金融经济学第2章
金融学第2章XXXX
高利贷信用
• （1）高利贷信用是以高额利息为基本特征的借 贷活动，是生息资本最古老的形式。
• 现今，在最发达的国度中也并未销声匿迹。 在现代经济中，银行体系的利率是标准；
极大地高于银行体系水平的借贷，通常视为具 有高利贷性质的借贷。
12
高利贷信用
• （2）高利贷具有三个突出的特征：
– 利率极高 – 非生产性 – 保守性
2. 任何货币盈余或货币赤字，都同时意味着相 应金额的债权、债务关系的存在。
25
二、盈余与赤字、债权与债务
• 现代经济运行过程中的盈余(Surplus)单位 和赤字(Deficit)单位的存在是现代信用活 动的基础
• 资金在有偿的原则下从盈余部门向赤字部 门流动，就形成了借贷行为，这便在资金 盈余部门和赤字部门之间形成了债权债务 关系 。这样消除货币资金分布上的非均衡 性，最终满足盈余部门和赤字部门双方的 需要。
私有制
从逻辑上讲，私有财产的出现是借贷关系 （信用）存在的前提条件。
9
经济学的信用活动以清晰界定的排他性产权安 排为前提， 信用关系实质上是一种产权关系。
产权是以财产所有权为主体的一系列财产权利的 总和， 包括占有、使用、收益和处分等权利。
– 产权是一组激励和约束人的行为的权利束； – 产权是一组人与人之间的合约关系
46
资本输出与国际资本流动
1. 资本输出的理论，概括了到20世纪初帝国主义列强扩 张的史实。 但已不能简单用来论证改变了的国际关系格局。
2. 国际资本流动，是一个中性的概念，但反映着更为复 杂国际经济联系。 贫富、强弱、控制与反控制……依然是客观存在。
47
国际信用
我国对国际信用的利用
180000 150000 120000
金融经济学 Financial_Economics_2
Economic functions
• Primitive societies: investment financed by own savings • Modern societies: investment financed by others’ savings • Without financial markets and intermediaries, most investment would be unintended inventory accumulation
2. The future is uncertain
• Savers expect to earn interest, but are not certain to do so. • The greater the uncertainty, the less likely they are to save • In other words, the greater the uncertainty, the higher the interest rate needed to persuade them to save.
Asset A Price (A + B )
Asset B
Time
ห้องสมุดไป่ตู้
4.Risk taking (speculation)
• Some risks cannot be diversified away.
• But they can be transferred to speculators • For example, an airline can undertake a swap agreement on the price of jet fuel.
金融经济学-第二章
货币的时间价值
普通年金未来值是以计算期期末为基准，
一组年金现金流的终值之和。
普通年金的未来值
普通年金终值犹如零存整取的本利和
(1 r ) n 1 FV A r
FV = A + A (1+r) + A (1+r)2 + A (1+r)3 +……+ A (1+r)n-1
某投资者于2009年9月25日按照报价102.77元购买了国债， 到期日为2011年9月25日，票面额为100元，票面利率为 2.95%，计息方式为固定利率，每年9月25日付息一次。 问到期收益率是多少？
债券收益率的度量
6、赎回收益率
C ( Fc P0 ) / n Yc ( Fc P0 ) / 2
n
（1）复利终值计算公式的推导
假设某人将10 000元存入银行，年存款利率为6％，经过1年时间的终值为： F1 ＝10 000×（1＋6％）＝10 600（元） 若此人不提走现金，将10 600元继续存入银行，则第二年末的终值为： F2 ＝10 000×（1＋6％）×（1＋6％） ＝ 10 000×（1＋6％）2＝11 240（元） 同理，第三年末的终值为： F3 ＝10 000× （1＋6％）2 ×（1＋6％） ＝ 10 000×（1＋6％）3＝11 910（元） 依此类推，第 n 年末的终值为：
假设某债券为10年期，8%利率，买入价是1000元，赎回价为800元。 计算赎回收益率为
[80+(800-1000)/10] / [(1000+800)/2] ]×100％ =6.66%。
贴现债券收益率
金融学 第二章
实物借贷与货币借贷
（五）商业票据
定义：商业票据是商业信用工具，它是提 供记载商业信用债权债务的一种凭证。 特点： 1.必须有特点的内容 2.强制性或不可争议性 3.流动性，必须可以转让流通 商业票据更具出票人不同，分为期票和汇 票两种。
期票：债务人对债权人签发的在一定时间内无条 件支付款项的债务证书。 汇票是债权人给债务人，命令他支付一定金额给 持票人或第三者的无条件的支付命令。 两者区别：承兑与否？ 商业票据的贴现：是指票据所有者在票据到期以 前，为获取现款而向银行贴付一定利息的票据转 让。 计算公式为： 客户所得现金=票据面额（1—年贴现利率x未到 期天数/360天）
（二）在现代经济中，债权债务关系变的重要的 原因： 从现代经济的基本特征来看：现代经济是一种具 有扩张性质的经济，决定了信用是经济的基本条 件。 从货币形式的发展来看：自金融货币退出流通领 域以后，信用货币成为流通中最基本的货币形式。 信用货币是在信用的基础上产生的，是一种信用 活动。在现代经济社会中，任何人的生活都不可 能完全脱离货币，或多或少会与货币发生联系， 所以信用就成为一个无所不在的经济关系。
（二）资本主义信用
资本主义信用表现为借贷资本的运动。 借贷资本是货币资本家为了获取利息而贷放给职 能资本家使用的货币资本。 借贷资本的来源：生产经营中的闲置资本；用于 积累的剩余价值；货币储蓄等。 借贷资本的特点： （1）借贷资本是一种所有权资本。 （2）借贷资本是一种特殊的商品资本。 （3）借贷资本具有特殊的运动形式。 （4）借贷资本有特殊的转让形式。
金融经济学基础讲义2
从不确定性经济学到金融经济学 金融经济学的杰出贡献者 ➢获得诺贝尔经济学奖的金融经济学家
➢与诺贝尔经济学奖获得者齐名的金融经济 学家
➢学术论著被学术杂志频繁引用的金融经济 学家
伟大的先驱：路易斯·巴舍利耶 （1870－1946）
一个悲剧人物
主要著作：《投机理 论》（1900）
主要贡献：
➢ 金融市场价格的随机 游走理论：即“布朗 运动”
在研究人口发展趋势及人口结构对经济增长和收入分 配关系方面做出了巨大贡献。
约翰·希克斯（JOHN R. HICKS）， 他们深入研究了经济均衡理论和福利理论 肯尼斯·约瑟夫·阿罗
（KENNETH J. ARROW）
华西里·列昂惕夫 （WASSILY LEONTIEF）
发展了投入产出方法，该方法在许多重要的经济问题 中得到运用。
诺贝尔奖与金融学
诺贝尔经济学奖溯源
诺贝尔奖是对世界范围内重大科学研究成 果比较公正、最具权威的评价和最高金额 的奖赏，它是一个国家科学文化发达的象 征。
诺贝尔奖的科学精神是“最高意义”上的 科学精神，它同奥林匹克精神一样，也是 一种挑战意识，所不同的，它是向人类大 脑智力的挑战。
以奖励“对人类幸福作出重大贡献的科学 发现”为宗旨的诺贝尔奖，最早设立于 1901年，其基金来自于艾尔弗雷德·诺贝 尔捐献的920万美元。
再由瑞典皇家科学院选定的5位瑞典经济学家（有时还 包括1～2位非正式成员）组成的委员会同国际上有名望 的经济学家，经过充分讨论，确定20～30名候选人，最 后再由260名瑞典皇家科学院院士以简单多数的方式选 出获奖者，并且投票是在保密的状态下进行的。
一般说来，该奖每年收到150～200份提名建议，被 提名者约在75～125人之间。
金融经济学02
风险补偿的经济学定义：
• 如果h是一个公平赌博，即有E（h）=0，那 么风险厌恶的投资者接受这一公平赌博所 要求的风险补偿X按E[u(w+h)] = u(w－X)定 义，通常情况下， X是w和h的函数，即X =X（w,h）。 • 注意，这里的风险补偿是风险厌恶者个体 所要求的风险补偿，不是市场定价给出的 风险补偿。市场定价给出的风险补偿将在 市场均衡与资产估值的理论部分讲解。
2016年11月10日5时21 分
5
偏好关系必须满足如下选择公理：
• 1、完备性公理： ∀ c1 ，c2 ∈X ，一定有
c c 或者c c
1 2 2
1
• 2、反身性公理： ∀ c∈X ，一定有 c • 3、传递性公理： ∀ c1 ，c2， c3 ∈X ，
c
c c ,c c c c
2016年11月10日5时21 分 14
独立性公理
• 对于所有的x，y，l∈X， λ ∈ （0，1），x﹥y意味着 λx+（1－λ）l ﹥ λy + （1－λ）l 。 • 独立性公理的含义是，在两个随机事件之外，同时引入 一个额外的不确定的随机事件或消费计划不会改变经济 行为主体原有的偏好。 • 独立性公理是不确定性条件下选择理论的一个核心公理。 它导致不确定条件下选择理论同确定条件下偏好选择理 论的差别。
1 2 2 3 1
3
2016年11月10日5时21 分
6
无差异关系：
• 无差异关系指消费者在消费集中比较消费计划 时，二者不分好坏。 • 数学表达为，消费集X上一个二元关系~，当且 仅当
c c 并且c c
1 2 2
1
有c1 ~ c2
