Cmb seminar khun kobsidthi 2011 12-15

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Econ / FX / RatesEcon / FX / Rates

December December 20112011

1

byby

Kobsidthi Silpachai, CFAKobsidthi Silpachai, CFA

Capital Markets ResearchCapital Markets Research

� �������� 2012 ���������� ��������� Mayan !" Nostradamus ���+��ก�-./0��1����2����3��4!ก����-�-5�16ก ... �-����1-��8-�������?� 1�กก�--"��.ก�-�:-;<ก�14!ก3��=!��...�-���11"��>�?@�AB�C"0�0������:-;<ก�1�� 2012 => ...��>�!��C>��� 2008

!" 2009 =!��+�� FF��2�@>�ก6� ��ก1�ก��2 �6@���:-;<ก�1=>��G . 3."��2 กH�!6�F>�F�ก0��+C��������3��B�C"0�0��� �C!�3����4-กH�!6��8!������!���ก�� ... ��4-��11"=���=6�����1������C>�1"-C�ก6�8-���!��=6C� C�กI=� 2540 ����8��8L�C>�

-"FF�6=-� !ก�!����������ก6F�ก�!���������62��M��8������F���+� !"�-�+C������!� NA8����8-6<O �6���>���-�ก���>�@6���3."��2 =>�62�กL��>���8���+C��C>��8-6<O ��>�����NA8�

���������� ������

2

� NA8����8-6<O �6���>���-�ก���>�@6���3."��2 =>�62�กL��>���8���+C��C>��8-6<O ��>�����NA8�� -"��:���P6Q�� !�C��8��2��2� !"��=-ก�-!�-��1>��B�+-6<�����ก�ก�����11"-"�F��3�2��������ก�-!�<��B�;�...�H��8�8��2=>�1���P�

�P����5�����3�2� !"-"��:�8!>��62�1"=ก��5>���B�C"���8��2����C�+C��-�� -���ก3�2�� ����!��ก3��ก�--6F-��4+-��-���8��23��F-�;6� 1) ก�-3�������+-FกH�8��=��ก-" ������������+= 2) ก�-�P������1�ก?5�

0��8��� 3) ก�- !�8��2�8��M���� 4) ก�-!�����-6P�/�P���!�8��2��� ... =>�H�8-6F��B�+-6< ����!��ก�8!>���2��>�M�������� !"�6กก�-�����1"8����P��P/������@H�-"8��2...3."���T��+�-ก!����-"��: 0F���@��=���+���5��6F�B�P+!>��1�ก?!ก-"�F�62�

� �-�+��ก�-./C>� ��!!�-//F�� . ��2� 2012 1"��5>���-"��. 29.50 ��>���-กL�� ��!!�-//F��1"��+C��?6�?C���ก 3�2���5>�0��ก�-./3��C�กI=�8��2�54-4�����1"��=>�=!��ก�-����

� +��C>�T�.1"!��6=-���ก�F�2�!���ก 0.25% !"+�-"�6F 3.00% �C���8�����ก�-@>C�?>��+!��?!ก-"�F1�กNA8��2H��>C�

ก���ก���������������ก����ก������� �!�"�� (consensus)

3

... �-��.�����ก��!- /0����. 1 203��ก : �-���0����ก

4

... �-��.�5���6�

5

... ����-��.�0�7��

6

��ก������-������ก������ก��0�/38� ? !7��/���� �203:;ก<�� (consensus) ?

7

�����ก����ก=>�ก�7��0"��203�����ก��ก�;/�����:�:� ?�@�����8��0�ก����/8-�?

5.0%

10.0%

15.0%

2.0%

4.0%

6.0%

8

-15.0%

-10.0%

-5.0%

0.0%

98 99 00 01 02 03 04 05 06 07 08 09 10 11

-6.0%

-4.0%

-2.0%

0.0%

OECD global lead indicator, % YoY, left World economic growth, % YoY, right

75

80

85

ก�ก/0-���:� ���ก��30�5/!�����.:� �53�ก: global debt / GDP

9

60

65

70

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

world debt / GDP IMF projections

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

mapping of Japan's GDP growth as a function of debt / GDP ratioGDP

� �;K�: -������.��ก�� 60%203����?���O 08-�/ก��ก:� �����ก�����"�.�"0�/3�2�3�ก�/3

10

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280debt / GDP, %

8.0%

10.0%

12.0%

14.0%mapping of US GDP growth as a function of debt / GDP ratioGDP

... �7/������ก��ก�.�����ก��203�-���P

11

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

0 10 20 30 40 50 60 70 80 90 100 110 120 130

debt / GDP, %

0;กก.��0ก��ก:��8�������...����0;กก.��3���5����:��0�8�.�3?

