍生物 Instrum

27、entsUnderlying instruments stocks bondsDerivative instruments futures期货 optionsA Primer入门 for Valuing Financial InstrumentslSizelWhenlLikelihood可能性lCircumstances Collateral担保物 Assets pledged保证 to pay for a loan in the event that the borrower doesnt make the required payments.Financial MarketslThe ro

28、le of financial marketslThe Structure of Financial MarketsuCategory 1 Primary versus Secondary MarketspPrimary Market: a market in which a borrower obtains funds from a lender by selling newly issued securities. investment bank underwriting Underwriting: the activity of assuming the risk of buying n

29、ewly issued securities from a company and reselling them to investors.Whats the whole process? 发行券商 牵头承销商 承销辛迪加 投资银行 投资银行 投资银行 投资银行 私人投资商 Investment bank in China?英国:商人银行德国:私人承兑公司日本:证券公司法国:实业银行中国:证券公司 华夏、国泰、南方pSecondary Financial Markets: a financial market in which previously issued securities are

30、bought and sold.uCategory 2 Centralized集中的 Exchanges versus对抗 Over-the-Counter MarketsDealers and Brokers商人和经纪人Dealer: a trader who buys and sells securities证券 form inventoryBroker: an intermediary中间人 who arranges security transactions交易 among investors投资者.uCategory 3 Money Markets versus Capital Ma

31、rkets (maturity成熟 of less than one year versus more than one year)p货币市场(Money Market) 交易期限在1年以内的短期金融交易市场。 票据贴现市场、银行间拆借市场、短期债券市场、大额存单市场等p资本市场(Capital Market) 交易期限在1年以上的长期金融交易市场。 长期借贷市场、长期证券市场PDiscussion:“Since corporation do not actually raise any funds in secondary第二的 markets, they are less importan

32、t to the economy than primary第一位的 markets.” Give your comment意见评论 on the argumentFinancial InstitutionslThe structure of the financial industryDeposit储蓄 institutions机构Insurance companiesPension退休 fundsSecurities firmsFinance companiesGovernment-sponsored赞助 enterprises事业Chapter 4 Future Value, Presen

33、t Value, and Interest RateslValuing估价 Monetary货币的 Payments Now and in the FuturepFuture Value（终值 FV）: the value on some future date of an investment made today.In general, FV = PV + PV i = PV ( 1 + i ) FV: future value PV: present value i: interest rate Compound复合 interest: the interest you get on i

34、nterest as it accumulates积累 over time. FVn = PV ( 1 + i )nA question: If you put $2000 per year into the bank at 5% interest, how much would you have saved after 50 years?pPresent value (present discounted已折扣的 value): the value today (in the present) of a payment that is promised to be made in the f

35、uture.General formula公式 for present value: PV = FVn / (1 + i)nlProperties财产 of present value: Present value is higherThe higher the FVn;The shorter the n;The lower the i.Present Value没看懂 案例 一项工程,需要10年建成。有甲、乙两个投资方案。 甲方案第一年投入5000万元，以后9年每年追加投资500万元； 乙方案每年平均投入1000万元。为什么钱越来越少 单位：万元lSome Terminology术语: In

36、terest Rates and Discount RatesInterest rateDiscount rateYield lApplying Present ValuepInternal国内的 Rate of Return is the interest rate that equates认为相等 the present value of an investment with its cost.PV=C/(1+i)+C/(1+i)2+C/(1+i)n PV=(C/i)1-1/(1+i)nExercise 12 on page 87lBonds: the basics Coupon bond

37、Coupon paymentCoupon rateMaturity成熟的 datePrincipal, face value, par value The price of a bond债券 is the present value of its payments付款.lValuing the principal payment PBP = F/(1+i)n F: principallValuing the coupon优惠券 payments PCP = C/(1+i) + C/(1+i)2 + + C/(1+i)nlValuing the coupon payments plus prin

38、cipal PCB = PCP + PBP = C/(1+i) + C/(1+i)2 + + C/(1+i)n + F/(1+i)nTwo important conclusions: The value of the coupon bond rises whenthe yearly coupon payments rise, andThe interest rate falls The value of a bond varies inversely with the interest rate used to discount the promised payments.案例 有一息票债券