金融学(中文版)第02章
❖ 正态分布的特征可以完全由均值和标准 差来刻划
38
时间
汇率举例
日本
15000 ¥
•150 ¥/£
英国
£100
3% ¥/¥(direct) 1.73% ¥/£/£/¥
120
标准差 = 28.4%
100
80
60
40
20
0
-20
-40
-60 1955 1959 1963 1967 1971 1975 1979 1983 1987 1991 1995 34
英国长期国债
Return (%)
160
140
平均收益率 = 8.8%
120
标准差 = 14.9%
100
80
60
40
20
0
-20
-40
-60 1955 1959 1963 1967 1971 1975 1979 1983 1987 1991 1995
35
英国30天国库券
Return (%)
160
140
平均收益率 = 8.3%
120
标准差 = 3.6%
100
80
60
40
20
0
-20
-40
Hale Waihona Puke -60 1955 1959 1963 1967 1971 1975 1979 1983 1987 1991 1995
❖ 因此，金融体系中的资金流动不仅是为了满足 经济支付的需要，而且是为了满足资金需求者 融入资金、资金富裕者融出资金的需要。而后 者已经成为现代金融体系最基本的功能。
4
直接融资过程
基本框架金融经济学最重要的内容课件
假设有一个与集中交易相似的交易过程:
16
无摩擦市场（frictionless market）的假设: ◆所有参与者都可以无成本地参与证券市场 ◆无交易成本 ◆对于证券参与者的持有量无头寸限制（空头、多头） ◆个体参与者的交易不会影响证券价格 ◆无税收
17
§2.4 基本经济模型
18
证券市场经济
13
证券组合（portfolio）:各证券持有量的一个集合 K的初始证券组合: 交易之前的 市场组合（market portfolio）: 市场中所以可交易 证券的集合, 也是所有可交易证券的总供给
14
市场化支付：任何一个支付 x ，如果它可以由交易
组合来复制或产生，即存在 ，使得 X x
即可以通过交易由市场取得。
——假设参与者不拥有任何生产技术
5
2.经济需求
◆消费计划（可能的消费选择） ◆消费路径（计划的一个特定实现） ◆消费集（计划的集合）
6
7
偏好（排序）
偏好满足:
其中
基本假设（公理）:
8
P13: 例2.2 某人消费计划: 说明: 传递性是理性人行为的基本要求之好基本假设的效用表示如下:
求解均衡的两步：1.求解最优组合；2.求解均衡价格
21
§2.6 配置最优
22
P27: 例2.5
三个配置
23
练习
24
25
11
§2.3 证券市场
证券: 一种金融要求权。它在1期会给其所有者带来外 生给定的支付。支付数量依赖于1期的经济状态、支付 的概率分布在0期已知 支付树(payoff tree) 支付空间(payoff space):所有可能支付的集合 支付空间的一个向量就定义了一只证券
经济学金融学第二章
（三）当代信用 属于借贷资本。
主要原因： 1、信用货币制度为信用规模的发展奠定了制度基础
信用货币发行不受贵金属准备的限制，国家可以根 据经济发展需要扩大货币供给和信用规模。 2、金融市场为信用的发展创造了条件 促进了信用形式和金融工具的多样化；信用工具的 发行和转让，各种金融衍生工具的出现为信用关系 的扩大提供了多种手段。
银行信用比商业信用更完善 ！
（二）银行信用的性质 1、直接融资与间接融资的含义 间接融资：通过银行等中介机构通过存贷
款、投资业务实现的融资活动。 直接融资：借助于金融市场，通过股票债
券及其他有价证券的发行和交易实现的融 资活动。
在金融市场中再讲！
三、国家信用 （一）含义：（书34P）：指政府或者更广泛地说
案例：
2003年被列为“全国民营企业500强”的河北大 午集团董事长孙大午，因涉嫌“非法吸收公众 存款罪”被逮捕、判刑、罚款。
2000年1月至2003年5月间，以高于银行同期存 款利率、承诺不交利息税等方式，出具“借款 凭证”或“借据”代替存单的制式凭证，向611 名社会公众变相吸收存款1627单，共计1308万 元。
3、按还本付息方式划分： ①一次性还本付息国债； ②分期偿付利息到期兑付本金。
4、按发行方式划分： ①公开招募国债：指向企业单位、团体、个
人公开发行的国债。 ②认购国债：指向银行、证券公司、基金组
织等机构投资者发行的国债。
（二）国家信用的形式 国债是国家信用的主要形式。
国家债券主要包括国库券和公债两大类。 1、国库券：期限在一年以内的政府债券。 特点：期限短，是解决短期财政收支不平衡
金融经济学-第二章 基本框架
Financial Economics
第二章 基本框架
基本的理论框架
从金融学的角度来看，一个经济结构包括三个方面： （1）它所处的自然环境 （2）经济中各参与者（agent)的经济特征 （3）金融市场。
参与者如何通过金融市场进行资源配置，金融资产价格如何 影响参与者的资源配置。
金融市场在帮助参与者完成资源配置时的效率如何，该如何 评判。
通过证券市场进行的资源配置过程可以看成是通过两个方面的 相互影响来完成的： 一方面，给定交易证券，特别是它们的未来支付以及现在的价格， 每一参与者选择最优的证券持有量以期得到最理想的支付。其持有 量取决于这些证券的价格。 另一方面，参与者对证券的需求会共同影响证券的价格。
如果价格使得对证券的需求恰好等于它的供给，市场达到了均 衡（equilibrium），此时，参与者选择了他们的最优持有量并且市 场出清。
38
例 2.5 考虑一个两状态经济，其禀赋如下：
经济中有两个参与者，两人都具有如下的效用函数：
c0
1( 2
c1a
c1b )
考虑如下三个配置 A, B, C：
39
谢谢！
40
柜台交易（over-the-counter）：参与者通过通信网络各自相互联系， 以期找到一个交易对手而完成交易。
实际的交易过程中考虑相关的交易规则和技术等，叫做市场微观结构 （market micro-structure）。 我们考虑的基本框架中，将抽象掉具体的细节特征而采用一个与集 合交易相似的交易过程。
4
这个经济的资源来自于一棵桃树。今年桃树结了100颗桃子。明年会结 多少颗桃子取决于明年的天气。好天气和坏天气发生的概率相等；相 应地，桃树的产出分别为200和50。这个经济的环境可以用下面的树来 描述：
金融经济学
金融经济学金融经济学第二章金融市场与金融机构第一节金融体系的基本功能一、金融体系的概述金融体系的定义：市场及其他用于订立金融合约和交换资产及风险的机构的集合。
金融体系的分类：①金融市场（股票、债券及其他金融工具市场）②金融中介（银行、保险公司）③金融服务企业（金融咨询）二、金融体系的功能1、跨期转移资源2、管理风险3、清算支付和结算支付4、归集资源并细分股份5、提供信息6、设法解决激励问题激励问题：当金融交易一方拥有另一方不具备的信息，或一方是替代另一方做出决策的代理人时，就产生了激励问题。
①道德风险有了保险，会导致被保险方甘愿冒更大的风险②逆向选择购买保险的人可能比一般人更处于风险境地③委托—代理问题代理人可能并不作出和委托人本该做出的决策相同的决策第二节金融市场一、金融资产的基本类型1、债务（固定收益工具）2、权益权益是一家企业的所有者的索取权普通股：代表对一家公司资产的剩余索取权。
在履行了该企业的其他所有金融合同之后，普通股的所有者有权拥有剩余的任何资产。
优先股：相对于普通股而言的，指在利润分红及剩余财产分配的权利方面，优先于普通股。
但普通股股东享有公司的经营参与权，而优先股股东一般不享有。
普通股股东的收益要视公司赢利状况而定，而优先股的收益是固定的。
3、衍生工具一种或多种资产的价格衍生出其价值的金融工具。
例如期权和远期合约二、金融市场的类型（按照正在交易的索取权的到期期限划分）货币市场：低于一年的短期债务市场资本市场：长期债务市场和权益性证券市场第三节金融市场中的比率一、利率利率是一项经过承诺的收益率决定利率的三个要素：记账单位、到期期限、违约风险1、记账单位例子：假设你是一位日本投资者，正在进行为期1年的投资。
1年期日本政府债券的利率为3%，同时1年期的英国政府债券利率为9%。
且初期1英镑=150日元。
假设你在英国政府债券中投资100英镑。
1年以后的日元收益是多少（此时1英镑=140日元）？解：初始投资的日元金额：100英镑*150日元/英镑=15000日元一年后的英国政府债券收入：100英镑*（1+9%）=109英镑1年以后以日元表示的英国政府债券的实际收益率为：1.7%2、到期期限例如短期利率和长期利率可能是不同的3、违约风险在保持其他特征不变的条件下，固定收益工具的违约风险越高，利率越高。
《金融学第二章》PPT课件
商品让渡与货币让渡在
时间 空间
上不统一 没有进行等价交换，只有价 值单方面的转移。
体现了一种现代经济
关系（债权债务关系、信
用工具是资本运作的桥梁。）
11
ppt课件
第二节 信用的基本形式和工具
一、信用的基本形式
商业信用
商品交易过程中企业之间直接提供的信用
银行信用
银行机构通过吸收存款和发放贷款所形成的借贷关系
4
ppt课件
从法律的角度理解“信用”
它实际上有两层含义，一是指当 事人之间的一种关系，但凡“契约”规 定的双方的权利和义务不是当时交割的， 存在时滞，就存在信用；第二层含义是 指双方当事人按照“契约”规定享有的 权利和肩负的义务。
5
ppt课件
从货币的角度
在货币金融学中有一个重要的流派， 即以18世纪的约翰．劳为先驱、以19世纪 的麦克鲁德、韩以及20世纪的熊彼特等人 为代表的“信用创造学派”。
“相互信任同服从、仁爱、友谊和交谈一样，是把一国人民联系
和维系在一起必不可少的条件”，齐美尔 “没有人们之间相互
享有的普遍信任，社会本身将3 会瓦解。…现代生活是建立在对他ppt课件
从伦理道德层面看
指 “信守诺言”的一种道德品质。 “诚信”“可信”“讲信用”“一诺千金 ”.