12

5

6

7

8 Italy Spain Germany 7% line%

0�"�Q�"0.�:���3���."���532R��"/0��O 03 7��7���/������ �3��������"�?� �2R������

13

0

1

2

3

4

5

Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11

����:�:� ?�@������Q7� ������ �3ก�S5ก���.��0����.����/�7O 0SO0

14

� ��!!�-/�8-6<O�-��F�M�����ก!��8-���"P����=!��ก�-����4!ก ��>=>��1�กB�;��6�กI;����M�B�;���ก!

� �ก=6C��>�� �@>� F.A���V�=���ก�-�H����������ก1�ก-"��:���ก!6F-"��:A���V� �������=����H�+�� ...

� W ��2� USD/THB

� W !�C3�� USD/JPY

� W =>��>�!��C>�=!��3���6=-� !ก�!���� USD/JPY �62���+C��!�กกC>�=!��3�� USD/THB ��ก �6��62�

:8��0�����-���P�R3������������.�2�3�/2R����O 0��ก���ก����3��:;�!�������ก

15

� W =>��>�!��C>�=!��3���6=-� !ก�!���� USD/JPY �62���+C��!�กกC>�=!��3�� USD/THB ��ก �6��62� ?!ก-"�F����ก��3�2���=!�� USD/THB 1����กกC>�?!ก-"�F����ก��3�2�ก6F USD/JPY !"��!!�-/1"-6F 3L�+>�3�2� ��C>���>����������8!ก!6F�3��-"��:�8-6<O

� ���=�C>�+�.3��8����B�P+!>��=�H���ก� 100 !���F�� �@>� 8���F.-"ก6� !"��2�8����B�P+!>���5� �@>� PTT4���6�C� �6=-�ก�-�!���� !�3��-�+�8����B�P+!>��=�H� �>�1"��กกC>��6=-�ก�-�!���� !�-�+�3��8����B�P+!>���5�

� !"B�C"+C��=��=6C3���B�P+!>����=!��ก�-����4!ก (tight credit conditions)กL�M�N116�8���������1�H��8��ก��ก�-4�ก�������������-���.��กG

�0�����-���P ��3��T��5���ก�3203"��0�"���ก���� ����ก

16

200

250

300

350

400

80

82

84

86

88

90

��กU"ก��3���V 2008 :!-���8���-����กYก�����3ก�/�

17

0

50

100

150

200

Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10

70

72

74

76

78

80

USD OIS, bps, left DXY, right

100

120

140

160

180

200

�Z��"���3���/3�� �203���"R3������0�ก����3 �� 3�������2������."���532R���:/8-�/ �Z?��/03!�"����กก�"R3"���ก2R���:/����

18

0

20

40

60

80

100

02 03 04 05 06 07 08 09 10 11

Euro LIBOR OIS (Overnight Index Swap), bps

�Z?��/03 (������3�� ���...���������?) 7/��...-�O0:!-���/ก�/���� ?

