金融时间序列分析英文试题(芝加哥大学) (1)

金融英语模拟试题及答案Reading Comprehension: (10 points)Joseph Glass, CFA, is a consultant who provides advisory services to large manufacturing companies. Glass has been retained by ABCO, a leading manufacturer of widgets for automobiles in the United States. ABCO has hired Glass to evaluate the possibility of e*panding their current base of operations by building an additional facility in South America. Management of ABCO has identified an increase in demand for widgets in South America over the past decade, and any new manufacturing facility would produce goods to satisfy that void and would be distributed and sold across South America.Glass is not familiar with the current economic climate in South America, but is aware that several governments have attempted to encourage economic development in their countries through the enactment of pro-business legislation. Two of these countries, Venezuela and Peru, both have the reputations of being “friendly” to foreign economic investment withintheir borders. The two countries share some similarities: both, until the past twenty years, were primarily agricultural economies with little industrial development. Also, both countries can offer a relatively low-cost labor force, although their workers in general, are not highly skilled.The government of Peru has declared that protecting the country’s environment is of utmost importance, and has established a regulatory body that oversees any environmental concerns that may arise as the country becomes more industrialized. Fairly stringent regulations have already been put into place in order to ensure that going forward, the operating practices of manufacturers within their country’s borders will be in balance with the government’s concern for their county’s natural resources. Regulations cover areas of concern such as air emissions, water conservation and the use of sustainable resources. Glass advised ABCO that a cost-benefit analysis must be performed to accurately determine both the direct and indirect costs of compliance with the regulations.The Venezuelan government has taken steps to ensurethat it can carefully manage the development of its country’s emerging economy, and to ensure that a competitive market is maintained. A regulatory agency was established five years ago to provide guidance for any new manufacturing concern seeking to operate in Venezuela. The head of the agency is Juan Santos, the former CEO of one of the first modernized manufacturing facilities in the country. During his tenure as head of the agency, he has demonstrated his ability to render decisions that attempt to simultaneously satisfy legislators, industry participants, and consumers. Glass is impressed by Santos’ work so far, but realizes that over the past five years, Venezuela has e*perienced a period of relatively slow economic development. Glass believes that Santos’ skills will truly be put to the test in the upcoming years of the anticipated economic e*pansion.Glass acknowledges the need for governmental regulation of industry, but recognizes that there always are offsetting costs, both short-term and long-term of such controls. Based upon his knowledge of events that have occurred in the United States over thepast thirty years, Glass recommends that ABCO continue to carefully monitor economic developments in both countries even after a site for a new manufacturing facility is selected.Part 1)Should ABCO build a new facility in either of the two countries, it is almost a certainty that they would be the low-cost producer of widgets, with the capacity to satisfy nearly all demand in the region. A natural monopolist operating in an unregulated industry will produce at the point where:A. Marginal costs equal marginal revenue.B. Average costs equal marginal revenue.C. Average costs equal average revenue.D. The marginal cost curve intersects the demand schedule.Part 2)The social regulation policies enacted by the government of Peru would least likely to cause which of the following outcomes? ()A. Higher costs of production.B. A disproportionately higher compliance e*pensefor larger firms rather than smaller firms.C. Higher prices for the end consumer.D. Attempts by industry participants to avoid compliance through creative response.Part 3)If ABCO were to build its new facility in Peru, compliance with the country’s regulatory policies will increase the price of their product by appro*imately ten percent. Some consumers may respond by not replacing the widgets in their automobiles as frequently as before, which will cause decreased fuel efficiency. This unintended effect of regulation is an e*ample of: ()A. The capture hypothesis.B. A creative response.C. A feedback effect.D. The share-the-gains, share-the-pains theory.Part 4)The appointment of Santos, an industry “insider”, to head the regulatory agency in Venezuela has the potential to cause a reaction predicted by which of the following theories of regulatory behavior? ()A. Rate-of-return regulation.B. Share-the-gains, share-the-pains theory.C. The capture hypothesis.D. Cost-of-service regulation.Part 5)Santos, as the head of the main regulatory body in Venezuela, must decide how to manage the effects of an unanticipated sharp increase in the cost of electricity. Santos proposed regulation that will allow manufacturers to pass on the increased costs at scheduled intervals over a five year period. This approach is an e*ample of: ()A. Rate of return regulation.B. Cost-of-service regulation.C. Share-the-gains, share-the-pains theory.D. Social regulation.E*planations of terms：(10 points)1. Liquidity2. Cost-push inflation3. Surveillance4. E*ternal debt5. Foreign reserveQuestion3: How many factors to e*plain the reserveholdings?Question4: What is The Monetary Policy Instruments of the Central Bank?Question5: What is Concept of Trust Market？And what the composition of it is?Question6: What is the Money Laundering?。

Financial Markets and Institutions^ 8e (Mishkin)Chapter 1 Why Study Financial Markets and Institutions?1.1Multiple Choice1)Financial maikets and institutionsA)involve the movement of huge quantities of money.B)affect the profits of businesses.C)affect the types of goods and sendees produced in an economy.D)do all of the above.E)do only A and B of the above.Answer: DTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition2)Financial maiket activities affectA)peisonal wealth.B)spendmg decisions by individuals and busuiess films.C)the econom^s location in the business cycle.D)all of the above.Answer: DTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition3)Maikets m which hinds are transfened fiom those who have excess fiinds available to those who have a shortage of available fluids are calledA)conunodity maikets.B)fluids maikets.C)derivative exchange maikets.D)financial maikets.Answer: DTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition4)The price paid fbr the rental of bonowed fluids (usually expressed as a percentage of the rental of $100 per year) is conunoiily lefened to as theA)inflation rate.B)exchange rate.C)interest rate.D)aggregate price level.Answer: CTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition5)The bond maikets are impoitant becauseA)they are easily the most widely followed financial maikets m the Umted States.B)they are the maikets where mteiest rates are detemiined.C)they are the maikets where foreign exchange rates are detemimed.D)all of the above.Answer: BTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition6)hiterest rates are impoilant to financial institutions since an interest rate mcrease the cost of acquumg fiinds and the income from assets.A)decreases; decreasesB)mcieases; increasesC)decreases; incieasesD)increases; decreasesAnswer: BTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition7)Typically, increasing mteiest ratesA)discourages individuals fiom saving.B)discourages coiporate mvestments.C)encourages corporate expansion.D)encourages corporate bonowing.E)none of the above.Answer: BTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition8)Compaied to mteiest rates on long-term U.S. govenmient bonds, interest rates on fluctuate more and are lower on average.A)medium-quality coiporate bondsB)low-quality coiporate bondsC)lugh-quality coiporate bondsD)tluee-montli Treasuiy billsE)none of the aboveAnswer: DTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition9)Compaied to mterest rates on long-term U.S. govenmient bonds, interest rates on tluee-month Treasury bills fluctuate and are on average.A)more; lowerB)less; lowerC)more; lugherD)less; higherAnswer: ATopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition10)The stock maiket is important becauseA)it is where interest rates are determined.B)it is the most widely followed financial maiket in the United States.C)it is where foreign exchange rates are deteimined.D)all of the above.Answer: BTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition11)Stock prices smce the 1980s have beenA)relatively stable, trending upward at a steady pace.B)relatively stable, tiending downward at a moderate rate.C)extiemely volatile.D)unstable, trendmg downwaid at a moderate rate.Answer: CTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition12)The largest one-day drop m the histoiy of the Aineiican stock markets occuned in A) 1929.B)1987.C)2000.D)2001.Answer: BTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition13) A declining stock market index due to lower share pricesA)reduces people's wealth and as a result may reduce then willingness to spend.B)mcieases people's wealth and as a result may increase their willmgness to spend.C)decreases the amount of hinds that business films can raise by sellmg newly issued stock.D)both A and C of the above.E)both B and C of the above.Answer: DTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition14)Changes m stock pricesA)affect people's wealth and their willmgness to spend.B)affect films' decisions to sell stock to finance investment spending.C)are chaiacteiized by considerable fluctuations.D)all of the above.E)only A and B of the above.Answer: DTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition15)(I) Debt maikets are often refened to genencally as the bond maiket.(II) A bond is a security that is a claim on the earnings and assets of a corporation.A)(I) is tine, (II) false.B)(I) is false, (II) tine.C)Both are tme.D)Both are false.Answer: ATopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition16) (I) A bond is a debt secunty that pionuses to make payments peiiodically for a specified penod of tune. (II) A stock is a secunty that is a claim on the eanimgs and assets of a coipoiation.A)(I) is true, (II) false.B)(I) is false, (II) tine.C)Both are tme.D)Both are false.Answer: CTopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition17)The piice of one country's cunency in terms of anothei J s is calledA)the foreign exchange rate.B)the interest rate.C)the Dow Jones mdustrial average.D)none of the above.Answer: ATopic: Chapter 1.1 Why Study Fmancial MaiketsQuestion Status: Previous Edition18) A stronger dollar benefits and hints.A)Aineiican busuiesses; Aineiican consumeisB)Aineiican busmesses; foreign businessesC)Aineiican consumeis; Aineiican busmessesD)foreign businesses; Ameiican consumeisAnswer: CTopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition19) A weaker dollar benefits and hurts.A)Aineiican busmesses; Aineiican consumeisB)Aineiican busmesses; foieign consumersC)Aineiican consumeis; Aineiican busmessesD)foreign businesses; Ameiican consumersAnswer: ATopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition20)From 1980 to early 1985 the dollar in value, thereby benefitingAinencan.A)appreciated; businessesB)appreciated; consumersC)depreciated; businessesD)depreciated; consumersAnswer: BTopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition21)hi generaL fiom 2001 tluough 2013, the dollar m value relative tomajor foreign cuuencies.A)appreciatedB)depreciatedC)lemained about the sameAnswer: BTopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: New Question22)Money is defined asA)anythmg that is geneially accepted in payment fbr goods and sendees or in the repayment of debt.B)bills of exchange.C) a nskless repositoiy of spending power.D)all of the above.E)only A and B of the above.Answer: ATopic: Chaptei 1.2 Why Study Financial InstitutionsQuestion Status: Previous Edition23)The organization responsible fbf the conduct of monetaiy policy in the United States is theA)Comptioller of the Currency.B)U.S. Treasuiy.C)Federal Reserve System.D)Bureau of Monetaiy Affaus.Answer: CTopic: Chaptei 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition24)The central bank of the United States isA)Citicoip.B)The Fed.C)Bank of America.D)The Tieasuiy.E)none of the above.Answer: BTopic: Chaptei 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition25)Monetaiy policy is cluefly concerned withA)how much money businesses earn.B)the level of mterest rates and the nation's money supply.C)how much money people pay in taxes.D)whether people have saved enough money for letnement.Answer: BTopic: Chaptei 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition26)Econonusts group conuneicial banks, savings and loan associations, credit unions, mutual ftinds, mutual savings banks, msuiance companies, pension fiinds, and finance companies together under the heading financial inteniiedianes. Financial mtermedianes A)act as middlemen, bonowmg ftinds fiom those who have saved and lending these fluids to others.B)produce nothing of value and are therefore a drain on society's resoui ces.C)help promote a more efficient and dynamic economy.D)do all of the above.E)do only A and C of the above.Answer: ETopic: Chaptei 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition27)Econonusts group conuneicial banks, savings and loan associations, credit unions, mutual fiinds, mutual savings banks, msuiance companies, pension fiinds, and finance companies together under the heading financial inteimedianes. Financial mtermedianesA)act as middlemen, bonowmg fiinds fiom those who have saved and lending these fimds to others.B)play an important role in detemmuiig the quantity of money m the economy.C)help promote a more efficient and dynanuc economy.D)do all of the above.E)do only A and C of the above.Answer: DTopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition28)Banks are unpoitant to the study of money and the economy because they A) provide a chaimel for Imkrng those who want to save with those who want to mvest.B)have been a source of financial nmovation that is expandmg the alternatives available to those wanting to mvest then money.C)are the only financial mstitution to play a role in detemuiHiig the quantity of money in the economy.D)do all of the above.E)do only A and B of the above.Answer: ETopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition29)Banks, savings and loan associations, mutual savings banks, and credit unions A) are no longer unportant players in financial intemiediation.B)have been providing services only to small depositors since deregulation.C)have been adept at iimovating in response to changes in the regulatoiy envuomnent.D)all of the above.E)only A and C of the above.Answer: CTopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition30)(I) Banks are financial intennediaiies that accept deposits and make loans.(II) The tenn n baiiks n includes films such as commercial banks, savmgs and loan associations, mutual savings banks, credit unions, msuiance companies, and pensionfluids.A)(I) is true, QI) false.B)(I) is false, (II) tine.C)Both are tme.D)Both are false.Answer: ATopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition31)was the stock market^ worst one-day chop in histoiy in the 1980s.A)Black FridayB)Black MondayC)Blackout DayD)none of the aboveAnswer: BTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition32)The largest financial intennedianes areA)insuiance companies.B)finance compames.C)banks.D)all of the above.Answer: CTopic: Chapter 1.2 Why Study Financial InstitutionsQuestion Status: Previous Edition33)hi recent yearsA)interest rates have lemained constant.B)the success of financial institutions has leached levels unpiecedented smce the Great Depiession.C)stock markets have crashed.D)all of the above.Answer: CTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition34) A securityA)is a claun oi puce of propeity that is subject to ownership.B)piomises that payments will be made penodically fbr a specified penod of time.C)is the piice paid fbr the usage of ftinds.D)is a claun on the issuers fiituie mcome.Answer: DTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition35)are an example of a financial institution.A)BanksB)hisuiance companiesC)Fmance companiesD)All of the aboveAnswer: DTopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition36)Monetaiy policy affectsA)interest rates.B)mflation.C)business cycles.D)all of the above.Answer: DTopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition37) A using stock market index due to higher share pricesA)increases people's wealth and as a result may increase their willmgness to spend.B)uicieases the amount of fluids that business firms can raise by selling newly issued stock.C)decreases the amount of hinds that business films can raise by selling newly issued stock.D)both A and B of the above.Answer: DTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition38)From the peak of the high-tech bubble in 2000, the stock market byovei by late 2002.A)collapsed; 75%B)rose; 35%C)collapsed; 30%D)rose; 50%Answer: CTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition39)The Dow fell below 7,000 m 2009, only to start a bull market run, reaching new highs above m 2013.A)12,000B)10,000C) 15,000D) 19,000Answer: CTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: New Question1.2 Tme/False1)Money is anything accepted by anyone as payment fbr services or goods.Answer: TRUETopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition2)hiterest rates are determined in the bond markets.Answer: TRUETopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition3) A stock is a debt secuiity that promises to make penodic payments fbr a specific period of time.Answer: FALSETopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition4)Monetaiy policy affects interest rates but has little effect on inflation oi busmess cycles.JAnswer: FALSETopic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition5)The govenunent orgamzation lesponsible for the conduct of monetaiy policy m the United States is the U.S. Treasuiy.Answer: FALSETopic: Chapter 1.2 Why Study Financial InstitutionsQuestion Status: Previous Edition6)hiterest rates can be accuiately described as the rental price of money.Answer: TRUETopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition7)Holding eveiytliuig else constant, as the dollar weakens vacations abroad become less attractive.Answer: TRUETopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition8)In recent years, financial markets have become more stable and less risky. Answer: FALSETopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition9)Financial innovation lias provided more options to both mvestors and bonowers. Answer: TRUETopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition10) A financial mtennediaiy borrows fiinds fiom people who have saved.Answer: TRUETopic: Chaptei 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition11)Holding eveiything else constant, as the dollar strengthens fbieigneis will buy more U.S. exports.Answer: FALSETopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition12)In a bull market stock prices are rising, on average.Answer: TRUETopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition13)Financial institutions are among the largest employers m the country and fiequently pay very high salaries.Answer: TRUETopic: Chaptei 1.3 Applied Managerial PerspectiveQuestion Status: Previous Edition14)Different interest rates have a tendency to move in unison.Answer: TRUETopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition15)Financial markets are what makes financial mstitutions work.Answer: FALSETopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition16)In recent years, financial markets have become more iisky. However, only a linuted number of tools (such as deiivatives) are available to assist in managing this lisk. Answer: FALSETopic: Chaptei 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition17)Although the internet has changed many aspects of oui lives, it hasn't proven veiy usefill for collectmg and/oi analyzmg financial and econonuc data.Answer: FALSETopic: Chapter 1.4 How We Study Fmancial Markets and InstitutionsQuestion Status: New Question1.3 Essay1)Have inteiest rates been more or less volatile m recent years? Why?Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition2)Why should consumers be concerned with movements in foreign exchange rates?Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition3)How does the value of the dollar affect the competitiveness of Aineiican busmesses? Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition4)What is monetaiy policy and who is responsible fbi its implementation?Topic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition5)What are financial intennediaiies and what do they do?Topic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition6)What is money?Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition7)How does a bond differ fiom a stock?Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition8)Why is the stock market so important to individuals, films, and the economy? Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition9)What is the cential bank and what does it do?Topic: Chapter 1.2 Why Study Fmancial InstitutionsQuestion Status: Previous Edition10)If you are plaiming a vacation to Europe, do you prefer a strong dollar or weak dollar relative to the euio? Why?JTopic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: Previous Edition11)How has the stock market peifbimed smce 2000?Topic: Chapter 1.1 Why Study Fmancial MarketsQuestion Status: New Question。

《金融时间序列模型》期末考试试卷(1)课程代码及课序号：学号： 姓 名： 成 绩： 班级： 课序号： 任课教师：一 判断题： 得分 如果下面说法正确则在括号内添入T ，否则添入F ，每个2分，共20分。