“相互信任同服从、仁爱、友谊和交谈一样，是把一国人 民联系和维系在一起必不可少的条件”，齐美尔 “没有 人们之间相互享有的普遍信任，社会本身将会瓦解。…现 代生活是建立在对他人的诚实的信任基础上的，这一点的 重要性要远比人们通常认识到的程度大得多。”
在信用创造学派的眼中，信用就是货 币，货币就是信用；信用创造货币；信用 形成资本。
6
ppt课件
王江《金融经济学》课后习题全部答案
U (c)
=
log
c0
+
1 2
(log
c1a
+
log
c1b)
�
�
U (c)
=
1 1−γ
c10−γ
+
1 2
1 1−γ
c11−a γ
+
1 1−γ
c11−b γ
U (c) = −e−ac0 − 1 �e−ac0 + e−ac0 �
2
证明它们满足�不满足性、连续性和凸性。
解. 在这里只证明第一个效用函数�可以类似地证明第二、第三个效用函数的性 质。
+
(1
−
α)c1b)
≥
α(log(c0� )
+
1 2
log(c1� a)
+
1 2
log(c1� b))
+
(1
−
α)(log(c0)
+
1 2
log(c1a)
+
1 2
log(c1b))
= αU (C�) + (1 − α)U (C) > U (C�)
故凸性成立。
2.3
U
(c)
=
c
−
1 2
a
c2
是一可能的效用函数�其中
(b) 参与者的预算集是 {C ∈ R2+ : c0 = 100 − S, c1 = 1 + S(1 + rF ), S ∈ R}�如果
以当前消费为单位�他的总财富是
w
=
100
+
1 1+rF
。参与者的优化问题就是
《金融学》2、3章
二、利息的本质
（一）西方经济学关于利息本质的论述 在西方经济学界关于利息本质的论述甚多， 较有影响的有以下几种： 1．古典经济学的利息本质理论 （1）“利息报酬说” （2）“资本租金论（资本余缺论）” （3）“利息源于利润说” （4）“利息剩余价值说”
2．近代西方经济学的利息本质理论 （1）西尼尔的“节欲论”。 （2）庞巴维克的“时差利息说”。 （3）欧文· 费雪的“人性不耐说”。
三、利息与收益的资本化
（一）利息与收益的一般形态 在现实生活中，利息通常被人们看作是收益 的一般形态。 在会计制度中，利息支出都列入成本，因此， 利润中不包含利息支出。于是，利率就成为 一个尺度，用来衡量投资收益或经济效益， 即人们通常都用利率来衡量收益，用利息来 表示收益，从而使利息转化成为收益的一般 形态。
（二）消费信用的形式 1．赊销。赊销是指零售商向消费者以延期付 款方式销售商品，属于短期消费信用。 2．分期付款。分期付款指消费者在购买商品 时，先支付一部分货款，然后按合同分期加息支 付其余款项。这种形式多用于购买房屋、汽车、 高档耐用消费品等，属于长期消费信用。 3．消费信贷。消费信贷是指银行及其他金融 机构采用信用放款或抵押放款方式，对消费者购 买消费品发放的贷款。
2、特点： （1）商业信用包含了两种经济行为，即商品买卖行 为和借贷行为。买卖行为是基础，如果没有商品的买 卖，也就不会有随后的借贷。 （2）商业信用贷出的是以商品形态提供的商品资本。 （3）能够发生商业信用的双方必须是有商品购销关 系的企业，而且商业信用主要是由生产企业向购货企 业提供的，即由卖方向买方提供。 （4）商业信用状况与经济周期的变化关系是十分密 切的，并且商业信用动态与产业资本动态一致。
(二)商业票据和票据流通 1、商业票据：在商业信用广泛发展的基 础上，产生了商业票据。商业票据是商业信 用的工具，它是商业信用的债权人为保证自 己对债务的索取权而掌握的一种书面债权凭 证。 2、票据流通：商业票据可以流通转让。 商业票据经债权人在票据背面作转让签字即 背书后，可以作为购买手段和支付手段流通 转让。
金融经济学复习金融经济学(王江)课件,最全面的,最重要的内容
1、禀赋、消费集、偏好、效用函数
偏好的定义（完备性和传递性） 三公理（不满足性、凸性、连续性）
2、证券市场：
支付空间、市场结构矩阵、证券组合、市 场化支付集合3、市场摩擦及无摩擦市场4、市场均衡（需求=供给）
参与者各自优化
市场出清
习题（p29） 3 4 7
第3章 AD经济
1、状态或有要求权 2、A-D证券下市场结构矩阵X为单位阵 3、状态价格（必须为正） 4、市场均衡
1、套利的定义 2、精确单因子模型和精确F因子模型下的APT
3、因子组合与因子溢价
4、讨论APT与CAPM的区别与联系
习题（p193 2 4 11）
重点掌握MVF的推导过程
第13章 CAPM
1、市场组合的概念 2、在M-V偏好下，市场均衡时市场组合即为切 点组合 3、CAPM模型形式 4、系统风险与剩余风险 5、证券市场线 注意证券市场线与资本市场线的区分
6、CAPM的应用 计算预期收益率、定价
第14章 APT
习题（p108 2）
掌握绝对风险厌恶和相对风险厌恶的计算
第12章 M-V模型
1、均值-方差偏好定义 2、二次效用函数具有M-V偏好 证券的支付是联合正态分布则具有M-V偏好 3、MVF MVE MVP的求解过程
存在无风险资产和不存在无风险资产两种情况
4、夏普比（每单位风险的超额回报） 5、资本市场线
a、每个参与者达到最优化
b、证券市场出清
• 例题（p42 例题3.4） • 习题（p45 习题1 2）
第6章 期望效用函数
1、定义：不同消费路径效用的期望值 2、效用的独立性公理（p89） 3、效用函数的两个附加假设 状态独立 习题（p96 1） 时间可加性
史上最全最完整的金融经济学答案(王江版)
把他的禀赋表示成 Arrow-Debreu 证券的组合。 (c) 计算他的金融财富。写出他的预算集。 (d) 假设参与者的效用函数如下：
U (c0,
c1a,
c1b)
=
−e−c0
−
1 2
e−c1a + e−c1b
.
不考虑消费的非负约束，写出他的优化问题。求解他的最优消费选择。 (e) 讨论他的消费如何依赖于Arrow-Debreu 证券的价格向量 φ。 (f) 证明在某些价格下，他（在某些时期/状态下）的消费可能是负的。
a
=
1
时，U
(
1 2
)
=
3 8
< U (1) =
1 2
> U (3) = −1.5。U (c) 不具有
不满足性。当
a
=
0
时，U
(c)
=
c
具有不满足性；当
a
>
0
时，当
c
∈
[0,
1 a
]
时
U
(c)
具有不满足性。
2.4 考虑一个经济，它在 1 期有三个可能状态：a，b 和 c：
a b c
证券市场包括证券 1 和 2，它们具有如下的支付向量：X1 = [1; 1; 1] 以及 X2 = [1; 2; 3]。它们的价格分别为 S1 和 S2。
因而 | U (c(n)) − U (c) |< ε，故 limc(n)→c U (c(n)) = U (c)。 (c) 最后证明凸性。假设 U (C) > U (C )，那么
log(c0)
+
1 2
log(c1a)
+
《金融学》第二章答案 金融系统
CHAPTER 2THE FINANCIAL S YS TEMObjectives∙To provide a conceptual framework for understanding how the financial system works and how it changes over time.∙To understand the meaning and determinants of rates of return on different classes of assets.Outline2.1 What Is the Financial System?2.2 The Flow of Funds2.3 The Functional Perspective2.4 Financial Innovation and the “Invisible Hand”2.5 Financial Markets2.6 Financial Market Rates2.7 Financial Intermediaries2.8 Financial Infrastructure and Regulation2.9 Governmental and Quasi-Governmental OrganizationsSummary∙The financial system is the set of markets and intermediaries used by households, firms, and governments to implement their financial decisions. It includes the markets for stocks, bonds, and other securities, as well as financial intermediaries such as banks and insurance companies.∙Funds flow through the financial system from entities that have a surplus of funds to those that have a deficit.Often these fund flows take place through a financial intermediary.