货币、信用与资本：英文

书籍目录

CONTENTSIN BRlEF

1 National Wealth and Individual Wealth

2 Properties of Assets

3 Portfolio Selection with Predictable Assets, with

Application to the Demand for Money

4 Portfolio Selection with Imperfectly Predictable

Assets

5 Portfolio Balance: Currency, Capital, and Loans

6 Financial Markets and Asset Prices

7 The Banking Firm: A Simple Model

8 The Monetary and Banking System of the United

States: History and Institutions

9 The Monetary and Banking System of the United

States: Analytic Description

lO Money and Government Debt in a General

Equilibrium Framework

References

Name Index

Index

TABLE OF CONTENTS

Preface

Introduction

1 National Wealth and Individual Wealth

2 Properties of Assets

2.1 Asset Properties and Investor Attitudes

2.2 Liquidity

2.3 Reversibility

2.4 Divisibility

2.5 Predictability

2.6 Yield and Retum

2.7 Predictability of Real Values and Real Retums

2.8 Acceptability in Exchange

Appendix 2A: Asset Prices, Yields, and Retums

3 Portfolio Selection with Predictable Assets, with

Application to the Demand for Money

3.1 The Role of Liquidity in Portfolio Choice

3.1.1 Perfect Asset Markets

3.l.2 Imperfect Asset Markets

3.1. 2.1 Thefrequency ofportfolio shifts and investment

decisions /'3.7.2.2 Effects oftiming of accumulation

goals / 3.1.2.3 Liquidity preference ?Diversification for

mixed and uncertain target dates

3.2 The Demand for Money

3.2.1 Transactions and Cash Requirements

3.2.7.7 Transactions on income account and asset

exchanges / 5.2.7.2 The working balance

3.2.1.3 The demandfor working balances

3.2.2 The Share of Cash in Working Balances

3.2.2.7 A model ofthe transactions demandfor

money / 3.2.2.2 Digression applying the model to the

currency versus deposits choice / 3.2.2.3 Uncertainty

and precautionary demand/3.2.2.4 The quantity

theory ofmoney

3.2.3 Working Balances and Cash in the Permanent Portfolio

3.2.3.1 The transactions motive / 3.2.3.2 The investment

motive

3.2.4 Financial Innovation and Liberalization

4 Portfolio Selection with Imperfectly

Predictable Assets

4.1 The Ranking of Uncertain Prospects

4.1.1 Preferences Conceming Risks and

Expectations of Retum

4.1.2 Maximization of Expected Utility

4.1.3 Characterizing Risk Aversion

4.2 Mean-Variance Analysis

4.2.1 The Measurement of Risk as Standard

Deviation of Retum

4.2.2 Indifference Curves and Budget Constraints

4.2.2.7 Risk-expectation indifference curves-loci

ofconstant expected utility / 4.2.2.2 Opportunities

for expectation and risk / 4.2.2.3 Optimal portfolio

choices

4.3 The Separation Theorem

4.4 Multiperiod Investment

4.4.1 Portfolio Choice with a Single Future

Consumption Date

4.4.2 Modeling Multiperiod Portfolio Choice

4.4.3 Sequential Portfolio Decisions

4.4.4 Multiperiod Consumption and Portfolio Choice

Appendix 4A: Measures of Risk Aversion

5 Portfolio Balance: Currency, Capital, and Loans

5.1 Portfolio Balance in a Two-Asset Economy

5.2 Capital Market Equilibrium with Two Assets

5.3 The Loan Market

5.4 Analysis of the Loan Market: First Approximation

5.4.1 Borrowers

5.4.2 Lenders

5.4.3 Market Equilibrium: Retum on Capital as Equilibrator

5.4.4 Market Equilibrium: Financial Market Value of Capital

as Equilibrator

5.5 The Loan Market: Second Approximation, a Model with

No Currency

5.5.1 Default Risk and Credit Limits

5.5.2 Lenders

5.5.3 Borrowers

5.5.4 Market Equilibrium with No Currency

5.6 Market Equilibrium with Currency, Loans, and Capital:

Second Approximation

5.7 The Monetization of Capital

Appendix 5A: Algebra of Lenders' and Borrowers' Portfolios

Appendix 5B: Marketwide Constraints

Appendix 5C: Asset Market Equations

Appendix 5D: Asset Statistics

Sources of Data for Tables 5.1 and 5.2 and Figures 5.l4, 5.l5

5.l6,and5.l7

6 Financial Markets and Asset Prices

6.1 Valuations of Capital Assets and the q Ratio

6.1.1 New and Used Goods

6.1.2 Business and Corporate Capital

6.1.3 A Stock-Flow Model of Investment and q

6.l.4 The Saving-lnvestment Nexus

6.2 Capital Asset Pricing

6.2.1 The Capital Asset Pricing Model

6.2.2 Extensions of the CAPM

6.2.3 Critical Assessment of CAPM and Its Extensions

6.3 A "Fundamentals" Approach to Asset Values

6.4 Financial Markets in Practice

