Suport de Seminar RMFI

5/23/2018 Suport de Seminar RMFI

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I. Aprecierea/DepreciereaMonedelor1. Completai tabelul de maijos cu simbolul aferent fiecrei valute. Ce se

poate afirma referitor la evoluia leuluin 4 septembrie 2009 fa de ziua anterioar?Leulsadepreciatfa detoatevalutele? Cumcoteaz leulfa decelelaltevalute?

Simbol 3sep.2009 4sep.2009Dolarulaustralian 2.4899 2.5035Levabulgreasc 2.1701 2.1698Dolarulcanadian 2.6958 2.7104

Franculelveian 2.8031 2.8000Coroanaceh 0.1654 0.1659

Coroanadanez 0.5702 0.5701Liraegiptean 0.5365 0.5376Euro 4.2442 4.2436

Lirasterlin 4.8538 4.8612100Forinimaghiari 1.5450 1.5463

100Yenijaponezi 3.2112 3.2031Leulmoldovenesc 0.2649 0.2649

Coroananorvegian 0.4919 0.4920Zlotulpolonez 1.0243 1.0293Rublaruseasc 0.0935 0.0940

Coroanasuedez 0.4120 0.4127Liraturceasc 1.9652 1.9793

Dolarulamerican 2.9673 2.9741Realulbrazilian 1.5744 1.5990

Renminbiulchinezesc 0.4345 0.4355

Dolarulneozeelandez 2.0144 2.0305

Gramuldeaur 93.7853 94.417DST 4.6564 4.6339

Sursa:BNR

2. Lanceputul anului 2007 cursul EUR/RON a fost 3500.30 =S , iar lasfritul anului cursul a fost 3750.31 =S . S se calculeze cu ct sa apreciat/depreciateuro,respectivleul,nanul2007.

3. Figurademaijosilustreaz evoluiaa4monededinEuropaCentral ideEst (leul romnesc, zlotul polonez, coroana ceh i forintul maghiar) n perioada


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ianuarie2008februarie2009.Pebazadatelorinclusengraficeledemaijos,rspundeilaurmtoarelentrebri:

a)Cuctsaudepreciatmonedelerespectivenperioadaanalizat?b)Ce factorieconomicicredeic potdeterminadepreciereamonedelornmod

sincronizatnmaimulteri?

c) Cumapreciaivolatilitateacursuluideschimbncelepatruri?d)Cealteobservaiireferitoarelacorelaiilecareexist pepiaavalutar aiputea

facepebazafiguriidemaijos?

FiguraI.1Evoluialeului,zlotului,forintuluiicoroaneicehenperioadaian.feb.09

Sursa:Reuters

4. Seconsider urmtoarelecotaiibid:EUR/GBP 0,6631EUR/CHF 1,6492EUR/JPY 158,45

tiindc intermediarulfinanciarpercepeunspreadde20punctepentrutoatecotaiile,s sedeterminecotaiileask.

5. Se cunoate cotaia USD/RON 2,6031 / 2,6560. Cum se poate transformaaceast cotaientrunadeformaRON/USD?Explicai.

3,6014

4,6564

3.00

3.20

3.40

3.60

3.80

4.00

4.20

4.40

4.604.80

5.00

5.20

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/PLN

Maxim=4,8702

Minim=3,2055

296,52

254,52220

230

240

250

260

270

280

290

300

310

320

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/HUF

Maxim=307,5

Minim=229,2

3,5897

4,2909

3.20

3.40

3.60

3.80

4.00

4.20

4.40

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/RON

Maxim=4,3127

Minim=3,4719

27,972

26,1640

22.00

23.00

24.00

25.00

26.00

27.00

28.00

29.00

30.00

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/CZK

Maxim=29,4573

Minim=23,01


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6. Sedauurmtoarelecotaiibidispreadulaferent:EUR/USD1,4139spreadde10pipsi;GBP/USD1,6556spreadde5pipsi;

USD/JPY94,70spreadde15pipsi.Scrieicotaiilecompleteitransformaileastfelnctmonedacotant s devinmoned debaz.

7. Presupunemc suntei un trader pepiaa valutar careutilizeaz platforma detranzacionarefurnizat de

fxclub.com.n6august2009

ai cumprat 100.000 delire sterline la maximulpieei i leai vndut la 1octombrie la cursul carereiesedingraficulalturat.Careafostprofitulobinut

n urma acestei tranzacii?Ctafostcapitalulpropriuinvestitdac levierulafost

1:200?

GBP/USDcotaiizilnice

Sursa:www.fxclub.com

Ctarfifostprofitul(pierdereaobinut)dac sarfitranzacionatdoarpebaza

capitaluluipropriu?

8. S presupunem c suntei un trader care tranzacioneaz intraday. Ladata de 1 octombrie 2009 cumprai 100.000 euro la ora 13:17 GMT i vindei la ora13:29.Careafostprofitulobinutconformdatelorprezentatengraficuldemaijos.Cta fost capitalul propriu investit dac levierul a fost 1:100? Ct ar fi fost profitul(pierdereaobinut)dac sarfitranzacionatdoarpebazacapitaluluipropriu?


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EUR/USDcotaiilaunminut

Sursa:www.fxclub.com


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II. Rolulratelordedobnd ndeterminareacursuluideschimb.Paritatearatelordedobnd

Secunoscurmtoareleratededobnd (procenteanuale)afiatedeobanc dinRomniandatade3oct2009:

Termen

Rata

Lavedere 1lun 3luni 6luni 9luni 12luni

Dep.nlei 0,25 6,70 8,50 9,00 10,50 10,00

Dep.neuro 0,25 2,5 2,5 2,5 2,9 3,00

1. Sepoateafirma,pentruoanumit maturitate,c depozitelenleisuntmaiavantajoasecomparativcuceleneurodeoareceaducratededobnd mairidicate?Decenu?

2. Ctobineuninvestitorcaredispunede1000RONpecareiplaseazntrundepozitnleipeunan.Careesterataderentabilitateobinut?

3. Ctobineuninvestitorcaredispunede1000RONpecareiplaseazntrundepozitneuropeunan,iareurosaapreciatnaceast perioad cu5%fa deleu?Careesterataderentabilitateobinut?