∙There are six core functions performed by the financial system:1.To provide ways to transfer economic resources through time, across borders, and among industries.2.To provide ways of managing risk.3.To provide ways of clearing and settling payments to facilitate trade.4.To provide a mechanism for the pooling of resources and for the subdividing of shares in variousenterprises.5.To provide price information to help coordinate decentralized decision-making in various sectors of theeconomy.6.To provide ways of dealing with the incentive problems created when one party to a transaction hasinformation that the other party does not or when one party acts as agent for another.∙The fundamental economic force behind financial innovation is competition, which generally leads to improvements in the way financial functions are performed. The basic types of financial assets traded in markets are debt, equity, and derivatives.∙Debt instruments are issued by anyone who borrows money—firms, governments, and households.∙Equity is the claim of the owners of a firm. Equity securities issued by corporations are called common stocks.∙Derivatives are financial instruments such as options and futures contracts that derive their value from the prices of one or more other assets.∙An interest rate is a promised rate of return, and there are as many different interest rates as there are distinct kinds of borrowing and lending. Interest rates vary depending on the unit of account, the maturity, and the default risk of the credit instrument. The nominal interest rate is the promised amount of money you receive per unit you lend.∙The real rate of return is defined as the nominal interest rate you earn corrected for the change in the purchasing power of money. For example, if you earn a nominal interest rate of 8% per year and the rate of price inflation is also 8% per year, then the real rate of return is zero.∙There are four main factors that determine rates of return in a market economy:∙the productivity of capital goods—expected rates of return on mines, dams, roads, bridges, factories, machinery, and inventories,∙the degree of uncertainty regarding the productivity of capital goods,∙time preferences of people—the preference of people for consumption now versus consumption in the future, and∙risk aversion—the amount people are willing to give up in order to reduce their exposure to risk.∙Indexing is an investment strategy that seeks to match the returns of a specified stock market index.∙Financial intermediaries are firms whose primary business is to provide customers with financial products that cannot be obtained more efficiently by transacting directly in securities markets. A mong the main types of intermediaries are banks, investment companies, and insurance companies. Their products include checking accounts, loans, mortgages, mutual funds, and a wide range of insurance contracts.Solutions to Problems at End of Chapter1. Do you agree with Adam Smith’s view that society can rely more on the “invisible hand” than on government to promote economic pros perity?Student answers will vary of course.SAMPLE ANSWER:The communist system is the exact opposite of Adam Smith’s invisible hand. And of course we have recently seen the downfall of many of the communist countries around the world. In the communist world, it was believed that government could make better decisions promoting economic prosperity than individuals could. Clearly this system failed to promote economic prosperity. It seems that Adam Smith’s view was that competitive market systems as a whole (rather than government) could best allocate resources to promote economic prosperity. However, a completely unfettered capitalist society such as in the late 1800s in the Western world may n ot have been the perfect system either as the invisible hand helped the “rich get richer” while the poor and needy had no formal assistance. This outraged the moral fabric of society and government programs were eventually set up to formally address thisi ssue of general welfare and “fairness”.2. How does the financial system contribute to economic security and prosperity in a capitalist society?In a capitalist society, it is the price system which helps make capital resource decisions. Capital flows to those operations which can employ it to earn the highest rate of return. This therefore allocates capital to its most productive use, thereby enhancing society’s economic prosperity. In addition, the financial system has markets and intermediaries which transfer risks from those