Bài giảng thanh toán quốc tế đại học kinh tế tphcm

1TI CHNH QUC TGII THIU MN HC

ThS. Trng Tin SMail: [email protected]

GII THIU MN HC Thi lng v iu kin tin quyt Mc tiu ca mn hc Ni dung chnh Gio trnh v ti liu tham kho Phng php nh gi kt qu hc tp Mt s quy nh khc

Thi lng v iu kin tin quyt Thi lng theo quy nh

n v hc trnh: 3 (45 tit) n v hc trnh: 4 (60 tit)

iu kin tin quyt: hon thnh cc mn hc Kinh t hc vi m Kinh t hc v m Kinh t hc v thng mi QT

2MC TIU MN HCGip Sinh Vin: Nm c kin thc c bn v cc kha cnh ti

chnh - tin t quc t; Hiu v phn tch c cc chnh sch kinh t m

cc chnh ph c th p dng tc ng n ccdng lu chuyn ti chnh quc t;

nh gi v phn tch cc hot ng kinh doanhu t trn cc th trng ti chnh v tc ng cccc dng lu chuyn ti chnh quc t.

NI DUNG CHNH C s h tng ca cc quan h tin t ti

chnh quc t S bin ng ca t gi hi oi v tcng ca n n dng lu chuyn TCQT

Cc l thuyt v t gi S hnh thnh v pht trin ca cc th

trng ti chnh quc t

GIO TRNH V TI LIU THAM KHO Nguyn Vn Tin (2008), Gio trnh Ti chnh

quc t, NXB Thng k; Trn Ngc Th & Nguyn Ngc nh (2005),

Gio trnh Ti chnh Quc t. i hc Kinh tTP.HCM;

Moosa, I.M., (1998), International Finance: ananalytical approach The McGraw-HillCompanies, INC., Australia;

Maurice D.Levi (1996), International Finance,Mc.Graw-Hill, Inc;

Keith Pilbeam(1998), International Finance,Macmillan, London.

3NH GI SINH VIN

Ni dung Hnh thc C cu1. im qu trnh - Ln lp y , tham

gia thuyt trnh, kim tra

30%

2. im thi ht mn - Trc nghim, cu hi tr li ngn, bi tp, gii quyt tnh hung,

70%

TOTAL 100%

Mt s quy nh V gi gic

Vo lp Ra v

V vic s dng in thoi

Chng 1TNG QUAN V TI CHNH QUC T

(Overview of international finance)

4NI DUNG1. i tng nghin cu ca TCQT2. c trng ca TCQT3. Tm quan trng ca TCQT4. Ni dung nghin cu c th

1.1. i tng nghin cu ca Ti chnh quc t TCQT nghin cu cc quan h ti chnh quc

t pht sinh t cc lu chuyn quc t cahng ha, dch v, ti sn v cc yu t snxut nh vn, lao ng v k thut.

Cc kha cnh tin t - ti chnh quc t

1.1. i tng nghin cu ca Ti chnh quc t tm v m, TCQT nghin cu:

C s h tng ca cc quan h TCQT; Tc ng ca cc quan h TCQT n nn kinh t

cc quc gia v h thng TCQT; Tc ng ca bin ng t gi ti cc quan h ti

chnh v thng qua ti nn kinh t cc QG; Mi lin h gia cc chnh sch kinh t ca cc

chnh ph v cc quan h TCQT;

51.1. i tng nghin cu ca Ti chnh quc t tm vi m, TCQT nghin cu:

Cc hot ng huy ng vn v u t quc tca cc doanh nghip;

Cc hot ng qun tr ri ro t gi ca cc doanhnghip;

Cc th trng ti chnh quc t c th: th trngtri phiu quc t, options, swaps

1.2. c trng ca TCQT 1.2.1. Ri ro hi oi 1.2.2. Ri ro chnh tr1.2.3. S thiu hon ho ca th trng 1.2.4. C hi kinh doanh ton cu

1.2.1. Ri ro t gi hi oi Ri ro do t gi hi oi bin ng bt li

li nhun ca ng ngoi t c th bin mt. V d:

Gi s $1 = 100 v bn mua 100 c phiu caToyota vi mc gi 10,000/1 c phiu

Mt nm sau, nh u t thu c li 10% bngyn: 110,000

Nhng nu ng Yn mt gi $1 = 120, vic ut thc s thua l.

61.2.2. Ri ro chnh tr Cc chnh ph c quyn iu chnh s bin ng ca hng ha, vn v nhn lc xuyn bin gii.

Nhng lut l ny c th thay i theo hng khng mong i

1.2.3. Th trng khng hon ho

Nhng gii hn lut php v s di chuyn ca hng ha, nhn lc v vn;

Chi ph giao dch; Chi ph vn chuyn; Thu li tc

1.2.4. Ton cu ha nn kinh t th gii S ni ln ca th trng ti chnh ton cu; S ni ln ca ng Euro nh mt ng tin

ton cu; T do ha thng mi v hp nht kinh t; T nhn ha.

7S ni ln ca th trng ti chnh ton cu Bi b nhng quy nh trn th trng ti chnh cng

vi pht trin cng ngh lm gim chi ph giao dchv chi ph thng tin;

S i mi ti chnh, nh: Th trng tin t options v futures Tri phiu vi nhiu ng tin khc nhau C phiu nim yt xuyn bin Cc qu ti chnh quc t,

S ni ln ca ng Euro nh mt ng tin ton cu Mt s kin quan trng trong lch s h thng

tin t th gii; Hn 300 triu ngi Chu u ca 17 quc

gia ang s dng chung mt ng tin trongvic p ng cc nhu cu hng ngy;

Phm vi giao dch ca ng euro c th trnn rng ln hn la trong tng lai gn.

Gi tr ca ng Euro so vi la M

8T do ha thng mi v lin kt kinh t C s thay i ln trong thi ca nhiu

chnh ph trn th gii khi c tm nhn mrng li ch v ng h t do ha thng minh mt cch chc chn nht em li sthnh vng cho cng dn ca h

Hip nh chung v thng mi v thu quan(GATT) 1947, nh du mt khi u chotin trnh t do ha thng mi v hp nhtkinh t.

T do ha thng mi v lin kt kinh t S thnh vin ca GATT/WTO tng ln nhanh

chng t 23 thnh vin ban u nm 1947 n nay l 153 thnh vin.

2340

51

78 81 83 8790

118137 141

153

020406080

100120140160180

1947 1958 1963 1968 1973 1978 1983 1988 1993 1998 2003 2008

T do ha thng mi v lin kt kinh t Hng lot cc hnh thc lin kt, hp nht

kinh t xut hin trong hn na th k qua, ban u l cc hnh thc lin kt ca cc Quc gia Chu u: EEC/EU 1957

Hin nay, c rt nhiu hnh thc lin kt, hp nht kinh t theo khu vc c thnh lp nh: AFTA, NAFTA, MECORSUR,

Gn 400 Hip nh thng mi t do song phng ang cn hiu lc

9T do ha thng mi v lin kt kinh t Gi tr xut khu ca th k XX gp 700 ln so vi

gi tr xut khu ca th k XIX. Tng kim ngch thng mi ton cu:

1948: $59 t 1953: $84 t 1963: $157 t 1973: $579 t 1983: $1.838 t 1993: $3.676 t 2003: $7.377 t 2009: $15.218 t

0

2

4

6

8

10

1950-60 1960-70 1970-80 1980-90 1990-00 2000-10

Tng trng TMQT (%) Tng trng kinh t GDP (%)

MNCs/TNCs Theo bo co u t th gii ca UNCTAD 2009,

trn th gii hin c 82.000 TNC/MNC vi gn810.000 cng ty con trn ton cu, doanh thu ct 25.000 t USD/nm, chim gn 1/2 tng kimngch thng mi hng ha dch v ca ton thgii vi 6.664 t USD, s dng hn 77 triu laong, chim 80% cc dng vn u t trc tipnc ngoi v nm gi 90% cc thnh tu khoahc cng ngh

Top 10 MNCs/TNCs nm 20091 General Electric United States2 Royal Dutch/Shell Group UK/Netherlands3 Toyota Motor Corporation Japan4 ExxonMobile Corporation United States5 British Petroleum Co. PLC United Kingdom6 HSBC Holding United Kingdom7 AT&T United States8 Wal Mart stores United States9 Banco Santander Spain

10 Chevron United States

Ngun: http://www.justsharethis.com/top-10-biggest-companies-in-the-world-2009/

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1.3. Tm quan trng ca TCQT Nn kinh t mt nc lun l i tng

chu nh hng su sc bi cc s kinxy ra nc ngoi.

Tnh cht m ca ca nn kinh t nhhng n chnh sch kinh t, tin t camt quc gia.

1.3. Tm quan trng ca TCQT Trc thp k 1970: TCQT ch c ging

dy nh mt phn ca mn hc Kinh t quc t

T thp k 1970: TCQT tr thnh mt lnh vc ring bit trong nghin cu kinh t

1.3. Tm quan trng ca TCQT Nguyn nhn l (t thp nin 1970):

Ri ro t gi do s sp ca h thng Bretton Woods nm 1971;

T do ha cc hot ng kinh t v tin b trong lnh vc giao thng vn ti v vin thng;

S lin kt ca cc th trng ti chnh Cc quan h TCQT tr nn phc tp hn

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1.3. Tm quan trng ca TCQT Cc quan h TCQT tr nn phc tp hn:

Cc hot ng u t trc tip nc ngoi; Cc hot ng u t trn cc th trng tin t

quc t, th trng tri phiu quc t v th trngc phiu quc t;

Xut hin v ln mnh ca cc MNCs, cc hotng mua li st nhp cng ty (M&A) xuyn bin;

Cc lung vn ODA,

1.4. Ni dung mn hc Phn 1: Gii thiu tng quan Phn 2: Mi trng ti chnh quc t Phn 3: T gi v cc l thuyt v t gi Phn 4: Cc th trng ti chnh quc t

1.4. Ni dung mn hc Phn 1: Gii thiu

tng quan Phn 2: Mi trng

ti chnh quc t Phn 3: T gi v cc

l thuyt v t gi Phn 4: Cc th

trng ti chnh quc t

- Chng 1: Tng quan v TCQT

12





trng ti chnh quc t

- Chng 2: Cn cn thanh ton quc t

- Chng 3: H thng tin t quc t

- Chng 4: Th trng ngoi hi





trng ti chnh quc t

- Chng 5: M hnhcung cu ngoi t vc ch xc nh t gi

- Chng 6: cc hcthuyt v t gi





trng ti chnh quc t

- Chng 7: Th trng tin t quc t

- Chng 8: Th trng tri phiu quc t

13

Chng 2CN CN THANH TON QUC T

(Balance Of Payment BOP)

MC TIU Tm hiu cc khi nim lin quan n BOP Tm hiu cu trc BOP Tip cn cch phn tch v nh gi tnh

trng BOP Phn tch nh hng ca cc yu t n

BOP

NI DUNG CHNH3.1. Khi nim, c im v nguyn tc hch

ton BOP3.2. Cu trc ca BOP3.3. Thng d v thm ht BOP3.4. Cc yu t nh hng n BOP

14

3.1. Khi nim, c im v nguyn tc hch ton BOP

3.1.1. Khi nim: Cn cn thanh ton (Balance of Payment)

ca mt quc gia l mt bn bo co thngk tng hp c h thng, ghi chp tt c ccgiao dch kinh t gia ngi c tr v ngikhng c tr trong mt thi k nht nh,thng l mt nm.