4.

n ce situaie cele dou depozite de mai sus ar fi fost echivalente? S sededuc orelaiedeparitatearatelordedobnd.5. Cuctartrebuis seaprecieze/deprecieze eurofa deleuastfelnctUIP

s fiesatisfcut pentruorizontulde6luni.6. S seexplicepebazaparitiineacoperitearatelordedobnd (en.UIP)

modulncareratelededobnd depeceledou piee inivelulateptatalcursuluideschimbinflueneaz nivelulspotalcursului.

Uninvestitoreuropeanareladispoziieosum de100.000euro, iarratadobnziip

piaa zonei Euro este de 2,5%. De asemenea, se cunosc ratele de dobnd i cursuriprezenteiateptatefa deeuropeurmtoarelepiee:

Piaa RatadobnziiLa3luni

Cursactual Cursateptatpeste3luni

Romnia 8% 3,5670 3,5000Elveia 2,75% 1,5550 1,5400


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7. tiind c perioada de investire este de 3 luni, s se determine variantaoptim deplasareabanilorpentruinvestitor.

8. CtesterataladepozitelenEURexprimatnlei?9. Carear fi trebuits fiecursulEUR/RONpeste trei luniastfelncts fie

satisfcut UIP?10. Cumsepoateacoperiinvestitoruleuropeanmpotrivarisculuidecursdeschimbncazulncareopteaz pentruundepozitnfrancielveieni?

11. Ce factori credei c sunt importanin determinarea cursului pentrutranzaciilelatermen?

12. Cursul forward este fixat debnci astfelnct s nu fie expuse la risculvalutar.Construiiunraionamentprincareobanc cevindeforwardsepoateproteja

mpotriva riscului valutar prin operaiuni de constituire de depozite i contractare decredite.

13. Construiiunraionamentprincareobanc cecumpr forwardsepoateproteja mpotriva riscului valutar prin operaiuni de constituire de depozite icontractaredecredite.

14. ConsidermuncursspotEUR/RON3.6221, ratalaleieste8%,iarratalaeuroeste2.5%.Considerndc rateleactivesuntegalecucelepasive,carevaficursulforwardafiatdeobanc?

15. Interpretai relaia dintre UIP siparitatea acoperit a ratelor de dobnd(en.CIP)prinprismateorieipieeloreficiente.

16. Launmomentdat,pepiaafinanciar senregistreaz dateledintabeluldemaisus.ncazulncareobanc afieaz uncursforwardegalcu3.9500RON/EUR,s seidentificedac exist posibilitateapentruunagenteconomicdearealizaunprofitfr risc (posibilitate de arbitraj). Cum influeneaz aciunile agentului de mai susnivelulcursuluiforward?

17. ncazuldatelordintabeluldemaisus,obanc afieaz uncursforwardegal cu 3.6000 RON/EUR. Exist posibiliti de arbitraj? Cum afecteaz aciunilearbitrajoruluicursuluideschimb?

18. Stabiliipecazulgeneralnceintervaltrebuies situezecursulforwardpepia,astfelncts nuexisteposibilitidearbitraj.


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19. Explicai pe baza urmtoarelor scheme paritatea acoperit i ceaneacoperit arateidobnzii.Completaisgeiledinschem cuproceseleaferente.

A. Paritateaacoperit arateidobnziiEste o condiie pentrulipsa posibilitilor dearbitraj, investitoriisunt indifereni ntreactivele financiaredenominate n valutediferite, iar risculvalutar a fost eliminatprincontracteforward.

B. Paritateaneacoperit arateidobnziiRiscul valutar estelsat neacoperit, iarrandamentul aferentplasamentului nvalut variaz nfuncie de cursul deschimb.

20. Pebazastudiuluidecaz1,rspundeilaurmtoarelentrebri:a) Cereprezint comerulcuvalute?

b) Careestelegturadintrecomerulcuvaluteiparitateaneacoperit aratelordedobnd?

c) Caresuntsurseledeprofitncadrulcomeruluicuvalute?d) Caresuntefectelegeneratedecomerulcuvalutepepieelefinanciare

internaionale?e) Careafostrolulcomeruluicuvalutendeclanareacrizeifinanciaredin2007

2008?

Important:

1. Cumexplic UIPevoluiacursuluideschimbspot.2. Cumsededuceexpresiacursuluiforward.

1RONazi

(1+rRON)RONpeste1an

1/S0EURO

azi

(1+rEUR)X1/S0EURpeste1an

Fx(1+rEUR)x1/S0 RONpeste1an

1RONazi

(1+rRON)RONpeste1an

1/S0 EURO

azi

(1+rEUR)X1/S0EURpeste1an

Se x(1+rEUR)x1/S0 RONpeste1an


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reducedoreventurnintolosses.

Thesuccessofthecarrytradealsodependsonthecontinuingdisparityamonginterestratesinvariouscountries.Muchofthesuccessofthedollaryencarrytradestrategyisthatshortterminterestrateswere4%5%higherintheUnitedStatesthaninJapan.

Somecommentatorshaveexpressedconcernthatiftradersstopusingthecarrytradestrategy,then the recent weakness in the dollar may accelerate. Because investors who execute carry tradestrategiesbuydollarsinexchangeforyen,theirtransactionscreatedemandforthedollarandhelptosupport the exchange rate. Without this support, some observers worry that the dollar would falldramatically and create a currency crisis of the sort usually associated with developing countries.Whethertheseconsequencesactuallycomeabout,remainstobeseen.

The carry trade is one example of how sophisticated investors use global financial markets toseek profits. Although the strategy involves risk, it has rewarded its users significantly over the pastseveral years. But if the success of this strategy is coming to an end, it may have an impact on theearnings of financial institutions that have made substantial use of the carry trade. These tradesallowedsome traders torake inbigprofits,but theyalsoplayedapart inthecreditcrisisthatstruckworld economic systems in 2008. Its not surprising that, with all the panic, the smarties havebeenpullingoutofthesecarrytradedeals.Astheydo,ofcourse,thehigherdemandfortheyencausesittoappreciate, thus wiping out the interestrate gains and making it more urgent for others to get out.Fingersarebeingburntaswespeak.