who are least willing to bear it to those who are most willing to bear it. This benefits society as a whole without costing it anything. In addition, by allowing individuals to reduce or eliminate risks, it fosters an atmosphere of undertaking business ventures which also benefits society.3. Give an example of how each of the six functions of the financial system are performed more efficiently today than they were in the time of Adam Smith (1776).Clearing and settling payments:In Adam Smith’s day, just as today there was paper and coin currency. However, due to technological innovations (primarily the computer) today there are many additional forms of payment settlement such as personal checks, credit cards, debit cards and electronic transfer of funds. In addition, certain credit cards and traveler’s checks are accepted everywhere in the world making currency exchange a relic of the past. Pooling resources and subdividing shares:In Adam Smith’s day, most businesses were s mall and were financed by sole proprietorships. Therefore the need to pool resources to finance large investments was not as prevalent or as important as it is today. Again, the technological revolution of computers and telephones allow for global capital marke ts to efficiently finance today’s much larger businesses. Today these companies can access huge pools of money around the world and find the cheapest source of financing for large scale projects.Transfer economic resources: Today there is a worldwide financial system which facilitates the transfer of resources and risk from one individual to another and from one point in time to another. In Adam Smith’s day, although there were financial markets which played a limited role, they were localized, small and much less efficient and innovative than they are today.Managing risk: Of course during Adam Smith’s day individuals and businesses faced many of the same risks they do today (risk of property damage, risk of financial loss, risk of crop failure etc.) Ho wever, there were limited means to offset this risk. There were some insurance companies in place at that time, however, they concentrated on managing business risk rather than personal risk and certainly there was not the same type of insurance. A good ex ample is that in Adam Smith’s day, there was no unemployment insurance. In Adam Smith’s day, there was very little a farmer could do about reducing his risk of crop failure or lower crop prices. Today there are a vast number of markets and securities which can be used to offset individual and business risk as well as a huge network of insurance companies whose role is to transfer risk from those who want to reduce risk to those who want to take on more risk.Price information: During Adam Smith’s day, info rmation traveled slowly. Of course, there were no phones, televisions or radios. News traveled by newspaper and by the mail. Today, information travels around the worldinstantaneously. Due primarily to the growth and innovation in computer and telephone t echnology, information about security prices and performance is known at virtually the same time everywhere around the world.Incentive problems: As discussed above, today’s financial system is large, innovative and global. In Adam Smith’s day, while there were problems of moral hazard and adverse selection (but less of a principal-agent problem) there was not the same financial system and sophistication to deal with these problems as there is today.4. How does a competitive stock market accomplish the result that Adam Smith describes? Should the stock market be regulated? How and why?Student answers will vary.SAMPLE ANSWER:Adam Smith talked about free and competitive markets as a system which allocates capital to its most productive use and greatest value. In a competitive stock market, prices are set through supply and demand. Those companies returning the highest return will be rewarded with the highest prices (or cheapest source of financing). Those companies which are under performing will not be allocated as much capital because they are not as productive. Because the universe of possible investments is huge and because it is at times difficult for investors to discern which companies are the most productive employers of