39、，息票率为6个月4%，30年到期，面值为1000美元，每半年支付息票一次，共支付60次，每次40美元。假设6个月的利率为4%。则债券价值为 60 价格 = （40美元/1.04t）+（1000美元/1.0460） t=1 = 1000美元 如果此时市场利率提高到6个月5%，则价格将降低189.29美元，降至810.71美元。关于债券价值的普遍性规律： 利率越高，则债券持有人所得的现值支付就越低。债券价格在市场利率上升时会下跌。 债券价格（美元） 4000 3500 3000 2500 2000 1500 1000 810.71 500 利率% 0 5 8 10 15 20 30年期限，利率为年

40、期限，利率为8%，半年付息一次的债券价格，半年付息一次的债券价格不同市场利率下的债券价格（利率为不同市场利率下的债券价格（利率为8%的息票债券，利息每半年支付一次）的息票债券，利息每半年支付一次） 给定市场利率下的债券价格（美元） 到期时间 4% 6% 8% 10% 12% 1年 1038.83 1029.13 1000.00 981.41 963.33 10年 1327.03 1148.77 1000.00 875.35 770.60 20年 1547.11 1231.15 1000.00 828.41 699.07 30年 1695.22 1276.76 1000.00 810.71 67

41、6.77lThe Essence of InterestCarl Marxs TheoryWestern Theoretical Analysisi) School of Classical Political Economicsii) School of Modern and Contemporary EconomicslReal and Nominal Interest Rate Real interest rate: the interest rate adjusted for expected changes in the price level (inflation) so that

42、 it more accurately reflects the true cost of borrowing. Nominal interest rate: an interest rate that does not take inflation into account. i = r + e i: the nominal interest rate r: the real interest rate e: the expected inflation r = i - elDetermination of Interest RateClassical Theory of Interest

43、RateLiquidity Preference TheoryLoanable-fund Theory of InterestlDetermination of Interest Rate Classical Theory of Interest RateSIS, IrISEr0rIESEIS0Saving as the capital supplyInvestment as the capital demandrslDetermination of Interest Rate Liquidity Preference Theory0L=L1+L2M1M2M1_M2_r1r2LrChapter

44、 5 Understanding RisklRisk: a measure of uncertainty about the future payoff to an investment, measured over some time horizon and relative to a benchmark.Important elements of risk:a measure that can be quantified.arises from uncertainty about the future.has to do with the future payoff of an inves

45、tment, which is unknown.refers to an investment or group of investments.must be measured over some time horizon.must be measured relative to a benchmark rather than in isolation.lCategories of risks market risk, credit risk, liquidity risk, operational risk, legal risk, policy risk, moral hazard, et

46、c.l Measuring riskuProbability a measure of the likelihood that an event will occur. 概率,用以表示某一随机事件发生的可能性. 符合规则:l0 Pi 1 nl Pi = 1 i=1案例 某公司准备投资开发一种新产品,根据市场预测,未来投资报酬率和概率分布为下表所示: 客观状态 概率 投资报酬率 市场需求较高 0.3 20% 市场需求一般 0.5 15% 市场需求较低 0.2 10%uExpected value the probability-weighted sum of possible values of

47、 an investment; also known as the mean or average. 期望值, 随机变量的各取值以相应的概率为权数的加权平均值. n K = ( Pi Ki ) i=1uVariance the probability-weighted sum of the squared deviations of the possible outcomes from their expected value. 方差,用以衡量随机变量的具体值与预期值之间离散程度的指标. n 2 = ( Ki K )2 Pi i=1uStandard deviation square root

48、 of the variance measure of risk; measures the spread of possible outcomes. 标准差,方差的平方根. n = (Ki - K)2 Pi1/2 i=1 案例 某公司准备投资开发新产品,现有三个方案可供选择.根据市场预测,三种不同市场状况的预期年报酬率和概率如下表所示: 市场状况 发生概率 预期年报酬率 A产品 B产品 C产品 繁荣 0.3 30% 40% 50% 一般 0.5 15% 15% 15% 衰退 0.2 0 -15% -30%A、B、C三种产品的预期值分别为： KA = 0.330% + 0.515% + 0.2