SettingUpTheCarryTrade

Tobecome a successful carry trader, understanding the role that interest rates play in the FXmarketisacrucialtask.Acountryofferinghighinterestrateswillattractmorecapitalasinvestorsseektocapitalizehigherreturns.Asinterestratesrise,investmentwillfollow,whichcaninturnincreasethe

valueofthecurrency.Carrytradersmainfocusbecomestheexpectationonthedirectionofacountrysinterestrate,toensuretheirhighrateofreturn.

Generally, tradersseek tobuycurrencieswithhigh interestrates,andseek toshortcurrencieswhoofferlowinterestrates.

The carry trade worksbest under certain market conditions, and the selection of the currencypaircanmakethedifferencebetweenalosingandaprofitabletrade.Whenselectingthecurrencypair,traderswanttoobservetwothings.Ontheonehand,thetraderwantstomakesureheisbuyingthecurrency that has the higher interest rate and is selling the currency that has a lower interest rate incomparison. On the other hand, the trader also wants to view the health of the economy for the

currencypairtoensurethemarketwillmovetohis/herfavor.Essentially,thetraderwillbebuyingacurrency with a stronger economy and selling the currency with a weaker economy. Some currencypairs that are usually selected to apply the carry trade strategy are: GBP/JPY, GBP/CHF, AUD/JPY,EUR/JPY, CAD/JPY,andUSD/JPY.In the 2000s, the term carry trade becamesynonymouswith theyencarrytrade.

CarryTradeStrategyExample


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ThecarrytradeisapopulartradingstrategyusedintheFXmarket.Itguaranteestradersatleastsomereturntheirmediumandlongertermpositions.IntheCarryTrade,speculatorsbuyhighinterestcurrenciesandsellcurrencieswithlowinterestrates.Thesepositionsensurethateachtradingdayrolloverinterestwillbepostedtothetradersaccount.Thus,theCarryhasthepotentialtosignificantlyenhanceatradersreturn.

Example LeverageCutsBothWaysinYenCarryTrade

Letsrunthroughanexampleofayencarrytradetoseewhatcanhappenwhenthemarketisboomingandwhenitgoesbust.

1. Borrow100millionyenforoneyearat0.50%perannum

2.

SelltheborrowedamountandbuyU.S.dollarsatanexchangerateof115yenperdollar3. Usethisamount(approximatelyUS$870,000)as

10%margintoacquireaportfolioofmortgagebondspaying15%

4. Thesizeofthemortgagebondportfolioistherefore$8.7million(i.e.$870,000isusedas10%margin,andtheremaining90%,or$7.83million,is

borrowedat5%).Afteroneyear,assumetheentireportfolioisliquidatedandtheyenloanisrepaid.Inthiscase,oneoftwothingsmightoccur:

Scenario1(BoomTimes)

Assumetheyenhasdepreciatedto120,andthatthemortgagebondportfoliohasappreciatedby20%.

TotalProceeds=InterestonBondPortfolio+Proceedson

SaleofBondPortfolio

=$1,305,000+$10,440,000=$11,745,000

TotalOutflows=MarginLoan($7.83millionprincipal+

5%interest)+YenLoan(principal+0.50%interest)

=$8,221,500+100,500,000yen

=$8,221,500+$837,500=$9,059,000

OverallProfit=$2,686,000ReturnonInvestment=$2,686,000/$870,000=310%


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Scenario2(BoomTurnstoBust)

Assumetheyenhasappreciatedto100,andthatthe

mortgagebondportfoliohasdepreciatedby20%.

TotalProceeds=InterestonBondPortfolio+Proceedson

SaleofBondPortfolio

=$1,305,000+$6,960,000=$8,265,000

TotalOutflows=MarginLoan($7.83millionprincipal+

5%interest)+YenLoan(principal+0.50%interest)

=$8,221,500+100,500,000yen

=$8,221,500+$1,005,000=$9,226,500

OverallLoss=$961,500

ReturnonInvestment=$961,500/$870,000=110%

TheCreditCrisisAndTheCarryTrade

TheglobalcreditcrunchthatdevelopedfromAugust2007ledtothegradualunravelingoftheyen carry trade. Starting with the collapse of Lehman Brothers and the U.S. government rescue ofAIG,speculatorsbegantobehitwithmargincallsaspricesofpracticallyeveryassetbegansliding.To meet these margin calls, assets had tobe sold, puttingeven moredownward pressure on theirprices.Ascreditconditionstighteneddramatically,banksbegancallingintheloans,manyofwhichwereyendenominated.Speculatorsnotonlyhadtoselltheirinvestmentsatfiresaleprices,butalsohadtorepaytheiryenloansevenastheyenwassurging.Repatriationofyenmadethecurrencyevenstronger. In addition, the interest rate advantage enjoyedby higheryielding currenciesbegan todwindleasanumberofcountriesslashedinterestratestostimulatetheireconomies.

TheunwindingofthegiganticyencarrytradecausedtheJapanesecurrencytosurgeagainstmajorcurrencies.Theyenroseasmuchas29%against theeuro in2008.ByFebruary2009, ithadgained

19% against the U.S. dollar since September, rising to a 13year high of about 90.

The global economy was also severely affected, as the collapse in asset prices affected consumerconfidence and business sentiment, and exacerbated an economic slowdown. Nations whosecurrencies were heavily involved in the carry trade (such asJapan) would also face economicheadwinds,asanunusuallystrongdomesticcurrencycanrenderexportsuncompetitive.


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III. Rolulpreurilorndeterminareacursuluideschimb.Paritateaputeriidecumprare

1. Lanceputulanului2009,cursuldeschimbdintreleulromnesc ieuroafost4,2567leipentruuneuro.Rataanticipat ainflaieinRomniaestede8%ntimpce anticiparea de inflaie pentru zona euro este de 2%. Ct va fi cursul de schimbEUR/RONlasfritulanuluiconformPPP?