6.4.1 Fundamentals and Bubbles

6.4.2 The Asset Menu

Conclusion

Appendix 6A

6A.l The Separation Theorem Again

6A.2 Market Clearing and the CAPM

7 The Banking Firm: A Simple Model

7.1 The Portfolio Choices of a Bank

7.2 The Bank's Deposits

7.3 Bank Portfolios and Profits

7.3.1 Penalties for Negative Defensive Position

7.3.2 The Value and Cost of Equity

7.3.3 The Value and Cost of Deposits

7.3.4 Unrestricted Competition for Deposits

7.4 Uncertainty about Deposits

7.4.1 The Function of Reserves and Defensive Assets

7.4.2 The Portfolio that Maximizes Expected Profit

7.4.3 Effects of Uncertainty

7.4.4 Value and Cost of Deposits

7.5 The Bank's Response to Extemal Changes

7.5.1 Exogenous Changes in Expected Deposits

7.5.2 Other Changes in Available Funds

7.5.3 The Yield of Defensive Assets

7.5.4 Penalties for Negative Defensive Position

7.5.5 Required Reserve Ratio

7.6 Retention of Deposits

7.7 Risk Neutrality or Risk Aversion?

7.8 Concluding Remarks

Appendix 7.A: Certainty about Deposits

7A.l Deposits Exogenous and Costless

7A.2 Deposits Exogenous at a Given Cost

7A.3 Deposits Endogenous

Appendix 7B: Uncertainty about Deposits

7B.1 Deposits Exogenous but Random

7B.2 Deposits Endogenous and Stochastic

8 The Monetary and Banking System of the United

States: History and Institutions

8.1 Banking in the United States Today

8.2 A Quick History of U.S. Banking

8.3 Banking Panics

8.4 The Federal Reserve Act of l 9 l 3

8.5 The Great Depression and the Banking

Crisis of l932-l933

8.6 The Banking and Financial Reforms of the 1930s

8.7 Gold and Silver in the U.S. Monetary System

8.8 The Bretton Woods System, l 945-1971

8.9 Federal Debt, Banks, and Money

8.l0 Monetary Control and Debt Management

8.11 The Supply of Bank Reserves

8.12 Sources of Changes in Supplies of Banks

Total Reserves

8.13 Monetary Policy Operations and Targets

9 The Monetary and Banking System of the United

States: Analytic Description

9.1 The Money Multiplier

9.1.1 Currency versus Deposits

9.l.2 Relation of Deposits to the Reserve Base

9.2 Secondary Reserves

9.3 Composition of Banks' Defensive Position: No Federal

Funds Market

9.4 The Federal Funds Market

9.5 The Banking System's Defensive Position

9.6 The Demand for Bank Deposits

9.7 Equilibrium in the Money Market

10 Money and Govermnent Debt in a General

Equilibrium Framework

Introduction

l0.l Does Govemment Financial Policy Matter?

l0.l.l Monetary Policy

l0.l.2 Deficit Finance

l0.2 General Equilibrium Models of the Capital Account

l0.2.l Two interpretations of a Money-Capital Economy

l0.2.2 Accounting Framework

l0.2.3 The Analytical Framework

10.2.3.7 A money-securities-capital economy

10.2.3.2 An extended model

10.3 Monetary Policies and the Economy

10.3.1l Open-Market Operations

10.3.2 Foreign Exchange Market Intervention

10.3.3 The Central Bank Discount Rate

10.3.4 Changes in Required Reserve Ratios

10.4 Summary

References

Name Index

Index

Figure 2.1 Liquidity-perfect and imperfect

Figure 2.2 Predictability illustrated

Figure 2.3 Yield and appreciation.

Figure 2.4 Real stock prices and the purchasing power of

money l 950-1992.

Figure 3.1 Two-period investment opportunities.

Figure 3.2 Investment and consumption choices: Two

special cases.

Figure 3.3 Prospective receipts, expenditures, wealth

determination of working balance.

Figure 3.4 Time path of working balance, cash, and time

deposits.

Figure 3.5 Precautionary demand for liquidity.

Figure 3.6 Precautionary balance decreases with variance

Figure 3.7 Precautionary balance increases with variance

Figure 4.1 Altemative schedules of utility of retum.

Figure 4.2 Indifference curves in expected retum and

standard deviation

Figure 4.3 Retum and risk for various assets and

portfolios.

Figure 4.4 Efficiency locus in a currency-capital economy

Figure 4.5 Opportunity loci for altemative assumptions

about correlation.

Figure 4.6 Efficiency locus with three assets.

Figure 4.7 Portfolio shares and efficiency locus for a three-

asset economy.

Figure 4.8 U.S. private holdings offoreign assets, in

percent of U.S. domestic asset supplies

Figure 4.9 Foreign private holdings of U.S. assets, in

percent of U.S. domestic asset supplies

Figure 4.10 Choices of extreme points.

