Chapter 13 Bonds & notes
金融市场与机构Bond Markets
1. Background on Bonds
n Bonds represent long-term debt securities
l Contractual l Promise to pay future cash flows to investors
Federal Agency Bonds
n Government National Mortgage Association (GNMA)
l Issues bonds and uses proceeds to purchase insured FHA and VA mortgages
l A U.S. Government Agency l Backed by explicit guarantee of Federal
unchanged during the term l Principal value adjusted for the U.S. inflation rate
(CPI) every 6 months l Income increases with inflation
Treasury Bonds
n Brady Bonds
N I PV PMT FV
10
–936 80 1000
Background on Bonds
Bond Yield to Maturity
An investor can purchase a ten-year, $1000 par value bond with an 8 percent annualized coupon rate for $936. Determine the yield to maturity for this bond.
中级宏观经济学试题-Chapter13
Solutions to the Problems in the TextbookConceptual Problems1.a. According to the life-cycle theory of consumption, people try to maintain fairly stable consumptionpaths over their lifetimes. Individuals save during their working years so they can keep up the same consumption stream after they retire. This implies that wealth increases steadily until retirement. But since consumption remains stable, we should expect the ratio of consumption to accumulated saving (wealth) to decrease over time up to retirement.1.b.The life-cycle hypothesis asserts that wealth is used up after retirement to finance consumption duringthe remaining years. This implies that the ratio of consumption to accumulated saving (wealth) increases after retirement, eventually approaching 1.2.a. Suppose that you and your neighbor both work the same number of years until retirement and youboth have the same annual income. If your neighbor is in bad health and does not expect to live as long as you, she will expect to have fewer retirement years in which to use accumulated wealth. Your neighbor's goal for retirement saving will not be as high as yours, and compared to you, she will havea higher level of consumption over her working years.Since planned annual consumption (C) is determined by the number of working years (WL), the number of years to live (NL), and income from labor (YL), we get the equation:C = [(WL)/(NL)](YL).WL and YL are the same for you and your neighbor, but NL is smaller for your neighbor. Therefore you will have a lower level of consumption (C).(Note: Students may come up with a variety of different answers. For one, your neighbor who is in bad health currently has much larger medical bills than you do. Therefore she may not be able to save as much for retirement, even if she might expect to live as long as you. On the other hand, she may not have large medical bills now, but expects them later, as she gets older. This may induce her to save more now. While such arguments are valid, instructors should point out that the answer should be related to the life-cycle theory and the equation used above.)2.b. If we assume for simplicity that the rate of return on Social Security is the same as the rate of returnon private saving, then the introduction of a Social Security system based on a trust fund should not have any effect on your level of consumption. Social Security may be considered a form of "forced saving," since you are forced to pay Social Security taxes during your working years and will, in return, receive benefits during your retirement years. However, most likely you would have voluntarily saved just as much as the government is now “forcing” you to save by levying the Social Security tax. Therefore your consumption behavior will not change. Still, the levying of a Social Security tax reduces disposable income during your working years, increasing the ratio of consumption to disposable income (the average propensity to consume).As we have just discussed, if private saving were simply replaced with government saving, national saving would not be affected. However, the Social Security system is actually not strictly financed through a trust fund, but largely on a pay-as-you-go basis. This means that most of the Social Security taxes are not "saved" but immediately used by the government to finance the benefits of current retirees. For this reason, many economists claim that the Social Security system has led to a decrease in the national savings rate and a decrease in the rate of capital accumulation. The magnitude of thisdecrease, however, has not been clearly established.The size of the Social Security trust fund was fairly insignificant until the system was amended in 1983. But now the trust fund is increasing and, in effect, largely contributed to the decreases in the federal budget deficits in the 1990s. However, because of our aging population, predictions are that the Social Security system will experience severe financial difficulties within the next 30 years unless it is reformed. If the credibility of the system becomes an issue, people may intensify their saving efforts, since they no longer feel they can rely on the public system to provide for them during retirement.3.a. If you expect to get a Christmas bonus every year from now on, you immediately treat it as part ofyour permanent income and spend accordingly, that is, ∆C = c(∆Y). In other words, your current consumption will change significantly.3.b. If you get a Christmas bonus for only this year but not for any future years, then you will consider itas transitory income. There is very little effect on your permanent income, so you will consume onlya small fraction of the bonus and save the rest. In other words, your current consumption will not besignificantly affected.4.Gamblers (or thieves) seldom have a very stable income. However, their consumption is determinedby their permanent income, that is, their expected average lifetime income. Since their permanent income is not significantly affected by any temporary change in income, their consumption pattern remains relatively stable, whether they do well or not in any given period.5.Both the life-cycle theory and the permanent-income theory try to explain why the short-run mpc issmaller than the long-run mpc. The life-cycle theory attributes the difference to the fact that people prefer a smooth consumption stream over their lifetime. Therefore the average expected lifetime income is the true determinant of current consumption. The permanent-income theory suggests that the difference is due to measurement errors. Measured income has two components—permanent and transitory income. But only permanent income is a true determinant of current consumption.6.a. One possible explanation for the low U.S. savings rate in the 1980s could be that the “baby boomers”were still in their dissaving phase. Since the households of the baby boom generation were still in their late twenties, they probably still had large expenses related to childcare and the purchase of houses. Therefore, they may not have been able to save for retirement.6.b.If the above explanation is correct, one can expect an increase in saving as these “baby boomers” age,become more financially solvent, and begin to prepare for retirement.7.The ranking from highest to lowest value should most likely be (a), (c), (d), and then (b). Clearly,(c) should be lower than (a), but it is not certain whether it should rank before or after (d); its exactranking depends largely on how severe the liquidity constraint is.8. A series follows a random walk when future changes cannot be predicted from past behavior. Inother words, it does not have a clear mean or long-run value and any major change results from a random shock. Hall asserted that changes in current consumption largely come from unanticipated changes in income. According to the life-cycle theory and permanent-income theory, people try to smoothen out their consumption stream in such a way that its expected value is always the same in each period. Therefore, we can express future consumption as the expected value plus some errorterm, that is, some random value that is unpredictable. This error term is a shock to future income that is spread over the remaining lifetime. Hall supported the permanent-income hypothesis by showing that lagged consumption is the most significant determinant of future consumption.9. The problem of excess sensitivity means that consumption responds more strongly to predictablechanges in current income than the life-cycle theory and permanent-income theories predict. The problem of excess smoothness means that consumption does not respond as strongly to unpredictable changes in current income as these theories predict. However, the existence of these problems does not invalidate the theories. It simply means that the theories can explain consumption behavior only to a certain degree.10.Precautionary (or buffer-stock) saving can be explained by uncertainty. It could be uncertainty inregard to one’s life expectancy or one’s time of retirement (affecting the accumulated saving needed to finance retirement), or uncertainty about future spending needs (which may be caused by a change in family composition or health). Clearly, if we account for such uncertainties, we bring the model closer to reality. For example, many elderly continue to save after retirement in anticipation of later high medical costs.11.a.It is unclear whether an increase in the interest rate leads to an increase or a decrease in saving. Onthe one hand, as the interest rate increases, the return on saving increases and people may therefore increase their savings effort (due to the substitution effect). On the other hand, a higher return on saving implies that a given future savings goal can now be reached with a smaller savings effort in each year (due to the income effect).11.b.The income effect and the substitution effect generally tend to go in different directions; the overalloutcome depends on the relative magnitude of these two effects. Until now, empirical evidence has not established a significant sensitivity of saving to changes in the interest rate. This would imply that the income and substitution effects have about the same magnitude.12.a. According to the Barro-Ricardo proposition, it does not matter whether an increase in governmentspending is financed by taxation or by issuing debt.12.b. The Barro-Ricardo proposition states that people realize that when the government finances its debtby issuing bonds, it simply postpones taxation. In other words, people know that the government will have to raise taxes in the future to pay back what they have borrowed now, and people want to be prepared to pay future taxes. Therefore, expansionary fiscal policy that results in an increase in the budget deficit will not stimulate the economy since it will lead to an increase in saving rather than consumption.12.c.There are two main objections to the Barro-Ricardo hypothesis. One is based on liquidity constraints,that is, people cannot consume out of their permanent income, since they can’t borrow. Therefore, a tax cut eases their liquidity constraints and they consume more rather than save the tax cut. The other argument is that those people who benefit from a tax cut or an increase in government spending are not the same as those who will have to pay the higher taxes to pay off the debt. This argument assumes that people are not concerned about the welfare of their descendants.Technical Problems1.a. If income remains constant over time, permanent income equals current income. Your permanentincome this year is YP0 = (1/5)(5*20,000) = 20,000.1.b.Your permanent income next year is YP1 = (1/5)(30,000 + 4*20,000) = 22,000.1.c.Since C = 0.9YP, your consumption this year is C0 = 0.9*20,000 = 18,000.Your consumption next year is C1 = 0.9*22,000 = 19,800.1.d.In the short run, the mpc = (0.9)(1/5) = 0.18; but in the long run, the mpc = 0.9.1.e. In 1.a. and 1.b., we have already calculated this and next year's permanent income. For each of thecoming years you add $30,000 and subtract $20,000. Therefore your permanent income (which is your average over a five year period) will increase by $2,000 each year until it reaches $30,000 after5 years.YP o=(1/5)(5*20,000) =20,000YP1 = (1/5)(1*30,000 + 4*20,000) = 22,000YP2 = (1/5)(2*30,000 + 3*20,000) = 24,000YP3 = (1/5)(3*30,000 + 2*20,000) = 26,000YP4 = (1/5)(4*30,000 + 1*20,000) = 28,000YP5=(1/5)(5*30,000) =30,0002.a.The person lives for NL = 4 periods and earns a lifetime income ofYL = 30 + 60 + 90 + 0 = 180.Therefore consumption in each period will beC i = (1/4)180 = 45, i = 1, 2, 3, 4.This implies that saving in each period is:S1 = 30 - 45 = - 15; S2 = 60 - 45 = + 15; S3 = 90 - 45 = + 45; S4 = 0 - 45 = - 45. 2.b. If there are liquidity constraints and the person cannot borrow in the first period, then she willconsume all of her income, that is, Y1 = C1 = 30.For the remaining three periods the person wants a stable consumption stream. Thus she will consume C(i) = (1/3)(60 + 90 + 0) = 50 in each of the remaining three periods i = 2, 3, 4.2.c. An increase in wealth of only $13 is not enough to offset the difference in consumption patternsbetween period 1 and the other periods. Therefore all of the increase in wealth will be consumed in period 1, such that C1 = 43. In the remaining three periods, consumption will be the same as in 2.b.An increase in wealth of $23 will be enough to offset the difference in consumption patterns.Lifetime consumption in each period will now be C i = (1/4)(180 + 23) = 50.75. This means that 20.75 (or almost all of the additional wealth) will be used up in the first period; the remaining 2.25 will be distributed over the next three years.3.a.According to the life-cycle theory and permanent-income hypothesis (LC-PIH), the change inconsumption equals the surprise element, that is, ∆C LC-PIH = є. According to the traditional theory, the change in consumption equals ∆C tr = c(∆YD). Therefore if a fraction λ of the population behaves according to the traditional theory and the other fraction behaves according to LC-PIH, the total change in consumption is∆C = λ(∆C tr) + (1 - λ)(∆C LC-PIH) = λc(∆YD) + (1 - λ)є = (0.7)(0.8)10 + (0.3) = 5.6 + (0.3)є.3.b.∆C = (0.3)(0.8)10 + (0.7)ε = 2.4 + (0.7)є3.c.∆C = (0)(0.8)10 + 1є = є4.a. If the real interest rate increases, the opportunity cost of consuming should increase.Therefore, the average propensity to save, that is, the fraction of total income that is saved, should increase.4.b. If you only save for retirement and your savings goal is fixed, then you actually will saveless. With a higher interest rate it will take less saving each year to achieve your goal.4.c. The first case (4.a.) describes the substitution effect, whereas the second case (4.b.)describes the income effect. Unless the magnitude of each of these effects is known, we cannot predict the overall effect of the interest rate increase on saving.5. One way to increase national saving would be to either privatize or eliminate the SocialSecurity system, so people would have to save for retirement on their own. (Eliminating Social Security is not a very popular measure, although the privatization of Social Security is often discussed.) This would do away with the negative effect on saving that comes from the pay-as-you-go nature of financing Social Security. Another way might be to make it more difficult to borrow. The U.S. tax system encourages people (and firms) to borrow rather than save. Finally, since national saving is equal to private saving plus government saving, lowering the budget deficit would increase national savings. However, to accomplish this, the government would have to either cut spending or raise taxes.。
公司财务原理Principles of Corporate Finance(11th edition)_课后习题答案Chap003