capital, regulation shou ld be required to make sure relevant and standardized information is disseminated to potential investors. This would include regulation on disclosure and also insider trading and stock manipulation. However other forms of market regulation are perhaps not so important from a market efficiency point of view and may even impede society’s overall financial welfare.5. Would you be able to get a student loan without someone else offering to guarantee it?Since most students do not have any earning power (yet) or source of savings or other capital, it is doubtful any intermediary would take that credit risk at any reasonable interest rate.6. Give an example of a new business that would not be able to get financing if insurance against risk were not available.EXAMPLES:∙Chemical company∙Child safety products company∙Airline∙Bank∙Hospital∙Environmental consulting∙Hazardous waste disposal7. Suppose you invest in a real-estate development deal. The total investment is $100,000. You invest $20,000 of your own money and borrow the other $80,000 from the bank. Who bears the risk of this venture and why?The $20,000 of my own money is considered the equity capital and the $80,000 is debt financing. In general it is the equity investors who absorb the primary risk of business failure. This is because if the business goes bankrupt, I will unlikely get any or my money back as the debt holders get paid back before I do. However, the debt holder also faces some risk that it will not even get back all its principal and interest. So lenders do share some of the business risk along with the equity investors.8. You are living in the United States and are thinking of traveling to Germany 6 months from now. You can purchase an option to buy marks now at a fixed rate of $0.75 per mark 6 months from now. How is the option like an insurance policy?An option means you have a choice. In this example you can choose to buy the marks at $0.75 in 6 months but you do not have to. You will only buy the marks at this price if it is cheaper for you to do so (if the spot market at that time is higher). Therefore, like an insurance policy you are protected against a potential loss. You know that the maximum price you will have to pay is $0.75 per mark and that you are protected against any higher price. Presumably you will have to pay something for the price of that option and that can be equated to an insurance premium.9. Give an example of how the problem of moral hazard might prevent you from getting financing for something you want to do. Can you think of a way of overcoming this problem?SAMPLE ANSWER:Suppose I want to start a biotechnology business and I need a lot of financing. The trouble is, I do not want to disclose my technology secrets to potential equity and debt investors. I will have great difficulty raising financing. But I could do the following: At a minimum, I could require all potential lenders and investors to sign agreements saying they will not disclose any of my secrets. Secondly, I could share some of my equity with potential lenders (equity-kickers) and investors (stock and stock options). At least that way they will not be motivated to disclose my secrets to others. Finally, if I decided I did not want to share secrets, I could give collateral in my new plant to the debt lenders and that might make them more comfortable with the issue of moral hazard.10. Give an example of how the problem of adverse selection might prevent you from getting financing for something you want to do. Can you think of a way of overcoming this problem?SAMPLE ANSWER:Suppose I want to start a car leasing business. Initially my plan was to purchase several automobiles and lease them out at attractive annual rates. However, potential lenders were worried that my business would attract individuals who drive great distances each year. Rather than buy their own car and lose significant value, they would lease my cars and take a new one each year. I would not be able to obtain financing for this business until I instituted annual mileage restrictions. This alteration in the business plan was enough to make the lenders comfortable with the potential problem of adverse selection.11. Give an example of how the principal-agent