2. n fiecare an, revista TheEconomist public o versiune a cursului PPP(Hamburger Index), care compar preurile unui hamburger McDonaldsn 120 deri.Bazateorieiparitiiputeriidecumprareestelegeapreuluiunic(TheLowofOne

PriceLoOP).Potrivitacestei legi,preuldevnzarealunuibunoarecare,exprimatnaceeaimoned,artrebuis fieacelaipepieenaionalediferite.

TabelIII.1.IndiceleBigMac 1februarie2008.MeniulMacMonede

standardulhamburger

Indicator

ara

Pre BigMac

(nmoned

local)

Pre Big

Mac

(ndolari)

Eppp

(fa de

dolar)

Cursde

schimb

Apreciere(+)/

Depreciere()

fa dedolar

StateleUnite $3,57 3,57 Argentina Peso11,0 3,64 3,08 3,02 2

Australia A$3,45 3,36 0,97 1,03 6Brazilia Real7,50 4,73 2,10 1,58 33Canada C$4,09 4,08 1,15 1,00 14Cehia Koruna66,1 4,56 18,5 14,5 28Chile Peso1550 3,13 434 494 12China Yuan12,5 1,83 3,50 6,86 49Danemarca DK28,0 5,95 7,84 4,70 67Egipt Pound13,0 2,45 3,64 5,31 31HongKong HK$13,3 1,71 3,73 7,80 52Indonezia Rupiah18700 2,04 5,238 9,152 43

Japonia Yen280 2,62 78,4 106,8 27

Malaysia Ringgit5,50 1,70 1,54 3,2 52MareaBritanie 2,29 4,57 1,56 2,00 28Mexic Peso32,0 3,15 8,96 10,2 12Norvegia Kroner40,0 7,88 11,2 5,08 121NouaZeeland NZ$4,90 3,72 1,37 1,32 4Ungaria Forint670 4,64 187,7 144,3 30ZonaEuro 3,37 5,34 1,06 1,59 50

Sursa:www.economist.com


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PebazaTabeluluiIII.1,rspundeilaurmtoarelentrebri:

a)Severific teoriaparitiiputeriidecumprare(formaabsolut)peeantionulderialesipentrubunulales?

b)Caresuntmonedelecucelmaimaregraddesupraevaluare?Explicai.c)Caresuntmonedelecucelmaimaregraddesubevaluare?Explicai.d)Presupunnd c n SUA in China se produce un singurbun, identic, un

hamburgerMcDonalds,ctarficursuldeschimbUSD/CNYconformPPP?e)Cuctestesub/supraevaluatyuanulchinezfa denivelulconformPPP?Dar

monedaeuro?f) Calculaicursulrealalyuanuluifa dedolarulamerican.Facei legturacu

subpunctule).Acceaicerin ipentruperecheaEUR/USD.g)CtestecursulEUR/USDconformPPP?h)Cumanticipaievoluiamonedelordintabelpetermenmediuilung?i) Exist posibiliti de arbitraj pe piaa BigMac? Cum influeneaz aceste

operaiunipreulBigMacpepieediferite?

3. Comentai figura de mai jos, care ilusteaz evoluia cursului real(2005=100)visavisdedolarulamericanpentruGermania,RomniaiChina.

Sursa:ERSInternationalMacroeconomicDataSet1

4. S se arate c atunci cnd leul este subevaluat fa nivelul calculatconformPPP,cursulrealestesupraunitar.

5. Setiecnprimele8lunialeanului2008,leulsadepreciatcu8%fa deeuro, inflaian Romnia a fost 7% fa de sfritul anului trecut, iarn zona euroaceastaafost3,75%.Cuctsaapreciat/depreciat leulntermenireali?

1http://www.ers.usda.gov/Data/Macroeconomics/

0.00

1.00

2.00

3.00

4.005.00

6.00

7.00

8.00

9.00

2000 2001 2002 2003 2004 2005 2006 2007 2008

Germania Romania China


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6. nRaportulBNRasuprainflaieidinaugust2009seafirm cnintervalulaprilieiunie,leulsaapreciatnraportcueurocu1,5%ntermeninominaliicu2,1%ntermenireali.Cumexplicaiaceast diferen prinevoluiapreurilornceledou ri?

7. nRaportulBNRasuprainflaieidinaugust2009seafirm cnintervalulaprilieiunie, leul sa apreciat cu 8,2%n termeni nominali i cu 8,9%n termeni reali.Explicaiaceast diferen prinevoluiapreurilornceledou ri?

8. Cum credei c se poate testa empiric dac teoria paritii puterii decumprare se verific n cazul cursului EUR/RON? Care credei c ar fi rezultatulanalizei?Enumeraioseriedefactoricaredetermin deviaiidelateoriaPPPpetermenscurt.

9. ComentaiprinprismaefectuluiBalassaSamuelsonurmtoarelegrafice:FiguraIII.12.Ratadecretereaproductivitiinsectorulbunurilortranzacionabilei

ncelalbunurilornetranzacionabile

Diferenadintreratadecretereapreurilor nsectorulbunurilortranzacionabilein

celalbunurilornetranzacionabile

Sursa:Mihaljek,D.iKlau,M.2003.TheBalassaSamuelsoneffectincentralEurope:adisaggregated

analysis.BISWorkingPaperNr.143.

2Notaii:CZ=Cehia,HR=Croatia,HU=Ungaria,PL=Polonia,SI=Slovenia,SK=Slovacia,XM=zonaeuro. Perioadele aferente: zona euro (1992:12001:3), Croatia (1995:12001:3), Cehia (19932001:3),Ungaria(19942001:3),Polonia(19942001:3),Slovacia(19952001:3)iSlovenia(19922001:3).


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17

Some economists criticise the theory, stating that endogenous factors, such as governmentpolicy,aremuchmoreinfluentialineconomicgrowththanexogenousfactors.