Cc giao dch kinh t l cc giao dch: Xut nhp khu hng ha v dch v; Thu nhp ca ngi lao ng, thu nhp t hot ng u t trc tip v u t gin tip;

Chuyn giao vng lai mt chiu; Chuyn giao vn mt chiu; Chuyn giao vn vo trong nc v chuyn vn ra

nc ngoi trong lnh vc u t trc tip, u t vo cc giy t c gi;

Ngi c tr Bao gm cc t chc hoc c nhn trong nc; Vn phng i din nc ngoi ca cc t chc

trong nc; Cng dn trong nc c tr nc ngoi di 12

thng; Cng dn trong nc i du lch, hc tp, cha bnh

v thm ving nc ngoi khng k thi hn; Ngi nc ngoi c tr VN t 12 thng tr ln

(Theo quy nh iu 3 Ngh nh 164/1999/N CPv qun l Cn cn thanh ton quc t ca VN)

15

Khi nim Ngi khng c tr bao gm cc t chc hay c

nhn nc ngoi Ngoi ra, ngi khng c tr cn bao gm:- Vn phng i din ca cc t chc nc ngoi

trong nc- Cng dn trong nc c tr nc ngoi trn 12

thng- Cng dn nc ngoi i du lch, hc tp, cha bnh

v thm ving trong nc khng k thi hn- Ngi nc ngoi c tr trong nc di 12

thng

Khi nim Vit Nam:- Ngn hng Nh nc Vit Nam l c quan

chu trch nhim ch tr, lp, theo di v phntch cn cn thanh ton

- ng tin hch ton l USD

ngha BP Trng thi BOP nh hng trc

tip ln t gi hi oi, l cng cquan trng pht tn hiu v tnhtrng ca nn kinh t, v cc vn kinh t v m

BP c ngha c bit quantrng i viChnh phDoanh nghip

16

c im BOP Ghi chp cc lung chu chuyn hng ha, dch v

hay ti sn Ghi chp cc thay i v TS N v TS C gia

Ngi c tr v Ngi khng c tr Ging b/c v ngun vn v s dng vn ca

doanh nghip, cn cn thanh ton cho bit, trongmt thi k nht nh, mt quc gia c cc nguntin t u v s dng ngun tin nh th no

Minh ho

Nguyn tc hch ton BP

Nguyn tc bt ton kp: mt bt ton ghin bao gi cng c mt bt ton ghi ctng ng v ngc li;

Cc giao dch c ghi n l cc giao dchlm pht sinh cu ngoi t

Cc giao dch c ghi c l cc giao dchlm pht sinh cung ngoi t

3.2 Cu trc ca BP

17

3.2 CU TRC CA BP Cn cn thanh ton gm 4 b phn chnh:

- Cn cn vng lai- Cn cn vn- Cn cn tng th- Cn cn b p chnh thc

Khon mc giao dch N (-) C (+)CN CN VNG LAI -351. Xut khu, Nhp khu hng ha + 4002. Xut khu, Nhp khu dch v -4503. Tip nhn, Chi tr thu nhp (lng, li, c tc) -10 + 24. Chuyn giao vng lai mt chiu (vin tr, kiu hi) + 23CN CN VN + 305. u t trc tip (ra nc ngoi, vo trong nc) + 1206. u t gin tip (ra nc ngoi, vo trong nc) + 207. Ti sn khc (tn dng, tin gi, khc) -130 + 308. Nhm ln v sai st thng k -10CN CN D TR CHNH THC +59. D tr chnh thc +5D tr Vng, ngoi t, SDR, Tn dng IMF, Vay khc +5CN CN THANH TON 0 0

Cn cn Vng lai (BCA) Thng mi hng ha

Xut khu v nhp khu hng ha Thng mi dch v

Xut khu v nhp khu dch v Thu nhp

Thu v chi tr lng, thu nhp t u t (tin li, c tc) Chuyn giao mt chiu v mc ch tiu dng

Vin tr khng hon li, chuyn tin t nhn, qu biu Cn cn Vng lai = s d ti khon Vng lai

18

Cn Cn Vn (BKA) Chuyn giao vn mt chiu

Vin tr pht trin c s h tng, Xa n vay u t trc tip

u t mi, Hp nht v St nhp u t gin tip

C phiu, tri phiu, chng khon phi sinh u t khc

Tn dng thng mi, Tn dng ngn hng, Tin mt, Tin gi

Cn cn Vn = s d ti khon Vn

CN CN C BN (BB) Cn cn c bn bng tng hai cn cn: cn

cn vng lai + cn cn vn di hn Cn cn c bn phn nh tng i tng

qut tnh trng n nc ngoi ca mt qucgia

Tnh trng cn cn c bn nh hng lu din nn kinh t v t gi hi oi

D tr chnh thc D tr vng v ngoi t ca chnh ph D tr SDR ti IMF Ti sn d tr khc Ti tr ngoi l

Quan h tn dng vi chnh ph cc nc (ccNHTW khc)

Cn cn d tr (b p) chnh thc

19

CN CN TNG TH (OB) Cn cn tng th bng tng hai cn cn: cn

cn vng lai + cn cn vn; Trong thc t, cn cn tng th cn bao gm

mt hng mc c gi l nhm ln v saist

20

3.3 THNG D V THM HT CN CN THANH

TON

3.3 THNG D V THM HT CN CN THANH TON Vi nguyn tc bt ton kp, cn cn thanh

ton lun cn bng Khi ni cn cn thanh ton thm ht hay

thng d l cc nh kinh t mun ni nthm ht hay thng d ca mt nhm cccn cn b phn nht nh trong cn cnthanh ton

ng thc c bn ca BOP Trng thi cn cn b phn

Thm ht (Tng C < Tng N) Thng d (Tng C > Tng N) Cn bng (Tng C ~ Tng N)

ng thc c bn ca BOP Cn cn tng th lun trng thi cn bng

CA + KA + OR = 0(khng c sai st thng k, ngha l eo = 0)

21

3.3.1 THNG D V THM HT CN CN THNG MI CCTM c th cho bit:- Xu hng vn ng ca CCVL- Mc m ca ca nn kinh t- Nng lc cnh tranh ca nn kinh t

Tnh trng CCTM nh hng trc tip vnhanh chng n t gi, tng trng kinh tv lm phtV d, CCTM thm ht thng tc ng lmt gi tng, ng ni t gim gi

3.3.2 THNG D V THM HT CN CN VNG LAI Tnh trng CCVL nh hng trc tip v

nhanh chng n t gi, tng trng kinh tv lm pht

Nu thng d, n phn nh ti sn c rngca quc gia tng ln

Nu thm ht, n phn nh ti sn n rngca quc gia tng ln

3.3.3 THNG D V THM HT CN CN C BN Cn cn c bn phn nh tng qut tnh

trng n nc ngoi ca mt quc gia vvn di hn c c trng ca s phn phili thu nhp tng i n nh trong mt thigian di gia mt quc gia v phn th giicn li

22

3.3.3 THNG D V THM HT CN CN C BN

S b p cho nhau gia thng d ca CCVL v thm ht cn cn vn di hn c th c duy tr lu di

3.3.4 THNG D V THM HT CN CN TNG TH Di ch t gi c nh:- Tnh trng mt cn bng cn cn tng th

cho bit p lc dn n ph gi hay nng gi ni t;

- duy tr t gi c nh, NHTW dng d tr ngoi hi can thip

CA + KA = - OR

3.3.4 THNG D V THM HT CN CN TNG TH Di ch t gi th ni:- Cn cn tng th lun c xu hng vn ng

tr li trng thi cn bngCA + KA = 0 hoc CA = - KA

Trng thi thm ht (thng d) ca CA c ti tr bng trng thi thng d (thm ht) ca KA

T gi t ng thay i, qua iu chnh trng thi BOP

23

3.4 Cc yu t nh hng n BP

Cc yu t tc ng n cn cn vng laiCc yu t tc ng n cn cn vn

3.4.1 Cc yu t nh hng n cn cn vng lai

Tng trng kinh t T gi hi oi Lm pht Cc ro cn thng mi

Tng trng kinh t

Quc gia c mc tng trng kinh t cao thng tri qua thi k thm ht cn cn thng mi

24

T GI HI OI T gi bin ng tc ng ln XK v NK Trong iu kin h s co gin ca cu hng

ha XK v cu hng ha NK tng i caoth khi t gi tng s lm tng XK v gimNK; iu ny c th dn n ci thin CCVL

T GI HI OI Trong qu kh, nhiu nn kinh t thng s

dng bin php ph gi ni t ci thinCCVL

Ngy nay, nhiu nn kinh t thc hin chnhsch duy tr ng tin yu to li thcnh tranh v gi v ci thin CCVL

T GI HI OI C s l thuyt (iu kin Marshall-Lerner)

cng nh bng chng thc nghim (hiung tuyn J) ch ra rng ph gi khng philc no cng dn n ci thin CCVL;

25

T GI HI OI V mt l thuyt, iu kin Marshall-Lerner

ch ra rng:- Ph gi ni t s c nh hng tch cc n

CCVL nu nh tng gi tr h s co gin (hs co gin cu XK +h s co gin cu NK)ln hn 1

T GI HI OI iu kin Marshall-Lerner ch ra rng:- Ph gi to ra hai hiu ng, hiu ng gi v hiung lng

- Hiu ng gi l nhn t lm cho CCVL xu i- Hiu ng lng l nhn t gp phn ci thin CCVL- Tnh trng CCVL sau khi ph gi ph thuc vo tnh

tri ca hiu ng khi lng hay hiu ng gi c

T GI HI OI Cc bng chng thc nghim ch ra rng:- Ph gi thng khng trnh c hiu ng

tuyn J- CCVL thng xu i sau khi ph gi, sau

dn dn mi c ci thin theo thi gian

26

T GI HI OI Hiu ng tuyn J:

Cn cn vng lai

Thng d(+)

Thm ht (+)

0t1 t2 t3

Tuyn J

Ba nguyn nhn chnh gii thch hiu ngtuyn J:

- Phn ng ca ngi tiu dng din ra chm- Phn ng ca ngi sn xut din ra chm- Cnh tranh khng hon ho