（ ）1、某项投资分为4个周期，每个周期的收益率不同，用R i ，i =1,…，4表示，那么该项投资与投资期4个周期，每个周期收益率都是441∑=i iR 的投资是等价的。

（ ）2、 如果εt 满足一个GARCH(2,1)模型，那么εt 平方后满足一个ARMA(2,2)模型。

（ ）3、 如果以t 分布作为对照分布画出的Q-Q 图是直线说明该组数据服从t 分布。

（根据t 分布计算理论上的分位数标在纵轴上，根据数据计算出的样本分位数画在横轴上） （ ）4、 使用JB 检验判断数据的分布是否是正态分布，如果检验的p －值等于0.78，说明该组数据不服从正态分布。

（ ）5、自回归过程Y t = 0.1Y t-1 -1.4Y t-2 + 0.7Y t-3 +εt 的偏自相关系数*4ρ等于0。

（ ）6 、Q 检验的缺陷是经常把不是白噪声的残差误认为是白噪声过程。

（ ）7、 如果某银行宣布该银行1－天内，99％置信水平下，风险价值等于30（百万），说明该银行有1％的可能性1天内的损失会小于30（百万）。

（ ）8、假设半年支付利率一次，周期利率5％（以半年为一个周期），那么年简单收益率是10％，年复利收益率是10.25%，年连续复利收益率9.89%（ ）9、 对某模型的残差的平方进行检验，发现存在自相关，所以应该对残差建立ARCH 类模型。

（ ）10、 对MA(1)模型Y t =0.4+εt +0.6εt-1的3－步预测值等于0.4。

二 选择题： 得分 可能有多个选项是正确的，把正确选项前的标号填入括号中，每题3分，共15分 1、下面是对几个时间序列做单位根检验的结果, 哪些序列是I(1)的，把标号写在括号中（ ）水平变量单位根检验临界值5% -3.41 差分后临界值 5% -2.862、偏自相关函数是拖尾的模型包括（）A AR模型B MA 模型C ARMA－ARCH模型D ARCH模型3 、Y t = 0.9+ϕY t-1 + ϕ2Y t-2 +εt，如果ρ1＝10/21，那么ϕ等于多少？（）A 2.5B 0.4C -0.4D -2.54、下面是几个模型, 写出满足平稳条件模型的标号（）A Y t=0.1+1.3 Y t-1–0.3 Y t-2 +εtB Y t=0.75 Y t-1–0.125 Y t-2 +εtC Y t= 0.44Y t-1+εt +1.9εt-1D Y t=εt +0.7εt-1+0.03εt-25、假设某只股票的年收益率是10％，年波动率是30％，初始投资10M（M表示货币单位是百万），5％显著水平下， 1－年内的VaR等于（）A 3.95M B 4.88M C 0.395M D 4.95M三简答题：（每个5分，共20分）得分1、用AIC准则来定阶，假设自回归部分滞后阶数p的上界为2，滑动平均部分滞后阶数q 的上界为2，计算的AIC表如下：那么确定的阶数是多少？为什么？2、同学A 建立了一个消费模型，用C 表示消费，I 表示收入。

Financial Markets and Institutions, 8e (Mishkin)Chapter 20 The Mutual Fund Industry20.1 Multiple Choice1) At the beginning of 2013, mutual funds held about ________ of the U.S. stock market was held by mutual funds.A) 30%B) 50%C) 10%D) 70%Answer: ATopic: Chapter 20.1 The Growth of Mutual FundsQuestion Status: Updated from Previous Edition2) The origins of mutual funds can be traced back to the mid to late 1800s in________.A) England and ScotlandB) New York CityC) BostonD) GermanyAnswer: ATopic: Chapter 20.1 The Growth of Mutual FundsQuestion Status: New Question3) ________ intermediation means that small investors can pool their funds with other investors to purchase high face value securities.A) LiquidityB) FinancialC) DenominationD) ShareAnswer: CTopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition4) Mutual funds offer investors all of the following exceptA) greater-than-average returns.B) diversified portfolios.C) lower transaction costs.D) professional investment management.Answer: ATopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition5) Mutual fundsA) pool the resources of many small investors by selling these investors shares and using the proceeds to buy securities.B) allow small investors to obtain the benefits of lower transaction costs in purchasing securities.C) provide small investors a diversified portfolio that reduces risk.D) do all of the above.E) do only A and B of the above.Answer: DTopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition6) ________ enables mutual funds to consistently outperform a randomly selected group of stocks.A) Managerial expertiseB) DiversificationC) Denomination intermediationD) None of the aboveAnswer: DTopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition7) At the end of 2012 there were over ________ separate mutual funds with total assets over ________.A) 800; $10 trillionB) 7,500; $13 trillionC) 10,000; $10 trillionD) 1,000; $7 trillionAnswer: BTopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Updated from Previous Edition8) Most mutual funds are structured in two ways. The most common structure is a(n) ________ fund, from which shares can be redeemed at any time at a price that is tied to the asset value of the fund. A(n) ________ fund has a fixed number of nonredeemable shares that are traded in the over-the-counter market.A) closed-end; open-endB) open-end; closed-endC) no-load; closed-endD) no-load; loadE) load; no-loadAnswer: BTopic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition9) Which of the following is an advantage to investors of an open-end mutual fund?A) Once all the shares have been sold, the investor does not have to put in more money.B) The investors can sell their shares in the over-the-counter market with low transaction fees.C) The fund agrees to redeem shares at any time.D) The market value of the fund's shares may be higher than the value of the assets held by the fund.Answer: CTopic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition10) The net asset value of a mutual fund isA) determined by subtracting the fund's liabilities from its assets and dividing by the number of shares outstanding.B) determined by calculating the net price of the assets owned by the fund.C) calculated every 15 minutes and used for transactions occurring during the next 15-minute interval.D) calculated as the difference between the fund's assets and its liabilities. Answer: ATopic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition11) ________ funds are the simplest type of investment funds to manage.A) BalancedB) Global equityC) GrowthD) IndexAnswer: DTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition12) The majority of mutual fund assets are now owned byA) individual investors.B) institutional investors.C) fiduciaries.D) business organizations.E) retirees.Answer: ATopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition13) Capital appreciation funds select stocks of ________ and tend to be ________ risky than total return funds.A) large, established companies that pay dividends regularly; moreB) large, established companies that pay dividends regularly; lessC) companies expected to grow rapidly; moreD) companies expected to grow rapidly; lessAnswer: CTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition14) From largest to smallest in terms of total assets, the four classes of mutual funds areA) equity funds, bond funds, hybrid funds, money market funds.B) equity funds, money market funds, bond funds, hybrid funds.C) money market funds, equity funds, hybrid funds, bond funds.D) bond funds, money market funds, equity funds, hybrid funds.Answer: BTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition15) Measured by assets, the most popular type of bond fund is the ________ bond fund.A) state municipalB) strategic incomeC) governmentD) high-yieldAnswer: BTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition16) People who take their money out of insured bank deposits to invest in uninsured money market mutual funds have ________ risk because money market funds invest in ________ assets.A) high; long-termB) low; short-termC) high; short-termD) low; long-termAnswer: BTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition17) The largest share of assets held by money market mutual funds isA) Treasury bills.B) certificates of deposit.C) commercial paper.D) repurchase agreements.Answer: CTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition18) Which of the following is a feature of index funds?A) They have lower fees.B) They select and hold stocks to match the performance of a stock index.C) They do not require managers to select stocks and decide when to buy and sell.D) All of the above.Answer: DTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition19) A deferred-load mutual fund charges a commissionA) when shares are purchased.B) when shares are sold.C) both when shares are purchased and when they are sold.D) when shares are redeemed.Answer: DTopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition20) Over the past twenty years, mutual fund fees have ________, largely because________.A) fallen; SEC fee disclosure rules have led to greater competitionB) risen; investors have learned that funds with high fees provide better performanceC) risen; there has been collusion between large mutual fund companiesD) fallen; advances in information technology have lowered transaction costs Answer: ATopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition21) Which of the following is most likely to be a no-load fund?A) Value fundsB) Hedge fundsC) Growth fundsD) Index fundsAnswer: DTopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition22) When investors switch between funds within the same fund family, mutual funds may chargeA) a contingent deferred sales charge.B) a redemption fee.C) an exchange fee.D) 12b-1 fees.E) an account maintenance fee.Answer: CTopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition23) The Securities Acts of 1933 and 1934 did notA) regulate the activities of investment funds.B) require funds to register with the SEC.C) include antifraud rules covering the purchase and sale of fund shares.D) apply to investment funds.Answer: BTopic: Chapter 20.6 Regulation of Mutual FundsQuestion Status: Previous Edition24) The largest share of total investment in mutual funds is inA) stock funds.B) hybrid funds.C) bond funds.D) money market funds.Answer: ATopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition25) Over ________ of the total daily volume in stocks is due to institutions initiating trades.A) 70%B) 50%C) 25%D) 90%Answer: ATopic: Chapter 20.6 Regulation of Mutual FundsQuestion Status: New Question26) Hedge funds areA) low risk because they are market-neutral.B) low risk if they buy Treasury bonds.C) low risk because they hedge their investments.D) high risk because they are market-neutral.E) high risk, even though they may be market-neutral.Answer: ETopic: Chapter 20.7 Hedge FundsQuestion Status: Previous Edition27) The near collapse of Long Term Capital Management was caused byA) the high management fees charged by the fund's two Nobel Prize winners.B) the fund's high leverage ratio of 20 to 1.C) a sharp decrease in the spread between corporate bonds and Treasury bonds.D) a sharp increase in the spread between corporate bonds and Treasury bonds.E) the fund's shift away from a market-neutral investment strategy.Answer: DTopic: Chapter 20.7 Hedge FundsQuestion Status: Previous Edition28) Conflicts arise in the mutual funds industry because ________ cannot effectively monitor ________.A) investment advisers; directorsB) directors; shareholdersC) shareholders; investment advisersD) investment advisers; stocks that will outperform the overall marketAnswer: CTopic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition29) Late trading is the practice of allowing orders received ________ to trade at the ________ net asset value.A) before 4:00 PM; 4:00 PMB) after 4:00 PM; 4:00 PMC) after 4:00 PM; next day'sD) before 4:00 PM; previous day'sAnswer: BTopic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition30) Market timingA) takes advantage of time differences between the east and west coasts of the United States.B) takes advantage of arbitrage opportunities in foreign stocks.C) takes advantage of the time lag between the receipt and execution of orders.D) is discouraged by the stiff fees mutual funds charge every investor for buying and then selling shares on the same day.Answer: BTopic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition31) Late trading and market timingA) allow large, favored investors in a mutual fund to profit at the expense of other investors in the fund.B) hurt ordinary investors by increasing the number of fund shares and diluting the fund's net asset value.C) are both A and B of the above.D) are none of the above.Answer: CTopic: Chapter 20.8 Conflicts of Interest in the Mutual Fund Industry Question Status: Previous Edition32) Which of the following is not a proposal to deal with abuses in the mutual fund industry?A) Strictly enforce the 4:00 PM net asset value rule.B) Make redemption fees mandatory.C) Disclose compensation arrangements for investment advisers.D) Increase the number of dependent directors.Answer: DTopic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition33) ________ means the investors can convert their investment into cash quickly at a low cost.A) Liquidity intermediationB) Denomination intermediationC) DiversificationD) Managerial expertiseAnswer: ATopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition34) At the start of 2014, one share of Berkshire Hathaway's A-shares was trading at over $150,000. ________ in an mutual fund gives a small investor access to these shares.A) Liquidity intermediationB) Denomination intermediationC) DiversificationD) Managerial expertiseAnswer: BTopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition35) Mutual fund companies frequently offer a number of separate mutual funds called ________.A) indexesB) complexesC) componentsD) actuariesAnswer: BTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition36) Equity funds can be placed in which class according to the Investment Company Institute?A) Capital appreciation fundsB) World fundsC) Total return fundsD) All of the aboveAnswer: DTopic: Chapter 20.4 Investment Objective Classes Question Status: Previous Edition37) Government bonds are essentially default risk-free, ________ returns.A) and will yield highB) and will yield the highestC) but will have relatively lowD) none of the aboveAnswer: CTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition38) ________ bonds combine stocks into one fund.A) HybridB) Money marketC) MunicipalD) EquityAnswer: ATopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition39) All ________ are open-end investment funds that invest only in money market securities.A) Stock fundsB) Bond fundsC) Money market mutual fundsD) all of the aboveAnswer: CTopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition20.2 True/False1) The larger the number of shares traded in a stock transaction, the lower the transaction costs per share.Answer: TRUETopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition2) The increase in the number of defined contribution pension funds has slowed the growth of mutual funds.Answer: FALSETopic: Chapter 20.1 The Growth of Mutual FundsQuestion Status: Previous Edition3) Mutual funds accounted for $5.3 trillion, or 27%, of the $19.5 trillion U.S. retirement market at the beginning of 2013.Answer: TRUETopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Updated from Previous Edition4) Among the investors in mutual funds, only about 25% cite preparing for retirement as one of their main reasons for holding shares.Answer: FALSETopic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Updated from Previous Edition5) Open-end mutual funds are more common than closed-end funds.Answer: TRUETopic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition6) The net asset value of a mutual fund is the average market price of the stocks, bonds, and other assets the fund owns.Answer: FALSETopic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition7) A mutual fund's board of directors picks the securities that will be held and makes buy and sell decisions.Answer: FALSETopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition8) Money market mutual funds originated when the brokerage firm Merrill Lynch offered its customers an account from which funds could be taken to purchase securities and into which funds could be deposited when securities were sold. Answer: TRUETopic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition9) A deferred load is a fee charged when shares in a mutual fund are redeemed. Answer: TRUETopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition10) Several academic research studies show that investors earn higher returns by investing in mutual funds that charge higher fees.Answer: FALSETopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition11) Hedge funds have a minimum investment requirement of between $100,000 and$20 million, with the typical minimum investment being $1 million.Answer: TRUETopic: Chapter 20.7 Hedge FundsQuestion Status: New Question12) SEC research suggests that about three-fourths of mutual funds let privileged shareholders engage in market timing.Answer: TRUETopic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition13) One factor explaining the rapid growth in mutual funds is that they are financial intermediaries that are not regulated by the federal government.Answer: FALSETopic: Chapter 20.1 The Growth of Mutual FundsQuestion Status: Previous Edition14) Whether a fund is organized as a closed- or an open-end fund, is will have the same basic organizational structure.Answer: TRUETopic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition15) The primary purpose of loads is to provide compensation for sales brokers. Answer: TRUETopic: Chapter 20.5 Fee Structure of Investment FundsQuestion Status: Previous Edition16) Mutual funds are regulated under four federal laws designed to protect investors. Answer: TRUETopic: Chapter 20.6 Regulation of Mutual FundsQuestion Status: Previous Edition20.3 Essay1) What benefits do mutual funds offer investors?Topic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: Previous Edition2) How is a mutual fund's net asset value calculated?Topic: Chapter 20.3 Mutual Fund StructureQuestion Status: Previous Edition3) How did money market mutual funds originate and why did they become especially popular in the late 1970s and early 1980s?Topic: Chapter 20.1 The Growth of Mutual FundsQuestion Status: Previous Edition4) How does the governance structure of mutual funds lead to asymmetric information and conflicts of interest?Topic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition5) Describe the practices of late trading and market timing and explain how these practices harm a mutual fund's shareholders.Topic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition6) Discuss the proposals that have been made to reduce the conflict of interest abuses in the mutual funds industry.Topic: Chapter 20.8 Conflicts of Interest in the Mutual Fund IndustryQuestion Status: Previous Edition7) How is an index fund different from the other four primary investment objective classes for mutual funds?Topic: Chapter 20.4 Investment Objective ClassesQuestion Status: New Question8) Discuss the four primary classes of mutual funds available to investors.Topic: Chapter 20.4 Investment Objective ClassesQuestion Status: Previous Edition9) What are the five benefits of mutual funds?Topic: Chapter 20.2 Benefits of Mutual FundsQuestion Status: New Question10) What is the difference between an open-end and a closed-end mutual fund? Topic: Chapter 20.3 Mutual Fund StructureQuestion Status: New Question11) What are two key differences between a traditional mutual fund and a hedge fund?Topic: Chapter 20.7 Hedge FundsQuestion Status: New Question。