Therearemanyexamplesofcountrieswhichhaveconvergedwithdevelopedcountrieswhich

validate the catchup theory.In in the 1960s and 1970s the East Asian Tigersrapidly converged withdevelopedeconomies.TheseincludeSingapore,HongKong,SouthKoreaandTaiwan allofwhicharetodayconsidereddevelopedcountries.Inthepostwarperiod(19451960)examplesincludeGermany,FranceandJapan,whichwereabletoquicklyregaintheirprewarstatusbyreplacingcapitalthatwaslostduringWorldWarII.

TheAsianTigers

Abandoning import substitution, the model advocated in the developing world following thetwoworldwars,theFourAsianTigerspursuedanexportdrivenmodelofeconomicdevelopmentwiththe exportation of goods to highlyindustrialized nations. Domestic consumption was discouragedthrough government policies such as high tariffs. The Four Asian Tigers singled out education as ameans of improving productivity; these territories focused on improving the education system at alllevels; heavy emphasis was placed on ensuring that all children attended elementary education andcompulsory high school education. Money was also spent on improving the college and universitysystem.

Since the Four Asian Tigers were relatively poor during the 1960s, these nations had anabundance of cheap labor. Coupled with educational reform, they were able to leverage thiscombinationintoacheap,yetproductiveworkforce.

ThecommoncharacteristicsoftheFourAsianTigersare: DevelopedeconomieswithhighGDPpercapitaandhighHDI Focusedonexportstoricherindustrializednations Tradesurpluswithaforementionedcountries Sustainedrateofdoubledigitgrowthfordecades

HighlevelofU.S.treasurybondholdings Motivatedandskilledworkforces HighsavingsrateThese nations have met difficulties after they lost their initial competitive edge, cheap

productive labour. China, India and much of Southeast Asia have now emerged as fastgrowingeconomiesbasedoncheaplabour,largelyreplacingtheTigers.

1970s:RealGDPIncreasesbyPercentage,InflationbyPercentageinHongKong

n Romnia convergena real se caracterizeaz prin manifestarea simultan a urmtoarelorevoluii:

ritmuri de cretere economic peste medie,ndeosebin primele etape ale procesului decatchingup;

majorareaconsiderabil avenituluipecapdelocuitor;intrrimasivedecapitalstrin;tendin puternic deaprecierereal amonedeinaionalepnn2008.


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18

RelaiadintrePIBpecapdelocuitornPPSnanul1999iratadecretereeconomic real cumulat nperioada

20081999.

Sursa:Eurostat


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19

IV. Balanadepli.DeficituldecontcurentRspundeilaurmtoarelentrebri:

1. Cereprezintbalanadepli?2. Caresuntcomponentelebalaneidepli?3. Daiunexemplusimpluprincares artaimodulncareapreciereanominal

afecteaz exporturileiimporturile.4. Daiunexemplusimpluprincares artaic adevratulfactordeinfluen a

exporturiloriimporturilorestecursulrealdeschimb.5. Cev ateptais sentmplepetermenscurtcusoldulcontuluicurentdup

depreciereamonedeinaionale?6. Explicaidececursulrealesteunindicatordecompetitivitate.7. Cenelegeiprinpolitic beggarthyneighbour?8. Cereprezint cursulefectiv?9. CesenelegeprincurbaJ?Cereprezint efectulJ?10.Cumsenregistreaznbalanadepliurmtoarele:

a. Ofirm dinRomniatrimitenTurciauntransportdemrfurinvaloarede50mil lei, inclusivcheltuielidetransport(freight1mil lei),urmnds primeasc baniin 90 de zile (transportul se realizeaz cu un vasromn);

b. Plataaferent transportuluidemaisus;c. O firm din Romnia a investitntro sucursal n strintate, sucursal

caretransfer firmeimam 10milleisubform dedividende;d. RezideniidinRomniaimportbunurinvaloarede65millei,pecarele

pltesc cubani pe carei dein labnci straine (10 mil) ibani pe careideinlabncidinRomnia(55mil);

e. Turitii romni cheltuien strintate 5 mil ron cumprnd valut de labnciromne;

f. UnimigrantchineznRomniatransfer 1milronnChina;g. Rezideniiromniachiziioneaz obligaiuniemisedeBMnvaloarede40

milron.

11.Ct este deficitul de cont curent al Romniei? Cum apreciai dimensiuneaacestuia?

12.Careesteprincipalaclas deproduseimportatedectreRomnia?13.Careesteprincipalaclas deproduseexportatedectreRomnia?14.Cumseacoper deficituldecontcurent?15.Cenelegeiprinsintagmasuddenstop?


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21/56

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22

September3,200710:00PM

There is widespread agreement that Chinas currency is undervalued and harming the USeconomy. This harm works through the trade deficit and imports that displace spending ondomesticallyproducedgoods,therebyinjuringmanufacturers.Additionally,theundervaluedcurrencydisplacesinvestmentbyencouragingbusinesstoinvestinChinaratherthantheUS.ThechallengefortheUSishowtorespondinlightofChinasexchangerateintransigence.

ThroughitspersistenttradesurplusesChinahasaccumulatedover$400bnoftreasurysecuritiesand it is now the secondlargest foreign holder (afterJapan) of governmentbonds. The fear is thatChinamayretaliateagainsttheUSbysellingbonds,causingthepriceoftreasuriestofallandinterestrates to rise. That in turn could trigger financial disruption, which in conjunction with higher ratescouldtoppletheeconomyintorecession.

Suchreasoningisdeeplyflawedforseveralreasons.First,Chinahaslittleincentivetoengageinsuch tactics. If it starts sellingbonds that will drive prices down, causing large capital losses on its

holdings.Moreimportantly,ChinahasnointerestinplayingRussianroulettewiththeUSeconomyasthat threatens its own economy. The reason China refuses to revalue its exchange rate isbecause itwants to retain a competitive advantage enabling it to sell in US markets. Causing a US recessionwoulddestroytheverymarketinwhichitwantstosell.Worsethanthat,aUSrecessioncouldtriggeraglobalrecession,therebyunderminingmarketsinEuropeandelsewherethatChinaalsorelieson.