T GI HI OI

LM PHT

Mt quc gia c mc lm pht cao hn sovi cc i tc thng mi thng tri quathi k thm ht CCVL

27

Cc ro cn thng mi

Nhiu quc gia s dng cc ro cn thngmi bo v CCVL

Bin php ny khng thch hp trong bicnh t do ha thng mi

3.4.2 Cc yu t nh hng n cn cn vn

Li sut Cc loi thu Cc bin php kim sot vn Cc k vng v thay i t gi

3.4.2 Cc yu t nh hng n cn cn vn

Li sut Cc loi thu Cc bin php kim

sot vn Cc k vng v thay i t gi

- Li sut mt quc gia tng s lm cho cc ti sn ti chnh ca quc gia hp dn cc nh u t nc ngoi

cn cn vn c th c ci thin trong ngn hn

28

3.4.2 Cc yu t nh hng n cn cn vn Li sut Cc loi thu Cc bin php kim sot

vn Cc k vng v thay i t

gi

- p dng cc loi thunh trn li vn (capitalgain) hoc nh trn cckhon thu nhp u t(c tc v li cho vay) slm cho cc chng khonkhng cn hp dn ccnh u t nc ngoi

cn cn vn c th b xui

3.4.2 Cc yu t nh hng n cn cn vn Li sut Cc loi thu Cc bin php kim

sot vn Cc k vng v thay i

t gi

- Cc nh u t la chn u t vo cc chng khon nc ngoi nu mc sinh li cao hn

- Mc sinh li ca chng khon nc ngoi ph thuc vo mc sinh li danh ngha ca chng khon v mc thay i t gi

3.4.2 Cc yu t nh hng n cn cn vn Li sut Cc loi thu Cc bin php kim

sot vn Cc k vng v thay i

t gi

- Khi mt ng tin tng gi, mc sinh li ca chng khon ghi bng ng tin s tng

- Mt ng tin c k vng l tng gi th cc chng khon ghi bng ng tin s hp dn nh u t nc ngoi

- Cn cn vn ca mt quc gia c th c ci thin nu ng tin ca quc gia c k vng l tng gi

29

Chng 3TH TRNG NGOI HI

(The Foreign Exchange Market -FOREX)

MC TIU Gii thiu cc c trng ca TTNH Xc nh cc ch th tham gia TTNH Cc khi nim c bn v t gi, cc loi t

gi Cc giao dch ngoi hi c bn

NI DUNG2.1 Khi nim v c trng TTNH

2.2 Chc nng v vai tr ca TTNH

2.3 Ch th tham gia th trng

2.4 T gi v cc vn v t gi

2.5 Cc giao dch ngoi hi c bn

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3.1. Khi nim v c trng ca Th trng ngoi hi

Th trng ngoi hi l g? L th trng cc ng tin ca cc quc gia

khc nhau c mua bn vi nhau; Ngoi hi y ch yu l cc khon tin gi

ngn hng.

Ngoi hi khc vi ngoi t nh th no?

c trng ca th trng ngoi hi Th trng ti chnh ln nht; Th trng cnh tranh hon ho nht; Hot ng hiu qu; Th trng Over-The-Counter(OTC); C tnh ton cu, hot ng lin tc 24/24 gi; Trung tm l th trng lin ngn hng; Cc ng tin giao dch ch yu: USD, EUR, YEN, GBP,

CHF, CAD, AUD, NZD, SGD

3.2. Chc nng v vai tr ca th trng ngoi hi Chc nng ca FOREX

Cung cp cc dch v cho khch hng thc hin cc giao dch thng mi quc t;

Gip lun chuyn vn quc t; L ni xc nh t gi hi oi; Cung cp cc cng c bo him ri ro t gi.

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3.2. Chc nng v vai tr ca th trng ngoi hi Vai tr ca FOREX

Thc y thng mi v u t quc t; To iu kin NHTW c th can thip v tc ng ln t gi theo hng c li cho nn kinh t

3.3. Phn loi theo hnh thc t chc

Ngn hng thng mi (commercial banks); Ngn hng trung ng (central banks); Doanh nghip (Firms); Qu u t (Investment funds); Cc nh mi gii (broker companies); Khch hng mua bn l (private customers) Mc ch ca cc ch th trn th trng?

S mi quan h gia cc thnh vin

NHTW

KH mua bn l

NHTM NHTM KH mua bn l

Mi gii

32

3.4. T GI V CC VN V T GI3.4.1. Khi nim v t gi3.4.2. Cc loi t gi3.4.3. Yt t gi 3.4.4. Yt gi trc tip v gin tip3.4.5. T gi cho

KHI NIM T GI T gi hi oi l gi ca mt ng tin c

biu th thng qua ng tin khc T gi l t l trao i gia hai ng tin V d:

1USD=16.050VND 1GBP=1.258EUR1EUR=1.3250USD 1USD=112.36JPY

CC LOI T GI T gi c nh v t gi th ni T gi giao ngay v t gi k hn T gi mua vo v t gi bn ra T gi chnh thc T gi th trng t do/ ch en T gi tin mt v t gi chuyn khon T gi cho

33

YT T GI1la M i c 118.54 yn Nht

1USD= 118.54 JPY USD1= 118.54 JPY 118.54JPY/USD JPY 118.54/USD

USD/JPY 118.54USDJPY 118.54S(JPY/USD)=118.54

YT T GI Quy c cch c t gi:Vi hai ng tin x v y:T gi gia hai ng tin c yt nh sau:

S n v ng tin x trn mt n v ng tin yV d: 16.050VND/USD hay S(VND/USD)=16.050y l ng yt gi, c n v l 1x l ng nh gi, biu th gi tr ng tin yS(x/y) tng y tng gi so vi x

S(x/y)

YT T GI Quy c cch yt t gi:T gi nghch o ca S(x/y) l S(y/x)Mi quan h gia hai t gi ny:

V d: S(USD/GBP)=1.7518S(GBP/USD) =1/S(USD/GBP) =0.5708

S y x S x y( / ) ( / )=1

34

YT GI TRC TIP V GIN TIP Yt gi trc tip

Cho bit mt n v ngoi t bng bao nhiu n v ni t

Yt gi gin tipCho bit mt n v ni t bng bao nhiu n v ngoi t

6 ng tin yt gin tip: GBP, IEP, AUD, NZD, EUR, SDR

Phn bit cch yt trc tip hay gin tip ch mang tnh tng i, di gic ca mt quc gia

Cu hi Cc quc gia yt trc tip hay gin tip?- Vit Nam, Thi Lan, Singapore- M, Canada- c, Anh, New Zealand, Iceland- Khu vc ng EUR

T GI MUA VO V BN RA

T gi mua vo (Bid rate)L t gi m ti nh ti nh to gi sn sng mua vo ng tin yt gi

T gi bn ra (Ask rate/Offer rate)L t gi m ti nh to gi sn sng bn ra ng tin yt gi

Thng thng t gi bn ra ln hn t gi mua voV d: 16020 16030 VND/USD

35

T GI MUA VO V BN RA Chnh lch t gi mua vo bn ra

Spread = Ask rate Bid rate

Spread = Ask Bid100%Bid

Spead ph thuc vo cc yu t no?

T GI MUA VO V BN RA Spread ph thuc vo:- Gi tr giao dch- Th trng ngoi hi ni din ra giao dch- Tnh n nh ca ng tin giao dch- T trng giao dch ca ng tin trn th trng- Ngoi t tin mt hay chuyn khon hay sc

IM T GI

1USD = 1.3540 CHF 1 im l 0.0001 CHF1GBP = 1.7350 USD 1 im l 0.0001 USD1USD = 118.02 JPY 1 im l 0.01 JPY1USD = 15800 VND 1 im l 1 VND

36

IM T GI Thng thng l mc thay i ti thiu ca t gi c yt im t gi l n v (thng thng l s thp phn) cui cng

ca t gi c yt theo thng l trong cc giao dch ngoi hi. 1 im t gi (1 point) c gi tr khc nhau ty thuc vo ng

tin lin quan v cch yt t gi

T GI CHO Khi nim: T gi cho l t gi gia haing tin c suy ra t t gi ca hai ngtin vi ng tin th ba

T gi cho gin n:Gi s: c 3 ng tin x, y, zKhng c chi ph giao dchC t gi gia x v z, y v zCn tnh t gi gia x v y

T GI CHO T gi cho gin n:Trng hp 1: Bit S(x/z) v S(y/z) (z l ng tin yt gi trong c 2

t gi)

V d: Cho S(JPY/USD)=118,54 S(VND/USD)=16.011

S(JPY/VND)=?

S x yS x zS y z

( / ) ( / )( / )=

37

T GI CHO T gi cho gin n:

Trng hp 2: bit S(x/z) v S(z/y) (z va l ng yt gi, va l ng nh gi)

V d: Cho S(JPY/USD)=118,54S(USD/EUR)=1,2708 S(JPY/EUR)=?

S(x/y)=S(x/z).S(z/y)

T GI CHO

T gi cho gin n:Trng hp 3: bit S(z/x) v S(z/y) (z l ng nh gi trong c 2 t gi)

V d: Cho S(USD/AUD)=0.5871S(USD/EUR)=1.3108 S(EUR/AUD)=?

S x yS z yS z x

( / ) ( / )( / )=

T GI CHO T gi cho mua vo bn ra:Nguyn tc xc nh: Nh to th trng

(ngn hng) lun mua thp bn cao

38

T GI CHO T gi cho mua vo bn ra:

Trng hp 1: ng tin trung gian l ng yt gi trong c 2 t giBit S(VND/USD)=(a,b)

S(HKD/USD)=(c,d)S(VND/HKD)=(x/y)

x=a/d

y=b/c

T GI CHO T gi cho mua vo bn ra:

Trng hp 2: ng tin trung gian va l ng nh gi, va l ng yt gi

Bit S(VND/USD)=(a,b)S(USD/GBP)=(c,d)S(VND/GBP)=(x/y)x= a.c

y = b.d

T GI CHO T gi cho mua vo bn ra: Trng hp 3: ng tin trung gian l ng nh gi trong c 2 t gi

Bit S(USD/AUD)=(a,b)S(USD/GBP)=(c,d)S(AUD/GBP)=(x/y)

x = c/b

y = d/a

39

Nghip v kinh doanh chnh lch t gi (triangular arbitrage) Qu trnh loi b s khng thng nht v t gi gia 3 ng tin 2 bc thc hin nghip v triangular arbitrage: Kim tra xem t gi gia cc ng tin c thng nht khng? Xc nh qu trnh thc hin nghip v S dng m hnh hnh tam gic (triangle) xc nh quy trnh

kinh doanh

Nghip v kinh doanh chnh lch t gi (triangular arbitrage)

x

y z

3.5. CC GIAO DCH NGOI HI C BN Giao dch ngoi hi giao ngay (forex spot transactions) Giao dch ngoi hi k hn (outright forex forward

transactions) Giao dch hon i ngoi hi (forex swaps) Giao dch quyn chn tin t (currency options) Giao dch tin t tng lai (currency futures)

40

FORWARD SWAPS FUTURES OPTIONSSPOT

FOREXMARKETS

GIAO DCH NGOI HI

C S

GIAO DCH NGOI HIPHI SINH

S cc giao dch ngoi hi

CC GIAO DCH NGOI HI C BN

Giao dch giao ngay (Forex Spot) Giao dch K hn (Forward)

Giao dch ngoi hi giao ngay (Forex Spot Transaction) Forex Spot l giao dch trong hai bn tha

thun mua bn ngoi hi theo t gi ctha thun ngy hm nay v vic giao hngc thc hin trong vng 2 ngy lm vic

i tng mua bn trong mt giao dchngoi hi giao ngay l cc khon tin gingn hng ghi bng cc ng tin khc nhau