CHAPTER 3Valuing BondsAnswers to Problem Sets1. a. Does not change. The coupon rate is set at time of issuance.b. Price falls. Market yields and prices are inversely related.c. Yield rises. Market yields and prices are inversely related.Est. Time: 01-052. a. If the coupon rate is higher than the yield, then investors must beexpecting a decline in the capital value of the bond over its remaining life.Thus, the bond’s price must be greater than its face value.b. Conversely, if the yield is greater than the coupon, the price will be belowface value and it will rise over the remaining life of the bond.Est. Time: 01-053. The yield over six months is 2.7/2 = 1.35%.The six-month coupon payment is $6.25/2 = $3.125.There are 18 years between today (2012) and 2030; since coupon payments are listed every six months, there will be 36 payment periods.Therefore, PV = $3.125 / 1.0135 + $3.125 / (1.0135)2 + . . . $103.125 / (1.0135)36 = $150.35.Est. Time: 01-054. Yields to maturity are about 4.3% for the 2% coupon, 4.2% for the 4% coupon,and 3.9% for the 8% coupon. The 8% bond had the shortest duration (7.65years), the 2% bond the longest (9.07 years).The 4% bond had a duration of 8.42 years.Est. Time: 01-055. a. Fall. Example: Assume a one-year, 10% bond. If the interest rate is 10%,the bond is worth $110/1.1 = $100. If the interest rate rises to 15%, the bond isworth $110/1.15 = $95.65.b. Less (e.g., see 5a —if the bond yield is 15% but the coupon rate is lower at 10%, the price of the bond is less than $100).c.Less (e.g., with r = 5%, one-year 10% bond is worth $110/1.05 = $104.76).d. Higher (e.g., if r = 10%, one-year 10% bond is worth $110/1.1 = $100, while one-year 8% bond is worth $108/1.1 = $98.18).e.No. Low-coupon bonds have longer durations (unless there is only one period to maturity) and are therefore more volatile (e.g., if r falls from 10% to 5%, the value of a two-year 10% bond rises from $100 to $109.3 (a rise of 9.3%). The value of a two-year 5% bond rises from $91.3 to $100 (a rise of 9.5%).Est. Time: 01-056. a. Spot interest rates. Yield to maturity is a complicated average of theseparate spot rates of interest.b. Bond prices. The bond price i s determined by the bond’s cash flows andthe spot rates of interest. Once you know the bond price and the bond’s cash flows, it is possible to calculate the yield to maturity.Est. Time: 01-057. a. 4%; each bond will have the same yield to maturity.b.PV = $80/(1.04) + $1,080/(1.04)2 = $1,075.44.Est. Time: 01-058. a. PV ()221110515r r +++=b.PV ()2110515y y +++=c. Less (it is between the one-year and two-year spot rates). Est. Time: 01-059. a. The two-year spot rate is r 2 = (100/99.523).5 – 1 = 0.24%.The three-year spot rate is r 3 = (100/98.937).33 – 1 = 0.36%. The four-year spot rate is r 4 = (100/97.904).25 – 1 = 0.53%. The five-year spot rate is r 5 = (100/96.034).2 – 1 = 0.81%.b. Upward-sloping.c. Higher (the yield on the bond is a complicated average of the separatespot rates).Est. Time: 01-0510. a. Price today is $108.425; price after one year is $106.930.b. Return = (8 + 106.930)/108.425 - 1 = .06, or 6%.c. If a bond’s yie ld to maturity is unchanged, the return to the bondholder isequal to the yield.Est. Time: 01-0511. a. False. Duration depends on the coupon as well as the maturity.b. False. Given the yield to maturity, volatility is proportional to duration.c. True. A lower coupon rate means longer duration and therefore highervolatility.d. False. A higher interest rate reduces the relative present value of (distant)principal repayments.Est. Time: 01-0512.Est. Time: 06-1013. 7.01%; the extra return that you earn for investing for two years rather than oneyear is 1.062/1.05 – 1 = .0701.Est. Time: 01-0514. a. Real rate = 1.10/1.05 – 1 = .0476, or 4.76%.b. The real rate does not change. The nominal rate increases to 1.0476 ×1.07 – 1 = .1209, or 12.09%.Est. Time: 01-0515. With annual coupon payments:=+⎥⎦⎤⎢⎣⎡⨯-⨯=1010(1.06)100(1.06)0.0610.0615PV €92.64 Est. Time: 01-0516. a. $10,231.64(1.026)10,000(1.026)0.02610.0261275PV 2020=+⎥⎦⎤⎢⎣⎡⨯-⨯=b.Interest Rate PV of Interest PV ofFace Value PV of Bond1.0% $5,221.54 $9,050.63 $14,272.17 2.0% 4,962.53 8,195.44 13,157.973.0% 4,721.38 7,424.70 12,146.08 4.0% 4,496.64 6,729.71 11,226.365.0% 4,287.02 6,102.71 10,389.736.0% 4,091.31 5,536.76 9,628.067.0% 3,908.41 5,025.66 8,934.07 8.0% 3,737.34 4,563.87 8,301.219.0% 3,577.18 4,146.43 7,723.61 10.0% 3,427.11 3,768.89 7,196.00 11.0% 3,286.36 3,427.29 6,713.64 12.0% 3,154.23 3,118.05 6,272.28 13.0% 3,030.09 2,837.97 5,868.06 14.0% 2,913.35 2,584.19 5,497.54 15.0% 2,803.49 2,354.13 5,157.62Est. Time: 06-1017.Purchase price for a six-year government bond with 5% annual coupon:1,108.34(1.03)1,000(1.03)0.0310.03150PV 66$=+⎥⎦⎤⎢⎣⎡⨯-⨯= The price one year later is equal to the present value of the remaining five years of the bond:1,091.59(1.03)1,000(1.03)0.0310.03150PV 55$=+⎥⎦⎤⎢⎣⎡⨯-⨯= Rate of return = [$50 + ($1,091.59 – $1,108.34)]/$1,108.34 = 3.00% Price one year later (yield = 2%):1,141.40(1.02)1,000(1.02)0.0210.02150PV 55$=+⎥⎦⎤⎢⎣⎡⨯-⨯=Rate of return = [$50 + ($1,141.40 – $1,108.34)]/$1,108.34 = 7.49%.Est. Time: 06-1018. The key here is to find a combination of these two bonds (i.e., a portfolio ofbonds) that has a cash flow only at t = 6. Then, knowing the price of the portfolio and the cash flow at t = 6, we can calculate the six-year spot rate. We begin byspecifying the cash flows of each bond and using these and their yields tocalculate their current prices:Investment Yield C1. . . C5C6Price6% bond 12% 60 . . . 60 1,060 $753.3210% bond 8% 100 . . . 100 1,100 $1,092.46 From the cash flows in years 1 through 5, we can see that buying two 6% bonds produces the same annual payments as buying 1.2 of the 10% bonds. To seethe value of a cash flow only in year 6, consider the portfolio of two 6% bondsminus 1.2 10% bonds. This portfolio costs:($753.32 × 2) – (1.2 ⨯ $1,092.46) = $195.68The cash flow for this portfolio is equal to zero for years 1 through 5 and, for year 6, is equal to:(1,060 × 2) – (1.2 ⨯ 1,100) = $800Thus:$195.68 ⨯ (1 + r6)6 = $800r6 = 0.2645 = 26.45%Est. Time: 06-1019. Downward sloping. This is because high-coupon bonds provide a greaterproportion of their cash flows in the early years. In essence, a high-coupon bond is a ―shorter‖ bond than a low-coupon bond of the same maturity.Est. Time: 01-0520. a.Year Discount Factor Forward Rate1 1/1.05 = 0.9522 1/(1.054)2 = 0.900 (1.0542 /1.05) – 1 = 0.0580 = 5.80%3 1/(1.057)3 = 0.847 (1.0573 /1.0542 ) – 1 = 0.0630 = 6.30%4 1/(1.059)4 = 0.795 (1.0594 /1.0573 ) – 1 = 0.0650 = 6.50%5 1/(1.060)5 = 0.747 (1.0605 /1.0594 ) – 1 = 0.0640 = 6.40%b. i. 5%, two-year bond:$992.79(1.054)10501.0550PV 2=+=ii. 5%, five-year bond:$959.34(1.060)1,050(1.059)50(1.057)50(1.054)501.0550PV 5432=++++=iii. 10%, five-year bond:$1,171.43(1.060)1,100(1.059)100(1.057)100(1.054)1001.05100PV 5432=++++=c. First, we calculate the yield for each of the two bonds. For the 5% bond, this means solving for r in the following equation:5432r)(11,050r)(150)(150)(150150$959.34+++++++++=r r r r = 0.05964 = 5.964%For the 10% bond:5432r)(11,100r)(1100r)(1100r)(1100r 1100$1,171.43+++++++++=r = 0.05937 = 5.937%The yield depends upon both the coupon payment and the spot rate at the time of the coupon payment. The 10% bond has a slightly greater proportion of its total payments coming earlier, when interest rates are low, than does the 5% bond. Thus, the yield of the 10% bond is slightly lower.d. The yield to maturity on a five-year zero-coupon bond is the five-year spot rate, here 6.00%.e. First, we find the price of the five-year annuity, assuming that the annual payment is $1:Now we find the yield to maturity for this annuity:r = 0.05745 = 5.745%$4.2417(1.060)1.059)(11.057)(11.054)(111.051P V 5432=++++=5432r)(11r)(11r)(11r)(11r 11$4.2417+++++++++=f. The yield on the five-year note lies between the yield on a five-year zero-coupon bond and the yield on a five-year annuity because the cash flowsof the Treasury bond lie between the cash flows of these other twofinancial instruments during a period of rising interest rates. That is, theannuity has fixed, equal payments; the zero-coupon bond has onepayment at the end; and the bond’s payments are a combination of these. Est. Time: 06-1021. To calculate the duration, consider the following table similar to Table 3.4:The duration is the sum of the year × fraction of total value column, or 6.395 years.The modified duration, or volatility, is 6.395/(1 + .04) = 6.15.The price of the 3% coupon bond at 3.5%, and 4.5% equals $969.43 and $911.64, respectively. This price difference ($57.82) is 5.93% of the original price, which is very close to the modified duration.Est. Time: 06-1022.a. If the bond coupon payment changes from 9% as listed in Table 3.4 to 8%,then the following calculation for duration can be made:A decrease in the coupon payment will increase the duration of the bond, as theduration at an 8% coupon payment is 5.778 years.The volatility for the bond in Table 3.4 with an 8% coupon payment is:5.778/(1.04) = 5.556.The bond therefore becomes less volatile if the couponpayment decreases.b. For a 9% bond whose yield increases from 4% to 6%, the duration can becalculated as follows:There is an inverse relationship between the yield to maturity and the duration.When the yield goes up from 4% to 6%, the duration decreases slightly. Thevolatility can be calculated as follows: 5.595/(1.06) = 5.278. This shows that the volatility decreases as well when the yield increases.Est. Time: 06-1023. The duration of a perpetual bond is: [(1 + yield)/yield].The duration of a perpetual bond with a yield of 5% is:D5 = 1.05/0.05 = 21 yearsThe duration of a perpetual bond yielding 10% is:D10 = 1.10/0.10 = 11 yearsBecause the duration of a zero-coupon bond is equal to its maturity, the 15-year zero-coupon bond has a duration of 15 years.Thus, comparing the 5% perpetual bond and the zero-coupon bond, the 5%perpetual bond has the longer duration. Comparing the 10% perpetual bond and the 15-year zero, the zero has a longer duration.Est. Time: 06-1024. Answers will differ. Generally, we would expect yield changes to have thegreatest impact on long-maturity and low-coupon bonds.Est. Time: 06-1025. The new calculations are shown in the table below:26. We will borrow $1,000 at a five-year loan rate of 2.5% and buy a four-year strippaying 4%. We may not know what interest rates we will earn on the last year(4 5), but our $1,000 will come due, and we put it under our mattress earning0% if necessary to pay off the loan.Let’s turn to present value calculations: As shown above, the cost of the strip is$854.80. We will receive proceeds from the 2.5% loan = $1,000/(1.025)5 =$883.90. Pocket the difference of $29.10, smile, and repeat.The minimum sensible value would set the discount factors used in year 5 equal to that of year 4, which would assume a 0% interest rate from year 4 to 5. Wecan solve for the interest rate where 1/(1 + r)5 = 0.8548, which is roughly 3.19%. Est. Time: 06-1027.a. If the expectations theory of term structure is right, then we can determinethe expected future one-year spot rate (at t = 3) as follows: investing $100in a three-year instrument at 4.2% gives us $100(1 + .042)3 = 113.136.Investing $100 in a four-year instrument at 4.0% gives us $100 × (1+.04)4= 116.986. This reveals a one-year spot rate from year 3 to 4 of ($116.98– 113.136)/113.136 = 3.4%.b. If investing in long-term bonds carries additional risks, then the riskequivalent of a one-year spot rate in year 3 would be even less (reflectingthe fact that some risk premium must be built into this 3.4% spot rate).Est. Time: 06-1028.a. Your nominal return will be 1.082 -1 = 16.64% over the two years. Yourreal return is (1.08/1.03) × (1.08/1.05) - 1 = 7.85%.b. With the TIPS, the real return will remain at 8% per year, or 16.64% overtwo years. The nominal return on the TIPS will equal (1.08 × 1.03) × (1.08× 1.05) – 1 = 26.15%.Est. Time: 01-0529. The bond price at a 5.3% yield is:1,201.81(1.053)1,000(1.053)0.05310.0531100PV 55$=+⎥⎦⎤⎢⎣⎡⨯-⨯= If the yield decreases to 5.9%, the price would rise to:1,173.18(1.059)1,000(1.059)0.05910.0591100PV 55$=+⎥⎦⎤⎢⎣⎡⨯-⨯=30. Answers will vary by the interest rates chosen.a. Suppose the YTM on a four-year 3% coupon bond is 2%. The bond is selling for:08.038,1$3=+⎥⎦⎤⎢⎣⎡⨯-⨯=44(1.02)1,000(1.02)0.0210.0210PVIf the YTM stays the same, one year later the bond will sell for:84.028,1$3=+⎥⎦⎤⎢⎣⎡⨯-⨯=33(1.02)1,000(1.02)0.0210.0210PVThe return over the year is [$30 + (1,028.84 - 1,038.08)]/$1,038.08= 0.02, or 2%.b. Suppose the YTM on a four-year 3% coupon bond is 4%. The bond is sellingfor:70.963$3=+⎥⎦⎤⎢⎣⎡⨯-⨯=44(1.04)1,000(1.04)0.0410.0410PV If the YTM stays the same, one year later the bond will sell for:25.972$3=+⎥⎦⎤⎢⎣⎡⨯-⨯=33(1.04)1,000(1.04)0.0410.0410PVThe return over the year is [$30+(972.25-963.70)]/$963.70 = 0.04, or 4%.Est. Time: 06-1031. Spreadsheet problem; answers will vary.Est. Time: 06-1032. Arbitrage opportunities can be identified by finding situations where the impliedforward rates or spot rates are different.We begin with the shortest-term bond, Bond G, which has a two-year maturity.Since G is a zero-coupon bond, we determine the two-year spot rate directly by finding the yield for Bond G. The yield is 9.5%, so the implied two-year spot rate (r 2) is 9.5%. Using the same approach for Bond A, we find that the three-yearspot rate (r 3) is 10.0%.Next we use Bonds B and D to find the four-year spot rate. The followingposition in these bonds provides a cash payoff only in year four: a long position in two of Bond B and a short position in Bond D.Cash flows for this position are:[(–2 ⨯ $842.30) + $980.57] = –$704.03 today[(2 ⨯ $50) – $100] = $0 in years 1, 2 and 3[(2 ⨯ $1,050) – $1,100] = $1,000 in year 4 We determine the four-year spot rate from this position as follows:4)4r (1$1,000$704.03+= r 4 = 0.0917 = 9.17%Next, we use r 2, r 3, and r 4 with one of the four-year coupon bonds to determine r 1. For Bond C:978.74r 1120(1.0917)1,120(1.100)120(1.095)120r 1120$1,065.2814321++=++++= r 1 = 0.3867 = 38.67%Now, in order to determine whether arbitrage opportunities exist, we use thesespot rates to value the remaining two four-year bonds. This produces thefollowing results: for Bond B, the present value is $854.55, and for Bond D, thepresent value is $1,005.07. Since neither of these values equals the currentmarket price of the respective bonds, arbitrage opportunities exist. Similarly, the spot rates derived above produce the following values for the three-year bonds: $1,074.22 for Bond E and $912.77 for Bond F.Est. Time: 11-1533. We begin with the definition of duration as applied to a bond with yield r and anannual payment of C in perpetuity:We first simplify by dividing both the numerator and the denominator by C :The denominator is the present value of a perpetuity of $1 per year, which isequal to (1/r ). To simplify the numerator, we first denote the numerator S andthen divide S by (1 + r ):Note that this new quantity [S /(1 + r )] is equal to the square of denominator in the duration formula above, that is:Therefore:Thus, for a perpetual bond paying C dollars per year:++++++++++++++++++=t 32t 32r)(1C r)(1C r)(1C r 1C r)(1tC r)(13C r)(12C r 11C DUR ++++++++++++++++++=t32t 32r)(11r)(11r)(11r 11r)(1t r)(13r)(12r)(11DUR+++++++++=++1t 432r)(1t r)(13r)(12r)(11r)(1S 2t 32r)(11r)(11r)(11r 11r)(1S ⎪⎪⎭⎫ ⎝⎛+++++++++=+ 22r r 1S r 1r)(1S +=⇒⎪⎭⎫ ⎝⎛=+rr 1r)/(11r r 1DUR 2+=⨯+=Est. Time: 06-1034. We begin with the definition of duration as applied to a common stock with yield rand dividends that grow at a constant rate g in perpetuity:We first simplify by dividing each term by [C (1 + g )]:The denominator is the present value of a growing perpetuity of $1 per year,which is equal to [1/(r - g )]. To simplify the numerator, we first denote thenumerator S and then divide S by (1 + r ):Note that this new quantity [S/(1 + r )] is equal to the square of denominator in the duration formula above, that is:Therefore:Thus, for a perpetual bond paying C dollars per year:Est. Time: 11-15++++++++++++++++++++++++++=t t 3322t t 3322r)(1g)C(1r)(1g)C(1r)(1g)C(1r 1g)C(1r)(1g)tC(1r)(1g)3C(1r)(1g)2C(1r 1g)1C(1DUR ++++++++++++++++++++++++=--t1t 322t 1t 322r)(1g)(1r)(1g)(1r)(1g 1r 11r)(1g)t(1r)(1g)3(1r)(1g)2(1r 11DUR ++++++++++++=++-1t 2t 4232r)(1g)t(1r)(1g)3(1r)(1g)2(1r)(11 r)(1S 2t 1t 322r)(1g)(1r)(1g)(1r)(1g 1r 11r)(1S ⎪⎪⎭⎫ ⎝⎛++++++++++++=+- 22g)(r r 1S g r 1r)(1S -+=⇒⎪⎪⎭⎫ ⎝⎛-=+g r r 1g)](r /[11g)(r r 1DUR 2-+=-⨯-+=35. a. We make use of the one-year Treasury bill information in order to determine the one-year spot rate as follows:1r 1$100$93.46+= r 1 = 0.0700 = 7.00%The following position provides a cash payoff only in year two: a longposition in 25 two-year bonds and a short position in 1 one-year Treasurybill. Cash flows for this position are:[(–25 ⨯ $94.92) + (1 ⨯ $93.46)] = –$2,279.54 today[(25 ⨯ $4) – (1 ⨯ $100)] = $0 in year 1(25 ⨯ $104) = $2,600 in year 2 We determine the two-year spot rate from this position as follows:2)2r (1$2,600$2,279.54+= r 2 = 0.0680 = 6.80%The forward rate f 2 is computed as follows:f 2 = [(1.0680)2/1.0700] – 1 = 0.0660 = 6.60%The following position provides a cash payoff only in year 3:a long position in the three-year bond and a short position equal to (8/104)times a package consisting of a one-year Treasury bill and a two-yearbond.Cash flows for this position are:[(–1 ⨯ $103.64) + (8/104) ⨯ ($93.46 + $94.92)] = –$89.15 today[(1 ⨯ $8) – (8/104) ⨯ ($100 + $4)] = $0 in year 1[(1 ⨯ $8) – (8/104) ⨯ $104] = $0 in year 21 ⨯ $108 = $108 in year 3 We determine the three-year spot rate from this position as follows:3)3r (1$108$89.15+= r 3 = 0.0660 = 6.60%The forward rate f 3 is computed as follows:f 3 = [(1.0660)3/(1.0680)2] – 1 = 0.0620 = 6.20%b.We make use of the spot and forward rates to calculate the price of the 4% coupon bond:The actual price of the bond ($950) is significantly greater than the pricededuced using the spot and forward rates embedded in the prices of theother bonds ($931.01). Hence, a profit opportunity exists. In order to takeadvantage of this opportunity, one should sell the 4% coupon bond shortand purchase the 8% coupon bond.Est. Time: 11-1536. a. We can set up the following three equations using the prices of bonds A, B,and C:Using bond A: $1,076.19 = $80/(1+r 1) + $1,080/(1+r 2)2Using bond B: $1,084.58 = $80/(1+r 1) + $80/(1+r 2)2 + $1,080 / (1+r 3)3Using bond C: $1,076.20 = $80/(1+r 1) + $80/(1+r 2)2 + $80/(1+r 3)3 + $1,080/(1+r 4)4 We know r 4 = 6% so we can substitute that into the last equation. Now wehave three equations and three unknowns and can solve this with variablesubstitution or linear programming to get r 1 = 3%, r 2 = 4%; r 3 = 5%, r 4 = 6%.b.We will want to invest in the underpriced C and borrow money at thecurrent spot market rates to construct an offsetting position. For example,we might borrow $80 at the one-year rate of 3%, $80 at the two-year rateof 4%, $80 at the three-year rate of 5%, and $1,080 at the four-year rate of6%. Of course the PV amount we will receive on these loans is $1,076.20.Now we purchase the discounted bond C at $1,040 and use the proceedsof this bond to repay our loans as they come due. We can pocket thedifference of $36.20, smile, and repeat. Est. Time: 11-15$931.01(1.062)(1.066)(1.07)1040(1.066)(1.07)40(1.07)40P =++=。