18ÙSimple Implementing ofOption Oricing Models!W K1.In the EWMA model and the GARCH(1,1)model,the weights assigned to observa-tions decrease as the observations become older.2.The GARCH(1,1)model differs from the EWMA model in that some weight is alsoassigned to the.3.When the current volatility is above the long-term volatility,the GARCH(1,1)modelestimates a volatility term structure.4.Suppose thatλis0.8,the volatility estimated for a market variable for day n-1is2%per day,and during day n-1the market variable increased by3%.Then the estimate of the volatility for day n is.5.Suppose thatλ=0.9,and the estimate of the correlation between two variables Xand Y on day n-1is0.7.Supposeσx,n−1=2%,σy,n−1=3%,u x,n−1=0.4%,u y,n−1=2.5%.The covariance for day n wouled be.6.For an American option,the value at a node is the greater of,and thediscounted expected value if it is held for a further period of timeδt.7.Finite difference methods solve the underlying by covert it to a differenceequation.8.The explicit method is functionally the same as using a.9.involves dividing the distribution into ranges or intervals and sampling fromeach interval according to its probability.1218ÙSIMPLE IMPLEMENTING OF OPTION ORICING MODELS10.Currencies and futures contracts can,for the purposes of option evaluation,be con-sidered as assets providing known yields.In the case of a currency,the relevant yield is the;in the case of a futures contract,it is the.!üÀK(3z¢K o À Y¥ÀJ ( Y èW\K )ÒS)1.Which model is not used to produce estimates of volatilities()A.EWMAB.ARCHC.CRRD.GARCH2.In an EWMA model,the weights of the u i declines at rate as we move backthrough time.()C.λ2D.1−λA.λB.1λ3.When use variance targeting approach to estimate parameters in GARCH(1,1),thereare only parameters have to be estimated.()A.1B.2C.3D.44.The parameters of a GARCH(1,1)model are estimated asω=0.000004,α=0.05,β=0.92.What is the long-run average volatility?()A.0.00013B.0.013C.0.00025D.0.0255.The most recent estimate of the daily volatility of USD\GBP exchange rate is0.55%and the exchange rate at4p.m.yesterday was1.4950.The parameterλin the EWMA model is0.95.Suppose that the exchange rate at4p.m.today proves to be1.4850,the estimate of the daily volatility is()A.2.900B.2.874C.0.2874D.0.29006.Which of the following can be estimated for an American option by constructing asingle binomial tree?()A.DeltaB.VegaC.GammaD.Theta7.Which is not particularly useful when the holder has early exercise decisions in Amer-ican options?()A.Monte Carlo SimulationB.Binomial Frees modelC.Finite Difference MethodsD.Trinomial Trees model38.Which model can be used when the payoffdepends on the path followed by theunderlying variable S as well as when it depends only on thefinal value of S?()A.Binomial Trees modelB.Trinomial Trees modelC.Finite Difference MethodsD.Monte Carlo Simulation9.Consider a four-month American call option on index futures where the risk-freeinterest rate is9%per annum,and the volatility of the index is40%per annum.We divide the life of the option into four one-month periods for the purposes of con-structing the tree.Then the growth factor a equals:()A.1B.e9%×0.0833C.e9%D.e40%×t0.083310.In a binomial model for a dividend-paying stock,when the dollar amount dividend isknown,there are nodes on the tree at time iδt.()A.i+1B.iC.2iD.i2n!§äK(3 ( K )ÒS y”√”§ Ø K )ÒS y”×”)1.Black-Scholes model assume that the volatility of the underlying asset is not constant.()2.In the EWMA model,some weight is assigned to the long-run average variance rate.()3.When we build up models to forecast volatility,u is assumed to be zero.()4.In the ARCH(m)model,the older an observation,the less weight it is given.()5.The EWMA approach has the attractive feature that relatively little date need tobe stored.At any given time,we need to remember only the current estimate of the variance rate and the most recent observation on the value of the market variable.()6.For a stable GARCH(1,1)process,we requireα+β>1,then the GARCH(1,1)processis’mean reverting’rather than’meanfleeing’.()7.The EWMA model incorporates mean reversion,whereas the GARH(1,1)model dosenot.()8.For a series x i,the autocorrelation with a lag of k is the coefficient of correlationbetween x i and x i+k.()418ÙSIMPLE IMPLEMENTING OF OPTION ORICING MODELS9.When the current volatility is below the long-term volatility,it estimates an downward-sloping volatility term structure.()10.Suppose there is a big move in the market variable on day n-1,the estimate of thecurrent volatility moves upward.()11.Monte Carlo simulation is used primarily for derivatives where the payoffis depen-dent on the history of the underlying variable or where there are several underlying variables.()12.Binomial trees andfinite difference methods are not useful when the holder has earlyexercise decisions to make prior to maturity.()13.In binomial trees model,the derivatives can be value by discounting their expectedvalues at the risk-free interest rate.()14.Currencies can be considered as assets providing known yields,and the relevant yieldis domestic risk-free interest rate.()15.The tree does not recombine when the dividend yield is known.()16.The control variate technique used by binomial trees needs to calculate the Blank-Scholes price of the European option.()17.The CRR is the only way to construct binomial trees.()18.The advantage of Monte Carlo simulation is that it is computationally very time-saving.()19.In Monte Carlo simulation the uncertainty about the value of the derivative is in-versely proportional to the square root of the number of trials.()20.The implicitfinite difference has the advantage of being very robust.It always con-verges to the solution of the differential equation as s and t approach zero.()o!O K1.The volatility of a certain market variable is30%per annum.Calculate a99%confi-dence interval for the size of the percentage daily change in the variable.52.Assume that S&P500at close of trading yesterday was1040and the daily volatility ofthe index was estimated ai1%per day at that time.The parameters in a GARCH(1,1) model areω=0.000002,α=0.06,β=0.92.If the level of the index at close of trading today is1060,what is the new volatility estimate?3.Suppose that the current daily volatilities of asset A and asset B are1.6%and2.5%,respectively.The prices of the assets at close of trading yesterday were$20and$40and the estimate of the coefficient of correlation between the returns on the two assets made at that time was0.25.The parameterλused in the EWMA model is0.95.a.Calculate the current estimate of the covariance between the assets.b.On the assumption that the prices of the assets at close of trading today are$20.5and$40.5,update the correlation estimate.4.A three-month American call option on a stock has a strike a strike price of$20.Thestock price is$20,the risk-free rate is3%per annum,and the volatility is25%per annum.A dividend of$2is expected e a three-step binomial tree to calculate the option price.5.A two-month American put option on a stock index has an exercise price of480.Thecurrent level of the index is484,the risk-free interest rate is10%per annum,the dividend yield on the index is3%per annum,and the volatility of the index is25% per annum.Divide the life of the option into four half-month periods and use the tree approach to estimate the value of the option.6.Provide formulas that can be used for obtaining three random samples from standardnormal distributions when the correlation between sample i and sample j isρi,j.Ê!¶c)º1.maximum likelihood method2.volatility term structure3.mean reversion4.GARCH(1,1)5.antithetic variable technique618ÙSIMPLE IMPLEMENTING OF OPTION ORICING MODELS6.stratified sampling7.finite difference8.hopscotch method8!{ K1.What is the difference between the exponentially weighted moving average modeland the GARCH(1,1)model for updating volatilities?2.A company uses the GARCH(1,1)model for updating volatility.The three parame-ters areω,αandβ.Describe the impact of making a small increase in each of the parameters while keeping the othersfixed.3.Which of the following can be estimated for an American option by constructing asingle binomial tree:delta,gamma,vega,theta,rho?4.Explain how the control variate technique is implemented when a tree is used tovalue American options.5.Explain why the Monte Carlo simulation approach cannot easily be used for American-style derivatives.。

金融市场学双语题库及答案（第三章）米什金金融市场与机构Financial Markets and Institutions, 8e (Mishkin)Chapter 3 What Do Interest Rates Mean and What Is Their Role in Valuation?3.1 Multiple Choice1) A loan that requires the borrower to make the same payment every period until the maturity date is called aA) simple loan.B) fixed-payment loan.C) discount loan.D) same-payment loan.E) none of the above.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition2) A coupon bond pays the owner of the bondA) the same amount every month until the maturity date.B) a fixed interest payment every period, plus the face value of the bond at the maturity date.C) the face value of the bond plus an interest payment once the maturity date has been reached.D) the face value at the maturity date.E) none of the above.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition3) A bond's future payments are called itsA) cash flows.B) maturity values.C) discounted present values.D) yields to maturity.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition4) A credit market instrument that pays the owner the face value of the security at the maturity date and nothing prior to then is called aA) simple loan.B) fixed-payment loan.C) coupon bond.D) discount bond.Answer: DTopic: Chapter 3.1 Measuring Interest Rates Question Status: Previous Edition5) (I) A simple loan requires the borrower to repay the principal at the maturity date along with an interest payment.(II) A discount bond is bought at a price below its face value, and the face value is repaid at the maturity date.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition6) Which of the following are true of coupon bonds?A) The owner of a coupon bond receives a fixed interest payment every year until the maturity date, when the face or par value is repaid.B) U.S. Treasury bonds and notes are examples of coupon bonds.C) Corporate bonds are examples of coupon bonds.D) All of the above.E) Only A and B of the above.Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition7) Which of the following are generally true of all bonds?A) The longer a bond's maturity, the lower is the rate of return that occurs as a result of the increase in the interest rate.B) Even though a bond has a substantial initial interest rate, its return can turn out to be negative if interest rates rise.C) Prices and returns for long-term bonds are more volatile than those forshorter-term bonds.D) All of the above are true.E) Only A and B of the above are true.Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition8) (I) A discount bond requires the borrower to repay the principal at the maturity date plus an interest payment.(II) A coupon bond pays the lender a fixed interest payment every year until the maturity date, when a specified final amount (face or par value) is repaid.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition9) If a $5,000 coupon bond has a coupon rate of 13 percent, then the coupon payment every year isA) $650.B) $1,300.C) $130.D) $13.E) None of the above.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition10) An $8,000 coupon bond with a $400 annual coupon payment has a coupon rate ofA) 5 percent.B) 8 percent.C) 10 percent.D) 40 percent.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition11) The concept of ________ is based on the notion that a dollar paid to you in the future is less valuable to you than a dollar today.A) present valueB) future valueC) interestD) deflationAnswer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition12) Dollars received in the future are worth ________ than dollars received today. The process of calculating what dollars received in the future are worth today is called ________.A) more; discountingB) less; discountingC) more; inflatingD) less; inflatingAnswer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition13) The process of calculating what dollars received in the future are worth today is calledA) calculating the yield to maturity.B) discounting the future.C) compounding the future.D) compounding the present.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition14) With an interest rate of 5 percent, the present value of $100 received one year from now is approximatelyA) $100.B) $105.C) $95.D) $90.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition15) With an interest rate of 10 percent, the present value ofa security that pays $1,100 next year and $1,460 four years from now is approximatelyA) $1,000.B) $2,000.C) $2,560.D) $3,000.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition16) With an interest rate of 8 percent, the present value of $100 received one year from now is approximatelyA) $93.B) $96.C) $100.D) $108.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition17) With an interest rate of 6 percent, the present value of $100 received one year from now is approximatelyA) $106.B) $100.C) $94.D) $92.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition18) The interest rate that equates the present value of the cash flow received from a debt instrument with its market pricetoday is theA) simple interest rate.B) discount rate.C) yield to maturity.D) real interest rate.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition19) The interest rate that financial economists consider to be the most accurate measure is theA) current yield.B) yield to maturity.C) yield on a discount basis.D) coupon rate.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition20) Financial economists consider the ________ to be the most accurate measure of interest rates.A) simple interest rateB) discount rateC) yield to maturityD) real interest rateAnswer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition21) For a simple loan, the simple interest rate equals theA) real interest rate.B) nominal interest rate.C) current yield.D) yield to maturity.Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition22) For simple loans, the simple interest rate is ________ the yield to maturity.A) greater thanB) less thanC) equal toD) not comparable toAnswer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition23) The yield to maturity of a one-year, simple loan of $500 that requires an interest payment of $40 isA) 5 percent.B) 8 percent.C) 12 percent.D) 12.5 percent.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition24) The yield to maturity of a one-year, simple loan of $400 that requires an interest payment of $50 isA) 5 percent.B) 8 percent.C) 12 percent.D) 12.5 percent.Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition25) A $10,000, 8 percent coupon bond that sells for $10,000 has a yield to maturity ofA) 8 percent.B) 10 percent.C) 12 percent.D) 14 percent.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition26) A $10,000, 8 percent coupon bond that sells for $10,100 has a yield to maturity ________.A) equal to 8 percentB) greater than 8 percentC) less than 8 perfectD) that cannot be calculatedAnswer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: New Question27) Which of the following $1,000 face value securities has the highest yield to maturity?A) A 5 percent coupon bond selling for $1,000B) A 10 percent coupon bond selling for $1,000C) A 12 percent coupon bond selling for $1,000D) A 12 percent coupon bond selling for $1,100Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition28) Which of the following $1,000 face value securities has the highest yield to maturity?A) A 5 percent coupon bond selling for $1,000B) A 10 percent coupon bond selling for $1,000C) A 15 percent coupon bond selling for $1,000D) A 15 percent coupon bond selling for $900Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition29) Which of the following $1,000 face value securities has the lowest yield to maturity?A) A 5 percent coupon bond selling for $1,000B) A 7 percent coupon bond selling for $1,100C) A 15 percent coupon bond selling for $1,000D) A 15 percent coupon bond selling for $900Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: New Question30) Which of the following are true for a coupon bond?A) When the coupon bond is priced at its face value, the yield to maturity equals the coupon rate.B) The price of a coupon bond and the yield to maturity are negatively related.C) The yield to maturity is greater than the coupon rate when the bond price is below the par value.D) All of the above are true.E) Only A and B of the above are true.Answer: DTopic: Chapter 3.1 Measuring Interest Rates Question Status: Previous Edition31) Which of the following are true for a coupon bond?A) When the coupon bond is priced at its face value, the yieldto maturity equals the coupon rate.B) The price of a coupon bond and the yield to maturity are negatively related.C) The yield to maturity is greater than the coupon rate when the bond price is above the par value.D) All of the above are true.E) Only A and B of the above are true.Answer: ETopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition32) Which of the following are true for a coupon bond?A) When the coupon bond is priced at its face value, the yield to maturity equals the coupon rate.B) The price of a coupon bond and the yield to maturity are positively related.C) The yield to maturity is greater than the coupon rate when the bond price is above the par value.D) All of the above are true.E) Only A and B of the above are true.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition33) A consol bond is a bond thatA) pays interest annually and its face value at maturity.B) pays interest in perpetuity and never matures.C) pays no interest but pays its face value at maturity.D) rises in value as its yield to maturity rises.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition34) The yield to maturity on a consol bond that pays $100 yearly and sells for $500 isA) 5 percent.B) 10 percent.C) 12.5 percent.D) 20 percent.E) 25 percent.Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition35) The yield to maturity on a consol bond that pays $200 yearly and sells for $1000 isA) 5 percent.B) 10 percent.C) 20 percent.D) 25 percent.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition36) A frequently used approximation for the yield to maturity on a long-term bond is theA) coupon rate.B) current yield.C) cash flow interest rate.D) real interest rate.Answer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition37) The current yield on a coupon bond is the bond's ________ divided by its________.A) annual coupon payment; priceB) annual coupon payment; face valueC) annual return; priceD) annual return; face valueAnswer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition38) When a bond's price falls, its yield to maturity ________ and its current yield________.A) falls; fallsB) rises; risesC) falls; risesD) rises; fallsAnswer: BTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition39) The yield to maturity for a one-year discount bond equalsA) the increase in price over the year, divided by the initial price.B) the increase in price over the year, divided by the face value.C) the increase in price over the year, divided by the interest rate.D) none of the above.Answer: ATopic: Chapter 3.1 Measuring Interest Rates Question Status: Previous Edition40) If a $10,000 face value discount bond maturing in oneyear is selling for $8,000, then its yield to maturity isA) 10 percent.B) 20 percent.C) 25 percent.D) 40 percent.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition41) If a $10,000 face value discount bond maturing in one year is selling for $9,000, then its yield to maturity is approximatelyA) 9 percent.B) 10 percent.C) 11 percent.D) 12 percent.Answer: CTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition42) If a $10,000 face value discount bond maturing in one year is selling for $5,000, then its yield to maturity isA) 5 percent.B) 10 percent.C) 50 percent.D) 100 percent.Answer: DTopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition43) If a $5,000 face value discount bond maturing in one year is selling for $5,000, then its yield to maturity isA) 0 percent.B) 5 percent.C) 10 percent.D) 20 percent.Answer: ATopic: Chapter 3.1 Measuring Interest RatesQuestion Status: Previous Edition44) The Fisher equation states thatA) the nominal interest rate equals the real interest rate plus the expected rate of inflation.B) the real interest rate equals the nominal interest rate less the expected rate of inflation.C) the nominal interest rate equals the real interest rate less the expected rate of inflation.D) both A and B of the above are true.E) both A and C of the above are true.Answer: DTopic: Chapter 3.2 Distinction Between Real and Nominal Interest Rates Question Status: Previous Edition45) If you expect the inflation rate to be 15 percent next year and a one-year bond hasa yield to maturity of 7 percent, then the real interest rate on this bond isA) 7 percent.B) 22 percent.C) -15 percent.D) -8 percent.E) none of the above.Answer: DTopic: Chapter 3.2 Distinction Between Real and Nominal Interest Rates Question Status: Previous Edition46) If you expect the inflation rate to be 5 percent next year and a one-year bond has a yield to maturity of 7 percent, then the real interest rate on this bond isA) -12 percent.B) -2 percent.C) 2 percent.D) 12 percent.Answer: CTopic: Chapter 3.2 Distinction Between Real and Nominal Interest Rates Question Status: Previous Edition47) The nominal interest rate minus the expected rate of inflationA) defines the real interest rate.B) is a better measure of the incentives to borrow and lend than the nominal interest rate.C) is a more accurate indicator of the tightness of credit market conditions than the nominal interest rate.D) all of the above.E) only A and B of the above.Answer: DTopic: Chapter 3.2 Distinction Between Real and Nominal Interest RatesQuestion Status: Previous Edition48) The nominal interest rate minus the expected rate of inflationA) defines the real interest rate.B) is a less accurate measure of the incentives to borrow and lend than is the nominal interest rate.C) is a less accurate indicator of the tightness of credit market conditions than is the nominal interest rate.D) defines the discount rate.Answer: ATopic: Chapter 3.2 Distinction Between Real and Nominal Interest Rates Question Status: Previous Edition49) In which of the following situations would you prefer to be making a loan?A) The interest rate is 9 percent and the expected inflation rate is 7 percent.B) The interest rate is 4 percent and the expected inflation rate is 1 percent.C) The interest rate is 13 percent and the expected inflation rate is 15 percent.D) The interest rate is 25 percent and the expected inflation rate is 50 percent. Answer: BTopic: Chapter 3.2 Distinction Between Real and Nominal Interest Rates Question Status: Previous Edition50) In which of the following situations would you prefer to be borrowing?A) The interest rate is 9 percent and the expected inflation rate is 7 percent.B) The interest rate is 4 percent and the expected inflation rate is 1 percent.C) The interest rate is 13 percent and the expected inflation rate is 15 percent.D) The interest rate is 25 percent and the expected inflation rate is 50 percent. Answer: DTopic: Chapter 3.2 Distinction Between Real and Nominal Interest Rates Question Status: Previous Edition51) What is the return on a 5 percent coupon bond that initially sells for $1,000 and sells for $1,200 one year later?A) 5 percentB) 10 percentC) -5 percentD) 25 percentE) None of the aboveAnswer: DTopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition52) What is the return on a 5 percent coupon bond that initially sells for $1,000 and sells for $900 one year later?A) 5 percentB) 10 percentC) -5 percentD) -10 percentE) None of the aboveAnswer: CTopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition53) The return on a 5 percent coupon bond that initially sells for $1,000 and sells for $1,100 one year later isA) 5 percent.B) 10 percent.C) 14 percent.D) 15 percent.Answer: DTopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition54) The return on a 10 percent coupon bond that initially sells for $1,000 and sells for $900 one year later isA) -10 percent.B) -5 percent.C) 0 percent.D) 5 percent.Answer: CTopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition55) Which of the following are generally true of all bonds?A) The only bond whose return equals the initial yield to maturity is one whose time to maturity is the same as the holding period.B) A rise in interest rates is associated with a fall in bond prices, resulting in capital losses on bonds whose term to maturities are longer than the holding period.C) The longer a bond's maturity, the greater is the price change associated with a given interest rate change.D) All of the above are true.E) Only A and B of the above are true.Answer: DTopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition56) Which of the following are true concerning the distinction between interest rates and return?A) The rate of return on a bond will not necessarily equal the interest rate on that bond.B) The return can be expressed as the sum of the current yieldand the rate of capital gains.C) The rate of return will be greater than the interest rate when the price of the bond falls between time t and time t + 1.D) All of the above are true.E) Only A and B of the above are true.Answer: ETopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition57) If the interest rates on all bonds rise from 5 to 6 percent over the course of the year, which bond would you prefer to have been holding?A) A bond with one year to maturityB) A bond with five years to maturityC) A bond with ten years to maturityD) A bond with twenty years to maturityAnswer: ATopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition58) Suppose you are holding a 5 percent coupon bond maturing in one year with a yield to maturity of 15 percent. If the interest rate on one-year bonds rises from 15 percent to 20 percent over the course of the year, what is the yearly return on the bond you are holding?A) 5 percentB) 10 percentC) 15 percentD) 20 percentAnswer: CTopic: Chapter 3.3 Distinction Between Interest Rates and ReturnsQuestion Status: Previous Edition59) (I) Prices of longer-maturity bonds respond more dramatically to changes in interest rates.(II) Prices and returns for long-term bonds are less volatile than those for short-term bonds.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: A。