41

Giao dch ngoi hi giao ngay (Forex Spot Transaction) Hai ngy lm vic l thi gian cn thit

lm th tc ghi c ti khon ngn hng i tc s tin tha thun

Mi giao dch ngoi hi c hai ngy lin quan: ngy giao dch v ngy gi tr

Giao dch ngoi hi giao ngay (Forex Spot Transaction)

T3 T4 T5 T6 T7 CN T2

0 1 2

0 1 x x 2

Ngy giao dch Ngy gi tr

Ngy giao dch Ngy gi tr

Giao dch ngoi hi k hn

Giao dch ngoi hi k hn (outright forexforward transastion) l giao dch mua bnngoi hi trong t gi c hai bn thathun ngy hm nay v vic giao hng(chuyn i tin t) c thc hin ti mct gi vo mt ngy xc nh trong tnglai

42

Giao dch ngoi hi k hn Ngy giao dch v ngy gi tr

14/09 16/09 16/12

Mua USD k hn3T

Nhn USD &thanh ton VND

Giao dch Spot valuedate

Forward value date

Giao dch ngoi hi k hn

Giao dch ngoi hi k hn s dng bo him ri ro t gi:

Cc khon phi thanh ton nhp khu

Cc khon phi thu xut khu

Cc khon u t bng ngoi t

Cc khon i vay bng ngoi t

CNG THC TNH T GI K HN

Fn l t gi k hn S(A/B) l t gi giao ngay iA l li sut k hn ca ng nh gi (tnh

%/nm) iB l li sut k hn ca ng yt gi

)1()1()/()/(

B

An i

ixBASBAF

+

+=

43

Giao dch ngoi hi k hn im k hn s tuyt i(p):

p =F(A/B)-S(A/B) im k hn tng i:

Nxx

BASBASBAFp 12100)/(

)/()/( =

im k hn

T l % ln gi (hay gim gi) l tng ng vi chnh lch li sut gia hai ng tin

p = iA iB

Tng trng doanh s giao dch ngoihi ton cu trung bnh mi ngy

Tng trng doanh s giao dch ngoi hi ton cu trung bnh mi ngy

534

776

1137

1430

1174

1773

27 58 97128 131

208

0

200

400

600

800

1000

1200

1400

1600

1800

2000

1989 1992 1995 1998 2001 2004NM

T US

D

TotalForward

Ngun: Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in April 2004 - BIS

44

Thi gian giao dch cc trung tm ngoi hi

Trung tm Open Time (GMT) Close Time (GMT)

Sydney 01:00 09:00Tokyo 01:00 09:00Hong Kong 02:00 10:00Singapore 03:00 11:30

Bahrain 05:30 10:30Frankfurt 07:30 15:30London 08:30 16:30NewYork 13:00 20:00Chicago 14:00 21:00San Francisco 15:30 23:00

Chng 4

H thng tin t quc t v ch t gi

(The International monetary system)

Mc tiu

Tm hiu khi nim H thng Tin t quc t Tm hiu cc ch t gi Kho st lch s pht trin H thng tin t quc

t

45

Ni dung

1. Khi nim c bn v HTTTQT2. Cc ch t gi3. Qu trnh pht trin ca HTTTQT

1. HThng Tin T Quc T1.1 Khi nim v HTTQT 1.2 Vai tr ca HTTQT1.3 Hai b phn cu thnh HTTQT1.4 Tiu ch phn loi HTTQT

1.1 Khi nim HTTTQT

HTTTQT l mt h thng cc quytc, cc quy nh, cc t chcquc t iu chnh cc quan hti chnh gia cc quc gia

46

1.1 Khi nim HTTTQT

HTTTQT cho bit:- T gi gia cc ng tin c xcnh nh th no;

- D tr quc t gm nhng g;- S mt cn i cn cn thanh ton ca

mt quc gia c iu chnh nh thno

1.2 Vai tr ca HTTTQT

HTTTQT ng vai tr quan trng v:- Tnh cht ca HTTTQT nh hng n thng mi

v u t quc t;- Tnh cht ca HTTTQT nh hng n s phn b

cc ngun ti nguyn trn th gii;- HTTQT ch r vai tr ca chnh ph v cc nh ch

ti chnh quc t trong vic xc nh t gi khi mchng khng c php vn ng theo cc th lcth trng.

1.3 Hai b phn cu thnh HTTTQT

Hai b phn cu thnh ca HTTTQT:- Khu vc cng: cc tha thun gia cc

Chnh ph v chc nng ca cc nh ch tichnh quc t cng

- Khu vc t: ngnh cng nghip ngn hngv ti chnh

47

1.4 Tiu ch phn loi HTTTQT

Hai tiu ch phn loi ca HTTTQT:- Mc linh hot ca t gi: h thng t gi cnh, h thng t gi th ni, h thng t gi thni c iu tit

- c im ca d tr ngoi hi quc t: Bn v hng ha (pure commodity standards) Bn v ngoi t (pure fiat standards) Bn v kt hp (mixed standards)

2. Phn loi ch t gi theo mc linh hot ca t gi

Ch t gi c nh Ch t gi th ni/linh hot Ch t gi th ni c qun l Ch t gi c nh nhng c iu chnh Ch t gi c nh, tuy nhin c linh

hot trong phm vi mt bin Ch t gi b trn Ch hai loi t gi

2.1 Ch t gi c nh (Fixed Exchange Rate regime/ Arrangement) NHTW n nh mc t gi ngang gi NHTW chu trch nhim duy tr t gi c nh duy tr t gi c nh, NHTW can thip

trc tip bng cch thay i d tr ngoi hi NHTW cng c th can thip bng cc bin

php khc

48

2.1 Ch t gi c nh Trng hp cu vt cung:- NHTW can thip th no?- NHTW bn ngoi t t d tr ngoi hi (lm

gim d tr ngoi hi) mt lng bng cuvt cung

2.1 Ch t gi c nh Trng hp cu vt cung:

(St)1

(Df)0Qf

S(d/f)

S(o)

(St)o

Qo

S can thip ca NHTW

(Df)1

Trng hp cung vt cu:

(Df)1

Qo Qf

S(d/f)

So

(St)o

(Df)0

S can thip ca NHTW

2.1 Ch t gi c nh

Q1

(St)1

S1

49

Trong thc t:- Th trng dng nh khng bao gi cn

bng mc t gi c nh- Thng xy ra trng hp t gi c cnh di mc cn bng ca thtrngni t c nh gi cao(overvalued)

2.1 Ch t gi c nh

T gi c nh di mc cn bng v plc y t gi v pha cn bng ca thtrng

Df

S(d/f)Sf

S(fixed)

Qs Qd Qf

Cu vt cung

im cn bng ca th trng (point of market

equilibrium)

2.1 Ch t gi c nh

NHTW phi lm g duy tr t gi c nh? La chn 1: Can thip vo TTNH- Bn ra mt lng ngoi t bng vi lng cu

vt cung ti mc t gi Sfixed:- Tuy nhin, nu cu lin tc tng, NHTW s

khng c ngoi t can thip, d tr ngoit s nhanh chng cn kit;

La chn ny ch mang tnh tnh th, tm thitrong ngn hn

2.1 Ch t gi c nh

50

La chn 2: a ra cc bin php kim sotngoi t:

- Hn ch vic chuyn i t ni t sang ngoit

- Quy nh kt hi- p dng h thng a t gi- Hn ch lu chuyn thng mi

2.1 Ch t gi c nh

La chn 2: a ra cc bin php kim sot ngoit:

Nhc im: Pht sinh th trng ch en Tng chi ph kim sot th trng ch en v cc

giao dch chuyn tin bt hp php Tng chi ph cho doanh nghip Pht sinh nn quan liu, tham nhng Cc bin php hn ch lu chuyn thng mi

khng ph hp vi cam kt t do ha thng mi vu t

2.1 Ch t gi c nh

La chn 3: Gim pht nn kinh t:- Theo ui chnh sch tht cht tin t nh gim

cung tin v tng li sut;- Theo ui chnh sch ti kha tht lng buc

bng nh tng thu v gim chi tiu chnh ph Tng chi tiu ca nn kinh t s gim, k c chi tiu

nhp khu Kt qu l nhu cu ngoi t gim v c th km nnc t gi mc c nh ban u

2.1 Ch t gi c nh

51

Nhn xt

Tng hp cc binphp:

Can thip trn thtrng ngoi hi

Kim sot ngoi hi Gim pht nn kinh t

S(d/f)

Sfixed

Sf

Df

Qf

Nhn xt

Cc bin php m NHTW a ra c thy ng cu v bn tri v duy tr ct gi c nh nh mong mun

Nhng cc iu chnh kinh t v m nhvy nhiu khi gy au n cho nn kinh tv t gi khng cn l cng c ca chnhsch kinh t v m

u nhc im ca ch t gi c nh?

2.2 CH T GI TH NI (Perfectly floating exchange rate regime)

T gi thay i lin tc duy tr s cn bngca th trng ngoi hi

T gi vn ng theo quy lut cung cu NHTW khng can thip vo t gi

52

2.2 CH T GI TH NI S(d/f)

S1S0

QfQ0 Q1

(Sf)0

(Dt)o

(Dt)o

S(d/f)

T

2.2 CH T GI TH NI

2.3CH T GI TH NI C QUN L(Managed floating exchange rate regime)

T gi v c bn l c th ni/ linh hot NHTW c th can thip vo th trng hn

ch mc bin ng ca t gi, nhng khngcam kt l s duy tr mt mc t gi c nhno hoc bin dao ng xung quanh tgi trung tm

53

2.4 CH T GI C NH NHNG C IU CHNH (Fixed but adjustable exchange rate regime)

T gi c nh c chnh thc iu chnh khiNHTW thy s iu chnh nh vy l cn thit

Hai loi iu chnh: ph gi v nng gi- Ph gi (devaluation): l hnh ng NHTW tng t

gi c nh lm gim gi ng gi tr ng ni t mtcch chnh thc

- Nng gi (Revaluation): l hnh ng NHTW gimt gi c nh lm tng gi tr ng ni t mt cchchnh thc

2.4 CH T GI C NH NHNG C IU CHNH

NHTW c nn ph gi mnh ng ni t? Ph gi c nh hng mnh n chnh tr.