OSHA现场作业手册说明书
DIRECTIVE NUMBER: CPL 02-00-150 EFFECTIVE DATE: April 22, 2011 SUBJECT: Field Operations Manual (FOM)ABSTRACTPurpose: This instruction cancels and replaces OSHA Instruction CPL 02-00-148,Field Operations Manual (FOM), issued November 9, 2009, whichreplaced the September 26, 1994 Instruction that implemented the FieldInspection Reference Manual (FIRM). The FOM is a revision of OSHA’senforcement policies and procedures manual that provides the field officesa reference document for identifying the responsibilities associated withthe majority of their inspection duties. This Instruction also cancels OSHAInstruction FAP 01-00-003 Federal Agency Safety and Health Programs,May 17, 1996 and Chapter 13 of OSHA Instruction CPL 02-00-045,Revised Field Operations Manual, June 15, 1989.Scope: OSHA-wide.References: Title 29 Code of Federal Regulations §1903.6, Advance Notice ofInspections; 29 Code of Federal Regulations §1903.14, Policy RegardingEmployee Rescue Activities; 29 Code of Federal Regulations §1903.19,Abatement Verification; 29 Code of Federal Regulations §1904.39,Reporting Fatalities and Multiple Hospitalizations to OSHA; and Housingfor Agricultural Workers: Final Rule, Federal Register, March 4, 1980 (45FR 14180).Cancellations: OSHA Instruction CPL 02-00-148, Field Operations Manual, November9, 2009.OSHA Instruction FAP 01-00-003, Federal Agency Safety and HealthPrograms, May 17, 1996.Chapter 13 of OSHA Instruction CPL 02-00-045, Revised FieldOperations Manual, June 15, 1989.State Impact: Notice of Intent and Adoption required. See paragraph VI.Action Offices: National, Regional, and Area OfficesOriginating Office: Directorate of Enforcement Programs Contact: Directorate of Enforcement ProgramsOffice of General Industry Enforcement200 Constitution Avenue, NW, N3 119Washington, DC 20210202-693-1850By and Under the Authority ofDavid Michaels, PhD, MPHAssistant SecretaryExecutive SummaryThis instruction cancels and replaces OSHA Instruction CPL 02-00-148, Field Operations Manual (FOM), issued November 9, 2009. The one remaining part of the prior Field Operations Manual, the chapter on Disclosure, will be added at a later date. This Instruction also cancels OSHA Instruction FAP 01-00-003 Federal Agency Safety and Health Programs, May 17, 1996 and Chapter 13 of OSHA Instruction CPL 02-00-045, Revised Field Operations Manual, June 15, 1989. This Instruction constitutes OSHA’s general enforcement policies and procedures manual for use by the field offices in conducting inspections, issuing citations and proposing penalties.Significant Changes∙A new Table of Contents for the entire FOM is added.∙ A new References section for the entire FOM is added∙ A new Cancellations section for the entire FOM is added.∙Adds a Maritime Industry Sector to Section III of Chapter 10, Industry Sectors.∙Revises sections referring to the Enhanced Enforcement Program (EEP) replacing the information with the Severe Violator Enforcement Program (SVEP).∙Adds Chapter 13, Federal Agency Field Activities.∙Cancels OSHA Instruction FAP 01-00-003, Federal Agency Safety and Health Programs, May 17, 1996.DisclaimerThis manual is intended to provide instruction regarding some of the internal operations of the Occupational Safety and Health Administration (OSHA), and is solely for the benefit of the Government. No duties, rights, or benefits, substantive or procedural, are created or implied by this manual. The contents of this manual are not enforceable by any person or entity against the Department of Labor or the United States. Statements which reflect current Occupational Safety and Health Review Commission or court precedents do not necessarily indicate acquiescence with those precedents.Table of ContentsCHAPTER 1INTRODUCTIONI.PURPOSE. ........................................................................................................... 1-1 II.SCOPE. ................................................................................................................ 1-1 III.REFERENCES .................................................................................................... 1-1 IV.CANCELLATIONS............................................................................................. 1-8 V. ACTION INFORMATION ................................................................................. 1-8A.R ESPONSIBLE O FFICE.......................................................................................................................................... 1-8B.A CTION O FFICES. .................................................................................................................... 1-8C. I NFORMATION O FFICES............................................................................................................ 1-8 VI. STATE IMPACT. ................................................................................................ 1-8 VII.SIGNIFICANT CHANGES. ............................................................................... 1-9 VIII.BACKGROUND. ................................................................................................. 1-9 IX. DEFINITIONS AND TERMINOLOGY. ........................................................ 1-10A.T HE A CT................................................................................................................................................................. 1-10B. C OMPLIANCE S AFETY AND H EALTH O FFICER (CSHO). ...........................................................1-10B.H E/S HE AND H IS/H ERS ..................................................................................................................................... 1-10C.P ROFESSIONAL J UDGMENT............................................................................................................................... 1-10E. W ORKPLACE AND W ORKSITE ......................................................................................................................... 1-10CHAPTER 2PROGRAM PLANNINGI.INTRODUCTION ............................................................................................... 2-1 II.AREA OFFICE RESPONSIBILITIES. .............................................................. 2-1A.P ROVIDING A SSISTANCE TO S MALL E MPLOYERS. ...................................................................................... 2-1B.A REA O FFICE O UTREACH P ROGRAM. ............................................................................................................. 2-1C. R ESPONDING TO R EQUESTS FOR A SSISTANCE. ............................................................................................ 2-2 III. OSHA COOPERATIVE PROGRAMS OVERVIEW. ...................................... 2-2A.V OLUNTARY P ROTECTION P ROGRAM (VPP). ........................................................................... 2-2B.O NSITE C ONSULTATION P ROGRAM. ................................................................................................................ 2-2C.S TRATEGIC P ARTNERSHIPS................................................................................................................................. 2-3D.A LLIANCE P ROGRAM ........................................................................................................................................... 2-3 IV. ENFORCEMENT PROGRAM SCHEDULING. ................................................ 2-4A.G ENERAL ................................................................................................................................................................. 2-4B.I NSPECTION P RIORITY C RITERIA. ..................................................................................................................... 2-4C.E FFECT OF C ONTEST ............................................................................................................................................ 2-5D.E NFORCEMENT E XEMPTIONS AND L IMITATIONS. ....................................................................................... 2-6E.P REEMPTION BY A NOTHER F EDERAL A GENCY ........................................................................................... 2-6F.U NITED S TATES P OSTAL S ERVICE. .................................................................................................................. 2-7G.H OME-B ASED W ORKSITES. ................................................................................................................................ 2-8H.I NSPECTION/I NVESTIGATION T YPES. ............................................................................................................... 2-8 V.UNPROGRAMMED ACTIVITY – HAZARD EVALUATION AND INSPECTION SCHEDULING ............................................................................ 2-9 VI.PROGRAMMED INSPECTIONS. ................................................................... 2-10A.S ITE-S PECIFIC T ARGETING (SST) P ROGRAM. ............................................................................................. 2-10B.S CHEDULING FOR C ONSTRUCTION I NSPECTIONS. ..................................................................................... 2-10C.S CHEDULING FOR M ARITIME I NSPECTIONS. ............................................................................. 2-11D.S PECIAL E MPHASIS P ROGRAMS (SEP S). ................................................................................... 2-12E.N ATIONAL E MPHASIS P ROGRAMS (NEP S) ............................................................................... 2-13F.L OCAL E MPHASIS P ROGRAMS (LEP S) AND R EGIONAL E MPHASIS P ROGRAMS (REP S) ............ 2-13G.O THER S PECIAL P ROGRAMS. ............................................................................................................................ 2-13H.I NSPECTION S CHEDULING AND I NTERFACE WITH C OOPERATIVE P ROGRAM P ARTICIPANTS ....... 2-13CHAPTER 3INSPECTION PROCEDURESI.INSPECTION PREPARATION. .......................................................................... 3-1 II.INSPECTION PLANNING. .................................................................................. 3-1A.R EVIEW OF I NSPECTION H ISTORY .................................................................................................................... 3-1B.R EVIEW OF C OOPERATIVE P ROGRAM P ARTICIPATION .............................................................................. 3-1C.OSHA D ATA I NITIATIVE (ODI) D ATA R EVIEW .......................................................................................... 3-2D.S AFETY AND H EALTH I SSUES R ELATING TO CSHO S.................................................................. 3-2E.A DVANCE N OTICE. ................................................................................................................................................ 3-3F.P RE-I NSPECTION C OMPULSORY P ROCESS ...................................................................................................... 3-5G.P ERSONAL S ECURITY C LEARANCE. ................................................................................................................. 3-5H.E XPERT A SSISTANCE. ........................................................................................................................................... 3-5 III. INSPECTION SCOPE. ......................................................................................... 3-6A.C OMPREHENSIVE ................................................................................................................................................... 3-6B.P ARTIAL. ................................................................................................................................................................... 3-6 IV. CONDUCT OF INSPECTION .............................................................................. 3-6A.T IME OF I NSPECTION............................................................................................................................................. 3-6B.P RESENTING C REDENTIALS. ............................................................................................................................... 3-6C.R EFUSAL TO P ERMIT I NSPECTION AND I NTERFERENCE ............................................................................. 3-7D.E MPLOYEE P ARTICIPATION. ............................................................................................................................... 3-9E.R ELEASE FOR E NTRY ............................................................................................................................................ 3-9F.B ANKRUPT OR O UT OF B USINESS. .................................................................................................................... 3-9G.E MPLOYEE R ESPONSIBILITIES. ................................................................................................. 3-10H.S TRIKE OR L ABOR D ISPUTE ............................................................................................................................. 3-10I. V ARIANCES. .......................................................................................................................................................... 3-11 V. OPENING CONFERENCE. ................................................................................ 3-11A.G ENERAL ................................................................................................................................................................ 3-11B.R EVIEW OF A PPROPRIATION A CT E XEMPTIONS AND L IMITATION. ..................................................... 3-13C.R EVIEW S CREENING FOR P ROCESS S AFETY M ANAGEMENT (PSM) C OVERAGE............................. 3-13D.R EVIEW OF V OLUNTARY C OMPLIANCE P ROGRAMS. ................................................................................ 3-14E.D ISRUPTIVE C ONDUCT. ...................................................................................................................................... 3-15F.C LASSIFIED A REAS ............................................................................................................................................. 3-16VI. REVIEW OF RECORDS. ................................................................................... 3-16A.I NJURY AND I LLNESS R ECORDS...................................................................................................................... 3-16B.R ECORDING C RITERIA. ...................................................................................................................................... 3-18C. R ECORDKEEPING D EFICIENCIES. .................................................................................................................. 