Financial Markets and Institutions, 8e (Mishkin)Chapter 14 The Mortgage Markets14.1 Multiple Choice1) Which of the following are important ways in which mortgage markets differ from the stock and bond markets?A) The usual borrowers in the capital markets are government entities and businesses, whereas the usual borrowers in the mortgage markets are individuals.B) Most mortgages are secured by real estate, whereas the majority of capital market borrowing is unsecured.C) Because mortgages are made for different amounts and different maturities, developing a secondary market has been more difficult.D) All of the above are important differences.E) Only A and B of the above are important differences.Answer: DTopic: Chapter 14.1 What Are Mortgages?Question Status: Previous Edition2) Which of the following are important ways in which mortgage markets differ from stock and bond markets?A) The usual borrowers in capital markets are government entities, whereas the usual borrowers in mortgage markets are small businesses.B) The usual borrowers in capital markets are government entities and large businesses, whereas the usual borrowers in mortgage markets are small businesses.C) The usual borrowers in capital markets are government entities and large businesses, whereas the usual borrowers in mortgage markets are small businesses and individuals.D) The usual borrowers in capital markets are businesses and government entities, whereas the usual borrowers in mortgage markets are individuals.Answer: DTopic: Chapter 14.1 What Are Mortgages?Question Status: Previous Edition3) Which of the following are true of mortgages?A) A mortgage is a long-term loan secured by real estate.B) A borrower pays off a mortgage in a combination of principal and interest payments that result in full payment of the debt by maturity.C) Over 80 percent of mortgage loans finance residential home purchases.D) All of the above are true of mortgages.E) Only A and B of the above are true of mortgages.Answer: DTopic: Chapter 14.1 What Are Mortgages?Question Status: Previous Edition4) Which of the following are true of mortgages?A) A mortgage is a long-term loan secured by real estate.B) Borrowers pay off mortgages over time in some combination of principal and interest payments that result in full payment of the debt by maturity.C) Less than 65 percent of mortgage loans finance residential home purchases.D) All of the above are true of mortgages.E) Only A and B of the above are true of mortgages.Answer: ETopic: Chapter 14.1 What Are Mortgages?Question Status: Previous Edition5) Which of the following are true of mortgage interest rates?A) Interest rates on mortgage loans are determined by three factors: current long-term market rates, the term of the mortgage, and the number of discount points paid.B) Mortgage interest rates tend to track along with Treasury bond rates.C) The interest rate on 15-year mortgages is lower than the rate on 30-year mortgages, all else the same.D) All of the above are true.E) Only A and B of the above are true.Answer: DTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition6) Which of the following are true of mortgages?A) More than 80 percent of mortgage loans finance residential home purchases.B) The National Banking Act of 1863 rewarded banks that increased mortgage lending.C) Most mortgages during the 1920s and 1930s were balloon loans.D) All of the above are true.E) Only A and C of the above are true.Answer: ETopic: Chapter 14.1 What Are Mortgages?Question Status: Previous Edition7) Which of the following is true of mortgage interest rates?A) Longer-term mortgages have lower interest rates than shorter-term mortgages.B) Mortgage rates are lower than Treasury bond rates because of the tax deductibility of mortgage interest rates.C) In exchange for points, lenders reduce interest rates on mortgage loans.D) All of the above are true.E) Only A and B of the above are true.Answer: CTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition8) Typically, discount points should not be paid if the borrower will pay off the loan in ________ years or less.A) 5B) 10C) 15D) 20Answer: ATopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition9) Which of the following is true of mortgage interest rates?A) Longer-term mortgages have higher interest rates than shorter-term mortgages.B) In exchange for points, lenders reduce interest rates on mortgage loans.C) Mortgage rates are lower than Treasury bond rates because of the tax deductibility of mortgage interest payments.D) All of the above are true.E) Only A and B of the above are true.Answer: ETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition10) Which of the following reduces moral hazard for the mortgage borrower?A) CollateralB) Down paymentsC) Private mortgage insuranceD) Borrower qualificationsAnswer: BTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition11) Which of the following protects the mortgage lender's right to sell property if the underlying loan defaults?A) A lienB) A down paymentC) Private mortgage insuranceD) Borrower qualificationE) AmortizationAnswer: ATopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition12) Which of the following is true of mortgage interest rates?A) Mortgage rates are closely tied to Treasury bond rates, but mortgage rates tend to stay below Treasury rates because mortgages are secured with collateral.B) Longer-term mortgages have higher interest rates than shorter-term mortgages.C) Interest rates are higher on mortgage loans on which lenders charge points.D) All of the above are true.E) Only A and B of the above are true.Answer: BTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition13) During the early years of an amortizing mortgage loan, the lender appliesA) most of the monthly payment to the outstanding principal balance.B) all of the monthly payment to the outstanding principal balance.C) most of the monthly payment to interest on the loan.D) all of the monthly payment to interest on the loan.E) the monthly payment equally to interest on the loan and the outstanding principal balance.Answer: CTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition14) During the last years of an amortizing mortgage loan, the lender appliesA) most of the monthly payment to the outstanding principal balance.B) all of the monthly payment to the outstanding principal balance.C) most of the monthly payment to interest on the loan.D) all of the monthly payment to interest on the loan.E) the monthly payment equally to interest on the loan and the outstanding principal balance.Answer: ATopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition15) During the last years of a balloon mortgage loan, the lender appliesA) most of the monthly payment to the outstanding principal balance.B) all of the monthly payment to the outstanding principal balance.C) most of the monthly payment to interest on the loan.D) all of the monthly payment to interest on the loan.E) the monthly payment equally to interest on the loan and the outstanding principal balance.Answer: DTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition16) During the early years of a balloon mortgage loan, the lender appliesA) most of the monthly payment to the outstanding principal balance.B) all of the monthly payment to the outstanding principal balance.C) most of the monthly payment to interest on the loan.D) all of the monthly payment to interest on the loan.E) the monthly payment equally to interest on the loan and the outstanding principal balance.Answer: DTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition17) A borrower who qualifies for an FHA or VA loan enjoys the advantage thatA) the mortgage payment is much lower.B) only a very low or zero down payment is required.C) the cost of private mortgage insurance is lower.D) the government holds the lien on the property.Answer: BTopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition18) (I) Conventional mortgages are originated by private lending institutions, and FHA or VA loans are originated by the government. (II) Conventional mortgages are insured by private companies, and FHA or VA loans are insured by the government.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: BTopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition19) Borrowers tend to prefer ________ to ________, whereas lenders prefer ________.A) fixed-rate loans; ARMs; fixed-rate loansB) ARMs; fixed-rate loans; fixed-rate loansC) fixed-rate loans; ARMs; ARMsD) ARMs; fixed-rate loans; ARMsAnswer: CTopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition20) (I) ARMs offer lower initial rates and the rate may fall during the life of the loan. (II) Conventional mortgages do not allow a borrower to take advantage of falling interest rates.A) (I) is true, (II) is false.B) (I) is false, (II) is true.C) Both are true.D) Both are false.Answer: ATopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition21) Growing-equity mortgages (GEMs)A) help the borrower pay off the loan in a shorter time.B) have such low payments in the first few years that the principal balance increases.C) offer borrowers payments that are initially lower than the payments on aconventional mortgage.D) do all of the above.E) do only A and B of the above.Answer: ATopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition22) A borrower with a 30-year loan can create a GEM byA) simply increasing the monthly payments beyond what is required and designating that the excess be applied entirely to the principal.B) converting his ARM into a conventional mortgage.C) converting his conventional mortgage into an ARM.D) converting his conventional mortgage into a GPM.Answer: ATopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition23) Which of the following are useful for home buyers who expect their income to rise in the future?A) GPMsB) RAMsC) GEMsD) Only A and B are useful.E) Only A and C are useful.Answer: ETopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition24) Which of the following are useful for home buyers who expect their income to fall in the future?A) GPMsB) RAMsC) GEMsD) Only A and B are useful.E) Only A and C are useful.Answer: BTopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition25) Retired people can live on the equity they have in their homes by using aA) GEM.B) GPM.C) SAM.D) RAM.Answer: DTopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition26) Second mortgages serve the following purposes:A) they give borrowers a way to use the equity they have in their homes as security for another loan.B) they allow borrowers to get a tax deduction on loans secured by their primary residence or vacation home.C) they allow borrowers to convert their conventional mortgages into GEMs.D) all of the above.E) only A and B of the above.Answer: ETopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition27) Which of the following is a disadvantage of a second mortgage compared to credit card debt?A) The loans are secured by the borrower's home.B) The borrower gives up the tax deduction on the primary mortgage.C) The borrower must pay points to get a second mortgage loan.D) The borrower will find it more difficult to qualify for a second mortgage loan.Answer: ATopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition28) The share of the mortgage market held by savings and loans isA) over 50 percent.B) approximately 40 percent.C) approximately 20 percent.D) less than 5 percent.Answer: DTopic: Chapter 14.4 Mortgage-Lending InstitutionsQuestion Status: Updated from Previous Edition29) The share of the mortgage market held by commercial banks is approximatelyA) 50 percent.B) 30 percent.C) 15 percent.D) 5 percent.Answer: BTopic: Chapter 14.4 Mortgage-Lending Institutions Question Status: Updated from Previous Edition30) A loan-servicing agent willA) package the loan for an investor.B) hold the loan in their investment portfolio.C) collect payments from the borrower.D) do both A and C of the above.E) do both B and C of the above.Answer: CTopic: Chapter 14.5 Loan ServicingQuestion Status: Previous Edition31) Distinct elements of a mortgage loan includeA) origination.B) investment.C) servicing.D) all of the above.E) only B and C of the above.Answer: DTopic: Chapter 14.6 Secondary Mortgage MarketQuestion Status: Previous Edition32) The Federal National Mortgage Association (Fannie Mae)A) was set up to buy mortgages from thrifts so that these institutions could make more loans.B) funds purchases of mortgages by selling bonds to the public.C) provides insurance for certain mortgage contracts.D) does all of the above.E) does only A and B of the above.Answer: ETopic: Chapter 14.6 Secondary Mortgage MarketQuestion Status: Previous Edition33) The Federal Housing Administration (FHA)A) was set up to buy mortgages from thrifts so that these institutions could make more loans.B) funds purchases of mortgages by selling bonds to the public.C) provides insurance for certain mortgage contracts.D) does all of the above.E) does only A and B of the above.Answer: CTopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition34) ________ issues participation certificates, and ________ provides federal insurance for participation certificates.A) Freddie Mac; Freddie MacB) Freddie Mac; Ginnie MaeC) Ginnie Mae; Freddie MacD) Ginnie Mae; Ginnie MaeE) Freddie Mac; no oneAnswer: ETopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition35) REMICs are most likeA) Freddie Mac pass-through securities.B) Ginnie Mae pass-through securities.C) participation certificates.D) collateralized mortgage obligations.Answer: DTopic: Chapter 14.8 What Is a Mortgage-Backed Security? Question Status: Previous Edition36) Ginnie MaeA) insures qualifying mortgages.B) insures pass-through certificates.C) insures collateralized mortgage obligations.D) does only A and B. of the above.E) does only B and C of the above.Answer: BTopic: Chapter 14.8 What Is a Mortgage-Backed Security? Question Status: Previous Edition37) Mortgage-backed securitiesA) have been growing in popularity in recent years as institutional investors look for attractive investment opportunities.B) are securities collateralized by a pool of mortgages.C) are securities collateralized by both insured and uninsured mortgages.D) are all of the above.E) are only A and B of the above.Answer: DTopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition38) The most common type of mortgage-backed security isA) the mortgage pass-through, a security that has the borrower's mortgage payments pass through the trustee before being disbursed to the investors.B) collateralized mortgage obligations, a security which reduces prepayment risk.C) the participation certificate, a security which passes the borrower's mortgage payments equally among all the owners of the certificates.D) the securitized mortgage, a security which increases the liquidity of otherwise illiquid mortgages.Answer: ATopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition39) The interest rate borrowers pay on their mortgages is determined byA) current long-term market rates.B) the term.C) the number of discount points.D) all of the above.Answer: DTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition40) A loan for borrowers who do not qualify for loans at the usual market rate of interest because of a poor credit rating or because the loan is larger than justified by their income isA) a subprime mortgage.B) a securitized mortgage.C) an insured mortgage.D) a graduated-payment mortgage.Answer: ATopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition41) The percentage of the total loan paid back immediately when a mortgage loan is obtained, which lowers the annual interest rate on the debt, is calledA) discount points.B) loan terms.C) collateral.D) down payment.Answer: ATopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition42) Which of the following terms are found in mortgage loan contracts to protect the lender from financial loss?A) CollateralB) Down paymentC) Private mortgage insuranceD) All of the aboveAnswer: DTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition43) What factors are used in determining a person's FICO score?A) Past payment historyB) Outstanding debtC) Length of credit historyD) All of the aboveAnswer: DTopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition44) Between 2000 and 2005, home prices increased an average of ________ per year.A) 2%B) 4%C) 8%D) 12%Answer: CTopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: New Question45) From 2000 to 2005, housing prices increased, on average, by over 40%. This run up in prices was caused byA) speculators.B) an increase in subprime loans, which increased demand for new and existing houses.C) both A and B.D) None of the above are correct.Answer: CTopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Updated from Previous Edition14.2 True/False1) In 2012, mortgage loans to farms represented the largest proportion of mortgage lending in the U.S.Answer: FALSETopic: Chapter 14.1 What Are Mortgages?Question Status: New Question2) Down payments are designed to reduce the likelihood of default on mortgage loans.Answer: TRUETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition3) Discount points (or simply points) are interest payments made at the beginning of a loan.Answer: TRUETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition4) A point on a mortgage loan refers to one monthly payment of principal and interest.Answer: FALSETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition5) Closing for a mortgage loan refers to the moment the loan is paid off.Answer: FALSETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition6) Private mortgage insurance is a policy that guarantees to make up any discrepancy between the value of the property and the loan amount, should a default occur.Answer: TRUETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition7) During the early years of a mortgage loan, the lender applies most of the payment to the principal on the loan.Answer: FALSETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition8) One important advantage to a borrower who qualifies for an FHA or VA loan is the very low interest rate on the mortgage.Answer: FALSETopic: Chapter 14.3 Types of Mortgages9) Adjustable-rate mortgages generally have lower initial interest rates than fixed-rate mortgages.Answer: TRUETopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition10) Mortgage interest rates loosely track interest rates on three-month Treasury bills.Answer: FALSETopic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition11) An advantage of a graduated-payment mortgage is that borrowers will qualify for a larger loan than if they requested a conventional mortgage.Answer: TRUETopic: Chapter 14.3 Types of Mortgages12) Nearly half the funds for mortgage lending comes from mortgage pools and trusts.Answer: FALSETopic: Chapter 14.4 Mortgage-Lending InstitutionsQuestion Status: Updated from Previous Edition13) Many institutions that make mortgage loans do not want to hold large portfolios of long-term securities, because it would subject them to unacceptably high interest-rate risk.Answer: TRUETopic: Chapter 14.4 Mortgage-Lending InstitutionsQuestion Status: Previous Edition14) A problem that initially hindered the marketability of mortgages in a secondary market was that they were not standardized.Answer: TRUETopic: Chapter 14.6 Secondary Mortgage MarketQuestion Status: Previous Edition15) Mortgage-backed securities have declined in popularity in recent years as institutional investors have sought higher returns in other markets.Answer: FALSETopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition16) Mortgage-backed securities are marketable securities collateralized by a pool of mortgages.Answer: TRUETopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition17) Fannie Mae and Freddie Mac together either own or insure the risk on nearly one-fourth of America's residential mortgages.Answer: FALSETopic: Chapter 14.4 Mortgage-Lending InstitutionsQuestion Status: Previous Edition18) A FICO score below 660 is considered good while a score above 720 is likely to cause problems in obtaining a loan.Answer: FALSETopic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition19) Subprime loans are those made to borrowers who do not qualify for loans at the usual market rate of interest because of a poor credit rating or because the loan is larger than justified by their income.Answer: TRUETopic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition14.3 Essay1) How has the modern mortgage market changed over recent years?Topic: Chapter 14.1 What Are Mortgages?Question Status: Previous Edition2) Explain the features of mortgage loans that are designed to reduce the likelihood of default.Topic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition3) What are points? What is their purpose?Topic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition4) How does an amortizing mortgage loan differ from a balloon mortgage loan?Topic: Chapter 14.2 Characteristics of the Residential MortgageQuestion Status: Previous Edition5) Evaluate the advantages and disadvantages, from both the lender's and borrower's perspectives, of fixed-rate and adjustable-rate mortgages.Topic: Chapter 14.3 Types of MortgagesQuestion Status: Previous Edition6) Why has the online lending market developed in recent years and what are the advantages and disadvantages of this development?Topic: Chapter 14.4 Mortgage-Lending InstitutionsQuestion Status: Previous Edition7) Why may Fannie Mae and Freddie Mac pose a threat to the health of the financial system?Topic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition8) What are mortgage-backed securities, why were they developed, whattypes of mortgage-backed securities are there, and how do they work?Topic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: Previous Edition9) What are the benefits and side effects of securitized mortgages?Topic: Chapter 14.7 Securitization of MortgagesQuestion Status: Previous Edition10) Discuss the pros and cons of a subprime market for residential mortgages in the U.S.Topic: Chapter 14.8 What Is a Mortgage-Backed Security?Question Status: New Question。