Di mt cng chng:- Ph gi l biu hin yu km ca chnh ph trongiu hnh nn kinh t

- Ph gi to p lc lm pht, lm xi mn scmua ca ni t, nh hng trc tip n i sngca dn chng

2.5 CH T GI C NH V NG THI LINH HOT TRONG PHM VI MT BIN (Regime of fixed exchange rate and flexible within a band)

T gi c php linh hot trong phm vi mt bin c xc nh bi hai gii hn: gii hn trn vgii hn di t gi ngang gi (par value);

T gi c hiu l c nh ch n khng cphp vn ng ra khi gii hn ca bin

V d: H thng tin t Bretton Woods v H thngtin t Chu u (European Monetary System EMS)

54

2.5 Ch t gi c nh v ng thi linh hot trong mt phm vi bin

Upper Limit

Par value

Lower Limit

T

S(d/f)

2.6 Ch t gi b trn(Crawling Peg)

Peg: c nh/ bnh qun T gi c iu chnh theo t gi bnh qun

ca mt giai on trc hay c gnvi mt ch s kinh t

V d:- T gi c iu chnh bng mc bnh qun

tun trc hay thng trc- T gi c iu chnh theo mc lm pht

2.7 Ch hai t gi (Dual exchange rate regime)

Ch ny pha trn hai loi t gi: t gi c nh vt gi linh hot

T gi c nh p dng cho cc giao dch vng lai T gi linh hot p dng cho cc giao dch vn Mc ch: tch bit cc giao dch thng mi khi

cc bin ng t gi do cc hot ng lu chuynvn ngn hn mang tnh cht u c to nn

55

3. Qu trnh pht trin ca h thng tin t quc t

3.1 H thng song bn v vng trc 1875 3.2 H thng bn v vng c in 1875

1914 3.3 Giai on gia hai th chin 3.4 H thng Bretton Woods 1945 1971 3.5 H thng tin t quc t hin hnh

3.1 H thng song bn v vng trc 1875

Vng v bc thc hin chc nng lm phng tintrao i v lu thng trong nn kinh t

Cc quc gia nh ngha n v tin t quc gia vatheo vng va theo bc

T l chuyn i gia hai kim loi c quy nhchnh thc

Vng v bc u c s dng lm phng tinthanh ton quc t

T gi gia cc n v tin t c xc nh theogi tr ca vng v bc

3.1 H thng song bn v vng trc 1875

Quy lut Gresham: tin xu y tin tt ra khi luthng gii thch s sp ca h thng song bnv

T cui nhng nm 1860, do bc c khai thc vsn xut nhiu, bc dn b mt gi v khng cnc s dng nh ngha cho n v tin canhiu quc gia

H thng song bn v bc vng ln lt sp

56

3.2 H thng bn v vng c in 1875 1914 (Gold standard)

Nhng c im chnh ca h thng bn v vng: NHTW mi nc n nh gi vng bng ni t T gi gia hai ng tin c xc lp trn c s hm

lng vng ca hai ng tin t gi ngang gi vng(min parity)

T gi trn th trng c th dao ng ln xung xungquanh t gi ngang gi vng v trong phm vi mt bin c gii hn bi cc im vng (gold point)

Cn cn thanh ton c iu chnh da trn c chlu thng gi vng (price specie flow mechanism)

C ch lu thng gi vng (PSFM)Thng d

Tch ly d tr

Cung tin tng

Mc gi tng

XK gim v NK tng Cn bng

Mc gi gim

Cung tin gim

D tr gim

Thm ht

XK tng v NK gim

nh gi h thng bn v vng c in Cc mt tch cc:- Thng mi v u t th gii pht trin v hng

thnh;- Khuyn khch phn cng lao ng quc t v gip

gia tng phc li th gii;- C ch iu chnh cn cn thanh ton vn hnh

trn tru;- Mu thun quyn li gia cc quc gia t khi xy ra

57

nh gi h thng bn v vng c in Cc mt hn ch:- Hn ch s nng ng ca NHTW trong vic iu

tit lng tin trong lu thng;- C ch iu chnh cn cn thanh ton vn hnh

trn c s thay i mc gi, thu nhp v tht nghipnn kinh t thng xuyn phi tri qua thi k btn

- Quc gia thm ht CCTT phi ra thi k nh n vtht nghip gia tng

- Quc gia thng d CCTT phi tri qua thi k lmpht

- Khng c c ch rng buc cc quc gia tun thlut chi

3.3 Giai on gia hai th chin Trc 1926:- Tnh trng lm pht phi m- H thng t gi th ni 1926 1931:- Ch hi oi vng da trn ng bng Anh: ng bng chuyn i ra vng Cc ng tin khc chuyn i sang bng Anh- Nm 1931, cc nc yu cu chuyn i bng Anh ra vng- Anh Quc phi th ni ng bng 1931 1939: thp k i suy thoi

3.3 Giai on gia hai th chin L do tht bi ca ch hi oi vng da trn ng bng:- Thi k vng son ca ch bn v vng ch l mt truyn

thuyt;- Kinh t th gii tri qua nhng bin ng ln bi chin

tranh v i suy thoi, v vy: Mc t gi trc chin tranh khng cn thch hp; Gi c v tin lng tr nn cng nhc; Cc quc gia theo ui chnh sch v hiu ha mi lc ca

vng; London khng cn l trung tm ti chnh c u th nht;

58

3.4 H thng Bretton Woods (1945 1971) S ra i Cc quy c ca h thng Vai tr ca IMF v hn mc tn dng Cc vn ca h thng S sp ca h thng

S ra i ca h thng BWs S cn thit phi c mt h thng tin t quc t

mi thc y thng mi v u t quc t sauchin tranh

H thng tin t quc t sau Chin tranh th gii IIra i Bretton Woods, New Hampshire

H thng tin t quc t BW gn vi vic thnh lp2 t chc ti chnh quc t:

- Ngn hng Th gii (World Bank WB)- Qu tin t quc t (International Monetary Fund)

Cc quy c ca h thng Bretton Woods

H thng t gi c nh nhng c th iuchnh vi cc quy c nh sau:

- ng USD l ng tin duy nht c nhgi theo vng, c nh mc USD35/Ouncev M sn sng mua vo v bn ra vng mc gi ny vi s lng khng hn ch;

59

Cc quy c ca h thng Bretton Woods

- Cc nc xc nh v cng b mc ngang gi cacc ng tin ca h i vi vng hoc USD, v duytr mc ngang gi trn th trng ngoi hi bngcch bn ra v mua vo USD;

- Cc nc c trch nhim duy tr t gi hi oi vidao ng cho php l +/-1%;

- Trong trng hp BOP mt cn i c bn, ccquc gi c th tin hnh ph gi hoc nng ging tin; mc thay i trn 10% phi c s chpthun ca IMF

Vai tr ca IMF

- m bo h thng hot ng mt cch trntru v hiu qu, gim thiu nhu cu ph giv nng gi ng tin ca cc quc gia thnhvin;

- C ngun tin sn sng ti tr cho thm httm thi cn cn thanh ton ca cc quc giathnh vin;

Hn ch ca H thng BWs C ch iu chnh cn cn thanh ton thiu s nnh, chc chn v t ng ca h thng bn vvng v tnh linh hot ca h thng t gi th ni;

Cc hot ng u c bt ngun t kh nng phgi hoc nng gi ca cc ng tin v iu ny ddng gy bt n cho h thng;

C ch to thanh khon c vn (Nghch l Triffin Triffin Dilemma)

60

Hn ch ca H thng BWs Nghch l Triffin Triffin Dilemma trnh tnh trng thiu ht thanh khon, M

phi chu s thm ht ca cn cn thanhton v iu ny lm gim lng tin vo USD;

phng nga ri ro i vi USD, mc thmht cn cn thanh ton ca M phi thu hpv iu ny li gy nn s thiu ht thanhkhon cho h thng

S sp ca h thng Bretton Woods

Thi k thiu ht -la M (1944 1958) Thi k d tha -la M (1958 1971)

Thi k thiu ht -la M (1944 1958) Cn cn vng lai ca M bi thu trong khi cn cn

vng lai ca cc nc chu u b thm ht nng; IMF khng ngun vn ti tr cho thm ht cn

cn vng lai ca cc nc chu u mt lot ccng tin chu u b ph gi

Cui cng nhng nm 1950, cc nc chu u vNht bc vo giai on hng thnh: XK tng mnhv d tr USD di do;

Nhiu ng tin chu u c t do chuyn i

61

Thi k d tha -la M (1958-1971) CCVL ca M thm ht su sc; CCVL ca cc nc Chu u v Nht thng d; D tr bng USD ca nhiu NHTW tng mnh v

h bt u i USD ra vng; 1967: ti sn n ca M bng USD vt qu s

vng d tr; 1971: cn cn thng mi ca M thm ht mc

30 t USDgii u c tn cng vo USD v lnsng chy khi USD;

Thng 8/1971: TT Nixon tuyn b ngng chuyn iUSD sang vng

3.5 H thng tin t quc t hin hnh

Hip c Smithsonian (12/1971) 1973 Hip c Jamaica (1976) H thng tin t quc t hin hnh

Hip c Smithsonian (12/1971) Gi vng chnh thc 38USD/ounce M khng ti lp vic chuyn i USD ra

vng Cc nc nh gi li cc ng tin vi USD T gi c php dao ng trong bin +/-

2.5%khng gii quyt thiu st ca h thng BWs

62

Nm 1973 Nhiu ng tin c th ni Cc nc chu u p dng h thng Snake

in the tunnel v sau l H thng Tin tChu u EMS

Upper Limit

Par value

Lower Limit

T

S(d/f)

Hip c Jamaica (1976) Cc nc t do la chn ch t gi Gi vng dao ng theo cc th lc th

trng IMF khuyn co khng nn ph gi tin t

to li th cnh tranh

H thng tin t quc t hin hnh L mt h thng khng h thng C nhiu ch t gi song song tn ti:- -la ha (Offical Dolarization)- Ch hi ng tin t (Currency Board)- T gi c neo c nh vi mt ng tin hoc vi

mt r tin t- Th ni hn ch- Th ni c iu tit- Th ni hon ton

63

la ha (Official Dolarization) S dng ngoi t (thng l USD) lm ng

tin hp php trong nn kinh t: Panama,Ecuador, Guatemala, Elsalvador

Ti sao la chn -la ha?- Vi ch ny, cc chnh tr gia khngkim sot chnh sch tin t v v vy khnglm ri tung nn kinh t

Ch hi ng tin t (Currency Board)

Gn ng tin ca mnh vi mt ng tinkhc

Quc gia ch c th pht hnh thm tin nuc d tr ngoi t m bo

V d: Argentina (1991 1999)

Tht bi ca h thng tin t quc t hin hnh

T gi gia cc ng tin khng phn nhcc iu kin kinh t c bn

Tht bi trong vic m bo t ch v chnhsch cho cc quc gia

T gi mc sai lch bp mo v thcnh tranh ca cc nn kinh t v gy p lcbuc cc chnh ph p dng cc chnh schbo h

64

Chng 5

M hnh cung cu ngoi t v c ch xc nh t gi

MC TIU Hiu bn cht khoa hc ca ng

cung v ng cu ngoi t S dng m hnh cung cu ngoi t gii thch s bin ng ca t gi

NI DUNG

5.1 Hnh thnh m hnh cung cu ngoi t

5.2 Cc yu t nh hng n t gi

65

5.1. Hnh thnh m hnh cung cu ngoi t

1. Cung cu ngoi t pht sinh2. Hnh thnh ng cu ngoi t3. Hnh thnh ng cung ngoi t4. M hnh cung cu ngoi t v c ch xc

nh t gi

1. Cung cu ngoi t pht sinh

Cu mt ng tin pht sinh t cu hng ha,ti sn v dch v thanh ton bng ng tin ;

Cu ngoi t pht sinh t nhu cu ngi trongnc mua hng ha, ti sn v dch v t ncngoi;

Cung ngoi t pht sinh t nhu cu ngi ncngoi mua hng ha, ti sn v dch v trongnc

Cung cu ngoi t l phi sinh, c ngun gc tlu chuyn hng ha, vn u t, lao ng vdch v trong phm vi quc t

2. Hnh thnh ng cu ngoi t

Coi cu hng ha NK l ngun phtsinh cu ngoi t ch yu

Phn tch mi lin h gia t gi v cuhng ha nhp khu ch ra mi linh gia t gi v cu ngoi t

66


Cc bc tin hnh:1. Xc nh cc ng cung cu hng

ha NK2. Xc nh hm cu hng ha NK3. Xc nh mi quan h gia cu hng

ha NK v t gi xc nh s thayi ca chi tiu nhp khu, tc cungoi t

2. Hnh thnh ng cu ngoi t Cc k hiu:- P*m: Gi hng ha NK tnh bng ngoi t- Pm: Gi hng ha NK tnh bng ni t- Qm: S lng hng ha NK- Sm: ng cung hng ha NK- Dm: ng cu hng ha NK- Dt: ng cu ngoi t- Qt: S lng ngoi t trn th trng ngoi hi- S: T gi yt trc tip


Cc ng cung cu hng ha nhp khu:P*m

Qm

Sm

Dm

C

A B

DDin tch hnh

ch nht ABCD l g?