3-18 VII. WALKAROUND INSPECTION. ....................................................................... 3-19A.W ALKAROUND R EPRESENTATIVES ............................................................................................................... 3-19B.E VALUATION OF S AFETY AND H EALTH M ANAGEMENT S YSTEM. ....................................................... 3-20C.R ECORD A LL F ACTS P ERTINENT TO A V IOLATION. ................................................................................. 3-20D.T ESTIFYING IN H EARINGS ................................................................................................................................ 3-21E.T RADE S ECRETS. ................................................................................................................................................. 3-21F.C OLLECTING S AMPLES. ..................................................................................................................................... 3-22G.P HOTOGRAPHS AND V IDEOTAPES.................................................................................................................. 3-22H.V IOLATIONS OF O THER L AWS. ....................................................................................................................... 3-23I.I NTERVIEWS OF N ON-M ANAGERIAL E MPLOYEES .................................................................................... 3-23J.M ULTI-E MPLOYER W ORKSITES ..................................................................................................................... 3-27 K.A DMINISTRATIVE S UBPOENA.......................................................................................................................... 3-27 L.E MPLOYER A BATEMENT A SSISTANCE. ........................................................................................................ 3-27 VIII. CLOSING CONFERENCE. .............................................................................. 3-28A.P ARTICIPANTS. ..................................................................................................................................................... 3-28B.D ISCUSSION I TEMS. ............................................................................................................................................ 3-28C.A DVICE TO A TTENDEES .................................................................................................................................... 3-29D.P ENALTIES............................................................................................................................................................. 3-30E.F EASIBLE A DMINISTRATIVE, W ORK P RACTICE AND E NGINEERING C ONTROLS. ............................ 3-30F.R EDUCING E MPLOYEE E XPOSURE. ................................................................................................................ 3-32G.A BATEMENT V ERIFICATION. ........................................................................................................................... 3-32H.E MPLOYEE D ISCRIMINATION .......................................................................................................................... 3-33 IX. SPECIAL INSPECTION PROCEDURES. ...................................................... 3-33A.F OLLOW-UP AND M ONITORING I NSPECTIONS............................................................................................ 3-33B.C ONSTRUCTION I NSPECTIONS ......................................................................................................................... 3-34C. F EDERAL A GENCY I NSPECTIONS. ................................................................................................................. 3-35CHAPTER 4VIOLATIONSI. BASIS OF VIOLATIONS ..................................................................................... 4-1A.S TANDARDS AND R EGULATIONS. .................................................................................................................... 4-1B.E MPLOYEE E XPOSURE. ........................................................................................................................................ 4-3C.R EGULATORY R EQUIREMENTS. ........................................................................................................................ 4-6D.H AZARD C OMMUNICATION. .............................................................................................................................. 4-6E. E MPLOYER/E MPLOYEE R ESPONSIBILITIES ................................................................................................... 4-6 II. SERIOUS VIOLATIONS. .................................................................................... 4-8A.S ECTION 17(K). ......................................................................................................................... 4-8B.E STABLISHING S ERIOUS V IOLATIONS ............................................................................................................ 4-8C. F OUR S TEPS TO BE D OCUMENTED. ................................................................................................................... 4-8 III. GENERAL DUTY REQUIREMENTS ............................................................. 4-14A.E VALUATION OF G ENERAL D UTY R EQUIREMENTS ................................................................................. 4-14B.E LEMENTS OF A G ENERAL D UTY R EQUIREMENT V IOLATION.............................................................. 4-14C. U SE OF THE G ENERAL D UTY C LAUSE ........................................................................................................ 4-23D.L IMITATIONS OF U SE OF THE G ENERAL D UTY C LAUSE. ..............................................................E.C LASSIFICATION OF V IOLATIONS C ITED U NDER THE G ENERAL D UTY C LAUSE. ..................F. P ROCEDURES FOR I MPLEMENTATION OF S ECTION 5(A)(1) E NFORCEMENT ............................ 4-25 4-27 4-27IV.OTHER-THAN-SERIOUS VIOLATIONS ............................................... 4-28 V.WILLFUL VIOLATIONS. ......................................................................... 4-28A.I NTENTIONAL D ISREGARD V IOLATIONS. ..........................................................................................4-28B.P LAIN I NDIFFERENCE V IOLATIONS. ...................................................................................................4-29 VI. CRIMINAL/WILLFUL VIOLATIONS. ................................................... 4-30A.A REA D IRECTOR C OORDINATION ....................................................................................................... 4-31B.C RITERIA FOR I NVESTIGATING P OSSIBLE C RIMINAL/W ILLFUL V IOLATIONS ........................ 4-31C. W ILLFUL V IOLATIONS R ELATED TO A F ATALITY .......................................................................... 4-32 VII. REPEATED VIOLATIONS. ...................................................................... 4-32A.F EDERAL AND S TATE P LAN V IOLATIONS. ........................................................................................4-32B.I DENTICAL S TANDARDS. .......................................................................................................................4-32C.D IFFERENT S TANDARDS. .......................................................................................................................4-33D.O BTAINING I NSPECTION H ISTORY. .....................................................................................................4-33E.T IME L IMITATIONS..................................................................................................................................4-34F.R EPEATED V. F AILURE TO A BATE....................................................................................................... 4-34G. A REA D IRECTOR R ESPONSIBILITIES. .............................................................................. 4-35 VIII. DE MINIMIS CONDITIONS. ................................................................... 4-36A.C RITERIA ................................................................................................................................................... 4-36B.P ROFESSIONAL J UDGMENT. ..................................................................................................................4-37C. A REA D IRECTOR R ESPONSIBILITIES. .............................................................................. 4-37 IX. CITING IN THE ALTERNATIVE ............................................................ 4-37 X. COMBINING AND GROUPING VIOLATIONS. ................................... 4-37A.C OMBINING. ..............................................................................................................................................4-37B.G ROUPING. ................................................................................................................................................4-38C. W HEN N OT TO G ROUP OR C OMBINE. ................................................................................................4-38 XI. HEALTH STANDARD VIOLATIONS ....................................................... 4-39A.C ITATION OF V ENTILATION S TANDARDS ......................................................................................... 4-39B.V IOLATIONS OF THE N OISE S TANDARD. ...........................................................................................4-40 XII. VIOLATIONS OF THE RESPIRATORY PROTECTION STANDARD(§1910.134). ....................................................................................................... XIII. VIOLATIONS OF AIR CONTAMINANT STANDARDS (§1910.1000) ... 4-43 4-43A.R EQUIREMENTS UNDER THE STANDARD: .................................................................................................. 4-43B.C LASSIFICATION OF V IOLATIONS OF A IR C ONTAMINANT S TANDARDS. ......................................... 4-43 XIV. CITING IMPROPER PERSONAL HYGIENE PRACTICES. ................... 4-45A.I NGESTION H AZARDS. .................................................................................................................................... 4-45B.A BSORPTION H AZARDS. ................................................................................................................................ 4-46C.W IPE S AMPLING. ............................................................................................................................................. 4-46D.C ITATION P OLICY ............................................................................................................................................ 4-46 XV. BIOLOGICAL MONITORING. ...................................................................... 4-47CHAPTER 5CASE FILE PREPARATION AND DOCUMENTATIONI.INTRODUCTION ............................................................................................... 5-1 II.INSPECTION CONDUCTED, CITATIONS BEING ISSUED. .................... 5-1A.OSHA-1 ................................................................................................................................... 5-1B.OSHA-1A. ............................................................................................................................... 5-1C. OSHA-1B. ................................................................................................................................ 5-2 III.INSPECTION CONDUCTED BUT NO CITATIONS ISSUED .................... 5-5 IV.NO INSPECTION ............................................................................................... 5-5 V. HEALTH INSPECTIONS. ................................................................................. 5-6A.D OCUMENT P OTENTIAL E XPOSURE. ............................................................................................................... 5-6B.E MPLOYER’S O CCUPATIONAL S AFETY AND H EALTH S YSTEM. ............................................................. 5-6 VI. AFFIRMATIVE DEFENSES............................................................................. 5-8A.B URDEN OF P ROOF. .............................................................................................................................................. 5-8B.E XPLANATIONS. ..................................................................................................................................................... 5-8 VII. INTERVIEW STATEMENTS. ........................................................................ 5-10A.G ENERALLY. ......................................................................................................................................................... 5-10B.CSHO S SHALL OBTAIN WRITTEN STATEMENTS WHEN: .......................................................................... 5-10C.L ANGUAGE AND W ORDING OF S TATEMENT. ............................................................................................. 5-11D.R EFUSAL TO S IGN S TATEMENT ...................................................................................................................... 5-11E.V IDEO AND A UDIOTAPED S TATEMENTS. ..................................................................................................... 5-11F.A DMINISTRATIVE D EPOSITIONS. .............................................................................................5-11 VIII. PAPERWORK AND WRITTEN PROGRAM REQUIREMENTS. .......... 5-12 IX.GUIDELINES FOR CASE FILE DOCUMENTATION FOR USE WITH VIDEOTAPES AND AUDIOTAPES .............................................................. 5-12 X.CASE FILE ACTIVITY DIARY SHEET. ..................................................... 5-12 XI. CITATIONS. ..................................................................................................... 5-12A.S TATUTE OF L IMITATIONS. .............................................................................................................................. 5-13B.I SSUING C ITATIONS. ........................................................................................................................................... 5-13C.A MENDING/W ITHDRAWING C ITATIONS AND N OTIFICATION OF P ENALTIES. .................................. 5-13D.P ROCEDURES FOR A MENDING OR W ITHDRAWING C ITATIONS ............................................................ 5-14 XII. INSPECTION RECORDS. ............................................................................... 5-15A.G ENERALLY. ......................................................................................................................................................... 5-15B.R ELEASE OF I NSPECTION I NFORMATION ..................................................................................................... 5-15C. C LASSIFIED AND T RADE S ECRET I NFORMATION ...................................................................................... 5-16。
13 - Saving, Investment, and the Financial System
Learn about some of the important financial
institutions in the U.S. economy
Consider how the financial system is
related to key macroeconomic
variables
U.S. ecoREAL ECONOMY IN THE LONG RUN
financial system the group of institutions in the economy that help to match one person’s saving with another person’s investment
CHAPTER 13 SAVING, INVESTMENT, AND THE FINANCIAL SYSTEM
267
FINANCIAL MARKETS
Financial markets are the institutions through which a person who wants to save can directly supply funds to a person who wants to borrow. The two most important financial markets in our economy are the bond market and the stock market.
The financial system consists of those institutions in the economy that help to match one person’s saving with another person’s investment. As we discussed in the previous chapter, saving and investment are key ingredients to long-run economic growth: When a country saves a large portion of its GDP, more resources are available for investment in capital, and higher capital raises a country’s productivity and living standard. The previous chapter, however, did not explain how the economy coordinates saving and investment. At any time, some people want to save some of their income for the future, and others want to borrow in order to finance investments in new and growing businesses. What brings these two groups of people together? What ensures that the supply of funds from those who want to save balances the demand for funds from those who want to invest?