金融英语试题及答案一、选择题（每题2分，共20分）1. Which of the following is not a type of financial instrument?A. StockB. BondC. DerivativeD. Commodity2. The term "leverage" in finance refers to:A. The use of borrowed funds to increase the potential return of an investment.B. The amount of money invested in a project.C. The process of buying and selling securities.D. The risk associated with a particular investment.3. What does the acronym "IPO" stand for?A. International Public OfferingB. Initial Public OfferingC. Internal Private OfferingD. International Private Offering4. The primary market is where:A. Securities are issued for the first time to the public.B. Securities are traded after they have been issued.C. Companies buy back their own securities.D. Investors sell their securities to other investors.5. A bear market is characterized by:A. A prolonged period of falling prices.B. A period of economic growth.C. A period of high inflation.D. A period of low unemployment.6. The term "risk management" in finance involves:A. Predicting future market trends.B. Identifying potential risks and taking steps tomitigate them.C. Maximizing returns on investments.D. Managing the day-to-day operations of a financial institution.7. A "blue chip" stock refers to:A. A stock that is considered to be of high quality and carries a lower risk.B. A stock that is traded on a blue-colored chip.C. A stock that is considered to be very risky.D. A stock that is traded on a major stock exchange.8. The process of "short selling" involves:A. Borrowing securities and selling them in the hope of buying them back at a lower price.B. Selling securities that the investor does not own.C. Buying securities with the expectation that their price will increase.D. Holding securities for a long period of time.9. What is the role of a "broker" in finance?A. To provide financial advice to clients.B. To facilitate the buying and selling of securities between investors.C. To manage a company's financial transactions.D. To underwrite securities for companies.10. The "efficient market hypothesis" suggests that:A. Stock prices fully reflect all available information.B. It is possible to consistently beat the market by picking individual stocks.C. Investors are irrational and make poor decisions.D. The market is always undervalued.二、填空题（每题1分，共10分）11. The _______ is the process by which a company raisescapital by issuing shares to the public for the first time. 12. A _______ is a financial contract that obligates thebuyer to purchase an asset or the seller to sell an asset ata predetermined future date and price.13. The _______ is the market where existing securities are bought and sold.14. The _______ is a measure of the risk of an investment compared to the return it is expected to generate.15. When the stock market is experiencing a significant and sustained increase in prices, it is known as a _______ market.16. A _______ is a financial institution that acceptsdeposits and provides various types of loans to customers. 17. The _______ is a measure of the ability of a company to pay its current debts with its current assets.18. A _______ is a financial statement that shows a company's financial performance over a period of time.19. The _______ is a type of investment strategy that focuseson long-term growth potential.20. An _______ is a financial instrument that derives its value from an underlying asset.三、简答题（每题5分，共30分）21. Explain the difference between a "mutual fund" and a "hedge fund".22. Describe the concept of "diversification" in investment.23. What is "inflation" and how does it affect the value of money?24. Discuss the role of "central banks" in the economy.四、论述题（每题20分，共20分）25. Discuss the impact of globalization on the financial markets and provide examples to support your argument.五、案例分析题（每题20分，共20分）26. Analyze a recent financial crisis and discuss the factors that contributed to it, the impact it had on the global economy, and the lessons that can be learned from it.答案：一、选择题1-5 D A B A A6-10 B A A B A二、填空题11. Initial Public Offering (IPO)。

（完整word版）国际⾦融题库（英⽂版）.doc Multiple-choice test(only one is correct):1.Gresham’ s Law states thata)Bad money drives good money out of circulation.b)Good money drives bad money out of circulationc)If a country bases its currency on both gold and silver, at an official exchange rate, it will be themore valuable of the two metals that circulate.d)None of the above.2.Balance of paymentsa) is defined as the statistical record of a country’ s international transactions over a certain period oftime presented in the form of a double-entry bookkeepingb) provides detailed information concerning the demand and supply of a country’ s currencyc)can be used to evaluate the performance of a country in international economic competitiond)all of the above3.If the United States imports more than it exports, thena)The supply of dollars is likely to exceed the demand in the foreign exchange market, ceteris paribus.b)One can infer that the U.S. dollar would be under pressure to depreciate against other currenciesc)a) and b)d)None of the above4. The current spot exchange rate is $1.55/ and the three-￡month forward rate is $1.50/. You enter into￡ a short position on 1,000￡.At maturity, the spot exchange rate is $1.60/. How much have￡ you made or lost?a) Lost $100b) Made ￡100c) Lost $50d) Made $1505. The sensitivity of“ realized” domestic currency values of the firm denomi’scontractualated cash flowsin foreign currency to unexpected changes in the exchange rate is:a)Transaction exposureb)Translation exposurec)Economic exposured)None of the above6.Three days ago, you ente red into a futures contract to sell ?62,500 at $1.20 per ?. Over the past three days the contract has settled at $1.20, $1.22, and $1.24. How much have you made or lost?a)Lost $0.04 per ? or $2,500b)Made $0.04 per ? or $2,500c)Lost $0.06 per ? or $3,750d)None of the above7.A swap banka)Can act as a broker, bringing together counterparties to a swapb)Can act as a dealer, standing ready to buy and sell swapsc)Both a) and b)d)Only sometimes a) but never ever b)8.Suppose that the one-year interest rate is 5.0 percent in the United States, the spot exchange rate is$1.20/?, and the one -year forward exchange rate is $1.16/?. What must one -year interest rate be in the euro zone?a) 5.0%b) 1.09%c) 8.62%d) None of the above.a b$1.89 =1￡.00. If you were to buy $10,000,000 worth of British pounds and then sell them five minutes later, how much of your $10,000,000 would be“ eaten-ask”spread?bythe bida)$1,000,000b)$52,910.05c)$100,000d)$52,631.5810.Under the gold standard, international imbalances of payment will be corrected automatically underthea)Gresham Exchange Rate regimeb)European Monetary Systemc)Price-specie-flow mechanismd)Bretton Woods Accord11.With any hedgea)Your losses on one side should about equal your gains on the other sideb)You should try to make money on both sides of the transaction: that way you make money comingand goingc)You should spend at least as much time working the hedge as working the underlying deal itselfd)You should agree to anything your banker puts in front of your face12. Comparing“ forward” and“ futures” exchange contracts, we can say that:a)They are both“ marked-to-market” daily.b)Their major difference is in the way the underlying asset is priced for future purchase or sale:futures settle daily and forwards settle at maturity.c) A futures contract is negotiated by open outcry between floor brokers or traders and is traded on organized exchanges, while forward contract is tailor-made by an international bank for its clients and is traded OTC.d)b) and c)13.An “ option ” isa) a contract giving the seller (writer) the right, but not the obligation, to buy or sell a given quantityof an asset at a specified price at some time in the futureb) a contract giving the owner (buyer) the right, but not the obligation, to buy or sell a given quantity of an asset at a specified price at some time in the futurec)not a derivative, nor a contingent claim, securityd)unlike a futures or forward contract14.Economic exposure refers toa)the sensitivity of realized domestic currency values of the firm ’contractuals cash flows denominated in foreign currencies to unexpected exchange rate changesb)the extent to which the value of the firm would be affected by unanticipated changes in exchange ratec) the potential that the firm ’consolidated financial statement can be affected by changes in exchange ratesd)ex post and ex ante currency exposures15.Under a purely flexible exchange rate systema)Supply and demand set the exchange ratesb)Governments can set the exchange rate by buying or selling reservesc)Governments can set exchange rates with fiscal policyb) and c) are correct.。

Financial Markets and Institutions, 8e (Mishkin)Chapter 8 Why Do Financial Crises Occur andWhy Are They So Damaging to the Economy?8.1 Multiple Choice1) Financial crisesA) are major disruptions in financial markets that are characterized by sharp declines in asset prices and the failures of many financial and nonfinancial firms.B) occur when adverse selection and moral hazard problems in financial markets become more significant.C) frequently lead to sharp contractions in economic activity.D) are all of the above.E) are only A and B of the above.Answer: DTopic: Chapter 8.1 What Is a Financial Crisis?Question Status: Previous Edition2) Financial crisesA) cause failures of financial intermediaries and leave only securities markets to channel funds from savers to borrowers.B) are a recent phenomenon that occur only in developing countries.C) invariably lead to debt deflation.D) all of the above.E) none of the above.Answer: ETopic: Chapter 8.1 What Is a Financial Crisis?Question Status: Previous Edition3) In an advanced economy, a financial crisis can begin in several ways, includingA) mismanagement of financial liberalization or innovation.B) asset pricing booms and busts.C) an increase in uncertainty caused by failure of financial institutions.D) all of the above.Answer: DTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition4) What is a credit boom?A) An explosion in a credit cycle, which can increase or decrease lending in the short-runB) Essentially a lending spree on the part of banks and other financial institutionsC) When credit card receivables rise due to low initial interest ratesD) The signal of the end of a credit spree, with credit contracting rapidlyAnswer: BTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition5) The process of deleveraging refers toA) cutbacks in lending by financial institutions.B) a reduction in debt owed by banks.C) both A and B.D) none of the above.Answer: ATopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition6) When asset prices fall following a boom,A) moral hazard may increase in companies that have lost net worth in the bust.B) financial institutions may see the assets on their balance sheets deteriorate, leading to deleveraging.C) both A and B are correct.D) none of the above are correct.Answer: CTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition7) During the 1800s, many U.S. financial crises were precipitated by an increase in ________, often originating in London.A) interest ratesB) housing pricesC) gasoline pricesD) heating oil pricesAnswer: ATopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition8) Stage Two of a financial crisis in an advanced economy usually involves a________ crisis.A) currencyB) stock marketC) bankingD) commoditiesAnswer: CTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition9) Stage Three of a financial crisis in an advanced economy featuresA) a general increase in inflation.B) debt deflation.C) an increase in general price levels.D) a full-fledged financial crisis.Answer: BTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition10) Debt deflation refers toA) an increase in net worth, leading to a relative fall in general debt levels.B) a decline in general debt levels due to deleveraging.C) a decline in bond prices as default rates rise.D) a decline in net worth as price levels fall while debt burden remains unchanged. Answer: DTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition11) Factors that lead to worsening conditions in financial markets includeA) increases in interest rates.B) declining stock prices.C) increasing uncertainty in financial markets.D) all of the above.E) only A and B of the above.Answer: DTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition12) Factors that lead to worsening conditions in financial markets includeA) declining interest rates.B) anticipated increases in the price level.C) bank panics.D) only A and C of the above.E) only B and C of the above.Answer: CTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition13) Most financial crises in the United States have begun withA) a steep stock market decline.B) an increase in uncertainty resulting from the failure of a major firm.C) a steep decline in interest rates.D) all of the above.E) only A and B of the above.Answer: ETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition14) In addition to having a direct effect on increasing adverse selection problems, increases in interest rates also promote financial crises by ________ firms' and households' interest payments, thereby ________ their cash flow.A) increasing; increasingB) increasing; decreasingC) decreasing; increasingD) decreasing; decreasingAnswer: BTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition15) Adverse selection and moral hazard problems increased in magnitude during the early years of the Great Depression asA) stock prices declined to 10 percent of their levels in 1929.B) banks failed.C) the aggregate price level declined.D) a result of all of the above.E) a result of A and B of the above.Answer: DTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition16) Stock market declines preceded a full-blown financial crisisA) in the United States in 1987.B) in the United States in 2000.C) in the United States in 1929.D) in all of the above.E) in none of the above.Answer: CTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Updated from Previous Edition17) Which of the following factors led up to the Greece debt crisis in 2009-2010?A) Speculative attacks on the euro and a rise in actual and expected inflationB) A decline in tax revenues resulting from a contraction in economic activityC) A double-digit budget deficitD) All of the aboveE) only B and C of the aboveAnswer: ETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Updated from Previous Edition18) What is a collateralized debt obligation?A) A tranche of an SPV that has been setup based on default riskB) An agreement to exchange interest payments when one party defaultsC) A type of insurance against defaultsD) A contract between credit rating agenciesAnswer: ATopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: New Question19) Which of the following led to the U.S. financial crisis of 2007-2009?A) Financial innovation in mortgage marketsB) Agency problems in mortgage marketsC) An increase in moral hazard at credit rating agenciesD) All of the aboveE) only A and B of the aboveAnswer: ETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition20) Approximately how large was the U.S. subprime mortgage market in 2007?A) $100 millionB) $100 billionC) $500 billionD) $1 trillionAnswer: DTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition21) When we refer to the shadow banking system, what are we talking about?A) Hedge funds, investment banks, and other nonbank financial firms that supply liquidityB) The "underground" banking system used for illegal activitiesC) The subsidiaries of depository institutionsD) None of the aboveAnswer: ATopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition22) The impact of the 2007-2009 financial crisis was widespread, includingA) the first major bank failure in the UK in over 100 years.B) the failure of Bear Stearns, the fifth-largest U.S. investment bank.C) the bailout of Fannie Mae and Freddie Mac by the U.S. Treasury.D) all of the above.E) only B and C of the above.Answer: DTopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition8.2 True/False1) A financial crisis occurs when information flows in financial markets experience a particularly large disruption.Answer: TRUETopic: Chapter 8.1 What Is a Financial Crisis?Question Status: New Question2) Factors that can lead to worsening conditions in financial markets include increasing interest rates and asset price booms.Answer: TRUETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition3) During a bank panic, many banks fail in a very short time period.Answer: TRUETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition4) The failure of Ohio Life Insurance and Trust in 1857 did not signal the start of a recession due to prompt actions by the Fed.Answer: FALSETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition5) Bank failures have been a feature of all U.S. financial crises from 1800 to 1944. Answer: TRUETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition6) Debt deflation refers to the decline in debt values as creditors agree to lower interest rates as an alternative to defaults.Answer: FALSETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition7) The Internet stock market bubble of the late 1990s led to one of the worst financial crises in U.S. history. Banks lost billions of dollars as Internet companies went bankrupt.Answer: FALSETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition8) An unusual feature of the "Great Recession" in the U.S. from 2007-2009 was that the crisis did not spread to European nations.Answer: FALSETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: New Question9) In Europe, Greece was the first nation to face a debt crisis.Answer: TRUETopic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: New Question8.3 Essay1) Explain the relationship between agency theory and a financial crisis.Topic: Chapter 8.1 What Is a Financial Crisis?Question Status: New Question2) Describe the sequence of events in a financial crisis in an advanced economy and explain why they can cause economic activity to decline.Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition3) What is the problem with government safety nets, such as deposit insurance, during the formative stages of a financial crisis?Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition4) Discuss why some view the Fed as a culprit in the U.S. housing bubble during the 2000s.Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition5) Describe a special purpose vehicle. How are they related to the creation of collateralized debt obligations?Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: New Question6) Discuss some of the financial innovations in mortgage markets that led to the U.S. financial crisis in 2007.Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition7) Why was the shadow banking system important during the 2007-2009 U.S. financial crisis?Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: Previous Edition8) Describe how the European debt crisis evolved.Topic: Chapter 8.2 Dynamics of Financial Crises in Advanced Economies Question Status: New Question。