67

2. Hnh thnh ng cu ngoi t Hng ha NK l hng ha sn xut nc ngoi vc tiu th trong nc

Ngi tiu dng trong nc quyt nh mua baonhiu hng ha NK trn c s gi NK tnh bng nit

Hm cu hng ha NK c xem nh l hm sca gi NK tnh bng ni t, c gi nh sau:

Trong : l cc thng s dng khng i

Q Pm m= 0 1 0 1,


Vi Pm=SP*m Hm cu hng ha NK c th vit thnh:

Nhn xt: Nu P*m khng i, S tng gi hng ha NK bng ni t tng lng cu hng ha NK Qm gim

Q SPm m= 0 1 *


ng vi 4 mc t gi tng dn:S1Q4

ng cu hng ha NK s dch chuyn sang tri khi t gi tng

68


ng cu hng ha NK dch chuyn sang tri:

Din tch hnh chnht (cu ngoi t)thay i th no?

Cu ngoi t gim dn

(Dm)4 Qm

P*m

S0

(Dm)3

(Dm)1(Dm)2


ng cu ngoi t l tp hp cc im cta l cc mc t gi v lng cu ngoit tng ng

Qm

P*m

S0

(Dm)3

(Dm)1(Dm)2

S1

S4S3S2

S(d/f)

Qf(Qf)4(Qf)3 (Qf)1(Qf)2

ng cu ngoi

t


ng cu ngoi t l ng dc xung ttri qua phi

T gi tng cu ngoi t gim

69

3. Hnh thnh ng cung ngoi t Coi cu hng ha XK l ngun pht sinh

cung ngoi t ch yu Phn tch mi lin h gia t gi v cu hng

ha XK ch ra mi lin h gia t gi vcung ngoi t

3. Hnh thnh ng cung ngoi t Cc bc tin hnh:1. Xc nh cc ng cung cu hng ha XK2. Xc nh hm cu hng ha XK3. Xc nh mi quan h gia cu hng ha XK

v t gi xc nh s thay i ca doanh thu XK, tc cung ngoi t

3. Hnh thnh ng cung ngoi t Cc k hiu:- P*x: Gi hng ha XK tnh bng ngoi t- Px: Gi hng ha XK tnh bng ni t- Qx: s lng hng ha XK- Sx: ng cung hng ha XK- Dx: ng cu hng ha XK- St: ng cung ngoi t- Qt: S lng ngoi t trn th trng ngoi hi- S: T gi yt trc tip

70

3. Hnh thnh ng cung ngoi t Cc ng cung cu hng ha XK:

C

P*x

Qx

Sx

Dx

A B

D

Din tch hnh ch nht ABCD l g?

3. Hnh thnh ng cung ngoi t Hng ha XK l hng ha sn xut trong nc vc tiu th nc ngoi

Ngi nc ngoi quyt nh mua bao nhiu hngha XK trn c s gi XK tnh bng ngoi t

Hm cu hng ha XK c xem nh l mt hms ca gi XK tnh bng ngoi t, c dng nh sau:

Trong : l cc thng s dng khng i

Q Px x= 0 1 * 0 1,

3. Hnh thnh ng cung ngoi t Vi P*x=Px/S Hm cu hng ha XK c th vit thnh:

Nhn xt:- Nu Pxkhng i, S tng gi hng ha XK bng

ngoi t P*xgim lng cu hng ha XK Qx tng- Doanh thu XK = (P*x)x(Qx) tng hay gim?

Q P Sx x= 0 1( / )

71

3. Hnh thnh ng cung ngoi t ng vi 4 mc t gi tng dn:

S1 (P*x)4ng vi 4 mc gi hng ha XK tnh bng ngoi t l 4 mc cu hng ha XK c xc nh bi ng cu hng ha XK

3. Hnh thnh ng cung ngoi t T gi tng gi hng ha XK tnh bng

ngoi t gim cu hng ha XK tng

(P*x )1

P*x

(P*x)2

(P*x)3(P*x)4

(Sx)1

(Sx)2

(Sx)3(Sx)4

Qx(Qx)1 (Qx)2 (Qx)3(Qx)4

3. Hnh thnh ng cung ngoi t T gi tng gi hng ha XK tnh bng

ngoi t gim cu hng ha XK tng

(Sx)3

P*x

(P*x )1(P*x)2

(P*x)3(P*x)4

(Sx)1(Sx)2

(Sx)4

Qx(Qx)1 (Qx)2 (Qx)3(Qx)4

S(d/f)

Qf

S4

S3

S2

S1

(Qf)1 (Qf)2

Phn ny i din cho ng cung

72

4. M hnh cung cu ngoi t M hnh cung cu ngoi t c hnh thnh

da trn s kt hp hai ng cung cungoi t c hnh thnh phn trn

S(d/f)

S0

Sf

Df

Qf(Qf)0

im cn bng ca th trng

4. M hnh cung cu ngoi t T gi phn nh s cn

bng trn th trng Cung cu trn th

trng thay i ccng cung cu dchchuynt gi thay i

Nhiu yu t tc nglm dch chuyn ccng cung cu

SfS(d/f)

S0

Df

Qf(Qf)0

4 M hnh cung cu ngoi t Bt c yu t no lm

tng cu ngoi tng cu dchchuyn sang phi tgi tng ln

Cc yu t no lmdch chuyn ng cusang phi?

Sf

Df

S(d/f)

S0

Qf(Qf)0

Df

Df

73


gim cu ngoi tng cu dchchuyn sang tri tgi gim

Cc yu t no lmdch chuyn ng cusang tri?Df

SfS(d/f)

S0

Qf(Qf)0

Df

Df


tng cung ngoi tng cung dchchuyn sang phi tgi gim

Cc yu t no lmdch chuyn ngcung sang phi?

SfS(d/f)

S0

Df

Qf(Qf)0

SfSf


gim cung ngoi tng cung dchchuyn sang tri tgi tng

Cc yu t no lmdch chuyn ngcung sang tri?

SfS(d/f)

S0

Df

Qf(Qf)0

SfSf

74

5.2 CC YU T NH HNG LN T GI1 Mc lm pht tng i2 Mc li sut tng i3 Mc tng trng thu nhp tng i4 Vai tr ca chnh ph5 K vng ca gii u c

1 Mc lm pht tng i Mt quc gia c mc lm pht cao hn cci tc thng mi th ng tin ca quc gia s gim gi

(Sf)0

S(d/f)

S1

S0

(Sf)1

(Df)1(Df)0

Qf(Qf)0

2 Mc li sut tng i T gi cn bng c xu hng gim khi ni t

tng gi so vi ngoi t

(Sf)0S(d/f)

S0

S1

(Sf)1

(Df)0(Df)1

Qf(Qf)0

75

3 Mc tng trng thu nhp tng i

Cung ngoi t khng i

(Sf)0 =(Sf)1S(d/f)

S1

S0(Df)1

(Df)0

Qf(Qf)0

4 Vai tr ca Chnh Ph NHTW can thip trc tip vo th trng

ngoi hi tc ng ln t gi Chnh sch kinh t v m ca chnh ph tcng lm thay i cc bin s nh lm pht,li sut v tng trng thu nhp tc ngln t gi

Chnh Ph ban hnh hoc hy b cc hngro thng mi tc ng ln t gi

Cc loi thu tc ng n cc dng luchuyn hng ha v lu chuyn vn tcng ln t gi

5 K vng ca gii u c Gii u c tc ng mnh ln cung cu cc ng

tin v do tc ng ln t gi Gii u c k vng mt ng tin tng gi mua

vo ng tin v lm n ln gi Gii u c k vng mt ng tin gim gi bn

ra ng tin v lm cho n gim gi Hot ng ca gii u c va c th lm cho th

trng bt n va c th lm th trng bnh n

76

Chng 6

Cc hc thuyt v t gi

MC TIU Gip tip cn cc hc thuyt v t gi Vn dng cc hc thuyt v t gi

phn tch v d bo s bin ng ca tgi

Vn dng cc hc thuyt ny a racc quyt nh trong cc hot ng vayvn v u t

Ni dung chnh6.1 Ngang gi sc mua6.2 Ngang gi li sut c bo him6.3 Ngang gi li sut khng bo him6.4 L thuyt k vng khng thin lch6.5 Hiu ng Fisher Quc T6.6 Mi quan h gia cc hc thuyt

77

Hc thuyt ngang gi sc mua

Purchasing Power Parity-PPP

Ni dung6.1.1 Quy lut mt gi6.1.2 Ngang gi sc mua tuyt i6.1.3 Ngang gi sc mua tng i6.1.4 Ngang gi sc mua k vng6.1.5 Cc nghin cu thc nghim kim

chng PPP6.1.6 PPP trong thc t

6.1.1 Quy lut mt gi(The Law of One Price LOP) Trong iu kin th trng cnh tranh hon ho v

khng tn ti cc yu t nh cc ph v cc rocn thng mi, th cc mt hng ging ht nhau cc quc gia khc nhau phi bng nhau nu olng bng mt ng tin chung

Hot ng kinh doanh chnh lch gi l ng lcduy tr iu kin cn bng theo LOP

78

6.1.1 Quy lut mt gi(The Law of One Price LOP) Cng thc:

Vi Pi l gi c hng ho tnh bng ni t Pi* l gi ca hng ho tnh bng ngoi t S l t gi biu th s n v ni t trn n v

ngoi t

Pi =S.Pi*

6.1.2 Ngang gi sc mua tuyt i(Absolute PPP)

Gi thit:- Hng ho lu chuyn t do- Khng tn ti cc ph vn chuyn- Cc nh kinh doanh trung lp vi ri ro- LOP duy tr cho tt c cc mt hng

Ni dung:Ti mt thi im, gi ca r hng ho tiu chuntrong nc bng gi ca r hng ho tiu chunnc ngoi nu quy i v chung mt ng tin


Gi s:- Tn ti r hng ho tiu chun c c thy n mt

hng c sn xut v trao i trong nc cngnh nc ngoi

- Mt hng i c gi l Pi trong nc v Pi* ncngoi

- Mt hng i c t trng Wi trong r hng ho tiuchun trong nc v mt hng i c t trng Wi*trong r hng ho tiu chun nc ngoi, trong Wi=Wi*

- Biu thc: W P S W Pi i i i= * *

79


Biu thc:t P= v P*= , ta c biu thc:

P l mc gi ca r hng ho tiu chun trong ncP* l mc gi ca r hng ho tiu chun nc ngoi

P=SP*

W Pi i W Pi i* *


Xc nh t gi theo PPP tuyt i:Ti thi im, nu bit P v P* t gi c thxc nh theo biu thc sau:

Nu P tng S tng, tc ni t gim giPPP tuyt i a ra mi quan h gia t giv mc gi c hng ho ti mt thi im

SPP

=*


Nhc im ca PPP tuyt i:- Cn nhiu gi thit trong khi cc gi thit a

ra u khng thc t- Cc nc dng t trng hng ho khc nhau tnh ch s gi c

- Tn ti cc mt hng v dch v khng thmua bn quc t

PPP tuyt i kh c th duy tr trong thc t

80


V d: Gi s Vit Nam v M s dng r hng ho

tiu chun nh nhau tnh ch s gi c.Gi s gi ca r hng ho ny Vit Naml VND 11.000.000 v gi ca cng mt rhng ho nh th M l USD1.000. T gicn bng theo PPP tuyt i l bao nhiu?T gi ny s thay i th no nu gi ca rhng ho tng ln VND12.000.000 VitNam?

