金融市场与机构（第六版）教师手册 F02_MISH1438_06_IM_IntroCases.doc

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金融市场与机构（第六版）教师手册 F02_MISH1438_06_IM_IntroCases.doc

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PAGE xxMishkin/Eakins?Financial Markets and Institutions, Sixth Edition Solutions to Integrative Cases PAGE xix Solutions to Integrative Cases ?Part IMini-Case Solution 1. Based on monthly data, from January 1960 to December 1999: ? Calculate the inflation rate as ?t ? 1200 ? (Pt + 1/Pt ? 1) and graph the series. ? The average ?t for each decade is (approximately): 2.5, 6.5, 5.5, and 3.0. The standard deviations are (approximately): 1.5, 2.7, 3.5, and 1.1. ? The worst decade was the 1970’s and the best the 1990’s. 2. Based on annual data, calculate the real growth rate as: gt ? 100 ? (GDPt+1/GDPt ? 1). ? Graph the real growth rate. ? The average real GDP growth rate for each decade is (approximately): 4.4, 3.2, 3.0, and 3.0. The standard deviations are (approximately): 2.1, 2.8, 2.6, and 1.5. ? The 1980s and 1990s had the lowest real growth. The 1960’s had the highest. ? The 1990’s had the most stable growth. 3. Based on monthly data on M1, from January 1960 to December 1999: ? Calculate the money growth rate as ?t ? 1200 ? (Mt+1/Mt ? 1) and graph the series. ? The 1990’s had the slowest money growth. The 1980’s had the highest. ? The 1970’s had the lowest money growth volatility. The 1990’s had the highest. ? Yes. ?Part IIMini-Case Solution 1. Using monthly data, from January 1955 to February 2002, on the federal funds rate, the one-year Treasury bill rate, a 10-year interest rate, and interest rates on AAA and BAA corporate bonds, plot the series. ? The series move together over time: ? The statistics are (with the series in the same order as in the graph on page ix): Mean Std Dev Minimum Maximum FF 6.08194 3.29450 0.63000 19.10000 1-Year 6.14885 2.85532 1.23000 16.72000 10-Year 6.85830 2.66268 2.61000 15.32000 AAA 7.57369 2.72090 2.93000 15.49000 BAA 8.52769 3.05805 3.45000 17.18000 2. The correlation matrix is: FF 1-Year 10-Year AAA BAA FF 1 1-Year 0.97 1 10-Year 0.87 0.93 1 AAA 0.84 0.89 0.98 1 BAA 0.83 0.88 0.98 0.99 1 ? The strongest correlation is betw