时间序列期末考试英文Title: Characterizing Long-Term Temporal Patterns in Stock Market DataAbstract:This study presents an analysis of long-term temporal patterns in stock market data, aiming to identify trends, cycles, and potential predictability. We employed advanced time series techniques to extract meaningful patterns from historical stock price data. Our findings suggest the presence of distinct long-term cycles, which may offer valuable insights for investors and traders.Keywords: Stock Market, Time Series Analysis, Long-Term Trends, CyclesIntroduction:The stock market is a complex system, characterized by high volatility and unpredictability. However, understanding its long-term temporal patterns can provide valuable insights for investors. In this study, we aim to identify long-term trends and cycles in stock market data, utilizing advanced time series analysis techniques.Methodology:We collected historical daily closing prices for a broad market index (e.g., S&P 500) spanning over a period of 20 years. We employed various time series analysis techniques, including autocorrelation, cross-correlation, Fourier analysis, and wavelet transforms, to extract meaningful patterns from the data.Results:Our analysis revealed several long-term temporal patterns in the stock market data. We identified significant autocorrelation in the data, suggesting the presence of persistent trends. Fourier analysis revealed distinct long-term cycles with periods ranging from 5 to 10 years. Wavelet transforms further confirmed these cycles and provided insights into their evolution over time.Conclusion:Our findings suggest that the stock market exhibits distinct long-term temporal patterns characterized by persistent trends and cycles. These patterns may offer valuable insights for investors and traders, enabling them to make more informed decisions. Future research should focus on exploring the underlying mechanisms responsible for these patterns and their implications for portfolio management and investment strategies.References:[Please provide the references here]Appendix:[Please provide the appendix here]。

PartⅠ.Decide whether each of the following statements is true or false (10%)每题1分, 答错不扣分1.I.perfec.market.existed.resource.woul.b.mor.mobil.an.coul.therefor.b.transferre.t.thos.countrie.mor.willin.t.pa..hig.pric.fo.them.. .. .2.Th.forwar.contrac.ca.hedg.futur.receivable.o.payable.i.foreig.currencie.t.insulat.th.fir.agains.exchang.rat.risk ... . )3.Th.primar.objectiv.o.th.multinationa.corporatio.i.stil.th.sam.primar.objectiv.o.an.firm.i.e..t.maximiz.sharehol de.wealth.. .. )4..lo.inflatio.rat.tend.t.increas.import.an.decreas.exports.thereb.decreasin.th.curren.accoun.deficit.othe.thing.e qual......5..capita.accoun.defici.reflect..ne.sal.o.th.hom.currenc.i.exchang.fo.othe.currencies.Thi.place.upwar.pressur.o.tha.hom.currency’.value.. .. )parativ.advantag.implie.tha.countrie.shoul.specializ.i.production.thereb.relyin.o.othe.countrie .fo.som.products.. .. .7.Covere.interes.arbitrag.i.plausibl.whe.th.forwar.premiu.reflec.th.interes.rat.differentia.betwee.tw.countrie.sp ecifie.b.th.interes.rat.parit.formula. .. . )8.Th.tota.impac.o.transactio.exposur.i.o.th.overal.valu.o.th.firm.. .. .9. .pu.optio.i.a.optio.t.sell-b.th.buye.o.th.option-.state.numbe.o.unit.o.th.underlyin.instrumen.a..specifie.pric.pe.uni.durin..specifie.period... . )10.Future.mus.b.marked-to-market.Option.ar.not.....)PartⅡ:Cloze (20%)每题2分, 答错不扣分1.I.inflatio.i..foreig.countr.differ.fro.inflatio.i.th.hom.country.th.exchang.rat.wil.adjus.t.maintai.equal.. purchasin.powe... ）2.Speculator.wh.expec..currenc.t..appreciat..... .coul.purchas.currenc.future.contract.fo.tha.currency.3.Covere.interes.arbitrag.involve.th.short-ter.investmen.i..foreig.currenc.tha.i.covere.b.....forwar.contrac...... .t. sel.tha.currenc.whe.th.investmen.matures.4.. Appreciation.Revalu....）petitio.i.increased.5.....PP... .suggest..relationshi.betwee.th.inflatio.differentia.o.tw.countrie.an.th.percentag.chang.i.th.spo.exchang.ra t.ove.time.6.IF.i.base.o.nomina.interes.rat....differential....).whic.ar.influence.b.expecte.inflation.7.Transactio.exposur.i..subse.o.economi.exposure.Economi.exposur.include.an.for.b.whic.th.firm’... valu... .wil.b.affected.modit.a..state.pric.i..... pu..optio..i.exercised9.Ther.ar.thre.type.o.long-ter.internationa.bonds.The.ar.Globa.bond. .. eurobond.....an....foreig.bond...).10.An.goo.secondar.marke.fo.financ.instrument.mus.hav.a.efficien.clearin.system.Mos.Eurobond.ar.cleare.thr oug.eithe...Euroclea... ..o.Cedel.PartⅢ:Questions and Calculations (60%)过程正确结果计算错误扣2分rmation:A BankB BankBid price of Canadian dollar $0.802 $0.796Ask price of Canadian dollar $0.808 $0.800rmation.i.locationa.arbitrag.possible?put.t h.profi.fro.thi.arbitrag.i.yo.ha.$1,000,e.(5%)ANSWER:Yes! One could purchase New Zealand dollars at Y Bank for $.80 and sell them to X Bank for $.802. With $1 million available, 1.25 million New Zealand dollars could be purchased at Y Bank. These New Zealand dollars could then be sold to X Bank for $1,002,500, thereby generating a profit of $2,500.2.Assum.tha.th.spo.exchang.rat.o.th.Britis.poun.i.$1.90..Ho.wil.thi.spo.rat.adjus.i.tw.year.i.th.Unite.Kingdo.experience.a.inflatio.rat.o..percen.pe.yea.whil.th.Unite.State.experience.a.inflatio.rat.o..perc en. pe.year?(10%)ANSWER:According to PPP, forward rate/spot=indexdom/indexforth.exchang.rat.o.th.poun.wil.depreciat.b.4..percent.Therefore.th.spo.rat.woul.adjus.t.$1.9..[..(–.047)..$1.81073.Assum.tha.th.spo.exchang.rat.o.th.Singapor.dolla.i.$0.70..Th.one-yea.interes.rat.i.1.percen.i.th.Unite.State.a n..percen.i.Singapore..Wha.wil.th.spo.rat.b.i.on.yea.accordin.t.th.IFE?.(5%)ANSWER: according to the IFE,St+1/St=(1+Rh)/(1+Rf)$.70 × (1 + .04) = $0.7284.Assum.tha.XY.Co.ha.ne.receivable.o.100,00.Singapor.dollar.i.9.days..Th.spo.rat.o.th.S.i.$0.50.an.th.Singap or.interes.rat.i.2.ove.9.days..Sugges.ho.th.U.S.fir.coul.implemen..mone.marke.hedge..B.precis. .(10%)ANSWER: The firm could borrow the amount of Singapore dollars so that the 100,000 Singapore dollars to be received could be used to pay off the loan. This amounts to (100,000/1.02) = about S$98,039, which could be converted to about $49,020 and invested. The borrowing of Singapore dollars has offset the transaction exposure due to the future receivables in Singapore dollars.pan.ordere..Jagua.sedan.I..month..i.wil.pa.£30,00.fo.th.car.I.worrie.tha.poun.ster1in.migh.ris.sharpl.fro.th.curren.rate($1.90)pan.bough...mont.poun.cal.(suppose.contrac.siz..£35,000.wit..strik.pric.o.$1.9.fo..premiu.o.2..cents/£.(1)Is hedging in the options market better if the £ rose to $1.92 in 6 months?(2)what did the exchange rate have to be for the company to break even?（15%）Solution:(1)I.th..ros.t.$pan.woul. exercis.th.poun.cal.option.Th.su.o.th.strik.pric.an.premiu..i.$1.90 + $0.023 = $1.9230/£Thi.i.bigge.tha.$1.92.So hedging in the options market is not better.(2.whe.w.sa.th. compan.ca.brea.even.w.mea.tha.hedgin.o.no.hedgin.doesn’. matter.An.onl.whe.(strik.pric..premiu.).th.exchang.rat.,hedging or not doesn’t matter.So, the exchange rate =$1.923/£.6.Discus.th.advantage.an.disadvantage.o.fixe.exchang.rat.system.(15%)textbook page50 答案以教材第50 页为准PART Ⅳ: Diagram(10%)Th.strik.pric.fo..cal.i.$1.67/£.Th.premiu.quote.a.th.Exchang.i.$0.022.pe.Britis.pound.Diagram the profit and loss potential, and the break-even price for this call optionSolution:Following diagram shows the profit and loss potential, and the break-even price of this put option:PART Ⅴa) b) Calculate the expected value of the hedge.c) How could you replicate this hedge in the money market?Yo.ar.expectin.revenue.o.Y100,00.i.on.mont.tha.yo.wil.nee.t.cover.t.dollars.Yo.coul.hedg.thi.i.forwar.market.b.takin.lon.position.i.U.dollar.(shor.position.i.Japanes.Yen).B.lockin.i.you.pric.a.$..Y105.you.dolla.revenue.ar.guarantee.t.b.Y100,000/ 105 = $952You could replicate this hedge by using the following:a) Borrow in Japanb) Convert the Yen to dollarsc) Invest the dollars in the USd) Pay back the loan when you receive the Y100,000。

Booth School of Business,University of ChicagoBusiness41202,Spring Quarter2012,Mr.Ruey S.TsaySolutions to MidtermProblem A:(34pts)Answer briefly the following questions.Each question has two points.1.Describe two improvements of the EGARCH model over the GARCHvolatility model.Answer:(1)allows for asymmetric response to past positive or negative returns,i.e.leverage effect,(2)uses log volatility to relax parameter constraint.2.Describe two methods that can be used to infer the existence of ARCHeffects in a return series,i.e.,volatility is not constant over time.Answer:(1)The sample ACF(or PACF)of the squared residuals of the mean equation,(2)use the Ljung-Box statistics on the squared residuals.3.Consider the IGARCH(1,1)volatility model:a t=σt t withσ2t =α0+β1σ2t−1+(1−β1)a2t−1.Often one pre-fixesα0=0.Why?Also,suppose thatα0=0and the1-step ahead volatility prediction at the forecast origin h is16.2%(annualized),i.e.,σh(1)=σh+1=16.2for the percentage log return.What is the10-step ahead volatility prediction?That is,what isσh(10)?Answer:(1)Fixingα0=0based on the prior knowledge that volatility is mean reverting.(2)σh(10)=16.2.4.(Questions4to8)Consider the daily log returns of Amazon stockfrom January3,2007to April27,2012.Some summary statistics of the returns are given in the attached R output.Is the expected(mean) return of the stock zero?Why?Answer:The data does not provide sufficient evidence to suggest that the mean return is not zero,because the95%confidence interval con-tains zero.5.Let k be the excess kurtosis.Test H0:k=0versus H a:k=0.Writedown the test statistic and draw the conclusion.1Answer:t-ratio =9.875√24/1340=73.79,which is highly significant com-pared with χ21distribution.6.Are there serial correlations in the log returns?Why?Answer:No,the Ljung-Box statistic Q (10)=10.69with p-value 0.38.7.Are there ARCH effects in the log return series?Why?Answer:Yes,the Ljung-Box statist of squared residuals gives Q (10)=39.24with p-value less than 0.05.8.Based on the summary statistics provided,what is the 22-step ahead point forecast of the log return at the forecast origin April 27,2012?Why?Answer:The point forecast r T (22)=0because the mean is not signif-icantly different from zero.[Give students 1point if they use sample mean.]9.Give two reasons that explain the existence of serial correlations in ob-served asset returns even if the true returns are not serially correlated.Answer:Any two of (1)bid-ask bounce,(2)nonsynchronous trading,(3)dynamic dependence of volaitlity via risk premuim.10.Give two reasons that may lead to using moving-average models inanalyzing asset returns.Answer:(1)Smoothing (or manipulation),(2)bid-ask bounce in high frequency returns.11.Describe two methods that can be used to compare different modelsfor a given time series.Answer:(1)Information criteria such as AIC or BIC,(2)backtesting or out-of-sample forecasting.12.(Questions 12to 14)Let r t be the daily log returns of Stock A.Assume that r t =0.004+a t ,where a t =σt t with t being iid N(0,1)random variates and σ2t =0.017+0.15a 2t −1.What is the unconditionalvariance of a t ?Answer:Var(a t )=0.0171−0.15=0.02.13.Suppose that the log price at t =100is 3.912.Also,at the forecastorigin t =100,we have a 100=−0.03and σ100=pute the21-step ahead forecast of the log price (not log return)and its volatility for Stock A at the forecast origin t =100.Answer:r 100(1)=0.004so that p 100(1)=3.912+0.004=3.916.Thevolatility forecast is σ2100(1)= 0.017+0.15(−0.03)2=pute the 30-step ahead forecast of the log price and its volatilityof Stock A at the forecast origin t =100.Answer:p 100(30)=3.912+0.004×30=4.032and the voaltility is the unconditional stantard error √0.02=0.141.15.Asset volatility has many applications in finance.Describe two suchapplications.Answer:Any two of (1)pricing derivative,(2)risk management,(3)asset allocation.16.Suppose the log return r t of Stock A follows the model r t =a t ,a t =σt t ,and σ2t =α0+α1a 2t −1+β1σ2t −1,where t are iid N(0,1).Under whatcondition that the kurtosis of r t is 3?That is,state the condition under which the GARCH dynamics fail to generate any additional kurtosis over that of t .Answer:α1=0.17.What is the main consequence in using a linear regression analysis whenthe serial correlations of the residuals are overlooked?Answer:The t -ratios of coefficient estimates are not reliable.Problem B .(30pts)Consider the daily log returns of Amazon stock from January 3,2007to April 27,2012.Several volatility models are fitted to the data and the relevant R output is attached.Answer the following questions.1.(2points)A volatility model,called m1in R,is entertained.Write down the fitted model,including the mean equation.Is the model adequate?Why?Answer:ARCH(1)model.r t =0.0018+a t ,a t =σt t with t being iidN(0,1)and σ2t =7.577×10−4+0.188a 2t −1.The model is inadequatebecause the normality assumption is clearly rejected.2.(3points)Another volatility model,called m2in R,is fitted to the returns.Write down the model,including all estimated parameters.3Answer:ARCH(1)model.r t=4.907×10−4+a t,a t=σt t,where t∼t∗3.56with t∗vdenoting standardized Student-t distribution with v degreesof freedom.The volatility equation isσ2t =7.463×10−4+0.203a2t−1.3.(2points)Based on thefitted model m2,test H0:ν=5versus H a:ν=5,whereνdenotes the degrees of freedom of Student-t distribution.Perform the test and draw a conclusion.Answer:t-ratio=3.562−50.366=−3.93,which compared with1.96is highlysignificant.If you compute the p-value,it is8.53×10−5.Therefore, v=5is rejected.4.(3points)A third model,called m3in R,is also entertained.Writedown the model,including the distributional parameters.Is the model adequate?Why?Answer:Another ARCH(1)model.r t=0.0012+a t,a t=σt t,where t are iid and follow a skew standardized Student-t distribution with skew parameter1.065and degrees of freedom3.591.The volatility equationisσ2t =7.418×10−4+0.208a2t−1.Ecept for the insigicant mean value,thefitted ARCH(1)model appears to be adequate based on the model checking statistics shown.5.(2points)Letξbe the skew parameter in model m3.Does the estimateofξconfirm that the distribution of the log returns is skewed?Why?Perform the test to support your answer.Answer:The t-ratio is1.065−10.039=1.67,which is smaller than1.96.Thus,the null hypothesis of symmetric innovations cannot be rejected at the 5%level.6.(3points)A fourth model,called m4in R,is alsofitted.Write downthefitted model,including the distribution of the innovations.Answer:a GARCH(1,1)model.r t=0.0017+a t,a t=σt t,where t are iid and follow a skew standardized Student-t distribution with skew parameter1.101and degrees of freedom3.71.The volatility equationisσ2t =1.066×10−5+0.0414a2t−1+0.950σ2t−1.7.(2points)Based on model m4,is the distribution of the log returnsskewed?Why?Perform a test to support your answer.Answer:The t-ratio is1.101−10.043=2.349,which is greater than1.96.Thus,the distribution is skew at the5%level.48.(2points)Among models m1,m2,m3,m4,which model is preferred?State the criterion used in your choice.Answer:Model4is preferred as it has a smaller AIC value.9.(2points)Since the estimatesˆα1+ˆβ1is very close to1,we consideran IGARCH(1,1)model.Write down thefitted IGARCH(1,1)model, called m5.Answer:r t=a t,a t=σt t,whereσ2t =3.859×10−5+0.85σ2t−1+0.15a2t−1.10.(2points)Use the IGARCH(1,1)model and the information providedto obtain1-step and2-step ahead predictions for the volatility of the log returns at the forecast origin t=1340.Answer:From the outputσ21340(1)=σ21341=3.859×10−5+0.85×(0.02108)2+0.15(.146)2=0.00361.Therefore,σ21340(2)=3.859×10−5+σ2 1340(1)=0.00365.The volatility forecasts are then0.0601and0.0604,respectively.11.(2points)A GARCH-M model is entertained for the percentage logreturns,called m6in the R output.Based on thefitted model,is the risk premium statistical significant?Why?Answer:The risk premium parameter is−0.112with t-ratio−0.560, which is less than1.96in modulus.Thus,the risk premium is not statistical significant at the5%level.12.(3points)Finally,a GJR-type model is entertained,called m7.Writedown thefitted model,including all parameters.Answer:This is an APARCH model.The model is r t=0.0014+a t,a t=σt t,where t are iid and follow a skew standardized Student-tdistribution with skew parameter1.098and degrees of freedom3.846.The volatility equation isσ2 t =7.583×10−6+0.0362(|a t−1|−0.478a t−1)2+0.953σ2t−1.13.(2points)Based on thefitted GJR-type of model,is the leverage effectsignificant?Why?Answer:Yes,the leverage parameterγ1is signfiicantly different from zero so that there is leverage effect in the log returns.5Problem C.(14pts)Consider the quarterly earnings per share of Abbott Laboratories(ABT)stock from1984.III to2011.III for110observations.We analyzed the logarithms of the earnings.That is,x t=ln(y t),where y t is the quarterly earnings per share.Two models are entertained.1.(3points)Write down the model m1in R,including residual variance.Answer:Let r t be the log earnings per share.Thefitted model is=0.00161.(1−B)(1−B4)r t=(1−0.565B)(1−0.183B4)a t,σ2a2.(2points)Is the model adequate?Why?Answer:No,the Ljung-Box statistics of the residuals give Q(12)=25.76with p-value0.012.3.(3points)Write down thefitted model m2in R,including residualvariance.Answer:Thefitted model is=0.00144.(1−B)(1−B4)r t=(1−0.470B−0.312B3)a t,σ2a4.(2points)Model checking of thefitted model m2is given in Figure1.Is the model adequate?Why?Answer:Yes,the model checking statistics look reasonable.5.(2points)Compare the twofitted model models.Which model ispreferred?Why?Answer:Model2is preferred.It passes model checking and has a smaller AIC value.6.(2points)Compute95%interval forecasts of1-step and2-step aheadlog-earnings at the forecast origin t=110.Answer:1-step ahead prediction:0.375±1.96×0.038,and2-step ahead prediction:0.0188±1.96×0.043.(Some students may use2-step ahead prediction due to the forecast origin confusion.)Problem D.(22pts)Consider the growth rate of the U.S.weekly regular gasoline price from January06,1997to September27,2010.Here growth rate is obtained by differencing the log gasoline price and denoted by gt in R output.The growth rate of weekly crude oil from January03,1997to September24,2010is also obtained and is denoted by pt in R output.Note that the crude oil price was known3days prior to the gasoline price.61.(2points)First,a pure time series model is entertained for the gasolineseries.An AR(5)model is selected.Why?Also,is the mean of the gtseries significantly different from zero?Why?Answer:An AR(5)is selected via the AIC criterion.The mean of g tis not significantly different from zero based on the one-sample t-test.The p-value is0.19.2.(2points)Write down thefitted AR(5)model,called m2,includingresidual variance.Answer:Thefitted model is=0.000326.(1−0.507B−0.079B2−0.136B3+0.036B4+0.086B5)g t=a t,σ2a3.(2points)Since not all estimates of model m2are statistically signifi-cant,we refine the model.Write down the refined model,called m3.Answer:Thefitted model is=0.000327.(1−0.504B−0.074B2−0.122B3+0.101B5)g t=a t,σ2a4.(2points)Is the refined AR(5)model adequate?Why?Answer:Yes,the Ljung-Box statistics of the residuals give Q(14)=10.27with p-value0.74,indicating that there are no serial correlationsin the residuals.5.(2points)Does the gasoline price show certain business-cycle behavior?Why?Answer:Yes,thefitted AR(5)polynomial contains compplex solutions.6.(3points)Next,consider using the information of crude oil price.Writedown the linear regression model,called m4,including R2and residualstandard error.Answer:Thefitted linear regression model isg t=0.287p t+ t,σ =0.0184,and the R2of the regression is33.66%.7.(2points)Is thefitted linear regression model adequate?Why?Answer:No,because the residuals t are serially correlated based onthe Ljung-Box test.78.(3points)A linear regression model with time series errors is enter-tained and insignificant parameters removed.Write down thefinalmodel,including allfitted parameters.Answer:The model is(1−0.404B−0.164B2−0.096B3+0.101B5)(g t−0.191p t)=a t,σ2=0.000253.a9.(2points)Model checking shows that thefittedfinal model has noresidual serial correlations.Based on the model,is crude oil pricehelpful in predicting the gasoline price?Why?Answer:Yes,because thefitted coefficient of p t is signficantly differentfrom zero.10.(2points)Compare the pure time series model and the regression modelwith time-series errors.Which model is preferred?Why?Answer:The regression model with time series error is preferred as ithas a smaller AIC criterion.8。