6.1.3 Ngang gi sc mua tng i (Relative PPP) Ni dung:

PPP tng i ni rng, mc thay i t gigia hai thi im bng mc chnh lch lmpht ca hai ng tin. ng tin no c mclm pht cao hn ng tin s gim gi.Mc gim gi (gn) bng mc chnh lchlm pht ca hai ng tin.

Biu thcs=p-p*

6.1.3 Ngang gi sc mua tng i (Relative PPP) Hnh thnh biu thc biu din PPP tng i:

P0* :gi ca RHHTC tnh bng ngoi t ti thi im0P1*: gi ca RHHTC tnh bng ngoi t ti thi im1P0: gi ca RHHTC tnh bng ni t ti thi im 0P1: gi ca RHHTC tnh bng ni t ti thi im 1p: mc lm pht trong ncp*: mc lm pht nc ngois: mc thay i t gi

81

6.1.3 Ngang gi sc mua tng i (Relative PPP) Hnh thnh biu thc biu din PPP

tng i:Ti thi im 0, biu thc theo PPP tuyt i

l:

Ti thi im 1, biu thc theo PPP tng i l:

P0=S0P0*

P1=S1P1*


tng i:Chia biu thc thi im 1 cho biu thc thi im 0:

PP

S PS P

1

0

1 1

0 0=

*

*


tng i:Ta c biu thc tng ng:

Khai trin biu thc trn, ta c:

(1+p)=(1+s)(1+p*)

1+p=1+p*+s+sp*

82

6.1.3 Ngang gi sc mua tng i (Relative PPP) Hnh thnh biu thc biu din PPP tng i: B qua tha s sp* ta c biu thc gn ng:

Biu thc trn biu din mi quan h gia mc thayi t gi v t l lm pht hai quc gia

Mc thay i t gi bng mc chnh lch lm pht Lm pht trong nc cao hn t gi tng ng

tin trong nc (ni t) gim gi

s=p-p*

6.1.3 Ngang gi sc mua tng i (Relative PPP) PPP tng i d c chp nhn hn so

vi PPP tuyt i v:- PPP tng i chp nhn s tn ti ca cc

yu t nh cc ph vn chuyn v ro cnthng mi

- Theo PPP tng i, gi cc mt hng ginght nhau cc quc gia khc nhau khngnht thit bng nhau khi c o lng bngmt n v tin t chung

6.1.3 Ngang gi sc mua tng i (Relative PPP) PPP tng i dng xc nh t gi: Biu thc chnh xc:

Biu thc gn ng:

S Spp1 0

11

=

+

+

*

S1=S0(1+s)=S0(1+p-p*)

83

6.1.3 Ngang gi sc mua tng i (Relative PPP)V d:Trong mt khong thi gian nhtnh, mc lm pht Vit Nam l 10%,cn mc lm pht M l 6%. Gi sPPP tng i c duy tr mt cchchnh xc. T gi thay i nh th nonu t gi ban u l 15.000VND/USD?

6.1.4 Ngang gi sc mua k vng (Ex-ante PPP) PPP tuyt i v PPP tng i c gi l

cc mu ngang gi sc mua quy c PPP k vng c gi l mu ngang gi sc

mua ca th trng hiu qu Biu thc biu din PPP k vng c hnh

thnh trn c s phn tch hnh vi ca nhkinh doanh tham gia hot ng u c trnth trng hng ho quc t

6.1.4 Ngang gi sc mua k vng (Ex-ante PPP) Mc li nhun k vng trong vic mua v nm gi

mt r hng ho trn th trng hng ho trongnc l mc lm pht k vng trong nc (p*)

Mc li nhun k vng trong vic mua v nm gimt r hng ho trn th trng nc ngoi bngtng ca mc lm pht k vng nc ngoi (p*e)v mc thay i t gi k vng (se)

Nu cc nh kinh doanh hot ng trn th trnghng ho l nhng ngi trung lp vi ri ro v ccth trng hng ho l cc th trng hiu qu thmc li nhun trn hai th trng phi nh nhau

84

6.1.4 Ngang gi sc mua k vng (Ex-ante PPP) Biu thc biu din Ex-ante PPP:

Hay

Mc thay i t gi k vng bng mc chnhlch lm pht k vng

pe=p*e+se

se=pe-p*e

6.1.5 Cc nghin cu kim chng PPP

Cc nghin cu kim chng PPP a nkt lun chung sau:

- Ngang gi sc mua thng khng c duytr trong ngn hn; trong ngn hn, lun tnti sai bit gia t gi p dng trn th trngngoi hi v t gi c quy nh bi PPP

- Tuy nhin, c cc bng chng thc nghimcho thy ngang gi sc mua c duy trtrong di hn

6.1.5 Cc nghin cu kim chng PPP Cc l do gii thch ti sao PPP khng c duy tr

trong ngn hn:- S tn ti cc ph v cc ro cn thng mi

lm cho PPP tuyt i khng c duy tr- S tn ti ca cc mt hng khng trao i mua

bn quc t- Cc nc s dng cc t trng hng ho khc

nhau xy dng cc ch s gi c- T gi cn chu s tc ng ca cc yu t khc,

nh: li sut, tng trng kinh t, chnh sch kinht, tm l, hot ng ca gii u c

85

6.1.6 ng dng PPP PPP c th s dng nh mt quy tc kinh

doanh trn th trng ngoi hiT gi

Thi gian

P/P0

Sppp

S

6.1.6 ng dng PPP

S dng quy tc PPP mua bn ngoi t

Thi gian

S(d/f) S- t gi th

trng

Sppp- t gi theo

PPPU U UO O O

HC THUYT NGANG GI LI SUT C

BO HIMCIP-COVERED INTEREST

PARITY

86

Ngang gi li sut c bo him(Covered Interest Parity CIP)6.2.1 Xy dng biu thc iu kin cn bng

CIP v ni dung CIP 6.2.2 Kinh doanh chnh lch li sut c bo

him CIA6.2.3 Hc thuyt CIP trong thc t 6.2.4 ngha ca CIP trong thc t

6.2.1 Biu thc iu kin cn bng CIP v ni dung CIP 6.2.1.1 Cc gi thit ca CIP6.2.1.2 Xy dng biu thc

biu din iu kin cn bngCIP

6.2.1.3 Ni dung CIP6.2.1.4 Trin khai biu thc

CIP

6.2.1.1 Gi thit ca CIP- Cc th trng ti chnh hot ng hiu qu

v cnh tranh hon ho- Cc nh u t trung lp i vi ri ro- Vn c lu chuyn t do gia cc quc

gia- Khng tn ti chi ph giao dch

87

6.2.1.2 Tnh hungGi s nh u t Vit Nam c lng tinnhn ri thi hn 1nm v quyt nh u ttrn th trng tin t.C 2 la chn u t:

- Th trng tin t trong nc; v- Th trng tin t nc ngoi

Nh u t Vit Nam s quyt nh u tbng ngoi t hay ni

t?Ti sao?

Tnh hung

Cc k hiu:- S l t gi giao ngay, yt trc tip- F l t gi k hn, yt trc tip- i l li sut ng ni t- i* l li sut ng ngoi t

Tnh hung

La chn u t bng ni t:- Nh u t c M ni t- Nh u t mua tn phiu kho bc k hn 1

nm

- Hng mc li sut i- Sau 1 nm, nh u t thu v c vn ln li

s tin:V = M (1+i)

88

Tnh hung

La chn u t bng ngoi t:- Nh u t chuyn s tin sang ngoi t: Mngoi t S- Mua tn phiu kho bc nc ngoi k hn 1nm

- Hng mc li sut i*- Sau mt nm, NT thu v:

V*= M(1+i*)S

Tnh hung

La chn u t bng ngoi t:Nh u t i mt vi ri ro hi oi phng nga ri ro ny, NT k hp ngbn ngoi t k hn 1 nm ngay khi quytnh u t vo th trng nyVi t gi k hn F, cui k NT s thu v cvn ln li bng ni t:

V* = M(1+i*)FS

Tnh hung

So snh hai la chn u tTrng hp 1:

Nh u t s la chn u t bng ng tin no?

u t bng ni t c li hn

FiSMiM )1()1( *+>+

89

Tnh hung

Trng hp 2:

Nh u t s la chn ng tin no?u t bng ngoi t c li hn

FiSMiM )1()1( *+

90

6.2.1.3 Ni dung CIP (Covered Interest Parity) Ni dung CIP:

Khi ri ro hi oi c bo him thng quath trng hi oi k hn th li tc ca mtti sn ti chnh trong nc phi bng litc ca mt ti sn ti chnh c nhng ctnh tng t nc ngoi

6.2.1.3 Ni dung CIP (Covered Interest Parity) p dng CIP vo th trng tin t:

Khi ri ro hi oi c bo him thng quath trng hi oi k hn th li tc u tvo th trng tin t trong nc bng li tcu t vo th trng tin t nc ngoi

Nu iu kin cn bng ny b vi phm,cc hot ng kinh doanh chnh lch li sutc bo him s xy ra cho n khi iu kincn bng c ti lp

6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP

T biu thc cn bng (3) c th trin khai c 4 biu thc biu din iu kin cnbng CIP

Biu thc 1: Biu din CIP theo thu nhp gpBiu thc 2: Biu din CIP theo thu nhp rngBiu thc 3: T gi k hn theo iu kin CIPBiu thc 4: im k hn theo iu kin CIP

91


Biu thc 1: Biu din CIP theo thu nhp gp

Thu nhp gp ca hot ng u t trongnc bng thu nhp gp ca hot ng ut c bo him ri ro t gi nc ngoi