Chapter_13_Notes_Group IV
electrically insulating (σ-network), high thermal conductivity
2ቤተ መጻሕፍቲ ባይዱ
dense, hardest natural material (not in the HSAB sense) graphite does not spontaneously convert to diamond (requires high pressures, temperatures) chemically inert graphite thermodynamically stable form of C at room temp (2.9 kJ relative to diamond) stacks of planar graphene sheets of sp2-hybridized carbon (6-membered rings) with delocalized π bonds
planes widely separated, weak interplane interactions facile cleavage parallel to planes slipperiness actually due to intercalated water electrically conductive parallel to but not perpendicular to planes can donate or accept electrons forms intercalation compounds: a. with group 1 metals, e.g., K + C KC8 Li intercalation is basis of anode in Li ion battery (flammable!) Watch the video: preparation of potassium graphite i.ethz.ch/experiments/K-Graph_darst/en/stat.html b. with halides, e.g., F2, graphite fluoride (CF)n, with Cl2, C8Cl fullerenes C60 icosahedral symmetry soluble in hydrocarbon solvents, separable by chromatography C60: magenta solution; C70: port wine color; C76: yellow green Highly strained yet kinetically inert, can be crystallized reducible to [C60]n- (n = 1-12, fullerides) e.g., K3C60, superconducting below 18 K reaction with OsO4 (across C=C) with 2 coordinated py reaction with Ru3(CO)12: one Ru(CO)3 on each C-C of C6 ring endohedral fullerenes: M@C60 carbon black incomplete combustion of hydrocarbons printers’ ink, carbon-filler for tires
Chapter 1. Bonds
Fan Longzhen Finance Department School of Management Fudan University Spring, 2015
Course introduction
• Finance is one of a few subjects that academic research leads the industrial practice, and in some areas, such as fixed incomes and derivatives, academic research has direct influence on industry, what you learn in class is what the industry is using. A degree in finance is valuable because what you learn in school is useful. That is why finance is always hot in developed countries. • Fixed incomes market is an example that theory is critical to success in industry. • The goal of this course: – Learn the concepts, models, and theories to price fixed incomes, and to measure their risks – Understanding how to use the concepts and theories to do trading.
Chap013博迪,凯恩,马库斯《投资学》课件
Tests of the CAPM
Tests of the expectrst Pass Regression
– Estimate beta, average risk premiums and unsystematic risk
13-2
The Index Model and the Single-Factor APT
• Expected Return-Beta Relationship
E(ri ) rf i E(rM rf
• Estimating the SCL
rit rft i bi (rMt rft ) eit
Overview of Investigation
• Tests of the single factor CAPM or APT Model
• Tests of the Multifactor APT Model – Results are difficult to interpret
• Studies on volatility of returns over time
• CAPM is not testable unless we know the exact composition of the true market portfolio and use it in the tests
• Benchmark error
13-6
Measurement Error in Beta
13-12
Tests of the Multifactor Model
• Chen, Roll and Ross 1986 Study Factors Growth rate in industrial production Changes in expected inflation Unexpected inflation Unexpected Changes in risk premiums on
米什金 货币金融学 英文版习题答案chapter 13英文习题
Economics of Money, Banking, and Financial Markets, 11e, Global Edition (Mishkin) Chapter 13 Financial Crises in Emerging Market Economies13.1 Dynamics of Financial Crises in Emerging Market Economies1) Financial crises generally develop along two basic pathsA) mismanagement of financial liberalization/globalization and severe fiscal imbalances.B) stock market declines and severe fiscal imbalances.C) mismanagement of financial liberalization/globalization and stock market declines.D) stock market declines and unanticipated declines in the value of the domestic currency. Answer: AAACSB: Reflective Thinking2) In emerging market countries, the deterioration in bank's balance sheets has more ________ effects on lending and economic activity than in advanced countries.A) negativeB) positiveC) affirmingD) advancingAnswer: AAACSB: Reflective Thinking3) All of the following might create problems from financial liberalization in emerging countries EXCEPTA) ineffective screening of borrowers.B) limits on risk-taking.C) lax government supervision of banks.D) lenders failure to monitor borrowers.Answer: BAACSB: Reflective Thinking4) The mismanagement of financial liberalization in emerging market countries can be understood as a severeA) principal/agent problem.B) asymmetric information problem.C) lemons problem.D) free-rider problem.Answer: AAACSB: Reflective Thinking5) Factors likely to cause a financial crisis in emerging market countries includeA) severe fiscal imbalances.B) decreases in foreign interest rates.C) a foreign exchange crisis.D) too strong oversight of the financial industry.Answer: AAACSB: Reflective Thinking6) The two key factors that trigger speculative attacks on emerging market currencies areA) deterioration in bank balance sheets and severe fiscal imbalances.B) deterioration in bank balance sheets and low interest rates abroad.C) low interest rates abroad and severe fiscal imbalances.D) low interest rates abroad and rising asset prices.Answer: AAACSB: Reflective Thinking7) Severe fiscal imbalances can directly trigger a currency crisis sinceA) investors fear that the government may not be able to pay back the debt and so begin to sell domestic currency.B) the government may stop printing money.C) the government may have to cut back on spending.D) the currency must surely increase in value.Answer: AAACSB: Reflective Thinking8) In emerging market countries, many firms have debt denominated in foreign currency like the dollar or yen. A depreciation of the domestic currencyA) results in increases in the firm's indebtedness in domestic currency terms, even though the value of their assets remains unchanged.B) results in an increase in the value of the firm's assets.C) means that the firm does not owe as much on their foreign debt.D) strengthens their balance sheet in terms of the domestic currency.Answer: AAACSB: Reflective Thinking9) A sharp depreciation of the domestic currency after a currency crisis leads toA) higher inflation.B) lower import prices.C) lower interest rates.D) decrease in the value of foreign currency-denominated liabilities.Answer: AAACSB: Reflective Thinking10) The key factor leading to the financial crises in Mexico and the East Asian countries wasA) a deterioration in banks' balance sheets because of increasing loan losses.B) severe fiscal imbalances.C) a sharp increase in the stock market.D) a sharp decline in interest rates.Answer: AAACSB: Application of Knowledge11) Factors that led to worsening conditions in Mexico's 1994-1995 financial markets includeA) failure of the Mexican oil monopoly.B) the ratification of the North American Free Trade Agreement.C) increased uncertainty from political shocks.D) decline in interest rates.Answer: CAACSB: Application of Knowledge12) Factors that led to worsening financial market conditions in East Asia in 1997-1998 includeA) weak supervision by bank regulators.B) a rise in interest rates abroad.C) unanticipated increases in the price level.D) increased uncertainty from political shocks.Answer: AAACSB: Application of Knowledge13) Factors that led to worsening conditions in Mexico's 1994-1995 financial markets, but did not lead to worsening financial market conditions in East Asia in 1997-1998 includeA) rise in interest rates abroad.B) bankers' lack of expertise in screening and monitoring borrowers.C) deterioration of banks' balance sheets because of increasing loan losses.D) stock market decline.Answer: AAACSB: Application of Knowledge14) Argentina's financial crisis was due toA) poor supervision of the banking system.B) a lending boom prior to the crisis.C) fiscal imbalances.D) lack of expertise in screening and monitoring borrowers at banking institutions.Answer: CAACSB: Application of Knowledge15) A feature of debt markets in emerging-market countries is that debt contracts are typicallyA) very short term.B) long term.C) intermediate term.D) perpetual.Answer: AAACSB: Analytical Thinking。
chapter13Long-Term Liabilities 西方 财务会计 电子课件
Types of Bonds (Cont.)(P.235)
Convertible bonds: Bonds that can be converted to other securities at the option of the bondholder.
Paid to the bearer of this bond $10,000 at 8 percent annually on January 1 and July 1.
LONG-TERM LIABILITIES
Relatively few in number but involve large dollar amounts. Examples: bonds, notes, equipment purchase obligations, permanent customer deposits, some obligations under pension and deferred compensation plans, certain types of lease obligations, deferred income taxes, and some deferred revenue items.
Advantages of Issuing Bonds
A principal advantage to income taxes. (page234) increase a company’s rate of return on equity. (page 235)
Types of Bonds (Cont.)(P.235)
Bond issued at face amount
ห้องสมุดไป่ตู้
公司理财精要版原书第12版习题库答案Ross12e_Chapter13_TB
Fundamentals of Corporate Finance, 12e (Ross)Chapter 13 Return, Risk, and the Security Market Line1) You own a stock that you think will produce a return of 11 percent in a good economy and 3 percent in a poor economy. Given the probabilities of each state of the economy occurring, you anticipate that your stock will earn 6.5 percent next year. Which one of the following terms applies to this 6.5 percent?A) Arithmetic returnB) Historical returnC) Expected returnD) Geometric returnE) Required return2) The expected return on a stock given various states of the economy is equal to the:A) highest expected return given any economic state.B) arithmetic average of the returns for each economic state.C) summation of the individual expected rates of return.D) weighted average of the returns for each economic state.E) return for the economic state with the highest probability of occurrence.3) The expected return on a stock computed using economic probabilities is:A) guaranteed to equal the actual average return on the stock for the next five years.B) guaranteed to be the minimal rate of return on the stock over the next two years.C) guaranteed to equal the actual return for the immediate twelve month period.D) a mathematical expectation based on a weighted average and not an actual anticipated outcome.E) the actual return you should anticipate as long as the economic forecast remains constant.4) The expected risk premium on a stock is equal to the expected return on the stock minus the:A) expected market rate of return.B) risk-free rate.C) inflation rate.D) standard deviation.E) variance.5) Suzie owns five different bonds and twelve different stocks. Which one of the following terms most applies to her investments?A) IndexB) PortfolioC) CollectionD) GroupingE) Risk-free6) Steve has invested in twelve different stocks that have a combined value today of $121,300. Fifteen percent of that total is invested in Wise Man Foods. The 15 percent is a measure of which one of the following?A) Portfolio returnB) Portfolio weightC) Degree of riskD) Price-earnings ratioE) Index value7) The expected rate of return on a stock portfolio is a weighted average where the weights are based on the:A) number of shares owned of each stock.B) market price per share of each stock.C) market value of the investment in each stock.D) original amount invested in each stock.E) cost per share of each stock held.8) The expected return on a portfolio considers which of the following factors?I. Percentage of the portfolio invested in each individual securityII. Projected states of the economyIII. The performance of each security given various economic statesIV. Probability of occurrence for each state of the economyA) I and III onlyB) II and IV onlyC) I, III, and IV onlyD) II, III, and IV onlyE) I, II, III, and IV9) The expected return on a portfolio:I. can never exceed the expected return of the best performing security in the portfolio.II. must be equal to or greater than the expected return of the worst performing security in the portfolio.III. is independent of the unsystematic risks of the individual securities held in the portfolio. IV. is independent of the allocation of the portfolio amongst individual securities.A) I and III onlyB) II and IV onlyC) I and II onlyD) I, II, and III onlyE) I, II, III, and IV10) If a stock portfolio is well diversified, then the portfolio variance:A) will equal the variance of the most volatile stock in the portfolio.B) may be less than the variance of the least risky stock in the portfolio.C) must be equal to or greater than the variance of the least risky stock in the portfolio.D) will be a weighted average of the variances of the individual securities in the portfolio.E) will be an arithmetic average of the variances of the individual securities in the portfolio.11) The standard deviation of a portfolio:A) is a weighted average of the standard deviations of the individual securities held in the portfolio.B) can never be less than the standard deviation of the most risky security in the portfolio.C) must be equal to or greater than the lowest standard deviation of any single security held in the portfolio.D) is an arithmetic average of the standard deviations of the individual securities which comprise the portfolio.E) can be less than the standard deviation of the least risky security in the portfolio.12) The standard deviation of a portfolio:A) is a measure of that portfolio's systematic risk.B) is a weighted average of the standard deviations of the individual securities held in that portfolio.C) measures the amount of diversifiable risk inherent in the portfolio.D) serves as the basis for computing the appropriate risk premium for that portfolio.E) can be less than the weighted average of the standard deviations of the individual securities held in that portfolio.13) Which one of the following statements is correct concerning a portfolio of 20 securities with multiple states of the economy when both the securities and the economic states have unequal weights?A) Given the unequal weights of both the securities and the economic states, the standard deviation of the portfolio must equal that of the overall market.B) The weights of the individual securities have no effect on the expected return of a portfolio when multiple states of the economy are involved.C) Changing the probabilities of occurrence for the various economic states will not affect the expected standard deviation of the portfolio.D) The standard deviation of the portfolio will be greater than the highest standard deviation of any single security in the portfolio given that the individual securities are well diversified.E) Given both the unequal weights of the securities and the economic states, an investor might be able to create a portfolio that has an expected standard deviation of zero.14) Which one of the following events would be included in the expected return on Sussex stock?A) The chief financial officer of Sussex unexpectedly resigned.B) The labor union representing Sussex's employees unexpectedly called a strike.C) This morning, Sussex confirmed that its CEO is retiring at the end of the year as was anticipated.D) The price of Sussex stock suddenly declined in value because researchers accidentally discovered that one of the firm's products can be toxic to household pets.E) The board of directors made an unprecedented decision to give sizeable bonuses to the firm's internal auditors for their efforts in uncovering wasteful spending.15) Which one of the following statements is correct?A) The unexpected return is always negative.B) The expected return minus the unexpected return is equal to the total return.C) Over time, the average return is equal to the unexpected return.D) The expected return includes the surprise portion of news announcements.E) Over time, the average unexpected return will be zero.16) Which one of the following statements related to unexpected returns is correct?A) All announcements by a firm affect that firm's unexpected returns.B) Unexpected returns over time have a negative effect on the total return of a firm.C) Unexpected returns are relatively predictable in the short-term.D) Unexpected returns generally cause the actual return to vary significantly from the expected return over the long-term.E) Unexpected returns can be either positive or negative in the short term but tend to be zero over the long-term.17) Which one of the following is an example of systematic risk?A) Investors panic causing security prices around the globe to fall precipitouslyB) A flood washes away a firm's warehouseC) A city imposes an additional one percent sales tax on all productsD) A toymaker has to recall its top-selling toyE) Corn prices increase due to increased demand for alternative fuels18) Unsystematic risk:A) can be effectively eliminated by portfolio diversification.B) is compensated for by the risk premium.C) is measured by beta.D) is measured by standard deviation.E) is related to the overall economy.19) Which one of the following is an example of unsystematic risk?A) An across the board increase in income taxesB) Adoption of a national sales taxC) Decrease in the national level of inflationD) An increased feeling of global prosperityE) National decrease in consumer spending on entertainment20) Which one of the following is a risk that applies to most securities?A) UnsystematicB) DiversifiableC) SystematicD) Asset-specificE) Industry21) A news flash just appeared that caused about a dozen stocks to suddenly increase in value by12 percent. What type of risk does this news flash best represent?A) PortfolioB) Non-diversifiableC) MarketD) UnsystematicE) Expected22) The principle of diversification tells us that:A) concentrating an investment in two or three large stocks will eliminate all of the unsystematic risk.B) concentrating an