Financial Markets and Institutions, 8e (Mishkin)Chapter 13 The Stock Market13.1 Multiple Choice1) (I) A share of common stock in a firm represents an ownership interest in that firm. (II) A share of preferred stock is as much like a bond as it is like common stock.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: CTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition2) Preferred stockholders hold a claim on assets that has priority over the claims ofA) both common stockholders and bondholders.B) neither common stockholders nor bondholders.C) common stockholders, but after that of bondholders.D) bondholders, but after that of common stockholders.Answer: CTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition3) (I) Preferred stockholders hold a claim on assets that has priority over the claims of common stockholders, but after that of bondholders.(II) Firms issue preferred stock in far greater amounts than common stock.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: ATopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition4) (I) Preferred stockholders hold a claim on assets that has priority over the claims of common stockholders. (II) Bondholders hold a claim on assets that has priority over the claims of preferred stockholders.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: CTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition5) (I) Firms issue common stock in far greater amounts than preferred stock.(II) In a given year, the total volume of stock issued is much less than the volume of bonds issued.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: CTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition6) The riskiest capital market security isA) preferred stock.B) common stock.C) corporate bonds.D) Treasury bonds.Answer: BTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition7) (I) The largest of the organized stock exchanges in the United States is the New York Stock Exchange.(II) To be listed on the NYSE, a firm must have a minimum of $100 million in market value or $10 million in revenues.A) (I) is true, (II) false.B) (I) is false, (II) true.C) Both are true.D) Both are false.Answer: ATopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition8) To list on the NYSE, a firm mustA) have earnings of at least $10 million per year.B) have at least $500 million in outstanding debt.C) have a total of $100 million in market value.D) meet all of the above requirements.E) meet A and C of the above requirements.Answer: ETopic: Chapter 13.1 Investing in StocksQuestion Status: Updated from Previous Edition9) Securities not listed on one of the exchanges trade in the over-the-counter market. In this exchange, dealers "make a market" byA) buying stocks for inventory when investors want to sell.B) selling stocks from inventory when investors want to buy.C) doing both of the above.D) doing neither of the above.Answer: CTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition10) The most active stock exchange in the world is theA) Nikkei Stock Exchange.B) London Stock Exchange.C) Shanghai Stock Exchange.D) New York Stock Exchange.Answer: ATopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition11) Which of the following statements about trading operations in an organized exchange is correct?A) Floor traders all deal in a wide variety of stocks.B) In most trades, specialists match buy and sell orders.C) In most trades, specialists buy for or sell from their own inventories.D) The SuperDOT system is used to expedite large trades of over 100,000 shares. Answer: BTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition12) Which of the following is not an advantage of Electronic Communications Networks (ECNs)?A) All unfilled orders are available for review by ECN traders.B) Transactions costs are lower for ECN trades.C) Trades are made and confirmed faster.D) ECNs work well for thinly traded stocks.Answer: DTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition13) Which of the following statements is false regarding Electronic Communications Networks (ECNs)?A) Archipelago and Instinet are two examples of ECNs.B) Competition from ECNs has forced NASDAQ to cut its fees.C) Traders benefit from lower trading costs and faster service.D) ECNs allow institutional investors, but not individuals, to trade after hours. Answer: DTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition14) A basic principle of finance is that the value of any investment isA) the present value of all future net cash flows generated by the investment.B) the undiscounted sum of all future net cash flows generated by the investment.C) unrelated to the future net cash flows generated by the investment.D) unrelated to the degree of risk associated with the future net cash flows generated by the investment.Answer: ATopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition15) A stock currently sells for $25 per share and pays $0.24 per year in dividends. What is an investor's valuation of this stock if she expects it to be selling for $30 in one year and requires a 15 percent return on equity investments?A) $30.24B) $26.30C) $26.09D) $27.74Answer: BTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition16) A stock currently sells for $30 per share and pays $1.00 per year in dividends. What is an investor's valuation of this stock if he expects it to be selling for $37 in one year and requires a 12 percent return on equity investments?A) $38B) $33.50C) $34.50D) $33.93Answer: DTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition17) In the one-period valuation model, a stock's value will be higherA) the higher its expected future price is.B) the lower its dividend is.C) the higher the required return on investments in equity is.D) all of the above.Answer: ATopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition18) In the one-period valuation model, a stock's value falls if the ________ rises.A) dividendB) expected future priceC) required return on equityD) current priceAnswer: CTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition19) In the generalized dividend valuation model, a stock's value depends only onA) its future dividend payments and its future price.B) its future dividend payments and the required return on equity.C) its future price and the required return on investments on equity.D) its future dividend payments.Answer: BTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition20) Which of the following is not an element of the Gordon growth model of stock valuation?A) The stock's most recent dividend paidB) The expected constant growth rate of dividendsC) The required return on investments in equityD) The stock's expected future priceAnswer: DTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition21) According to the Gordon growth model, what is an investor's valuation of a stock whose current dividend is $1.00 per year if dividends are expected to grow at a constant rate of 10 percent over a long period of time and the investor's required return is 11 percent?A) $110B) $100C) $11D) $10E) $5.24Answer: ATopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition22) According to the Gordon growth model, what is an investor's valuation of a stock whose current dividend is $1.00 per year if dividends are expected to grow at a constant rate of 10 percent over a long period of time and the investor's required return is 15 percent?A) $20B) $11C) $22D) $7.33E) $4.40Answer: CTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition23) Holding other things constant, a stock's value will be highest if its dividend growth rate isA) 15%.B) 10%.C) 5%.D) 2%.Answer: ATopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition24) Holding other things constant, a stock's value will be highest if its most recent dividend isA) $2.00.B) $5.00.C) $0.50.D) $1.00.Answer: BTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition25) Holding other things constant, a stock's value will be highest if the investor's required return on investments in equity isA) 20%.B) 15%.C) 10%.D) 5%.Answer: DTopic: Chapter 13.2 Computing the Price of Common Stock Question Status: Previous Edition26) Suppose the average industry PE ratio for auto parts retailers is 20. What is the current price of Auto Zone stock if the retailer's earnings per share is projected to be $1.85?A) $21.85B) $37C) $10.81D) $9.25Answer: BTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition27) Which of the following is true regarding the Gordon growth model?A) Dividends are assumed to grow at a constant rate forever.B) The dividend growth rate is assumed to be greater than the required return on equity.C) Both A and B of the above.D) Neither A nor B of the above.Answer: ATopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition28) The PE ratio approach to valuing stock is especially useful for valuingA) privately held firms.B) firms that don't pay dividends.C) both A and B of the above.D) neither A nor B of the above.Answer: CTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition29) The PE ratio approach to valuing stock is especially useful for valuingA) publicly held corporations.B) firms that regularly pay dividends.C) both A and B of the above.D) neither A nor B of the above.Answer: DTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition30) A weakness of the PE approach to valuing stock is that it isA) difficult to estimate the constant growth rate of a firm's dividends.B) difficult to estimate the required return on equity.C) difficult to predict how much a firm will pay in dividends.D) based on industry averages rather than firm-specific factors.Answer: DTopic: Chapter 13.2 Computing the Price of Common Stock Question Status: Previous Edition31) (I) The market price of a security at a given time is the highest value any investor puts on the security. (II) Superior information about a security increases its value by reducing its risk.A) (I) is true, (II) is false.B) (I) is false, (II) is true.C) Both are true.D) Both are false.Answer: BTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition32) The main cause of fluctuations in stock prices is changes inA) tax laws.B) errors in technical stock analysis.C) daily trading volume in stock markets.D) information available to investors.E) total household wealth in the economy.Answer: DTopic: Chapter 13.3 How the Market Sets Security PricesQuestion Status: Previous Edition33) Stock values computed by valuation models may differ from actual market prices because it is difficult toA) estimate future dividend growth rates.B) estimate the risk of a stock.C) forecast a stock's future dividends.D) all of the above are true.Answer: DTopic: Chapter 13.4 Errors in ValuationQuestion Status: Previous Edition34) The 2001 terrorist attacks and the Enron financial scandal caused anticipated dividend growth to ________, investors' required return on equity to ________, and stock prices to ________.A) decrease; increase; decreaseB) decrease; increase; increaseC) increase; decrease; decreaseD) increase; decrease; increaseAnswer: ATopic: Chapter 13.4 Errors in ValuationQuestion Status: Previous Edition35) Which of the following is not an objective of the Securities and Exchange Commission?A) Maintain integrity of the securities marketsB) Advise investors about which particular stocks are good buysC) Require firms to provide specific information to investorsD) Regulate major participants in securities marketsAnswer: BTopic: Chapter 13.6 Regulation of the Stock MarketQuestion Status: Previous Edition36) A share of common stock in a firm represents an ownership interest in that firm and allows stockholders toA) vote.B) receive dividends.C) receive interest payments.D) only A and B of the above.Answer: DTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition37) In 2013, the NYSE traded ________ shares on an average trading day.A) 4 billionB) 7 billionC) 10 billionD) 12 billionAnswer: ATopic: Chapter 13.1 Investing in StocksQuestion Status: Updated from Previous Edition38) Exchange traded funds (ETFs) have which of the following features?A) They are listed and traded as individual stocks on a stock exchange.B) They are indexed rather than actively managed.C) Their value is based on the underlying net asset value of the stocks held in the index basket.D) All of the above.Answer: DTopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition39) What is the primary disadvantage of an ETF?A) ETFs tend to have lower management fees than comparable index mutual bonds.B) ETFs usually have no minimum investment amount.C) Investors have to pay a broker commission each time they buy or sell shares.D) None of the above are disadvantages of an ETF.Answer: CTopic: Chapter 13.1 Investing in Stocks Question Status: Previous Edition40) A high price earnings ratio (PE) gives what interpretation?A) The market expects earnings to fall in the future.B) The market feels the firm's earnings are very high risk and are willing to pay a premium for them.C) The market expects the earnings to rise in the future.D) The firm is not paying a dividend.Answer: CTopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition41) A ________ PE may indicate that the market feels the firm's earnings are very ________ risk and is therefore willing to pay a ________ for them.A) high; low; premiumB) high; high; discountC) low; low; discountD) high; high; premiumAnswer: ATopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition42) The subprime financial crisis led to one of the worst bear markets in the last 50 years. Stock prices likely fell due toA) an increase in required returns on equity investments.B) a decline in growth prospects for U.S. companies.C) Both A and B are likely reasons.D) None of the above are correct.Answer: ATopic: Chapter 13.4 Errors in ValuationQuestion Status: New Question43) The Securities Acts of 1933 and 1934 established the S.E.C. to enforce which of the follow laws?A) Require firms to tell the public the truth about their businesses.B) Require brokers, dealers, and exchanges to treat investors fairly.C) To ensure that no investment ever loses money.D) All of the above are laws the S.E.C. enforces.E) A and B above are laws the S.E.C. enforces.Answer: ETopic: Chapter 13.6 Regulation of the Stock MarketQuestion Status: New Question44) Which of the following is not a division of the S.E.C.?A) The Division of Fraud InvestigationB) The Division of Corporate FinanceC) The Division of Market RegulationD) The Division of Investment ManagementE) The Division of EnforcementAnswer: ATopic: Chapter 13.6 Regulation of the Stock MarketQuestion Status: New Question13.2 True/False1) More stock trading in the U.S. occurs in over-the-counter markets rather than on organized exchanges.Answer: FALSETopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition2) In over-the-counter markets, dealers increase the liquidity of thinly traded securities.Answer: TRUETopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition3) Electronic Communications Networks apply technology to make organized exchanges more efficient and speedy.Answer: FALSETopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition4) All stocks pay dividends, as that is the only way an investor can profit from holding stock.Answer: FALSETopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition5) Common stock is the riskiest corporate security, followed by preferred stock and then bonds.Answer: TRUETopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition6) The Enron financial scandal increased uncertainty about the quality of accounting information and as a result, increased required return on investment in stocks. Answer: TRUETopic: Chapter 13.4 Errors in Valuation Question Status: Previous Edition7) The Dow Jones Industrial Average is the broadest and best indicator of the stock market's day-to-day performance.Answer: FALSETopic: Chapter 13.4 Stock Market IndexesQuestion Status: Previous Edition8) The Securities and Exchange Commission requires firms to submit various documents to increase the flow of information to investors but does not verify the accuracy of that information.Answer: TRUETopic: Chapter 13.6 Regulation of the Stock MarketQuestion Status: Previous Edition9) About half of new equity issues are preferred stock.Answer: FALSETopic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition10) A stock's market value will be higher the higher its expected dividend stream is, all else being equal.Answer: TRUETopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition11) The Gordon growth model assumes that a stock's dividend grows at a constant rate forever.Answer: TRUETopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition12) A stock's market value will be higher the higher the investor's required rate of return is, all else being equal.Answer: FALSETopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition13) A lower than average PE may mean that the market expects earnings to rise in the future.Answer: FALSETopic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition14) About 75% of orders to buy or sell on the NYSE are executed using SuperDOT. Answer: TRUETopic: Chapter 13.1 Investing in StocksQuestion Status: Updated from Previous Edition13.3 Essay1) How do corporate stocks differ from bonds?Topic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition2) How do common stocks differ from preferred stocks?Topic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition3) How do over-the-counter markets differ from organized exchanges?Topic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition4) What is the role of specialists on a stock exchange?Topic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition5) What are the advantages and disadvantages of Electronic Communications Networks (ECNs) for trading stocks?Topic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition6) What is the role of the required return on equity investments in stock valuation models?Topic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition7) Using the Gordon growth model, explain why the 2001 terrorist attacks and the Enron financial scandal caused stock prices to decline.Topic: Chapter 13.2 Computing the Price of Common StockQuestion Status: Previous Edition8) What are American Depository Receipts (ADRs)?Topic: Chapter 13.5 Buying Foreign StocksQuestion Status: Previous Edition9) What are the objectives of the Securities and Exchange Commission?Topic: Chapter 13.6 Regulation of the Stock MarketQuestion Status: Previous Edition10) What are the advantages and disadvantages of exchange traded funds (ETFs) fro trading stocks?Topic: Chapter 13.1 Investing in StocksQuestion Status: Previous Edition11) Why would a crisis in the subprime mortgage market lead to declining prices in the U.S. equity markets?Topic: Chapter 13.4 Errors in ValuationQuestion Status: New Question。