)1(1 *iSFi +=+


Biu thc 2: Biu din CIP theo thu nhp rng

Thu nhp rng ca hot ng u t trongnc bng thu nhp rng ca hot ng ut c bo him ri ro t gi nc ngoi

1)1( * += iSFi


Biu thc 3: T gi k hn theo CIP

T gi k hn c tnh bng cch iuchnh t gi giao ngay vi mt thng s phnnh li sut ca hai ng tin

F Si

i=

+

+( )

( )*1

1

92

6.2.1.4 Trin khai biu thc biu din iu kin cn bng CIP Biu thc 4:im k hn

im k hn bng chnh lch li sut cahai ng tin

ng tin c li sut cao hn gim gi khn

ng tin c li sut thp hn tng gi khn

f F SS

i i=

*

6.2.2 Kinh doanh chnh lch li sut c bo him CIA (Covered Interest Arbitrage) Gi s th trng trng hp:

Nh kinh doanh chnh lch s kim li nhun bng cch no?Nn kim li nhun bng cch i vay ni t v u t c bo him ri ro t gi vo ngoi t

FiSMiM )1()1( *+

93

6.2.2 Kinh doanh chnh lch li sut c bo him - CIA Cc nh kinh doanh c th tin hnh CIA theo cc

bc sau: Hin ti:

B1: Vay ni t vi li sut iB2: Mua ngoi t theo t gi giao ngay S; mt n vni t mua c 1/S n v ngoi t;B3: u t vo ngoi t hng li sut i*; Lngngoi t cui k d tnh thu c (1/S)(1+i*)B4: K hp ng bn k hn s ngoi t (1/S)(1+i*)theo t gi k hn F

6.2.2 Kinh doanh chnh lch li sut c bo him - CIA

Sau mt nm: B5: Thu hi vn u t bng ngoi t; s

ngoi t thu c l (1/S)(1+i*); B6: Thc hin bn ngoi t theo hp ng k

hn k; s ni t thu c l (F/S)(1+i*) B7: Hon tr vn vay v thanh ton li vay;

s tin 1+i Li nhun thu c = (F/S)(1+i*)-(1+i)>0


Cc hot ng CIA lm thay i cung cutrn th trng tin t trong v ngoi nc,th trng ngoi hi giao ngay va k hn

Phn tch s bin ng ca cc yu t i, F,S, i*

Trng hp 2:

FiSMiM )1()1( *+

94


Th trng ngoi hi k hn tc ng (1+i) tng, S tng, F gim, (1+i) gimF (1+i)gim

STc ng ca th trng lm cho 2 v ca phng trnh tr li cn bng

6.2.3 iu kin CIP trong thc t

6.2.3.1 Nghin cu kim chng CIP 6.2.3.2 iu kin CIP vi chi ph giao dch

6.2.3.1 Cc nghin cu thc nghim kim chng CIP Kt qu nghin cu kim chng CIP cho thy: CIP c khuynh hng c duy tr tng i chnh

xc i vi cc ti sn ti chnh pht hnh trn ccth trng Eurocurrency.

CIP khng c duy tr i vi cc ti sn ti chnhpht hnh trong phm vi cc quc gia, tuy nhin ccsai lch khng ln mc lm cho cc giao dchkinh doanh chnh lch li sut c li

95

6.2.3.1 Cc nghin cu thc nghim kim chng CIP

Nhng nhn t lm CIP lch trong thc t Chi ph cho cc giao dch Can thip ca Chnh Ph Ri ro chnh tr Cc ro cn trong vic lu chuyn vn Tnh khng ng nht ca cc ti sn trn th

trng

ng CIP

im Cn bng nm trn ng CIP im khng cn bng s tin dn v cn

bng

ng CIP

f

450

A

B

C

D

E

F

i-i*

6.2.3.2 iu kin CIP vi s hin din ca chi ph giao dch

Cc k hiuSa: T gi bn ra giao ngay Sb: T gi mua vo giao ngayFa : T gi k hn bn raFb: T gi k hn mua voia: li sut cho vay ng ni tib: li sut tin gi ca ng ni ti*a: li sut cho vay ca ng ngoi ti*b: li sut tin gi ca ng ngoi t

96


iu kin th trng cho php nh kinhdoanh kim li nhun bng cch i vay ni tv u t c phng nga ri ro ngoi hi vongoi t?

Khi:)1(1 *b

a

ba iS

Fi +

97


V d:S(VND/USD)=16.200-16.300iVND/3thng = 1%- 1.1%/thngiUSD/1nm =5% - 5.2%/nmF3thng(VND/USD)=16.300 16.400Nn u t bng ng tin no? i vay bngng tin no?

6.2.4 ngha ca CIP trong thc t CIP dng xc nh t gi k hn CIP dng o lng mc lu chuyn vn

quc t Nu cc th lc th trng c php vn

hnh mt cch t do th cc ngun ti chnhs c phn b trn th gii mt cch tiu nht

CIP gip cc doanh nghip a ra cc quytnh u t v ti tr ngn hn

L thuyt v t gi:Ngang gi li sut

khng bo himUncovered Interest Parity

98

Ni dung6.3.1 Ni dung UIP6.3.2 Biu thc biu din UIP6.3.3 ngha ca UIP trong thc t

6.3.1 Ni dung UIP Gi thit:

C cng gi thuyt vi CIP Ni dung:

Mc d ri ro hi oi khng c bo himthng qua th trng hi oi c k hn, litc u t vo mt ti sn ti chnh trongnc bng li tc u t vo mt ti sn tichnh c nhng c tnh tng t ncngoi

6.3.2 Biu thc biu din UIP Cc k hiu:i l li sut ni ti* l li sut ngoi tS l t gi giao ngay, yt trc tipS* l t gi giao ngay k vng vo cui k u

tse l mc thay i t gi theo t l

99

6.3.2 Biu thc biu din UIP Tnh hung: Mt nh u t c s tin banu K v mun lm cho s tin ny sinh libng cch u t trn th trng tin t khn 1 nm

Hai la chn u t:Th trng tin t trong nc; vTh trng tin t nc ngoi

6.3.2 Biu thc biu din UIP La chn u t vo TTTT trong nc:Nh u t mua tn phiu kho bc k hn 1

nm

Hng mc li sut iSau mt nm, NT thu v c vn ln li s

tin:

M(1+i)

6.3.2 Biu thc biu din UIP La chn u t vo TTTT nc ngoi

NT phi chuyn s tin M sang ngoi ttheo t gi giao ngay SMua tn phiu kho bc nc ngoi k hn 1nm

Hng mc li sut i*Sau mt nm, NT thu v c vn ln li stin ngoi t

M(1+i)

100

6.3.2 Biu thc biu din UIP La chn u t vo TTTT nc ngoi:NT phi chuyn s tin K sang ngoi t theo

t gi giao ngay SMua tn phiu kho bc nc ngoi k hn 1

nm

Hng mc li sut i*Sau mt nm, NT thu v c vn ln li s tin

ngoi t: MS

i( )*1 +

6.3.2 Biu thc biu din UIP La chn u t vo TTTT nc ngoi

Vi t gi giao ngay k vng Se, cui k NTs thu c c vn ln li bng ni t l:

= +MS

i S e( *)1

6.3.2 Biu thc biu din UIP Theo UIP, hai la chn u t c th ni l

nh nhau, u u t vo tn phiu kho bcv do vy kt qu u t (li tc u t) nhnhau

iu kin cn bng theo UIP

M iMS

i S e( ) ( *)1 1+ = +

101

6.3.2 Biu thc biu din UIP Biu thc tng ng

Mc thay i t gi k vng bng mc chnhlch li sut ca hai ng tin

ng tin no c li sut cao hn, ng tin s gim gi; mc gim gi bng mcchnh lch li sut ca hai ng tin

se=i-i*

6.3.3 ngha ca UIP trong thc t Tnh hiu lc thc nghim ca UIP hm l

cc th trng ti chnh lin kt cht ch vinhau mc d c s hin hu ca ri ro hioi

UIP c th s dng kho st mi lin ktli sut gia cc quc gia

UIP cng c ngha i vi cc quyt nhu t v i vay ca cc doanh nghip

Hc thuyt v t gi:

L thuyt k vng khng thin lch

102

Ni dung6.4.1 Gi thit6.4.2 Khi nim l thuyt k vng khng thin

lch6.4.3 Nguyn l th trng hiu qu6.4.4 V d minh ho

6.4.1 Gi thit Th trng ngoi hi hot ng hiu qu v

cnh tranh hon ho Khng c chi ph giao dch Cc nh kinh doanh trung lp vi ri ro Cc ti sn ti chnh c nh gi theo ccng tin khc nhau c th thay th cho nhaumt cch hon ho

6.4.2 Ni dung L thuyt k vng khng thin lch ni rng

t gi k hn m chng ta hin ang quan sttrn th trng l d bo khng thin lch vt gi giao ngay k vng trong tng lai

Biu thc:

F=Se

103

6.4.3 Nguyn l th trng hiu qu Nu nh t gi k hn khng bng t gi giao

ngay m th trng k vng vo ngy mhp ng k hn o hn th cc nh u cs tin hnh cc giao dch trn th trngngoi hi cho n khi t gi k hn bng vit gi giao ngay k vng

Hc thuyt v t giHIU NG FISHER

QUC T

Hiu ng Fisher quc t6.5.1 Biu thc Fisher6.5.2 Ni dung hiu ng Fisher Quc T6.5.3 ngha ca Hiu ng Fisher Quc T

104

6.5.1 Biu thc Fisher Biu thc Fisher a ra mi quan h gia li

sut danh ngha (i), li sut thc k vng (re)v mc lm pht k pht (pe)

Biu thc Fisher dng chnh xc:

1+i=(1+re)(1+pe)

6.5.1 Biu thc Fisher Biu thc Fisher dng gn ng:

Hay:

Li sut thc k vng bng mc chnh lchgia li sut danh ngha v mc lm pht kvng

i=re+pe

re=i - pe

6.5.2 Ni dung hiu ng Fisher Quc T Ni dung:

Hiu ng Fisher Quc t ni rng li sutthc k vng l nh nhau gia cc quc giac ni kt vi nhau v kinh tBiu thc

re = r*e

105

6.5.3 ngha ca hiu ng Fisher Quc T ngha ca biu thc Fisher? Nu nh li sut thc k vng l mt s m

th, thay v u t vo th trng tin t, nhu t s b vn u t vo cc lnh vc ut khc

6.5.3 ngha ca hiu ng Fisher Quc T Hiu ng Fisher Quc T Hiu ng Fisher Quc T c th c dng nh

mt ch s biu th:Tnh hiu qu ca cc th trng hng ho v tichnh quc tMc lin kt gia cc th trng vn quc tMc lin kt gia cc th trng hng ho quctMc lu chuyn vn gia cc quc gia

6.6 Mi quan h gia cc iu kin cn bng Mc thay i t gi

S k vng

Mc chnh lch li sut danh ngha

Mc chnh lch lm pht k vng

im k hn gia tng hay khu tr

Ngang gi li sut

khng bo him (UIP)

Ngang gi Sc mua k vng

K vng khngThin lch

Ngang gi li sut c bo

him (CIP)Hiu ng Fisher

Quc T

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