investment in three companies all within the same industry will greatly reduce the systematic risk.C) spreading an investment across five diverse companies will not lower the total risk.D) spreading an investment across many diverse assets will eliminate all of the systematic risk.E) spreading an investment across many diverse assets will eliminate some of the total risk.23) Which one of the following is least apt to reduce the unsystematic risk of a portfolio?A) Reducing the number of stocks held in a portfolioB) Adding bonds to a stock portfolioC) Adding international securities into a portfolio of U.S. stocksD) Adding U.S. Treasury bills to a risky portfolioE) Adding technology stocks to a portfolio of industrial stocks24) Which one of the following statements related to risk is correct?A) The beta of a portfolio must increase when a stock with a high standard deviation is added to the portfolio.B) Every portfolio that contains 25 or more securities is free of unsystematic risk.C) The systematic risk of a portfolio can be effectively lowered by adding T-bills to the portfolio.D) Adding five additional stocks to a diversified portfolio will lower the portfolio's beta.E) Stocks that move in tandem with the overall market have zero betas.25) Which one of the following risks is irrelevant to a well-diversified investor?A) Systematic riskB) Unsystematic riskC) Market riskD) Non-diversifiable riskE) Systematic portion of a surprise26) Which of the following are examples of diversifiable risk?I. An earthquake damages an entire townII. The federal government imposes a $100 fee on all business entitiesIII. Employment taxes increase nationallyIV. All toymakers are required to improve their safety standardsA) I and III onlyB) II and IV onlyC) II and III onlyD) I and IV onlyE) I, III, and IV only27) Which one of the following is the best example of a diversifiable risk?A) Interest rates increaseB) Energy costs increaseC) Core inflation increasesD) A firm's sales decreaseE) Taxes decrease28) The primary purpose of portfolio diversification is to:A) increase returns and risks.B) eliminate all risks.C) eliminate asset-specific risk.D) eliminate systematic risk.E) lower both returns and risks.29) Which one of the following indicates a portfolio is being effectively diversified?A) An increase in the portfolio betaB) A decrease in the portfolio betaC) An increase in the portfolio rate of returnD) An increase in the portfolio standard deviationE) A decrease in the portfolio standard deviation30) How many diverse securities are required to eliminate the majority of the diversifiable risk from a portfolio?A) 5B) 10C) 2D) 40E) 7531) Which of the following statements concerning risk are correct?I. Non-diversifiable risk is measured by beta.II. The risk premium increases as diversifiable risk increases.III. Systematic risk is another name for non-diversifiable risk.IV. Diversifiable risks are market risks you cannot avoid.A) I and III onlyB) II and IV onlyC) I and II onlyD) III and IV onlyE) I, II, and III only32) Which of the following statements are correct concerning diversifiable risks?I. Diversifiable risks can be essentially eliminated by investing in 30 unrelated securities.II. There is no reward for accepting diversifiable risks.III. Diversifiable risks are generally associated with an individual firm or industry.IV. Beta measures diversifiable risk.A) I and III onlyB) II and IV onlyC) I and IV onlyD) I, II and III onlyE) I, II, III, and IV33) Which one of the following statements is correct concerning unsystematic risk?A) An investor is rewarded for assuming unsystematic risk.B) Eliminating unsystematic risk is the responsibility of the individual investor.C) Unsystematic risk is rewarded when it exceeds the market level of unsystematic risk.D) Beta measures the level of unsystematic risk inherent in an individual security.E) Standard deviation is a measure of unsystematic risk.34) Systematic risk is measured by:A) the mean.B) beta.C) the geometric average.D) the standard deviation.E) the arithmetic average.35) Which one of the following statements is correct concerning a portfolio beta?A) Portfolio betas range between −1.0 and +1.0.B) A portfolio beta is a weighted average of the betas of the individual securities contained in the portfolio.C) A portfolio beta cannot be computed from the betas of the individual securities comprising the portfolio because some risk is eliminated via diversification.D) A portfolio of U.S. Treasury bills will have a beta of +1.0.E) The beta of a market portfolio is equal to zero.36) The systematic risk of the market is measured by a:A) beta of 1.B) beta of 0.C) standard deviation of 1.D) standard deviation of 0.E) variance of 1.37) Total risk is measured by ________ and systematic risk is measured by ________.A) beta; alphaB) beta; standard deviationC) alpha; betaD) standard deviation; betaE) standard deviation; variance38) The ________ tells us that the expected return on a risky asset depends only on that asset's nondiversifiable risk.A) efficient markets hypothesisB) systematic risk principleC) open markets theoremD) law of one priceE) principle of diversification39) Which one of the following measures the amount of systematic risk present in a particular risky asset relative to the systematic risk present in an average risky asset?A) BetaB) Reward-to-risk ratioC) Risk ratioD) Standard deviationE) Price-earnings ratio40) Which one of the following is most directly affected by the level of systematic risk in a security?A) Variance of the returnsB) Standard deviation of the returnsC) Expected rate of returnD) Risk-free rateE) Market risk premium41) At a minimum, which of the following would you need to know to estimate the amount of additional reward you will receive for purchasing a risky asset instead of a risk-free asset?I. Asset's standard deviationII. Asset's betaIII. Risk-free rate of returnIV. Market risk premiumA) I and III onlyB) II and IV onlyC) III and IV onlyD) I, III, and IV onlyE) I, II, III, and IV42) Which one of the following is a positively sloped linear function that is created when expected returns are graphed against security betas?A) Reward-to-risk matrixB) Portfolio weight graphC) Normal distributionD) Security market lineE) Market real returns43) Which one of the following is represented by the slope of the security market line?A) Reward-to-risk ratioB) Market standard deviationC) Beta coefficientD) Risk-free interest rateE) Market risk premium44) Which one of the following is the formula that explains the relationship between the expected return on a security and the level of that security's systematic risk?A) Capital asset pricing modelB) Time value of money equationC) Unsystematic risk equationD) Market performance equationE) Expected risk formula45) The intercept point of the security market line is the rate of return which corresponds to:A) the risk-free rate.B) the market rate.C) a return of zero.D) a return of 1.0 percent.E) the market risk premium.46) A stock with an actual return that lies above the security market line has:A) more systematic risk than the overall market.B) more risk than that warranted by CAPM.C) a higher return than expected for the level of risk assumed.D) less systematic risk than the overall market.E) a return equivalent to the level of risk assumed.47) Standard deviation measures which type of risk?A) TotalB) Non-diversifiableC) UnsystematicD) SystematicE) Economic48) Assume the market rate of return is 10.1 percent and the risk-free rate of return is 3.2 percent. Lexant stock has 2 percent less systematic risk than the market and has an actual return of 10.2 percent. This stock:A) is underpriced.B) is correctly priced.C) will plot below the security market line.D) will plot on the security market line.E) will plot to the right of the overall market on a security market line graph.49) Which one of the following will be constant for all securities if the market is efficient and securities are priced fairly?A) VarianceB) Standard deviationC) Reward-to-risk ratioD) BetaE) Risk premium50) The reward-to-risk ratio for Stock A is less than the reward-to-risk ratio of Stock B. Stock A has a beta of .82 and Stock B has a beta of 1.29. This information implies that:A) Stock A is riskier than Stock B and both stocks are fairly priced.B) Stock A is less risky than Stock B and both stocks are fairly priced.C) either Stock A is underpriced or Stock B is overpriced or both.D) either Stock A is overpriced or Stock B is underpriced or both.E) both Stock A and Stock B are correctly priced since Stock A is less risky than Stock B.51) The market risk premium is computed by:A) adding the risk-free rate of return to the inflation rate.B) adding the risk-free rate of return to the market rate of return.C) subtracting the risk-free rate of return from the inflation rate.D) subtracting the risk-free rate of return from the market rate of return.E) multiplying the risk-free rate of return by a beta of 1.0.52) The excess return earned by an asset that has a beta of 1.34 over that earned by a risk-free asset is referred to as the:A) market risk premium.B) risk premium.C) systematic return.D) total return.E) real rate of return.53) The ________ of a security divided by the beta of that security is equal to the slope of the security market line if the security is priced fairly.A) real returnB) actual returnC) nominal returnD) risk premiumE) expected return54) The capital asset pricing model (CAPM) assumes which of the following?I. A risk-free asset has no systematic risk.II. Beta is a reliable estimate of total risk.III. The reward-to-risk ratio is constant.IV. The market rate of return can be approximated.A) I and III onlyB) II and IV onlyC) I, III, and IV onlyD) II, III, and IV onlyE) I, II, III, and IV55) According to CAPM, the amount of reward an investor receives for bearing the risk of an individual security depends upon the:A) amount of total risk assumed and the market risk premium.B) market risk premium and the amount of systematic risk inherent in the security.C) risk-free rate, the market rate of return, and the standard deviation of the security.D) beta of the security and the market rate of return.E) standard deviation of the security and the risk-free rate of return.56) Which one of the following should earn the highest risk premium based on CAPM?A) Diversified portfolio with returns similar to the overall marketB) Stock with a beta of 1.38C) Stock with a beta of .74D) U.S. Treasury billE) Portfolio with a beta of 1.0157) Treynor Industries is investing in a new project. The minimum rate of return the firm requires on this project is referred to as the:A) average arithmetic return.B) expected return.C) market rate of return.D) internal rate of return.E) cost of capital.58) Consider the following information on three stocks:State of EconomyProbability ofState of EconomyRate of Returnif State OccursStock A Stock B Stock CBoom .25 .27 .15 .11Normal .65 .14 .11 .09Bust .10 −.19 −.04 .05A portfolio is invested 45 percent each in Stock A and StockB and 10 percent in Stock C. What is the expected risk premium on the portfolio if the expected T-bill rate is 3.2 percent?A) 11.47 percentB) 12.38 percentC) 1.67 percentD) 4.29 percentE) 8.71 percent59) You recently purchased a stock that is expected to earn 19 percent in a booming economy, 12 percent in a normal economy, and lose 8 percent in a recessionary economy. The probability of a boom economy is 16 percent while the probability of a normal economy is 78 percent. What is your expected rate of return on this stock?A) 12.40 percentB) 10.25 percentC) 11.92 percentD) 12.54 percentE) 13.50 percent60) The common stock of Manchester & Moore is expected to earn 14 percent in a recession, 7 percent in a normal economy, and lose 4 percent in a booming economy. The probability of a boom is 15 percent while the probability of a recession is 5 percent. What is the expected rate of return on this stock?A) 8.5 percentB) 8.7 percentC) 5.7 percentD) 7.5 percentE) 6.2 percent61) If the economy is normal, Charleston Freight stock is expected to return 14.3 percent. If the economy falls into a recession, the stock's return is projected at a negative 8.7 percent. The probability of a normal economy is 80 percent. What is the variance of the returns on this stock?A) .100346B) .008464C) .007420D) .073927E) .09431562) The rate of return on the common stock of Lancaster Woolens is expected to be 18 percent ina boom economy, 8 percent in a normal economy, and only 2 percent in a recessionary economy. The probabilities of these economic states are 12 percent for a boom and 10 percent for a recession. What is the variance of the returns on this common stock?A) .001150B) .001306C) .001524D) .001389E) .00142163) The returns on the common stock of New Image Products are quite cyclical. In a boom economy, the stock is expected to return 23 percent in comparison to 14 percent in a normal economy and a negative 18 percent in a recessionary period. The probability of a recession is 18 percent while the probability of a boom is 22 percent. What is the standard deviation of the returns on this stock?A) 13.71 percentB) 11.56 percentC) 15.83 percentD) 12.08 percentE) 14.77 percent64) What is the standard deviation of the returns on a stock given the following information?State of EconomyProbability ofState of EconomyRate of Returnif State OccursBoom .28 .175 Normal .67 .128 Recession .05 .026A) 3.57 percentB) 3.28 percentC) 3.89 percentD) 3.42 percentE) 4.01 percent65) What is the expected return and standard deviation for the following stock?State of EconomyProbability ofState of EconomyRate of Returnif State OccursBoom .06 −.06 Normal .74 .07 Recession .20 .18A) 8.53 percent; 5.69 percentB) 8.53 percent; 5.74 percentC) 8.42 percent; 5.69 percentD) 8.80 percent; 5.74 percentE) 8.42 percent; 5.74 percent66) You are comparing Stock A to Stock B. Given the following information, what is the difference in the expected returns of these two securities?State of EconomyProbability ofState of EconomyRate of Returnif State OccursStock A Stock BNormal .75 .13 .16Recession .25 −.05 −.21A) 5.25 percentB) 1.75 percentC) 3.05 percentD) 2.45 percentE) 1.55 percent67) You own a portfolio that has $2,800 invested in Stock A and $3,250 invested in Stock B. The expected returns on these stocks are 14.7 percent and 9.3 percent, respectively. What is the expected return on the portfolio?A) 12.06 percentB) 12.36 percentC) 11.80 percentD) 11.13 percentE) 11.41 percent68) You have $21,600 to invest in a stock portfolio. Your choices are Stock X with an expected return of 14.3 percent and Stock Y with an expected return of 8.1 percent. Your goal is to create a portfolio with an expected return of 12.5 percent. All money must be invested. How much will you invest in Stock X?A) $15,800B) $18,273C) $14,600D) $15,329E) $19,20869) What is the expected return of an equally weighted portfolio comprised of the following three stocks?State of EconomyProbability ofState of EconomyRate of Returnif State OccursStock A Stock B Stock CBoom .25 .19 .13 .07 Normal .72 .15 .05 .13Bust .03 −.29 −.14 .22A) 9.82 percentB) 10.96 percentC) 9.67 percentD) 10.48 percentE) 11.33 percent70) Your portfolio is invested 25 percent each in Stocks A and C, and 50 percent in Stock B. What is the standard deviation of your portfolio given the following information?State of EconomyProbability ofState of EconomyRate of Returnif State OccursStock A Stock B Stock CBoom .07 .28 .14 .11Good .55 .19 .12 .09Poor .36 −.21 .07 .06Bust .02 −.65 .03 −.03A) 6.52 percentB) 9.64 percentC) 12.72 percentD) 10.89 percentE) 7.39 percent71) You have a portfolio consisting solely of Stock A and Stock B. The portfolio has an expected return of 10.2 percent. Stock A has an expected return of 11.7 percent while Stock B is expected to return 8.3 percent. What is the portfolio weight of Stock A?A) 57.01 percentB) 55.88 percentC) 63.13 percentD) 61.20 percentE) 59.97 percent72) You own the following portfolio of stocks. What is the portfolio weight of Stock C?Stock Numberof SharesPriceper ShareA 650 $ 15.82B 320 $ 11.09C 400 $ 39.80D 100 $ 7.60A) 52.18 percentB) 53.86 percentC) 53.41 percentD) 51.09 percentE) 52.65 percent73) You own a portfolio with the following expected returns given the various states of the economy. What is the overall portfolio expected return?State of EconomyProbability ofState of EconomyRate of Returnif State OccursBoom .25 .185 Normal .60 .143 Bust .15 .032A) 14.49 percentB) 14.64 percentC) 13.87 percentD) 13.69 percentE) 14.23 percent74) What is the expected return on a portfolio that is invested 22 percent in Stock A, 36 percent in Stock B, and the remainder in Stock C?State of EconomyProbability ofState of EconomyRate of Returnif State OccursStock A Stock B Stock CBoom .05 .18 .11 .13 Normal .92 .09 .08 .06 Bust .03 −.07 .05 − .14A) 7.06 percentB) 7.38 percentC) 6.99 percentD) 7.29 percentE) 6.84 percent75) What is the expected return on this portfolio?Stock ExpectedReturnNumberof SharesPriceper ShareA .11 200 $ 18.60B .06 400 $ 12.85C .17 300 $ 43.90A) 11.48 percentB) 13.42 percentC) 12.03 percentD) 11.56 percentE) 13.97 percent。
Ch13英文课件 货币金融学 米什金 第七版
a financial institution has bought an asset, it is said to have taken a long position Short position(空头头寸) = if it has sold an asset that it has agreed to deliver to another party at a future date, it is said to have taken a short position
chapter 13
Financial Derivatives 衍生金融工具
Beginning in the 1970s and continuing into the 1980s and 1990s, interest rates and foreign exchange rates became more volatile, increasing the risk to financial institutions. To combat this, managers of financial institutions have demanded financial instruments to better manage risk.