problem might prevent you from getting financing for something you want to do. Can you think of a way of overcoming this problem?SAMPLE ANSWER:Suppose you want to start a personal care products company. However, you have the idea for the business, but you do not want to actually run the business. To do that you have hired an executive from a competitor. He will own no equity in the business but will be paid a salary of $100,000 to start up the business.Trouble with this example is that the executive you have hired has little incentive to make the business really work other than his salary (which presumably he could earn at many different companies). What if this executive is really a spy? It may be difficult to get financing for this venture. The way to solve the problem is if you the owner decide to run the business (you certainly are motivated for it do well) or at a minimum, grant your new employee stock or stock options in the business.12. Why is it that a country’s postage stamps are not as good a medium of exchange as its paper currency? Postage stamps would be much easier to copy (to counterfeit) than paper currency which has intricate designs and is made of special fibers (not easily duplicated). Secondly, postage stamps would not be as durable as paper currency and because of their other use, could easily stick to other items! Finally, because postage stamps are used for another purpose, one might run out of them and have to make a special trip to the post office to get more. Of course, the post office is not as convenient as an ATM machine for getting a new supply of currency.13. Who is hurt if I issue counterfeit U.S. dollars and use them to purchase valuable goods and services?If this were done in great size, everyone would be hurt through the inflation that would result in the increased money supply. However, if done in a s mall amount, the individuals accepting the currency are taking on the risk (without knowing it) that the dollars will not be accepted by others as a medium of exchange.14. Some say the only criterion to use in predicting what will serve as money in the future is the real resource cost of producing it, including the transaction costs of verifying its authenticity. According to this criterion what do you think will be the money of the future?SAMPLE ANSWER:Payments via electronic transfer may become the medium of choice. It is a very cheap way to create currency. The biggest challenge will be to create security systems that do not allow for tampering and fraud. Once this is done and once most individuals and retail establishments have access to the system (through bank accounts and linking computer systems) then this should become the “currency” of choice.15. Should all governments issue debt that is indexed to their domestic price level? Is there a moral hazard problem that citizens face with regard to their public officials when government debt is fixed in units of the domestic currency?The answer is that all governments should issue debt that is indexed to their domestic price level. This is due to the fact that if debts are not indexed to the domestic price level, governments have the incentive to print money to repay those debts, thereby increasing domestic inflation which negatively impacts all of society.16. Describe your country’s system for financing higher education. Wh at are the roles played by households, voluntary non-profit organizations, businesses and government?SAMPLE ANSWER:In the United States, the vast majority of higher education is paid for by individuals through savings. These sums can be supplemented in whole or in part by government-guaranteed loans and through student loans and scholarships provided by universities themselves as well as by private foundations such as those provided by the Fulbright scholarship.17. Describe your country’s system for fin ancing residential housing. What are the roles played by households, businesses and government?SAMPLE ANSWER:In the United States individuals and individual borrowings from savings and loans, commercial banks and mortgage lending companies finance the vast majority of residential housing through individual equity savings. The government guarantees a certain amount of low income mortgages and local