【PPT精品课件】货币金融学7版英文课件--ch26-大学课共21页文档
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【PPT精品课件】货币金融学7版英文课件--7-大学课件20
Unfavorable Evidence 1. Small-firm effect: small firms have abnormally high returns 2. January effect: high returns in January 3. Market overreaction 4. Excessive volatility 5. Mean reversion 6. New information is not always immediately incorporated into stock prices
7-2
Generalized Dividend Valuation Model
P0
D1 (1 ke )1
D2 (1 ke )2
Dn Pn (1 ke )n (1 ke )n
(2)
• Since last term of the equation is small, Equation 2 can b t 1
Dt (1 ke )t
(3)
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7-3
Gordon Growth Model
• Assuming dividend growth is constant, Equation 3 can be written as
Xe = Xof 2 reasons expectation may not be rational
1. Not best prediction 2. Not using available information Rational expectation, although optimal prediction, may not be accurate Rational expectations makes sense because is costly not to have optimal forecast Implications: 1. Change in way variable moves, way expectations are formed changes 2. Forecast errors on average = 0 and are not predictable
【PPT精品课件】货币金融学7版英文课件--ch26-大学课
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26-7
Statistical Evidence
Horse race: correlation of A vs M with Y; Friedman and Meiselman, M wins
Criticisms:
1. Reverse causation from Y to M, or third factor driving
Recent work indicates that the exchange rate transmission mechanism plays an important role in how monetary policy affects the economy.
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M , Pe , e , ir , C and I , Y
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26-10
Monetary Transmission Mechanisms
Other Asset Channeቤተ መጻሕፍቲ ባይዱs
Exchange Rate Channel:
third factor: e.g., 1936–37 rise in reserve requirements and 1937-38 recession
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26-9
Monetary Transmission Mechanisms
3. Can predict effects of institutional changes that change link from M to Y
PPT精品课件货币金融学7版英文课件1大学课件664
3. Financial Innovation
Why Study Money and Monetary Policy?
1. Influence on business cycles, inflation, and interest rates
1Leabharlann Bond Market© 2005 Pearson Education Canada Inc.
10 © 2005 Pearson Education Canada Inc.
Appendix: Definitions
Aggregate Output Gross Domestic Product (GDP) = Value of all final goods and services
produced in domestic economy during year Aggregate Income Total income of factors of production (land, capital, labor) during year Distinction Between Nominal and Real Nominal = values measured using current prices Real = quantities, measured with constant prices Aggregate Price Level
Why Study Financial Markets?
1. Channel funds from savers to investors, thereby promoting economic efficiency
2. Affect personal wealth and behavior of business firms
Why Study Money and Monetary Policy?
1. Influence on business cycles, inflation, and interest rates
1Leabharlann Bond Market© 2005 Pearson Education Canada Inc.
10 © 2005 Pearson Education Canada Inc.
Appendix: Definitions
Aggregate Output Gross Domestic Product (GDP) = Value of all final goods and services
produced in domestic economy during year Aggregate Income Total income of factors of production (land, capital, labor) during year Distinction Between Nominal and Real Nominal = values measured using current prices Real = quantities, measured with constant prices Aggregate Price Level
Why Study Financial Markets?
1. Channel funds from savers to investors, thereby promoting economic efficiency
2. Affect personal wealth and behavior of business firms
PPT精品课件货币金融学7版英文课件16大学课件
1. the public’s decisions regarding how much C to hold,
2. the banks’ decisions regarding the amount of R they wish to hold, and
3. borrowers’ decisions on how much to borrow from banks.
4.Recall also that the Bank of Canada can exert more precise control over MB ( = C + R) than over R.
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2
The Money Supply Model
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4
(Continued)
To put it differently,
An in MB that goes into C is not multiplied, whereas an that goes into supporting deposits is multiplied.
Deriving Money Multiplier R = DR DR = r D R = (r D)
Adding C to both sides
R + C = MB = C + (r D)
1. Tells us amount of MB needed support D and C
2. An extra $1 of MB that arises from an extra $1 of C does not support any additional D. That is, the C component of MB does not lead to a multiple deposit creation as the R component does.
2. the banks’ decisions regarding the amount of R they wish to hold, and
3. borrowers’ decisions on how much to borrow from banks.
4.Recall also that the Bank of Canada can exert more precise control over MB ( = C + R) than over R.
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2
The Money Supply Model
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4
(Continued)
To put it differently,
An in MB that goes into C is not multiplied, whereas an that goes into supporting deposits is multiplied.
Deriving Money Multiplier R = DR DR = r D R = (r D)
Adding C to both sides
R + C = MB = C + (r D)
1. Tells us amount of MB needed support D and C
2. An extra $1 of MB that arises from an extra $1 of C does not support any additional D. That is, the C component of MB does not lead to a multiple deposit creation as the R component does.