远期（forwards）
Pros and Cons of forward contract
Pros : Flexible Cons: (1) Lack of liquidity: hard to find counterparty( 交易对手） (2) Subject to default risk: requires information to screen good from bad risk
怀尔德《会计学原理》Chapter-12
or $1,192.50 per bond, since the close yesterdaythe bondprice increased by$1.25.
Bond Rate Maturity Yield Volume Close Change
IBM
7%
25 5.9%
130 119.25 +1.25
Bond market values are expressed as a percent
of their par value.
McGraw-H i l l / I r w i n
Slide 3
Acompanyissuesbondsat par valueof$800,000, the bondshave a stated interestrate of9%withinterestpayableonJune 30thand December 31st. Thebondsare dated January1, 2009 andmature20 years lateronDecember 31, 2028. Onthe issuedate, we willdebit Cashandcredit
discountinthe sellingprice raises the effectiveinterestrate thatthe investorswillearnto 10%. Let’s look at the accountingfor these bonds.
percent oftheirpar value. Here is a typicalbondquote. TheIBMbondhas a statedinterestrate of7%, matures in2025, has a maturityof5.9%, 130 bondswere sold yesterdayfor a totaltrade at par of$130,000, eachbond issellingfor119.25%ofpar
13金融市场与产品
Mechanics Pricing and factors that affect it Uses in hedging and hedging strategies Delivery options
¾ Interest rates and measures of interest rate sensitivity ¾ Derivatives on fixed‐income securities, interest rates, foreign exchange, and equities ¾ Commodity derivatives ¾ Foreign exchange risk ¾ Corporate bonds
z z z
Hale Waihona Puke Issuer Maturity Face value/Par value
z z z
Coupon rate Seniority Redemption or conversion
PV3=FV3/(1+y )3 PV2=FV2/(1+y )2 PV1=FV1/(1+y)
FV1
FV2
FV3
0
8-165
么峥
¾职 称：FRM，浙江大学数学学士，浙江大学金融学硕士
2012年5月FRM一级基础班讲义 Financial Markets and Products
讲师：么峥 FRM 地点： ■ 上海 □北京 □深圳
上海金程国际金融专修学院
¾ 教授课程：金融市场与产品 ¾ 工作背景：现就职于国内某大型股份制商业银行，负责全行新 资本协议的实施工作；参与各新资本协议有关项目，包含信用 风险初级法改造、市场风险验证、第二支柱建设等项目；跟进 巴塞尔三定量测算与监管最新动态。 ¾ 联系方式：yzzju@
SHORT8
PAGE 1
Name..................................Exam number......................... Topic 8: Savings, Investment and the Financial System Short Answer
1. What is the financial system and what is its purpose in the economy?
10. Suppose the Cleanitup Vacuum Corporation has revenues of $40 million, costs of $15 million, and currently has 5 million shares of stocks selling at $10 each. Compute the price to earning ratio. Is this ratio relatively high or low? What might an increase in the price to earning ratio indicate?
Bond Markets,Analysis and Strategies (1)
Risks Associated with Investing in Bonds (continued)
2. Reinvestment Risk
Reinvestment risk is the risk that the interest rate at which interim cash flows can be reinvested will fall. Reinvestment risk is greater for longer holding periods, as well as for bonds with large, early, cash flows, such as high-coupon bonds. It should be noted that interest-rate risk and reinvestment risk have offsetting effects.
9) the secondary market for bonds 10) ways of classifying financial innovation
Sectors of the U.S. Bond Market
1. Treasury sector – securities issued by
The economics of money,banking and financial market
考试题型以及分数分布：一、选择题：1’*20=20’二、名词解释：4’*5=20’三、简答题：8’*5=40’四、论述题：20’*1=20’重点制作思路：1.考虑到时间关系，抓大放小2.结合老师提及复习内容进行预测3.以理顺书本架构为主，看到一个知识点猜一下可能会出什么题The economics of money, banking and financial markets----by Kyle Chapter1：Why Study Money, Banking, and Financial Markets？（本章了解一下这个问题即可，最多考一下选择）Answer：•To examine how financial markets such as bond and stock markets work•To examine how financial institutions such as banks work•To examine the role of money in the economyChapter2：An Overview of the Financial System1.Function of Financial Markets•Perform the essential function of channeling funds from economic players that have saved surplus funds to those that have a shortage of funds •Direct finance: borrowers borrow funds directly from lenders in financial markets by selling them securities.•Promotes economic efficiency by producing an efficient allocation（分配）of capital（资金）, which increases production•Directly improve the well-being of consumers by allowing them to time purchases better•2.Structure of Financial Markets•Debt and Equity （普通股）Markets•Primary and Secondary Markets•Exchanges and Over-the-Counter (OTC不通过交易所而直接售给顾客的) Markets •Money and Capital Markets（货币和资本市场）3. Financial Market Instruments(要能举出例子，很可能考选择)Money markets deal in short-term debt instrumentsCapital markets deal in longer-term debt and equity instruments.4.Internationalization of Financial Markets（重点，选择、名词解释都有可能）•Foreign Bonds & Eurobond?•Eurocurrencies & Eurodollars?•World Stock Markets5．Function of Financial Intermediaries: Indirect Finance（记一下金融中介机构的功能，交易成本很可能考名词解释）•Lower transaction costs (time and money spent in carrying out financial transactions).•Reduce the exposure of investors to risk•Deal with asymmetric 不对称information problems•Conclusion:Financial intermediaries allow “small” savers and borrowers to benefit from the existence of financial markets.6. Types of Financial Intermediaries（会分类即可）Depository institutionsContractual saving institutionsInvestment intermediaries7.Regulation of the Financial System•To increase the information available to investors:•To ensure the soundness 健康稳固of financial intermediariesChapter3：What Is Money?1.Meaning of Money（即definition，必考名词解释！！）•Money (or the “money supply”): anything that is generally accepted in payment for goods or services or in the repayment of debts.2.Functions of Money（重点）•Medium of Exchange:• A medium of exchange must•Unit of Account:•Store 储藏of Value:3.Evolution of the Payments System•Commodity 商品Money•Fiat 法定Money•Checks 支票Electronic Payment (e.g. online bill pay).•E-Money (electronic money):4.Measuring Money （重中之重，M1/M2都很有可能考名词解释）•Construct monetary aggregates using the concept of liquidity:（构建货币总量使用流动性的概念）•M1 (most liquid assets)= currency + traveler’s checks + demand deposits + other checkable deposits.•M2 (adds to M1 other assets that are not so liquid) = M1 + small denomination time deposits + savings deposits and money market depositaccounts + money market mutual fund shares.Chapter 4：Understanding Interest Rates1.measuring interest rates:Present Value(很可能考察名词解释)A dollar paid to you one year from now is less valuable than a dollar paid toyou todaySimple Present Value：PV=CF/(1+i)n次方2.Four Types of Credit Market Instruments•Simple Loan•Fixed Payment Loan•Coupon Bond 附票债券•Discount Bond 贴现债券3.Yield to Maturity（重点，很可能名词解释）•The interest rate that equates the present value of cash flow payments received from a debt instrument with its value today计算4种不同信用工具外加Consol or Perpetuity（金边债券或永久债券）的YM 4. Yield on a Discount Basis（了解即可）Current Yield当期收益率Yield on a Discount Basis 折价收益率Rate of Return 收益率5.Rate of Return and Interest Rates（收益率与利息率的distinction）•The return equals the yield to maturity only if the holding period equals the time to maturity• A rise in interest rates is associated with a fall in bond prices, resulting in a capital loss if time to maturity is longer than the holding period•The more distant a bond’s maturity, the greater the size of the percentage price change associated with an interest-rate change•The more distant a bond’s maturity, the lower the rate of return the occurs asa result of an increase in the interest rate•Even if a bond has a substantial initial interest rate, its return can be negative if interest rates rise6.Interest-Rate Risk•Prices and returns for long-term bonds are more volatile than those for shorter-term bonds•There is no interest-rate risk for any bond whose time to maturity matches the holding period7. Real and Nominal Interest Rates （重点，很可能考察简答题） • Nominal interest rate makes no allowance for inflation • Real interest rate is adjusted for changes in price level so it more accurately reflects the cost of borrowing • Ex ante real interest rate is adjusted for expected changes in the price level • Ex post real interest rate is adjusted for actual changes in the price level 8. Fisher Equation （重点考察）Chapter5：The Behavior of Interest Rates1. Determining the Quantity Demanded of an Asset• Wealth: the total resources owned by the individual, including all assets • Expected Return: the return expected over the next period on one asset relative to alternative assets• Risk: the degree of uncertainty associated with the return on one asset relative to alternative assets• Liquidity: the ease and speed with which an asset can be turned into cash relative to alternative assets （流动性很有可能考名词解释）2.Theory of Asset Demand （必考，死活都得背下来）Holding all other factors constant:1. The quantity demanded of an asset is positively related to wealth2. The quantity demanded of an asset is positively related to its expected return relative to alternative assets3. The quantity demanded of an asset is negatively related to the risk ofits returns relative to alternative assets4. The quantity demanded of an asset is positively related to its liquidityrelative to alternative assets3. Supply and Demand for Bonds （见到看一下图）Market Equilibrium4.Shifts in the Demand for Bonds = nominal interest rate = real interest rate = expected inflation rate When the real interest rate is low,there are greater incentives to borrow and fewer incentives to lend.The real inter e r r e i i i i ππ=+est rate is a better indicator of the incentives to borrow and lend.• Wealth: in an expansion with growing wealth, the demand curve for bonds shifts to the right• Expected Returns: higher expected interest rates in the future lower the expected return for long-term bonds, shifting the demand curve to the left • Expected Inflation: an increase in the expected rate of inflations lowers the expected return for bonds, causing the demand curve to shift to the left• Risk: an increase in the riskiness of bonds causes the demand curve to shift to the left• Liquidity: increased liquidity of bonds results in the demand curve shifting right5．Shifts in the Supply of Bonds• Expected profitability of investment opportunities: in an expansion, the supply curve shifts to the right• Expected inflation: an increase in expected inflation shifts the supply curve for bonds to the right• Government budget: increased budget deficits shift the supply curve to the right6.The Liquidity Preference Framework （重中之重）Keynesian model that determines the equilibrium interest ratein terms of the supply of and demand for money.There are two main categories of assets that people use to storetheir wealth: money and bo s s d ds d s d s d s d nds.Total wealth in the economy = B M = B + M Rearranging: B - B = M - M If the market for money is in equilibrium (M = M ),then the bond market is also in equilibrium (B = B ).7.Demand for Money in the Liquidity Preference Framework•As the interest rate increases:–The opportunity cost of holding money incr eases…–The relative expected return of money decreases…•…and therefore the quantity demanded of money decreases.8.Shifts in the Demand for Money（都很重要）•Income Effect: a higher level of income causes the demand for money at each interest rate to increase and the demand curve to shift to the right •Price-Level Effect: a rise in the price level causes the demand for money at each interest rate to increase and the demand curve to shift to the right •Liquidity preference framework leads to the conclusion that an increase in the money supply will lower interest rates: the liquidity effect.•Income effect finds interest rates rising because increasing the money supply is an expansionary influence on the economy (the demand curve shifts to the right).Chapter9:Banking1.The Bank Balance Sheet•Liabilities–Checkable deposits–Nontransaction deposits–Borrowings–Bank capital•Assets–Reserves(准备金)–Cash items in process of collection–Deposits at other banks–Securities–Loans–Other assets–2.Basic Banking:•Cash Deposit：Opening of a checking account leads to an increase in the bank’s reserves equal to the increase in checkable depositsCheck Deposit3．Inter-business•Bank settlement•Finance lease•Fiduciary business•Safe deposit box4. Off-Balance-Sheet Activities• Loan sales (secondary loan participation)• Generation of fee income. Examples:Chapter12:Central Banks and the Federal Reserve System (此章省略很多) 1.Structure ofthe Fed(了解即可)12 FRBs （9人） Member BanksFOMC (7+1+4人)Federal Advisory Council （12人）2. Federal Reserve Bank （3+3+3人）Functions ：Clear checksIssue new currencyWithdraw damaged currency from circulationAdminister and make discount loans to banks in their districtsEvaluate proposed mergers and applications for banks to expand their activities Act as liaisons between the business community and the Federal Reserve System Examine bank holding companies and state-chartered member banksCollect data on local business conditionsUse staffs of professional economists to research topics related to the conduct of monetary policyChapter13&14：The Money Supply Process :1. Players in the Money Supply Process Central bank (Federal Reserve System)Banks (depository institutions; financial intermediaries)Depositors (individuals and institutions)3.Monetary BaseHigh-powered money= += currency in circulation= total reserves in the banking systemMB C RC R4.Open Market Purchase• The effect of an open market purchase on reserves depends on whether the seller of the bonds keeps the proceeds from the sale in currency or in deposits • The effect of an open market purchase on the monetary base always increases the monetary base by the amount of the purchaseOpen Market Sale• Reduces the monetary base by the amount of the sale• Reserves remain unchangedThe effect of open market operations on the monetary base is much more certain than the effect on reserves5. Fed’s Ability to Control the Monetary BaseSplit the monetary base into two components :MBn= MB - BRthe non-borrowed monetary base :MBnborrowed reserves:BR6.The Formula for Multiple Deposit Creation （很重要！