Theincredibleshrinkingsurplus

Sep3rd2009FromTheEconomistprintedition

IsChinadeliberatelyunderstatingthesizeofitstradesurplus?

CHINAS currentaccount surplus is seenby some as the root cause of the financial crisis. Thegoodnewsisthatafterwideningyearafteryearitisnowshrinkingmuchfasterthanexpected.Inthefirsthalfofthisyearthesurplusnarrowedto$130billion,onethirdlowerthanayearearlier,andbarelyhalfits level in the second half of 2008. Not only has Chinas merchandise trade surplus narrowed,butinvestment income from Chinas stash of foreign reserves has also dropped. Arthur Kroeber atDragonomics,aneconomicresearchfirm,predictsthatthecurrentaccountsurplusislikelytodropto5%ofChinasGDPthisyear,downfrom11%atitspeakin2007.Belatedly,Chinaseemstobedoingitsbittorebalancetheworldeconomy.

But how accurate are Chinas figures? In theory Chinas trade surplus with America shouldmatchthedeficitthatAmericareportsinitstradewithChina.ThegovernmentinBeijingclaimsthatitssurpluswithAmericafellto$62billioninthesixmonthstoJune.YetofficialstatisticsfromWashington,DC,showthatAmericaranadeficitwithChinaof$103billionduringthesameperiod.Therearesimilardisparitieswithothertradingpartners.ChinasreportedsurpluswiththeeuroareaisonlyhalfasbigasthenumberpublishedbyEuropeanstatisticaloffices.EvenmorestrikingisitstradebalancewithJapan:Chinasays ithadadeficitwithJapan in the firsthalfof thisyear,butJapanesedatashow instead that

JapanranadeficitwithChina.


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Chinas trade surplusand hence its currentaccount surplusis almost certainlybigger than

thatreportedbyBeijing,even ifitismuchsmallerthanthecombineddeficitsreportedbyAmericaandothertradingpartners.Butfortherestoftheglobaleconomy,thecrucialthingisnottheprecisesizeofChinassurplus,butthefactthatitisfinallyshrinking.

ISCHINAMANIPULATINGTHEYUAN?3

The troublesomeexperiencewithcompetitivedepreciations inthe1920sand1930sconvincedtheinternationalcommunitythatinternationalruleswereneededtodiscouragebeggarthyneighborexchangeratepolicies.Indeed,thatwasoneofthemainmotivationsforestablishingtheInternational

Monetary Fund. Figure 4 shows thebehavior of Chinas official foreign exchange reserves over the19912003 period; figure 5 draws on monthly data to focus on the huge buildup of Chinasinternationalreservesduringthepasttwoyears.Sufficetosaythatthesereservedevelopmentssuggestthat, over the past two years, there has indeedbeen largescale, protracted intervention in theexchangemarketinonedirection.

3 Barry Eichengreen (2006), China.s Exchange Rate Regime: The Long and Short of It, disponibilla:http://emlab.berkeley.edu/users/eichengr/policy/china_exc_rate_regime_May06.pdf


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ButwhatexchangerateregimeisbestforChina?

The theory of optimumcurrency areas is theobviousjumpingoff point for thisanalysis.Thistheory and its empirical counterpart suggest that large countries subject to distinctivebusinesscycleconditions will want a more flexible exchange rate, since they need to adjust monetary policy todomesticconditions.

Incontrast,relativelyopeneconomieswithweakfinancialsystemswillwantalessflexiblerate,sincevolatilitywillbecorrosivetofinancialstabilityandexportgrowth.

Here we immediately see the dilemma confronting the Chinese authorities and the fact thatthereisnosimpleanswertothequestionofwhatexchangerateregimeisrightforthecountry.Ontheone hand, China is a large economy whose exceptionally rapid development and transformationsubject ittodistinctivebusinesscyclerisks.Thesestructuralfactorscreateanobviouscaseforamoreflexiblerate.Ontheotherhand,thecountryhasahighexport/GDPratioandaweakfinancialsystem.These considerations point toward a less flexible rate. Splitting the difference suggests a moderate

increaseinflexibility,whichwaspreciselythedecisiontakenonJuly21st2005.

ThisframeworkalsosuggeststhatChinawillwanttomoveovertimeinthedirectionofgreaterexchangerate flexibility.Sooneror later thecountrywillhave toaddresstheproblems in itsbankingand financial system, and a stronger financial system will enable it to cope more easily with theconsequences of a more flexible exchange rate. Moreover, China will not run savings rates of 50 percentforever;socialdemandsforhigherconsumptionstandards,thedevelopmentoffinancialmarketsthat enable households and firms to insure themselves against market risks at lower cost, and theconstruction of a social safety net will make this so. We know that economies more dependent ondomesticdemandandlessdependentonexportdemanddemonstrablypreferamoreflexiblerate.

Theappropriateregimegivencurrentconditionsisamanagedfloatinwhichtheexchangerateisallowed to fluctuatemore than in the last ten years.Greater flexibilitywillallow theauthorities tomoreeffectivelysteertheeconomy.Itwillpreventdomesticinterestratesandfinancialconditionsfrom

being dictatedby interest rates and financial conditions in the rest of the world, whichbecomes agrowing dangeras the capitalaccountcontinues to open through a combination ofpolicyaction andmarketdevelopment.


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V. Factorideinfluen acursuluideschimbpetermenlung4

I.Echilibrulpepiaamonetar estedatdeteoriacantitativ abanilor.

1. Cesepoatespunedespreratainflaieinipotezateorieicantitativeabanilor?2. ncazulncareechilibrulpepiaamonetar estedatdeteoriacantitativ abanilor,cefacto

influeneaz aprecierea/depreciereamonedeinaionalepetermenlung?3. PresupunemcnRomniaratadecretereamaseimonetarecretedela5%peanla6%.Cum

credei c vor evolua pe termen lung oferta real de moned, PIB real, nivelul preurilorcursuldeschimb?(reprezentaigrafic)

II.Echilibrulpepiaamonetar estedatdeabordareakeynesist.1. n Romnia rata de cretere a masei monetare este 10% pe an, iarn zona euro aceasta es

4.5%pean.Ceefectareaceast diferen asupracursuluideschimb?2. Romniatindes creasc mairepededectzonaeuro.Cum influeneaz acestfaptcursuld

schimb?3. Cuminterpretaiefectulnetalinfluenelordemaisus?4. Presupunnd c rata de cretere a masei monetaren Romnia crete, cum se modific

raionamentulinfluenelormacroeconomicecomparativcuI.3.?(reprezentaigrafic).5. Esteposibilcaefecteledemaisuss senregistrezeneconomiechiardacbancacentral n

modific ritmuldecretereamaseimonetare,darageniianticipeaz ocreterearitmuluidcretereamaseimonetare?