19

y = -18.477x + 59.964

R20.6718 =

40

42

44

46

48USD/THB This equations suggest for

every 10 cents move in EUR/USD is about a 1.84

move in USD/THB

EUR/USD 7/����:�0��/ USD/THB ก��36O�0/2�0�5/!�����.:� �53/" �ก��8�

20

1.337

28

30

32

34

36

38

0.80 0.90 1.00 1.10 1.20 1.30 1.40 1.50 1.60 1.70

EUR/USD

34

35

36

37

USD/THB ���0ก�?;/32R��0�ก����3�-�O0�7/�3:� Lehman Brothers �������

21

31

32

33

34

Jan-08 Mar-08 May-08 Jul-08 Sep-08 Nov-08 Jan-09 Mar-09

USD/THB

115

120

125

130

135 31.031.532.0

32.533.033.534.0

...��O 03�ก���3��:;�8-�00ก�ก����:�8:�

22

100

105

110

115

Jan-

08

Feb-

08

Mar-

08

Apr-

08

May-

08

Jun-

08

Jul-

08

Aug-

08

Sep-

08

Oct-

08

Nov-

08

Dec-

08

Jan-

09

34.034.5

35.035.536.0

FX reserves + swap, USD bn USD/THB, right, inverted

12

13

14

15

16The current debt limit is USD15.194trn versus actual of USD15.009trn. Each day, debt is rising by an average USD 4.19bn…hence within 44 days, we will be talking about US debt ceiling again

0�/�O��/�-���P��-����f����3��3:� �53�ก�-�O0�ก��

23

8

9

10

11

12

Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11

actual debt, USD trn debt limit, USD trn

1,500

2,000

2,500

3,000

�g����0�6�.�0�!7��"�ก�Q/0�����7�3�����-�O0 Q.E. 0�ก �?O 0-��ก��� �3ก�:�;�"��203�����ก������3!- /

24

-

500

1,000

1,500

02 03 04 05 06 07 08 09 10

Fed's balance sheet, USD bn ECB balance sheet, EUR bn

4000

5000

6000

7000

Asia FX reserves, USD bn…when Western central bank print money to monetize their debts

…money will flow to area with better growth prospects,

f���ก�3!��0�7�����T�"�03�5��Z?��/03�/���ก��00ก (sterilization)...6R 3��T�Q��กก�0������Z?��/03203�����ก��:� ?�@����� (debt monetization?)

25

y = 1.407x - 3689.3

R2 = 0.9766

0

1000

2000

3000

4000

3000 3500 4000 4500 5000 5500 6000 6500 7000 7500

sum of USD, EUR M1, bn

growth prospects, generally Asia

…this equation says for every 1 unit of USD or EUR M1, Asia FX reserves increases by 1.4 unit

y = -0.0041x + 57.243

R2 = 0.889340

45

50

USD/THB

�"/ USD/THB ���/0�<ก��.�5/:��:32�3 -��3�ก:� ?;/32R��!�7/�3��ก<203��กU"

26

25

30

35

40

3000 3500 4000 4500 5000 5500 6000 6500 7000 7500

sum of USD, EUR M1, bn

KBank USD/THB model

38

40

42

44

46

48KBank USD/THB model

27

28

30

32

34

36

38

01 02 03 04 05 06 07 08 09 10 11 12

actual model

30.5

30.7

30.9

31.1

31.3

31.5

��f�:.����/0�!-� USD/THB ���O 0�8-�"�"�� (Q��Q��"/08�?) ��!-�Z��0ก7�7/��ก����.������ �3

28

29.5

29.7

29.9

30.1

30.3

30.5

Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11

USD/THB

0%

5%

10%

15%

0%

5%

10%

15%

�����ก����กก��37��0"���3...�����ก��8:������S�"�.�""/08�8��-�O08�/?

29

-15%

-10%

-5%

0%

00 01 02 03 04 05 06 07 08 09 10 11

-15%

-10%

-5%

0%

OECD lead indicator, % YoY, left axis TH GDP, % YoY, right axis

�00�5/ ?

10000

11000

12000

13000

14000

30

6000

7000

8000

9000

10000

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Bhumibol Dam level, million cubic meters

140

160

180

200

�� ���ก<203Q�ก��:.�ก0;:กZ��: ก�:�;�"��203Z�ก�Q��"

