Chap008金融机构管理课后题答案.doc

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1、ChapterEightInterestRateRiskIChapterOutlineIntroductionTheCentralBankandInterestRateRiskTheRepricingModel·Rate-SensitiveAssets·Rate-SensitiveLiabilities·EqualChangesinRatesonRSAsandRSLs·UnequalChangesinRatesonRSAsandRSLsWeaknessesoftheRepricingModel·M

2、arketValueEffects·Overaggregation·TheProblemofRunoffs·CashFlowsfromOff-BalanceSheetActivitiesTheMaturityModel·TheMaturityModelwithaPortfolioofAssetsandLiabilitiesWeaknessoftheMaturityModelSummaryAppendix8A:TermStructureofInterestRates·UnbiasedExpectat

3、ionsTheory·LiquidityPremiumTheory·MarketSegmentationTheorySolutionsforEnd-of-ChapterQuestionsandProblems:ChapterEight1.WhatwastheimpactoninterestratesoftheborrowedreservestargetingregimeusedbytheFederalReservefrom1982to1993?Thevolatilityofinterestrate

4、swassignificantlylowerthanunderthenonborrowedreservestargetregimeusedinthethreeyearsimmediatelypriorto1982.Figure8-1indicatesthatboththelevelandvolatilityofinterestratesdeclinedevenfurtherafter1993whentheFeddecidedthatitwouldtargetprimarilythefedfunds

5、rateasaguideformonetarypolicy.2.Howhastheincreasedleveloffinancialmarketintegrationaffectedinterestrates?Increasedfinancialmarketintegration,orglobalization,increasesthespeedwithwhichinterestratechangesandvolatilityaretransmittedamongcountries.Theresu

6、ltofthisquickeningofglobaleconomicadjustmentistoincreasethedifficultyanduncertaintyfacedbytheFederalReserveasitattemptstomanageeconomicactivitywithintheU.S.Further,becauseFIshavebecomeincreasinglymoreglobalintheiractivities,anychangeininterestrateleve

7、lsorvolatilitycausedbyFederalReserveactionsmorequicklycreatesadditionalinterestrateriskissuesforthesecompanies.3.Whatistherepricinggap?Inusingthismodeltoevaluateinterestraterisk,whatismeantbyratesensitivity?Onwhatfinancialperformancevariabledoestherep

8、ricingmodelfocus?Explain.Therepricinggapisameasureofthedifferencebetweenthedollarvalueofassetsthatwillrepriceandthedollarvalueofliabilitiesthatwillrepricewithinaspecifictimeperiod,whererepricemeansthepotentialtoreceiveanewinterestrate.Ratesens