Figure 4.11 Choices of intermediate points.

Figure 4.12 Income and substitution effects of a shift in the

efficiency locus.

Figure 4.13 Efficiency locus with a riskless asset

Figure 4.14 Efficiency locus when borrowing and lending

rates are different.

Figure 5.1 Portfolio balance with two assets.

Figure 5.2 Equilibrium for a risk-averse borrower

Figure 5.3 Risk-seeking borrower; nonzero risk

on currency.

Figure 5.4 Different borrowing and lending rates.

Figure 5.5 Portfolio balance with currency, capital, and

loans.

Figure 5.6 Effects of an endogenous loan interest rate

Figure 5.7 Portfolio retum with endogenous loan default

risk.

Figure 5.8 Lenders' portfolio choice as function of credit

limit and interest rate.

Figure 5.9 Retums to borrowers.

Figure 5.10 Derivation of the loan supply curve.

Figure 5.11 Equilibrium loan rates and credit lines.

Figure 5.12 Portfolio retum with three assets and endogenous

default risk.

Figure 5.13 Separating equilibrium with three assets.

Figure 5.14 Net monetary assets and monetized capital as

shares of gross monetary assets.

Figure 5.15 Monetary assets and private wealth.

Figure 5.16 Monetized capital relative to private wealth

Figure 5.17 M2/GMA.

Figure 6.1 qratio, l 900-1995.

Figure 6.2 The stock demand for capital and the flow

supply of new capital.

Figure 6.3 Adjustment to a rise in the stock demand for

capital.

Figure 7.1 Schematic representation of bank balance sheet

Figure 7.2 Loans, required reserves, and disposable assets

in relation to deposits.

Figure 7.3 Maximizing net revenue from loans and

defensive position.

Figure 7.4 (a) Maximizing net revenue, given penalty

interest for borrowing; (b) Maximizing net

revenue, given penalty interest and

fixed cost; (c) Maximizing net revenue

comer solution.

Figure 7.5 Balance sheet outcomes depending on deposits

realized after loans decided.

Figure 7.6 Cumulative probability distribution of deposits.

Figure 7.7 Maximizing expected net revenue with deposits

uncertain: (a) Penalty rate and no fixed cost;

(b) Penalty rate and small fixed cost; (c) Penalty

rate and large fixed cost.

Figure 7.8 Full equilibrium of a bank.

Figure 9.1 Reserves supplied and required, the constant-

multiple case.

Figure 9.2 (a) Reserves supplied and required, general

case; (b) bill rate in relation to reserve supplies

Figure 9.3 (a) Net free reserves relative to required

reserves, nfr(t)/rr-(t - l), monthly l959-l994;

(b) monthly change in nfr(t)/rr(t--1),

l959-l994; (c) frequency distribution of

nfr(t)rr(t-l), monthly l 959-1994; (d) frequency

distribution ofchange in nfr(t)(t-- l),

monthly l959-l994.

Figure 9.4 Bank cash preference curve.

Figure 9.5 Bank cash preference at altemative discount

rates.

Figure 9.6 Change in banks' cash preference function due

to federal funds market.

Figure 9.7 Determination of the federal funds rate: (a) bill

rate low relative to discount rate; (b) bill rate

high relative to discount rate.

Figure 9.8 Relationship of bill rate and federal funds rate

Figure 9.9 Relationship of federal funds rate to the bill

rate.

Figure 9.10 Relationship ofbanks' portfolio choice to loan

rate.

Figure 9.11 Public portfolio preferences and asset supplies

Figure 9.12 Bank portfolio preferences and asset supplies

Table1.1 National wealth of the United States, trillions of

current dollars, 1994

Table4.1

Table4.2 Utility of retum; Expected utility of portfolio

rank in parentheses

Table4.3 Outcomes of mixed portfolio

assuming independenc

Table5.1 Assets in U.S. economy (in units of$ billion)

Table5.2 Shares of monetized capital (MC) in private

capital (PC) and in private wealth (PC + NMA)

Table7.1 Effect of uncertainty about deposits on volume

of loans and investments and expected defensive

position

Table7.2 Bank balance sheets and deposit losses

Table7.3 Balance sheets with losses of expected deposits

Table7.4 Balance sheets and increased reserve

requirements

Table8.1 Estimated composition and distribution of

federal debt (billions of dollars)

Table8.2 Estimated supply and holdings of federal debt

demand debt, end of December (billions of

dollars)

Table8.3A Reserve requirements, Federal Reserve member

banks January 30, 1967 (percent ofdeposits)

Table8.3B Reserve requirements, all depository institutions

June 30, l994 (percentofdeposits)

Table8.4 Reserve accounting identities for Anybank and

for all banks

Table8.5 Aggregate reserve accounts of banks: two

hypothetical examples (billions ofdollars)

Table10.1 Asset/sector matrix for two countries

Table10.2 Effects on endogenous variables of increase in

specified variables, with all others held constant

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