governments finance some low-income housing. Businesses play a role through the lending business as well as through the financial markets which provide liquidity for portfolios of certain standardized mortgages.18. Describe your country’s system for financing new enterprises. What are the roles played by households, businesses and government?SAMPLE ANSWER:In the United States, the vast majority of new enterprises is financed through individual savings and through initial public offerings made to the general public. These sources of financing are augmented by established firms which spend research and development (R&D) dollars developing new products and businesses and by venture capital institutions which also provide start-up financing.19. Describe your country’s system for financing medical research. What are the roles played by voluntary non-profit organizations, businesses and government?SAMPLE ANSWER:In the United States, medical research is financed both by non-profit organizations (such as universities and medical facilities as well as organizations such as the American Heart Association) as well as by businesses such as Merck, Johnson & Johnson and Genentech. The government is involved in research grants, primarily to universities.20. Assume there are only two stocks traded in the stock market, and you are trying to construct an index to show what has happened to stock prices. Let us say that in the base year the prices were $20 per share for stock 1 with 100 million shares outstanding and $10 for stock 2 with 50 million shares outstanding. A year later, the prices are $30 per share for stock 1 and $2 per share for stock 2. Using the two different methods explained in the chapter, compute stock indexes showing what has happened to the overall stock market. Which of the two methods do you prefer and why? (See appendix that follows.)DJI-Type Index = Average of Current Prices/Average of Base Prices * 100 = 106.67S&P-Type Index = (Weight of Stock 1 * Current Price of Stock 1 / Base Price of Stock 1 + Weight of Stock 2 * Current Price of Stock 2/Base Price of Stock 2) * 100 = 124The S&P-Type Index accurately reflects what has happened to the total market value of all stocks.。
金融经济学第二讲md资料文档
式，反之亦然。
推论：整个投资组合前沿可以由任意两个不同的前沿组合线性生成。
推论：前沿组合的任意线性组合是一个前沿组合。
金融经济学第二章
2.2.3 风险资产组合前沿的一些性质
性质2.2.1：任意两个前沿组合p和q的回报率之间的协方差可以表
示为：
cov(~rp
, ~rq
)
C D
(E[~rp
如图2.2.2所示；在平面
(~r )
2 (~r
)EE[中[~r~r]中，] ，投投资资组组合合前前沿沿是是一一条条抛双物曲线线，，
如图2.2.3所示。在图2.2.2和图2.2.3中，所有位于投资组合前沿左边的
组合都是不可行投资组合，位于组合前沿右边（包括组合前沿）的投资
组合是可行投资组合。
（图2.2.2）： (~r ) E[~r ]平面中的
更不是依赖着一处地方；
我的全部财产，也不会受一年盈亏的影响，
所以我的货物并不能使我忧愁。
（第一场 第一幕 安东尼奥）
金融经济学第二章
Markowitz(1952) 的投资组合理论建立在均值方差模型 基础之上。他认为，如果个体是风险回避的、不饱和的，则 给定资产的期望回报率，个体总是选择较低的方差，给定方 差，个体总是追求较高的期望回报率，即个体偏好可以用均 值-方差效用函数来刻画： E[u(W~ )] U (E[W~ ], 2 (W~ ))
资产和投资组合都是这N种风险资产的线性组合。
金融经济学第二章
记 e 为由N种风险资产的期望回报率构成的 N 1向量，记为：
e (E[~r1 其中上标“T”表示转 置。
], 1
- 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)。
基本理论框架
经济学的研究方法
第一节 经济环境
第二节 经济参与者
第三节 证券市场
• 作为一个简单的例子，我们考虑前面
“Lucas树”经济中的参与者。假设他今年 的禀赋是20，到明前的禀赋为0（无论何 种状态）。如果他不想明年挨饿的话，他 应该放弃一些现在的消费。 • 金融市场允许他做这样的安排。假设市场 上存在对未来桃子的要求权的交易。那么 他可以用一些桃子购买一些这样的要求权。 在金融市场进行这样的交易，使他能够用 现在的禀赋来满足未来的需求。也就是说， 允许他在不同时期和状态上配置资源。
• 除了交易过程以外，还有其他因素与交易相关，
如市场的参与成本、交易成本（如交易系统的建 立和运营成本）、参与者交易头寸的限制（如对 交易的限制和能否卖空证券）、交易成本本身对 价格的影响（如交易移动价格）以及税收（如对 证券征收的收入税和资本利得税）。 所有这些隐私一般被称为市场摩擦，他们以各种 形式存在，对实际操作十分重要。正是这些市场 摩擦创造了盈利机会，而金融机构和金融创新正 是为了利用这些盈利机会而产生的。
• 给定可交易的证券，我们还需要描述交易是如
何进行的。在实际中，不同证券的交易过程往 往是不同的。 • 其中一种交易过程是由集中交易系统撮合的。 参与者可以提交他们的买单和卖单，由系统收 集这些交易单，并找到一个匹配的价格，且以 这个价格执行这些交易。 • 另一种交易过程是参与者通过通信网络各自互 相联系，以期找到交易对手而完成交易。
从而，我们可以将他的初始证券持有量看着0。他选择 的任意证券需求就变成了初始组合外的额外证券持有量。
• 等式（2.8）左边是0期消费的总需求，右边是0期
消费的总供给，它表明的是0期商品市场出清。
• 由于证券市场有助于资源配置，因此证券市场配置资源的效率就 • •
• •
成为我们关注的一个核心问题。也就是说，通过市场实现的资源 配置是否是最好的可能配置？ 在给定的市场结构和交易证券的市场价格下，每个参与者都选择 了最优的消费计划。但这并不意味着最后的配置在参与者之间是 最优的。 显然，参与者可以选择的消费集容易受到可交易证券的影响，例 如市场结构和证券价格，所以最后的配置也受其影响。在最极端 的情况下，没有证券市场，每一个参与者的最优选择只能消费他 们的禀赋。但是从资源在参与者之间进行配置的角度来看，这一 般不是最优的。 中年的参与者现在收入较高而以后收入较少，年轻人则相反。很 明显，无论现在还是以后，他们消费自己的收入是次优的。如果 中年人给予年轻人现在的支付以交换以后的支付，双方都将得到 更大的满足。 但是我们如何才能知道一个（在参与者之间的）配置是否是最优 的？
•
第四节 基本经济模型
第五节 市场均衡
Байду номын сангаас
• 如果他不在市场交易，那么他只能消费他的禀赋，得到
的效用U（c）=U（e）。这可能与他所希望的相差甚 远。通过在证券市场进行交易，参与者可以显著扩大可 供选择的消费计划集。
• 如果一个参与者的禀赋是e=（e0，e1）单位实物商品 和可交易证券组合θ 。给定证券的支付，参与者的实 际禀赋是：（ e0，e1 +证券对应的实物商品Xθ ）。