必考,记住公式）7.Factors that Determine the Money SupplyChanges in the nonborrowed monetary base MBnChanges in borrowed reserves from the FedChanges in the required reserves ratioChanges in currency holdingsChanges in excess reservesAssuming banks do not hold excess reserves Required Reserves () = Total Reserves () = Required Reserve Ratio () times the total amount of checkable deposits ()Substituting = Dividing both s RR R RR r D r D R ⨯ides by 1 = Taking the change in both sides yields 1 = r D R r D R r ⨯∆⨯∆8.The Money Multiplier(重点)Assume that the desired holdings of currency C and excess reserves ER grow proportionally with checkable deposits D. Then,c = {C/D} = currency ratioe = {ER/D} = excess reserves ratioThe monetary base MB equals currency (C) plus reserves (R):MB = C + R = C + (r x D) + ERM=m*MB=m*(MBn+BR)M=1+c/r+e+cChapter 15：Tools of Monetary Policy1. Tools of Monetary PolicyOpen market operationsChanges in borrowed reservesChanges in reserve requirementsFederal funds rate: the interest rate on overnight loans of reserves from one bank to another2.Demand in the Market for ReservesSupply in the Market for Reserves3.Affecting the Federal Funds Rate4.Open Market Operations（超级重点）Advantages：The Fed has complete control over the volumeFlexible and preciseEasily reversedQuickly implemented5.Discount Policy（超级重点）Advantages：Used to perform role of lender of last resortdisadvantages：Cannot be controlled by the Fed; the decision maker is the bank6.Reserve Requirements（超级重点）Advantages：•No longer binding for most banksdisadvantages：•Can cause liquidity problems•Increases uncertainty for banks7.Monetary Policy Tools of the European Central Bank•Open market operations•Lending to banks•Reserve RequirementsChapter16：The Conduct of Monetary Policy: Strategy and Tactics1. Goals of Monetary Policy（1）The Price Stability Goal•Low and stable inflation•Inflation•Nominal anchor to contain inflation expectations•Time-inconsistency problem（2）Other Goals of Monetary Policy•High employment•Economic growth•Stability of financial markets•Interest-rate stability•Foreign exchange market stability2.Monetary Targeting•Advantages–Almost immediate signals help fix inflation expectations and produce less inflation–Almost immediate accountability•Disadvantages–Must be a strong and reliable relationship between the goal variable and the targeted monetary aggregat e3.Inflation Targeting•Public announcement of medium-term numerical target for inflation •Institutional commitment to price stability as the primary, long-run goal of monetary policy and a commitment to achieve the inflation goal •Information-inclusive approach in which many variables are used in making decisions•Advantages•Does not rely on one variable to achieve target•Easily understood•Reduces potential of falling in time-inconsistency trap•Stresses transparency and accountability•Disadvantages•Delayed signaling•Too much rigidity•Potential for increased output fluctuations•Low economic growth during disinflation4.Monetary Policy with an Implicit Nominal AnchorThere is no explicit nominal anchor in the form of an overriding concern for the Fed. Forward looking behavior and periodic “preemptive strikes”The goal is to prevent inflation from getting started.•Advantages–Uses many sources of information–Avoids time-inconsistency problem•Disadvantages–Lack of transparency and accountability–Strong dependence on the preferences, skills, and trustworthiness of individuals in charge–Inconsistent with democratic principles5.Tactics: Choosing the Policy Instrument•Tools–Open market operation–Reserve requirements–Discount rate•Policy instrument (operating instrument)–Reserve aggregates–Interest rates–May be linked to an intermediate target•Interest-rate and aggregate targets are incompatible (must chose one or the other).6.Linkages Between Central Bank Tools, Policy Instruments, Intermediate Targets, and Goals of Monetary Policy(中间目标是超级重点，死活都要背下来)Chapter19:The Demand for Money1.Velocity of Money and The Equationof ExchangeV=P*Y/MM*V=P*Y2.Quantity Theory of Money DemandSO: Demand for money is determined by:The level of transactions generated by the level of nominal income PYThe institutions in the economy that affect the way people conduct transactions and thusdetermine velocity and hence k3.Keynes’s Liquidity Preference TheoryTransactions motivePrecautionary motiveSpeculative motiveVelocity is not constant:4. Friedman’s Modern Quantity Theory of Money (记住该公式及其含义)5.Differences between Keynes’s and Friedman’s Model (cont’d)• Friedman– Includes alternative assets to money– Viewed money and goods as substitutes– The expected return on money is not constant; however, r b – r m doesstay constant as interest rates rise– Interest rates have little effect on the demand for money• Friedman (cont’d)– The demand for money is stable ⇒velocity is predictable– Money is the primary determinant of aggregate spendingChapter23：Transmission Mechanisms of Monetary Policy: The Evidence1.Framework(1)Structural Modelwhether one variable affects another• Transmission mechanism– The change in the money supply affects interest rates– Interest rates affect investment spending– Investment spending is a component of aggregate spending (output) Advantages and Disadvantages(2)Reduced-Form• Analyzes the effect of changes in money supply on aggregate output(spending) to see if there is a high correlationAdvantages and DisadvantagesPY k M d ⨯=()m e m e m b p dr r r r r Y f P M ---=π,,,2.Transmission Mechanisms of Monetary Policy(1)Asset Price EffectsTraditional interest rate effectsExchange rate effects on net exports...(2)Credit ViewChapter24:Money and Inflation1.meaning of inflation(死活背下来)extremely high for a sustained period of time, its rate of money supply growth is also extremely high•Money Growth–High money growth produces high inflation•Fiscal Policy–Persistent high inflation cannot be driven by fiscal policy alone •Supply Shocks–Supply-side phenomena cannot be the source of persistent high inflation•Conclusion: always a monetary phenomenon2.Origins of Inflationary Monetary Policy•Cost-push inflation–Cannot occur without monetary authorities pursuing an accommodating policy•Demand-pull inflation•Budget deficits–Can be the source only if the deficit is persistent and is financed by creating money rather than by issuing bonds•Two underlying reasons–Adherence of policymakers to a high employment target–Presence of persistent government budget deficits3.The Discretionary (Activist)/ Nondiscretionary (Nonactivist) Policy Debate （1）Advocates of discretionary policy：regard the self-correcting mechanism as slowPolicy lags slow activist policy（2）Advocates of nondiscretionary policy:believe government should not get involvedDiscretionary policy produces volatility in both the price level and output。
Chapter 4-bonds
Moody’s DBRS Aaa AAA Aa AA
A
A
Debt rated Aaa and AAA has the highest rating. Capacity to pay interest and principal is extremely strong. Debt rated Aa and AA has a very strong capacity to pay interest and repay principal. Together with the highest rating, this group comprises the highgrade bond class. Debt rated A has a strong capacity to pay interest and repay principal, although it is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in high rated categories.
Coupon payment/par value Fixed coupon interest rate Floating coupon interest rate No coupon: zero coupon bond (zeros) Original issue discount bond (OID)
4. Prepayment
Sinking fund: Provision to pay off a loan over its life rather than all at maturity
会计英语5
Maturity Value ×Discount rate×Discount Period =Discount
Maturity Value－Discount=eds
A $4000,60-days,9% note dated March 1 and discounted at 9% on March 31: Maturity value=$4000+$4000×9%×60÷360 =$4060 Discount=$4060×9%×30÷360 =$30.45 Proceeds=$4060－$30.45=$4029.55
Dec. 9 wrote off the account of Weldon as uncollectible. Pitt Company uses the allowance method of providing for credit loss. 16 Received a $12000,90-day,8% note from S.Ward on account. 31 Recorded Pitt Company’s expected credit losses by an adjusting entry. The allowance for uncollectible accounts has a debit balance of $200. Analysis of aged receivables indicates that the desired balance of the allowance is $4200. 31 Made the appropriate adjusting entries for accrued interest.
Entries: (1) Dr.Uncollectible Accounts Expense坏账费用 Cr. Allowance for Uncollectible Accounts坏账准备 (2) Dr. Allowance for Uncollectible Accounts Cr. Accounts Receivable
货币银行学名词解释
货币银行学名词解释Chapter2: An Overview of the Financial System一级市场：筹集资金的公司或政府机构将其新发行的股票或债券等证券销售给最初购买者的金融市场。
Primary market:A financial market in which new issues of a security are sold to initial buyers by the corporation or government agency borrowing the funds.二级市场：交易已经发行的证券的金融市场。
Secondary market:A financial market in which securities that have been previously issued can be resold.场外市场：二级市场的一种组织形态，即分处各地的拥有证券存货的交易商随时向与它们联系并愿意接受它们报价的人在柜台上买卖证券。
Over-the-counter (OTC) market: A method of organizing a secondary market in which dealers at different locations who have an inventory of securities stand ready to buy and sell securities “over-the-counter” to anyone who comes to them and is willing to accept their prices.货币市场：交易短期债务工具（通常原始期限为1年以下）的金融市场。
Money market:A financial market in which only short-term debt instruments (generally those with original maturity of less than one year) are traded.资本市场：交易长期债务工具（通常原始期限在1年或1年以上）与股权工具的金融市场。
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
Some of the action has been automated, so click the mouse when you see this lightning bolt in the lower right-hand corner of the screen. You can point and click anywhere on the screen.
Plan 1 — — $4,000,000 $4,000,000
$ 800,000 — $ 800,000 320,000 $ 480,000 — $ 480,000 ÷400,000 $ 1.20
Plan 2 — $2,000,000 2,000,000 $4,000,000
$ 800,000 — $ 800,000 320,000 $ 480,000 180,000 $ 300,000 ÷200,000 $ 1.50
Two Methods of Long-Term Financing
Resources = Sources
Liabilities Debt Financing: Bondholders Assets Stockholders’ Equity Equity Financing: Stockholders
© Copyright 2004 South-Western, a division of Thomson Learning. All rights reserved. Task Force Image Gallery clip art included in this electronic presentation is used with the permission of NVTech Inc.
The Present-Value Concept and Bonds Payable
MARKET RATE = CONTRACT RATE
Sell price of bond = $1,000
$1,000
10% payable annually
The Present-Value Concept and Bonds Payable
Байду номын сангаас
Alternative Financing Plans – $800,000 Earnings
12 % bonds Preferred 9% stock, $50 par Common stock, $10 par Total Earnings before interest and income tax Deduct interest on bonds Income before income tax Deduct income tax (40%) Net income Dividends on preferred stock Available for dividends Shares of common stock Earnings per share
Plan 1 — — $4,000,000 $4,000,000
$ 440,000 — $ 440,000 176,000 $ 264,000 — $ 264,000 ÷400,000 $ 0.66
Plan 2 — $2,000,000 2,000,000 $4,000,000
$ 440,000 — $ 440,000 176,000 $ 264,000 180,000 $ 84,000 ÷200,000 $ 0.42
Objectives
1. Compute the potential impact of longAfter on the earnings per term borrowing studying this share of achapter, you should corporation. be able to: 2. Describe the characteristics of bonds. 3. Compute the present value of bonds payable. 4. Journalize entries for bonds payable. 5. Describe bond sinking funds.
12 % bonds Preferred 9% stock, $50 par Common stock, $10 par Total Earnings before interest and income tax Deduct interest on bonds Income before income tax Deduct income tax Net income Dividends on preferred stock Available for dividends Shares of common stock Earnings per share
$1,000.00 (rounded)
The Present-Value Concept and Bonds Payable
OR Present value of face value of $1,000 due in 2 years at 10% compounded annually: $1,000 x 0.82645 $ 826.45 Present value of 2 annual interest payments of 10% compounded annually: $100 x 1.73554 (PV of annuity of $1 for 2 years at 10%) 173.55 Total present value of bonds $1,000.00
Two Methods of Long-Term Financing
Bondholders Stockholders
Why issue bonds rather than stock?
Bonds (debt)—Interest payments to bondholders are an expense that reduces taxable income. Stock (equity)—Dividend payments are made from after tax net income and retained earnings. Earnings per share on common stock can often be increased by issuing bonds rather than additional stock.
Sell price of bond > $1,000
$1,000
10% payable annually
+
Premium
A $1,000, 10% bond is issued. It pays interest annually and will mature in two years.
Interest payment
MARKET RATE > CONTRACT RATE
Sell price of bond < $1,000
$1,000
10% payable annually
–
Discount
The Present-Value Concept and Bonds Payable
MARKET < CONTRACT RATE
Nature of Bonds Payable
When all bonds of an issue mature at the same time, they are called term bonds. If the maturity dates are spread over several dates, they are called serial bonds. Bonds that may be exchanged for other securities are called convertible bonds. Bonds that a corporation reserves the right to redeem before maturity are callable bonds. Bonds issued on the basis of the general credit of the corporations are debenture bonds.
Chapter 13
Long-Term Liabilities: Bonds and Notes
Accounting, 21st Edition
Warren Reeve Fess
PowerPoint Presentation by Douglas Cloud
Professor Emeritus of Accounting Pepperdine University
$100
$100 $1,000
Interest 10% payable payment annually
Today
End of Year 1
$100 x 0.90909 $100 x 0.82645 $1,000 x 0.82645
End of Year 2
$90.91 $82.65 $826.45
Plan 3 $2,000,000 1,000,000 1,000,000 $4,000,000
$ 800,000 240,000 $ 560,000 224,000 $ 336,000 90,000 $ 246,000 ÷100,000 $ 2.46
Alternative Financing Plans – $440,000 Earnings
Plan 3 $2,000,000 1,000,000 1,000,000 $4,000,000