III.Implicaiilemodeluluimonetarpentruelaborareapoliticilorstatului.

1. Cenelegei prin ancor nominal? S se identifice conform modelului monetar variabileeconomicecarepotfiutilizatecaancor nominal dectrebncilecentrale(utilizaiecuaiimodelului).S seidentificeavantajeleidezavantajelefiecreistrategii.

2. Bncilecentraleurmrescstabilitateapreurilorpetermenscurt?3. Daiexempledericareauutilizatdiferiteancorenominaledealungultimpului.IV.Sedauurmtoareleinformaii:olir sterlin valoreaznprezent2dolari;unco debunuri

carenSUAcost 100USDarcosta120USDnMareaBritanie.nurmtorulanFedurmrets menin orat ainflaieide2%,iarBancaMariiBritaniiinteteorat ainflaieide3%.Vitezadeconvergen ctrePPPformaabsolut estede15%pean.

4SeminarrealizatpebazaFeenstra,R.C.&Taylor,A.(2008),InternationalMacroeconomics,WorthPublishers,

firstedition.


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1. CareestediferenialuldeinflaieSUAM.Britaniepentruanulviitor?2. CareestenprezentcursulrealGBP/USD?3. Careestegraduldesupra/subevaluareadolarului?4. Ctpreziceic vaficursulrealGBP/USDpesteunan?5.

Careesteratadeapreciere/deprecierereal adolaruluinurmtorulan?6. Careesteratadeapreciere/deprecierenominal adolaruluinurmtorulan?

7. Ctpreziceic vaficursulnominalGBP/USDpesteunan?V. Se consider dou ri:Japonia i Coreea. n 1996Japonia a experimentat o rat sczut d

cretereeconomic,1%,ntimpceCoreeaacrescutcu6%.BancaJaponieiapermisorat dcretere a masei monetare de 2% anual,n timp ce aceeai rat n Coreea a fost 12%. contextuldatdecelmaisimplumodelmonetar(I),rspundeilaurmtoarelentrebri:

1. CtesteratainflaieinCoreea?DarnJaponia?2. Careesteratadedepreciereawonuluicoreancomparativcuyenuljaponez?3. Ce se vantmpla cu preurilen Coreea, cu masa monetar real i cursul de schimb dac

bancacentral aCoreeidecidecreterearateidecretereamaseimonetarela15%?4. Presupunemc bancacentral aCoreeidecides fixezemonedanaional deceaaJaponie

Cerat decretereamaseimonetareartrebuis stabileasc BancaCoreeiastfelnctvaloarewonuluis rmn fix relativlayen?

5. ncazulncareBancaCoreeiurmreteapreciereawonuluirelativlayen,ctartrebuis fratadecretereamaseimonetare?

VI.ncadrulmaicomplexfurnizatdemodelulmonetardelaII,utilizaiaceleaiinformaiideV pentru a rspunde lantrebrile de maijos. n plus, se cunoate c rata de dobnddepozitelenyenieste3%.

1. Carevafiratadedobnd oferit deactivelecoreene?2. Cesepoatespunedespreratelerealededobndnceledou ri?3. BancaCoreeidecidecreterearateidecretereamaseimonetarela15%(ceterisparibus).Cum

semodific ratadedobnd oferit dedepozitelecoreene?4. Reprezentai grafic moduln care aceast decizie afecteaz variabilele macroeconomice di

Coreea.

VII.Att riledezvoltate,ct i rilencursdedezvoltareauexperimentatoscdereainflaincepndcuanii80.Urmtoarelentrebriipropuns evideniezemodulncareregimuride curs de schimb i politica monetar au determinat acest fapt. Utilizai modelul monetapentruarspunde:


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1. Bancacentral aElveiei intetenprezentratadecretereamaseimonetarepentruaatingobiectivele sale. Dac rata de cretere a masei monetare este 8%, rata de cretere economiceste 3% (ceteris paribus), ct va fi rata inflaiei? Cum se poate atinge o rat a inflaiconsistent custabilitateapreurilorpetermenlung?

2.Bancacentral aNoiiZeelandeutilizeaz ca int operaional ratadedobnd,careeste6%Dac ratamediereal dinrestullumiieste1.5%,ctvafiratainflaieipetermenlung?n199NouaZeeland ia luatangajamentuldea ine inflaiasubnivelul2.5%.Ctar trebuis frataintern dedobnd?

3. BancaNaional aSlovacieimenineoband defluctuaiefa deeuro(+/ 15%,iarparitatecentral este35.4424coroanelauneuro).Calculailimitainferioar iceasuperioar aacest

benzi. Inflaian zona euro este 2%, iarn Slovacia este 5%. Va putea Slovacia s meninbanda de fluctuaie? Pentru ct timp. Depinde rspunsul de poziia iniial a coroaneicadrulbenzii?ObiectivulBCEestestabilitateapreurilornactualaiviitoareazon euro.Esaceastband defluctuaieocondiienecesar sausuficient pentruaatingeacestobiectiv?

4. nzonaeuro,BCEstabileteorat decretereamaseimonetareegal cu4.5%,obiectivuldinflaieeste2%,iarcretereaeconomic real este2.5%pean.ncecondiiisepotatingeacesvaloripetermenlung?

VIII. Suntei guvernatorulbncii centralentro ar care dorete s adopte o nou ancornominal. n momentul ocuprii poziiei de guvernator, rata inflaiei este de 4%, iar inpentru anul urmtor este de 2.5%, rata de cretere economic este de 3%, rata extern ddobnd este1.5%.