【PPT精品课件】货币金融学7版英文课件ch26大学课
3. Surveys: no link from i to I
Objections to Keynesian evidence
Problems with structural model
1. i on T-bonds not representative during Depression: i very high on low-grade bonds: Figure 1 in Ch. 6
2. ir more relevant than i: ir high during Depression:Depression (Friedman and Schwartz): money
“tight”
4. Wrong structural model to look at link of i and I, should
Great Depression 2. Documents timing evidence More convincing than other monetarist evidence: Episodes are almost like “controlled experiments” 1. Post hoc, ergo propter hoc applies 2. History allows ruling out of reverse causation and
3. Can predict effects of institutional changes that change link from M to Y
Disadvantages:
1. Structural model may be wrong, negating all advantages
【PPT精品课件】货币金融学7版英文课件--ch27-大学课
government shifts
AD out
2. Y = YT > Yn, AS shifts in
3. Y = Yn < YT, government shifts
AD out, and repeat
steps 2 and 3, etc.
4. P continually:
i.e., get
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again, and go through steps 2, 3, and 4, etc. 5. P continually: i.e., get
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8
Demand-Pull Inflation
High Employment
Target, YT > Yn 1. Y = Yn < YT,
Chapter 27
Money and Inflation
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Money and Inflation: The Evidence
“Inflation is Always and Everywhere a Monetary Phenomenon” (M. Friedman)
Allows for other sources of AD shifts, but comes to
same conclusion that only source of sustained high is Ms growth 1. Figure 3 shows that fiscal policy without Ms
AD out
2. Y = YT > Yn, AS shifts in
3. Y = Yn < YT, government shifts
AD out, and repeat
steps 2 and 3, etc.
4. P continually:
i.e., get
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again, and go through steps 2, 3, and 4, etc. 5. P continually: i.e., get
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8
Demand-Pull Inflation
High Employment
Target, YT > Yn 1. Y = Yn < YT,
Chapter 27
Money and Inflation
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Money and Inflation: The Evidence
“Inflation is Always and Everywhere a Monetary Phenomenon” (M. Friedman)
Allows for other sources of AD shifts, but comes to
same conclusion that only source of sustained high is Ms growth 1. Figure 3 shows that fiscal policy without Ms
【PPT精品课件】货币金融学7版英文课件--20-大学课件2
(monetary
第十三页，共十三页。
2. Monetary base, + $1 billion 3. Then analysis in Fig 1, Et
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2
第二页，共十三页。
Exchange Market Intervention
Sterilized: To reduce MB back to old level, Bank of Canada sells $1 billion of
Two Problems: 1. Country on gold standard loses control of Ms 2. World inflation determined by gold production
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6
第六页，共十三页。
Chapter 20
The International Financial System
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第一页，共十三页。
Exchange Market Intervention
Unsterilized: Bank sells $1 billion of $, buys $1 billion of foreign assets
International Financial Architecture
Capital Controls
1. Controls on outflows unlikely to work
2. Controls on inflows may prevent lending boom and financial crisis, but cause distortions
PPT精品课件货币金融学7版英文课件ch25大学课
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Vietnam War Buildup and Macroeconomic Activity in the United States: 1964–70
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Equilibrium in Short Run
Equilibrium: AD = AS If P > P*, AS > AD P to P* If P < P*, AS < AD P to P*
Equilibrium in Long Run
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Shifts in Long-Run Supply
Yn grows over time, but is shown as fixed in AD/AS diagram Real Business Cycle Theory 1. Yn fluctuates a lot due to aggregate supply (real) shocks 2. Shifts in AD small 3. Conclusion: Business cycles due to real shocks 4. Supports nonactivism Hysteresis 1. AD shifts in, natural rate of unemployment , Yn shifts in 2. Unemployment stays high 3. Supports activism
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Vietnam War Buildup and Macroeconomic Activity in the United States: 1964–70
© 2005 Pearson Education Canada Inc.
© 2005 Pearson Education Canada Inc.
Equilibrium in Short Run
Equilibrium: AD = AS If P > P*, AS > AD P to P* If P < P*, AS < AD P to P*
Equilibrium in Long Run
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Shifts in Long-Run Supply
Yn grows over time, but is shown as fixed in AD/AS diagram Real Business Cycle Theory 1. Yn fluctuates a lot due to aggregate supply (real) shocks 2. Shifts in AD small 3. Conclusion: Business cycles due to real shocks 4. Supports nonactivism Hysteresis 1. AD shifts in, natural rate of unemployment , Yn shifts in 2. Unemployment stays high 3. Supports activism
【PPT精品课件】货币金融学7版英文课件--1-大学课件20
6. Aggregate supply and demand analysis
Features
1. Case studies
2. Applications
3. Special-interest boxes
4. Following the Financial News boxes
5. Reading the financial pages
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1-10
How We Study Money and Banking
Basic Analytic Framework
1. Simplified approach to the demand for assets
2. Concept of equilibrium
2. Affect personal wealth and behavior of business firms
Why Study Banking and Financial Institutions?