金融时间序列分析英文试题（芝加哥大学）（3）Graduate School of Business,University of ChicagoBusiness41202,Spring Quarter2005,Mr.Ruey S.TsaySolutions to MidtermAll tests are based on the5%signi?cance level.Problem A:(30pts)Answer brie?y the following questions.1.For problems1to6,consider the daily log return,in percentages,of the S&P500composite index from January1996to December31,2004for2267data points.Sum-mary statistics of the percentage log returns from SCA and Splus are attached.See Page 1of the attached output.Is the mean of percentage log returns signi?cantly di?erent from zero?Why?A:t-ratio=1.187<1.96.Thus,the mean return is not signi?cantly di?erent from zero.2.Suppose one invested$1dollar on the S&P500index at the very beginning of1996andheld the investment until the end of2004.What was the value of the investment at the market closing on December31,2004?A:total log return=0.0299*2267/100=0.67783so that the value=exp(0.67783)≈1.97.3.Test the null hypothesis that the skewness of the log returns is zero.Draw your conclu-sion.A:t-ratio=?0.0939/0.0514=?1.83<1.96so that the skewness is no signi?acnt di?erent from zero.4.Given that the last percentage log return was?0.134(i.e.T=December31,2004),which is the corresponding simple return?A:R t=exp(?0.134/100)?1=?0.001339=.1339%.5.Are the log return serially correlated?You may use Q(10)of the series to answer thequestion.A:Q(10)=13.9with p-value0.178so that there is no serial correlation.6.Is there any ARCH e?ect in the log return series?You may use Q(12)of the squaredseries to answer the question.A:Yes,Q(12)of squared return is large at490(in SCA)and has a p-value of0.0from Splus.7.Give two empirical features of daily log returns of a?nancial asset.A:Any two of(a)high kurtosis,(b)volatility clustering,(3)skew to left.18.What is the purpose of studying kurtosis of an asset return series?A:Understanding the tail behavior(or risk)of the return.9.Describe two applications of studying sample autocorrelation function(ACF)of an assetreturn series.A:(a)To test serial correlations in the return series,(b)to identify MA order.10.Describe two methods that can be used to identify the order of an AR model.A:(a)PACF,(b)Criterion functions such as AIC or BIC.11.Consider the AR(1)model(1?0.9B)r t=0.2+a t,where{a t}is an independent andidentically distributed random variables with mean zero and variance1.0.What is the half-life of the series?A:Half-life=ln(0.5)/ln(0.9)=6.58time units.12.Suppose that the log return r t of an asset follows the model below:r t=0.02+a t,a t=σt t,σ2t=0.116+0.42a2t?1.Let p t be the log price of the asset at time t and p T( )be the -step ahead forecast of the log price at the forecast origin T.Then,what is the value of p T( )as increases?A:0.02is the slope of time trend so that p T( )→∞as increases.13.For problems13-14,consider quarterly series of U.S.unit labor cost from1947to2004.The data were seasonally adjusted and obtained from the Federal Reserve Bank of St Louis.Let x t=(1?B)ULC t be the?rst-di?erenced series of the data at time t.The model(1?0.371B2)x t=0.265+(1+0.171B4)a t,σa=0.5998,?ts the data reasonably well.Under the?tted model,what is the mean of x t,i.e.E(x t) =?A:E(x t)=0.265/(1?0.371)=0.421.14.Does the model imply that there exist business cycles in the unit labor cost?Why? A:No,because the two roots are real.From1?0.371x2,we have x=±1/ (0.371).15.Give two weaknesses of the GARCH-type of models for modeling asset volatility.A:Any two of(a)symmetric response to past positive and negative returns,(b)restric-tive,(c)providing no explanation of volatility clustering,(d)no adaptive in forecasting.2Problem B.(20pts)This problem is concerned with theanalysis of quarterly earnings per share of the Procter&Gamble(PG)Company from1992to the?rst quarter of2003 for45data points.The data were obtained from First Call.Log transformation was taken to stabilize the variability of the /doc/889308787.html,puter output is attached;p.2-6of output. Due to strong seasonal pattern,which results in models that are close to being non-invertible, we analyze the seasonally di?erenced series in Splus.Let x t be the logarithm of quarterly earnings per share and w t=(1?B4)x t.Thus,SCA uses x t and Splus uses w t.1.(5points)Because ACF of the log earnings shows strong seasonal pattern,the seasonaldi?erence(1?B4)is taken.The ACF of the seasonally di?erenced data indicates no further di?erencing is necessary.Write down the?tted model for the x t series(not the di?erenced w t).A:(1?0.47B)(1?B4)x t=0.0508+(1?0.307B4)a t,σa=0.0502.2.(4points)Is the AR coe?cient of the?tted model statistically signi?cant?Why?A:Yes,the t-ratio is3.26,which is greater than the critical value1.96.3.(4points)Is there any serial correlation in the residuals of the?tted model?Use Q(12)of the ACF of residuals to answer the question.[Hint:for a chi-square distribution with m degrees of freedom,the expected value is m.]A:Q(12)=8.8which is less than E(χ210)=10so that p-value>0.05.4.(4points)Let T=45be the forecast origin.What are the1-step and2-step aheadforecasts of the?tted model(after taking anti-logtransformation)?A:x45(1)=0.912and x45(2)=3.95(from SCA).For Splus,x45(1)=exp(0.0087?.1743)=0.847,x45(2)=exp(?.012479+1. 278152)=3.55.5.(3points)Give an interpretation of the estimated constant0.0508of the?tted modelfor x t.A;Slope of time trend.3and the S&P500index from January1999to December2004with sample size T=1508.We employ the market model:r t=α+βr m,t+e t,where r t and r m,t are Wal-Mart stock return and S&P500index return,respectively.Splus output is attached;page6of output.Answer the following questions.1.(4points)Write down the?tted market model.A:r t=0.0205+0.9606r m,t+e t.2.(4points)The Ljung-Box statistics of the ACF of residuals show some minor serialcorrelations,but the ACFs are relatively small so we ignore the serial correlations and perform the ARCH e?ect test.Is there an ARCH e?ect in the residuals of the?tted market model?A:Yes,archTest gives a p-value about0.0.3.(4points)We employ a GARCH(1,1)model(called“m2”in the output).Write downthe?tted /doc/889308787.html,ment on the?tted model.A:Let r t and r m,t be the Wal-Mart stock return and S&P500index return,respectively.The model isr t=0.9386r m,t+a t=0.9386+σt t, t～t6.41σ2t=?4.29×10?5+0.0377a2t?1+0.963σ2t?1.The negative estimate ofα0does not make sense,but it is statistically not di?erent from0.Also,the?α1+?β1≈1so that the?tted model indicates an IGARCH(1,1)model without the constant.4.(6points)Further analysis indicates that an EGARCH(2,1)model?ts the data better.There are two leverage e?ect parameters.Are these two e?ects statistically signi?cant?Why?You may test the e?ect individually.A:Examine the t-ratio of the two leverage parameter estimates.For Lev(1),the t-atio is?2.129.For Lev(2),the t-ratio is?1.847.In both cases,the p-values are less tha0.05so that they are both signi?cant.[It you use two-sided tests,then Lev(2)is notsigni?cant.]5.(2points)What are the1-step ahead forecasts for the return and its volatility of Wal-Mart stock at the forecast origin T=1508using the EGARCH model.A:zero for return and0.7082for volatility.4from January1995to December2004with2519observations.Splus output is attached;page 8of output.Answer the following questions.The ACFs of the returns are small so that the mean equation consists of a constant term only.1.(5points)Consider the?tted GARCH(1,1)model.The volatilityequation isσ2t=0.042+0.049a2t?1+0.944σ2t?1.Letηt=a2t?σ2t.Rewrite the prior vo latility equation in an ARMA form for the{a2t} series.A:a2t=0.042+0.993a2t?1+ηt?0.944ηt?1.2.(5points)Write down the?tted EGARCH(1,1)model with leverage e?ect(both meanand volatility equations and the parameter of the conditional distribution used).A:The model isr t=0.04918+a t=0.04918+σt t, t～t6.68ln(σ2t)=?0.06316+0.1033(|a t?1|?0.5464a t?1σt?1)+0.989ln(σ2t?1).3.(4points)Test the hypotheses H o:v=5vs H a:v=5,where v is the degrees offreedom of the conditional Student t distribution.Draw your conclusion.[Hint:you may use the usual t-ratio test.]A;t-ratio=6.684?5=2.62>1.96.Thus,reject H o:v=5.4.(5points)To better understand the leverage e?ect,use the?tted EGARCH(1,1)modelto calculate the ratioσ2t( =?3)2t ,where t denotes the iid sequence of the innovationsde?ned in class.A:From the?tetd volatility equation,we haveσ2t=exp(?0.06316)(σ2t?1).989exp(0.1033| t?1|?0.0564 t?1). Therefore,σ2t( =?3)σ2t( =3)=exp(?0.0564(?3))exp(?0.0564(3))=exp(0.0564×6)=1.403.5.(4points)Used the?tted EGARCH model and T=2519as the forecast origin.Whatare the1-step ahead forecasts of log return and volatility?A:Forecast of log return is0.0492and forecast of volatility is1.184.6.(4points)Write down the mean equation of the?tted GARCH-M model for the data.A:r t=0.058+0.00629σ2t+a t.7.(3points)Based on the GARCH-M model,is the risk premium statistically signi?cant?Why?A:No,the t-ratio is0.453with p-value=0.65(two-sided).5。

一、单项选择题（每题2分，共20分） P61关于严平稳与（宽）平稳的关系；弱平稳的定义：对于随机时间序列y t ，如果其期望值、方差以及自协方差均不随时间t 的变化而变化，则称y t 为弱平稳随机变量，即y t 必须满足以下条件： 对于所有时间t ，有 （i ）E （yt ）=μ为不变的常数；（ii ） Var （yt ）=σ²为不变的常数；（iii ） γj =E[y t -μ][y t-j -μ]，j=0，±1，,2，… （j 为相隔的阶数）（μ=0，cov （y t ，y t-j ）=0，Var （yt ）=σ²时为白噪音过程，常用的平稳过程。

） 从以上定义可以看到，凡是弱平稳变量，都会有一个恒定不变的均值和方差，并且自协方差只与y t 和y t-j 之间的之后期数j 有关，而与时间t 没有任何关系。

严平稳过程的定义：如果对于任何j 1,，j 2，...,j k ,随机变量的集合（y t ，y t+j1,，y t+j2，…，y t+jk ）只依赖于不同期之间的间隔距离（j 1，j 2，…，j k ），而不依赖于时间t ，那么这样的集合称为严格平稳过程或简称为严平稳过程，对应的随机变量称为严平稳随机变量。

P46 t X 的k 阶差分是；△ｋX t =△ｋ-1X t -△ ｋ-1X t-1，△ 表示差分符号。

滞后算子；P54对于AR ： L p y t =y t-p ，对于MA ：L ｐεt =εt-ｐAR （p ）模型即自回归部分的特征根—平稳性；确定好差分方程的阶数，则其特征方程为：λp-α1λp-1-α2λp-2-…-αp =0，若所有的特征根的│λ│<1则平稳补充：逆特征方程为：1-α1ｚ1-α2ｚ²-…-αp ｚp=0，若所有的逆特征根│ｚ│>1，则平稳。

注意：特征根和逆特征方程的根互为倒数。

如：p57作业3： y t =1.2y t-1-0.2y t-2+εt ，为二阶差分，其特征方程为：λ2-1.2λ+0.2=0，解得λ1=1，λ2=0.2，由于λ1=1，所以不平稳。

：）系（院线订装：业专过超：级得班不案：名姓答：号学精品云南财经大学2013至2014学年第二学期《金融时间序列分析》课程期中考试试卷共 6 页得一二三四总分复核分人阅卷人得分评卷人一．名词解释（每小题 5 分，共 20 分）1.零均值白噪声序列2.严平稳序列3.自协方差函数4.均方意义下收敛得分评卷人二．简答题（每小题10 分，共 20 分）1.请简述 ARMA(p,q) 序列的之平稳域的定义。

2.请简要描述 Ljung-Box 检验的过程（包括原假设、备择假设、统计量的定义和抽样分布）得分评卷人三．计算分析题（每小题15 分，共 45 分）1. 设X t cos(t )sin(t) ，其中，独立且服从 N(0,1) 。

完成下列问题：1a ：给出 X t的自协方差函数(t, t k) 和自相关函数 (t, t k) 的表达式；（10 分）1b ： X t是二阶宽平稳序列吗，为什么？（ 5 分）精品2.考虑时间序列精品X t X t 10.25 X t 2t其中t 为一零均值白噪声序列，方差为 2 。

2a: 判断该序列的种类，并说明该序列是否是二阶宽平稳序列（5分）；2b ：给出该序列的自协方差函数（10 分）。

精品：）系（院线订装：业专过超：得级班3.判定下列各序列的阶数，然后判断平稳性（给出详细的理由和判断步骤）3a.X t0.3 X t 10.2 X t2t 0.3 t 10（5分）3b.X t t 1.2 t 2（5分）3c.X tXt 1t（5分）精品得分评卷人四．证明题（15分）c k t k，其中t , t0,1,2,... 是零均值白噪声序列，方差若序列 X tk0为 2 ，k0 c k2。

试证明：1.EX t0（5分）；精品2. cov X t, X s 2（10 分）。

j 0cjcs t j精品感谢下载 !欢迎您的下载，资料仅供参考。

内蒙古财经学院2011——2012学年第1学期《金融时间序列分析》试卷答案一、填空题（1分*15空二15分）1.Xt =0心_1+0X^2 ---------- 0pXt・p+$t 一厲斫-1 ------ %、朝、…帖厲、…、%。

2.描述性：3.兀=斗』+耳，0,1,0；4平稳性检验，纯随机性检验；5. VPx t = （1 - B）Pxt, V k x t = （1 - B k）x t；6 宽平稳，严平稳，宽平稳：7.自回归二、不定项选择题（2分*5题=10分）1、AC2、ABD3、AB4、ABCD5、ABD三、判断并说明理由（2题*5分=10分）1、如果一个时间序列宽平稳，则它肓定不是严平稳；如果一个时间序列严平稳，则它一定是宽平稳。

答：说法是错误的。

（1分）严平稳是一种条件比较苛刻的平稳性定义，该定义表明，一个序列的所有统计均平稳时，该序列才是平稳的。

而宽平稳则是条件宽松的平稳性定义，即只要求序列的二阶矩平稳，则序列就是平稳的。

由定义町知，在一般情况下，如果一个时间序列是宽平稳的，则它肯定不是严平稳的；如果一个时间序列是严平稳的，则它一定是宽平稳的。

（2分）但两种情况各有例外，如多元正态分布，二阶矩包插所有•统计性质，所以对于服从多元正态分布的序列，宽平稳也是严平稳：再比如柯酋分布不存在二阶矩，因此如果一个序列服从柯西分布，且为严平稳, 但却推不出其为宽平稳。

确切的说应该是对于存在二阶矩的序列，严平稳才能推出宽平稳。

（2分）2、差分运算的实质是使用自回归的方式提取确定性信息答：说法是正确的。

（5分〉四、简答题：（25分）1、简述平稳序列的建模步骤（7分）答：（1）时间序列分析的第-步是获得观察值序列，然后对这个序列进行平稳性检验，对平稳的序列进行纯随机性检验，如果是纯随机序列，分析结束：如果不是纯随机序列，选择模型拟合该序列：（2）求出该观察值序列的样本自相关系数（ACF）和样本偏自相关系数（PACF）的值。