49、0 = 16.5% KB = 0.340% + 0.515% + 0.2(-15%) = 16.5% KC = 0.350% + 0.515% + 0.2(-30%) = 16.5% 2 A = (30% - 16.5%)2 0.3 + (15% -16.5%)2 0.5 + (0 16.5%)2 0.2 = 0.011025 A = (0.011025)1/2 = 10.5% 2 B = (40% - 16.5%)2 0.3 + (15% -16.5%)2 0.5 + (- 15% - 16.5%)2 0.2 = 0.036525 B = (0.036525)1/2 = 19.114% 2

50、C = (50% - 16.5%)2 0.3 + (15% -16.5%)2 0.5 + (- 30% -16.5%)2 0.2 = 0.077025 C = (0.077025)1/2 = 27.25% 可得, AB C , 表明A产品的投资风险小于B产品,B产品的投资风险小于C产品.The impact of leverage on risklLeverage is the practice of borrowing to finance part of an investment. Leverage ratio = Cost of investment / Owners contribu

51、tion to the purchaseValue at RisklValue at risk (VaR): the worst possible loss over a specific time horizon, at a given probability. 在正常市场环境下，给定一定的时间区间和置信度水平，就可以预计某种资产或资产组合的最大损失。VaR技术局限性： VaR值表明一定置信度内的最大损失，但并不能绝对排除发生高于这个值的损失的可能性； 无法取代先进管理经验和判断。Risk Aversion, Risk Premium and Risk-Return Trade-offlRi

52、sk averse investor: someone who prefers an investment with a certain return to one with the same expected return but any amount of uncertainty.lRisk neutral investor: someone who is indifferent between investments with different risks but the same expected return. 概括而言，风险厌恶的投资者只有在用风险溢价补偿风险时才会考虑有风险的资

53、产组合；风险中性的投资者认为风险水平是不相干的，只考虑预期的风险收益前景；风险偏好的投资者愿意接受较高风险下的较低预期收益前景。lRisk premium: the expected return minus the risk-free rate of return; the payment to the buyer of an asset for taking on risk.lRisk-Return Trade-off If riskier investments have higher risk premiums, they must have higher expected retur

54、ns. No risk, no reward.The Trade-off between Risk and Expected ReturnExpected Higher Risk = Higher Expected Return Return Risk Premium Risk-Free Return Riskl效益边界（efficient frontier） Harry Markowitz 任何一个投资组合均存在有效与无效之分。在一个相同的风险度上，可能存在很多组合，其中只有一个收益率是最高的，因而是有效的。 相同风险下应取得最高收益。 按照资产组合理论，有效资产组合是风险相同但预期收益率最

55、高的资产组合。 资 产 C 组 合 d 收 益 A e 率 f B 0 资产组合风险 资产组合曲线与效益边界 选择n种资产进行投资。在区域BAC中，只有组合风险与组合收益的交点落在A-C线段上的组合才是有效组合。Sources of Risk: Idiosyncratic and Systematic RisklIdiosyncratic Risk: Risk affecting a small number of people, a specific firm or industry.lSystematic Risk: Economywide risk that affects everyo

56、ne and cannot be diversified. 资 产 组 合 总 风 风 特殊 险 险 风险 系统风险 0 组合中资产种类 系统和特殊风险与组合中资产种类数量的关系Reducing Risk through Diversification Cervantes, in Don Quixote, “It is the part of a wise man to keep himself today for tomorrow, and not to venture all his eggs in one basket.” Risk can be reduced through dive

57、rsification. A combination of risky investments is often less risky than any one individual investment. Two ways to diversify the investments: hedging risk and spreading risk.Hedging Risk Hedging: reducing overall risk by investing in two assets with opposing payoffs. Case of investment in GE and Te

58、xaco Lets compare three strategies for investing $100, given the relationships shown in the table:1.Invest $100 in GE2.Invest $100 in Texaco3.Invest half in each company $50 in GE and $50 in TexacoSpreading Risk Reducing overall risk by investing in assets whose payoffs are unrelated To spread your

59、risk, all you need to do is find investments whose payoffs are completely unrelated.Consider three investment strategies: (1) GE only, (2) Microsoft only, and (3) half in GE and half in Microsoft. The expected payoff on each of these strategies is the same: $110. For the first two strategies, $100 i

60、n either company, the standard deviation is still 10, just as it was before. But for the third strategy, $50 in GE and $50 in Microsoft, the analysis is more complicated. There are four possible outcomes, two for each stock. Conclusion: By spreading the investment among independently risky investmen