1. Financial Intermediation Helps get funds from savers to investors
2. Banks and Money Supply Crucial role in creation of money
3. Financial Innovation
Why Study Money and Monetary Policy?
1. Influence on business cycles, inflation, and interest rates
nominal GDP GDP Deflator = real GDP
【PPT精品课件】货币金融学7版英文课件--ch22-大学课
changes
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Baumol-Tobin Model of Transactions Demand
Assumptions 1. Income of $1000 each month 2. 2 assets: money and bonds
Hold all bonds or all money: no diversification
Tobin Model: 1. People want high Re, but low risk 2. As i , hold more bonds and less M, but still diversify and hold M
A. related to W and Y B. negatively related to i
Liquidity Preference
Md
= f(i, Y)
P
–+
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Keynes’s Liquidity Preference Theory
【PPT精品课件】货币 金融学7版英文课件--
ch22-大学课
2020/8/20
Quantity Theory of Money
Velocity PY
V= M
Equation of Exchange M V = P Y
Quantity Theory of Money
1. Irving Fisher’s view: V is fairly constant 2. Equation of exchange no longer identity 3. Nominal income, PY, determined by M 4. Classicals assume Y fairly constant 5. P determined by M
© 2005 Pearson Education Canada Inc.
Baumol-Tobin Model of Transactions Demand
Assumptions 1. Income of $1000 each month 2. 2 assets: money and bonds
Hold all bonds or all money: no diversification
Tobin Model: 1. People want high Re, but low risk 2. As i , hold more bonds and less M, but still diversify and hold M
A. related to W and Y B. negatively related to i
Liquidity Preference
Md
= f(i, Y)
P
–+
© 2005 Pearson Education Canada Inc.
Keynes’s Liquidity Preference Theory
【PPT精品课件】货币 金融学7版英文课件--
ch22-大学课
2020/8/20
Quantity Theory of Money
Velocity PY
V= M
Equation of Exchange M V = P Y
Quantity Theory of Money
1. Irving Fisher’s view: V is fairly constant 2. Equation of exchange no longer identity 3. Nominal income, PY, determined by M 4. Classicals assume Y fairly constant 5. P determined by M
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26-8
Historical Evidence
Friedman and Schwartz: Monetary History of the U.S. 1. Important as criticism of Keynesian evidence on
2. ir more relevant than i: ir high during Depression: Figure 1 3. Ms during Depression (Friedman and Schwartz): money
“tight”
4. Wrong structural model to look at link of i and I, should
M
iI
Y
Reduced Form Evidence
Mห้องสมุดไป่ตู้
?
Y
Structural Model Evidence
Advantages:
1. Understand causation because more information on link between M and Y
2. Knowing how M affects Y helps prediction
2. No statistical link from i to I
3. Surveys: no link from i to I
Objections to Keynesian evidence
Problems with structural model
1. i on T-bonds not representative during Depression: i very high on low-grade bonds: Figure 1 in Ch. 6
controlled experiment 3. Hypothetical example (Fig 2): Reverse causation from Y to
M and yet Ms growth leads Y
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26-6
Hypothetical Example in Which M/M leads Y
Chapter 26
Transmission Mechanisms of Monetary Policy: The Evidence
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Two Types of Empirical Evidence
Structural Model Evidence
look at ir and I: evidence in 1 and 2 suspect
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26-4
Real and Nominal Interest Rates
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26-7
Statistical Evidence
Horse race: correlation of A vs M with Y; Friedman and Meiselman, M wins
Criticisms:
1. Reverse causation from Y to M, or third factor driving
26-5
Early Monetarist Evidence
Monetarist evidence is reduced form Timing Evidence (Friedman and Schwartz) 1. Peak in Ms growth 16 months before peak in Y on average 2. Lag is variable Criticisms: 1. Uses principle: Post hoc, ergo propter hoc 2. Principle only valid if first event is exogenous: i.e., if have
Great Depression 2. Documents timing evidence More convincing than other monetarist evidence: Episodes are almost like “controlled experiments” 1. Post hoc, ergo propter hoc applies 2. History allows ruling out of reverse causation and
3. Can predict effects of institutional changes that change link from M to Y
Disadvantages:
1. Structural model may be wrong, negating all advantages
© 2019 Pearson Education Canada Inc.
M and Y are possible
2. Keynesian model too simple, unfair handicap
3. A measure poorly constructed
Postmortem with different measures of A: no clearcut victory
26-2
Reduced Form Evidence
Advantages: 1. No restrictions on how M affects Y: better able to
find link from M to Y Disadvantages: 1. Reverse causation possible 2. Third factor may produce correlation of M and Y
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26-3
Early Keynesian Evidence
Evidence:
1. Great Depression: i on T-bonds to low levels monetary policy was “easy”