31

80

100

120

140

00 01 02 03 04 05 06 07 08 09 10 11

production index

60

65

70

75

80

�� ���ก<203Q�ก��:.�ก0;:กZ��: 0�"�ก�!7�ก��3ก�Q��"-�"��

32

40

45

50

55

60

00 01 02 03 04 05 06 07 08 09 10 11

capacity utilization

2

4

6

8

�����ก��8:����������-�"������� 5.7%!�8"���4 ��O 0�:��.ก�.7/�3�����ก���Vก/0�

33

-8

-6

-4

-2

0

94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12

Thai GDP, % QoQ KR estimate

�����ก������ก��8:�

Source: NESDB, BOT, MOC, KResearch (As of November 21, 2011)Internal-used only

34

3.0

3.5

4.0

4.5

5.0

5.5

%

��f�:.����0�"��0ก�.������.�0�ก 0.25%

35

0.0

0.5

1.0

1.5

2.0

2.5

3.0

01 02 03 04 05 06 07 08 09 10 11 12 13

actual model

y = f(x): ������S!�ก��2/32����������?��f�ก�.ก�:;���" (�������������?)

4.5

5.0

5.5

6.0

WEF, global competitiveness ranking, 2011

Thailand

36

y = 0.2571x + 3.093

R2 = 0.7129

2.5

3.0

3.5

4.0

4.5

1 2 3 4 5 6 7 8 9 10

TI, corruption perception index, 2011

World Economic Forum: ����-���ก� ��ก�.������S!�ก��2/32��2038:�

� Although dropping one more rank, Thailand (39th) maintains its score and appears to be stabilizing after its eroding performance of the previous four years. The improved macroeconomic environment (28th, up 18 places) represents the most positive aspect of Thailand’s accomplishment in this year’s assessment.

� Its public deficit has been reined in and brought to a more manageable level, and the efficiency of its labor market also stands out positively (30th). Moreover, labor markets are flexible (44th) and allow for an efficient allocation of talent (34th).

37

flexible (44th) and allow for an efficient allocation of talent (34th).

� However, many challenges will need to be addressed to make Thailand more competitive.One of the biggest areas of concern is the efficiency of its public institutions (74th), which has been deteriorating over the past three years.

� Property rights for intellectual as well as physical and financial goods remain underprotected (101st), and the worrying security situation imposes a high cost on business (91st). It remains to be seen what impact the new political landscape will have on the economy and whether the new government will succeed in restoring the trust and confidence of the business community.

Z�Q��กZ�Q��ก::

38

ก�?��?��3���7��-������8�/8�������/�Z����

... ��T�ก��0�Z��:3Z��2037"�"����"ก�5/�0�7��

ก�?��?��3���7��-������8�/8�������/�Z����

39

ก�?��?��3���7��-������8�/8�������/�Z����

... ��T�ก��0�Z��:3Z��2037"�"����"ก�5/�0�7��

�;3�6�ก��3����7���ก0�5/

40

y = 0.0808x + 695.84

R2 = 0.9522

1800

2000

2200USD M1, USD bn

y = f(x), -����f���:� �ก2R��203�-���P ��������3��-�;������!��5�203 USD M1 :� �ก2R��

This is evidence of debt monetization (converting it to money). The more

the US government borrows, the more the

1000

1200

1400

1600

4000 6000 8000 10000 12000 14000 16000

US national debt, USD bn

41

borrows, the more the Fed has to print money

y = 0.106x + 44.462

R2 = 0.9397

200

250

300

US CPI index

y = f(x), �����3��-�;������!��5�203 USD M1 :� �ก2R�� ���0�"��3���gr0:� �?� �2R��203�-���P

50

100

150

200

400 600 800 1000 1200 1400 1600 1800 2000 2200

US M1, USD bn

42

sก��2�6O�0?��f.�"����.��-���P 203�g����0�"��3���gr0:� �?� �2R�� = 0�"�Q�"0.�:�:� "���. 6R 3Q5�ก5���8��Q������7��!�2��:� ��ก�3:;�����.Z��2�:;�

2

3

4

5

6

7

43

-3

-2

-1

0

1

2

90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11

10yr UST yield less inflation, %

s���Q�"0.�:�:� "���.6R 3���SR3Q�"0.�:��ก0�"���ก���� ������ 0�/3!�ก���203���:� Q5�ก5�8�������7��!�2��:� Q5�!-�ก5����������7��

-2

0

2

4

6

8

44

-12

-10

-8

-6

-4

-2

00 01 02 03 04 05 06 07 08 09 10 11

FX return, CNY basis, % UST 10yr UST, % sum of yield and FX return

45