1. ncazulncareaialegecaancor masamonetar,careartrebuis fieratadecretereamasmonetare?

2. Presupunnd c inflaian zona euro este 2% i se urmrete utilizarea ca ancor nominacursuldeschimb,careartrebuis fiegraduldeapreciere/depreciereamonedeinaionalefade euro astfel nct s se ating inta de inflaie? Se poate obine nivelul doritaprecierii/deprecierii?

3. Ultima opiune este utilizarea ratei de dobnd ca i ancor nominal. Pebaza relaiei luFischercalculainivelulactualalrateiinternededobnd inivelullacareaceastaartrebuisajung.

IX. Cum influeneaz creterea masei monetare cursul de schimb pe termen scurt (ceterparibus)?


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Studiu

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investiiiavansate.stimuleazreducereaschimb iefecte aseconomie

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voluiile conti s consideesivdevolatidinea fluxusupra intr

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astfel deze

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odiversificare)evideniazlui Mishkinastfelampl

rngerilorlegle au tendin

is profitedfluxurilor delenregistremnate la s

re c fenome i provocilor controlailor de capi

ciare. Krugmdeliteratura

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uropa Centrileasupracie complet atitul investit

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nciar localuleaz expomentuluili 90,n speclizare a me

sitoare. Mai999)recomaa atenuriideclar n ftecafiindc

orar, lagest2000)consideaacestora

al i de Esrculaieilibe contului derilor a fost s

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29

Unul dintre principalele canale care duc la supranclzirea economiilor emergente este cel alcreditului, date fiind poziia dominant abncilorn cadrul sistemului financiar3 i volumul sporit decapitalaccesibildup eliminarearestriciilorprivindcontuldecapital.

Expansiunea rapid a creditului a fost finanat de intrrile masive de capitaluri strine,n

special prin intermediul sistemuluibancar, stimulate fiind de gradul sczut denzestrare cu capital aforei de munc comparativ cu Europa de Vest, de anticiparea unei aprecieri reale pe termen lung amonedelordinregiuneideexistenaunornsemnatediferenialededobnd pozitive.

Cu siguran intrrile de capital prezint avantaje mari pentru sectorul bancar. Prezenaoperatorilorstrinipepiaabancar determin unmediufinanciarmaistabil,mbuntireaguvernaneicorporatisteiacapacitiidegestionareariscurilor.

n acelai timp, este rezonabil s consideri c expansiunea rapid a creditului poate depicapacitateabncilordeaevaluariscurile,conducndastfellacretereaasimetrieiinformaionalecarearputeaaveadreptrezultatorat maimaredenerambursare.

n Romnia, liberalizarea contului de capital i adoptarea strategiei de intire a inflaiei au fostrealizate cu o relativ ntrziere fa de alte ri din Europa Central i de Est. Respectnd principiilemenionate anterior, liberalizarea deplin a contului de capital a fost finalizat n anul 2006,naintedeaderareaRomnieilaUE,isasuprapuspesteadoptareastrategieide intireainflaiei.Aceast strategiea fost implementat n anul 2005, dup ce a fost luat n considerare pentru prima dat n anul 2001,atuncicndaceastaafostmenionat nProgramulEconomicdePreaderarecaopiunemajor abnciicentrale.


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32

VI. CotaiivalutarePeopia FOREXsenregistreaz launmomentdaturmtoarelecotaiispot:

1. Ctartrebuis fiecursulGBP/USDnRomnia,astfelnctopersoan s npoat realizaarbitrajcumprndlirenRomniaivnzndlirelaLondra;

2. Ctartrebuis fiecursulGBP/USDnRomnia,astfelnctopersoan s npoat realizaarbitrajcumprndlirenLondraivnzndlirenRomnia;

3. Ct ar trebui s fie cursul USD/JPYn Romnia, astfelnct o persoan s npoat realizaarbitrajcumprndyeninRomniaivnzndyeninLondra.

4. Unexportatoramericanincaseaza25000JPY.Saseprecizezecareestevaloareacesteisumeexprimataindolari.

5. Un turistamericandorestesavizitezeMareaBritaniesischimba5000USD iliresterline.Decatelirevadispunepentruexcursie?

6. Se tiec ratelededobnd pe6luninzonaeurosunt4,1/4,5,iarnRomnisunt5,9/6,4.S sedeterminepuncteleswap6MpentrucursulEUR/RON.

7. SasedeterminecotatiaUSD/RON.8. Uninvestitorjaponezarencont100000deyeni.Ciyenivamaiaveancondac decides cumpere200defrancielveieni.9. Un exportator englez obtine de pe urma unei tranzactii cu o firmajaponez

10000yeni.Saseprecizezecateliresterlinevaprimidupaschimbareasumeiinyeni.

10. Unamericandaordinbanciisaledetransforme10000deliresterlineineuro.Sseprecizezedecatieurovadispuneamericanulincontdupaaceastatranzactie.

Cursspot BID/ASK

EUR/USD 1,4676/1,4679

USD/JPY 89,02/89,07

USD/CHF 1,0328/1,0333

GBP/USD 1,5901 /1,5905

AUD/USD 0,8619/0,8623

EUR/CHF 1,5178/1,5183

Rate BID/ASK

EUR/RON 4,2702/4,2708


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33

11. Un roman doreste sa vanda euro si sa incaseze dolari australieni. Sa sprecizezelacecurspoaterealizaaceastatranzactie.

12. S severificeposibilitatearealizriiunuiarbitrajtriunghiularpevaluteleEURUSDiCHF.

13. S se arate cum se poate profita de pe urma posibilitilor de arbitrtriunghilardac obanc afieaz urmtoareacotaie:USD/RON2.9080/2.9086.

14. S se arate cum se poate profita de pe urma posibilitilor de arbitrtriunghiulardac obanc afieaz urmtoareacotaie:USD/RON2.9110/2.9115.

15. Gsiiorelaieprincares determinaincecondiiisepoatepractic oschemdearbitrajtriunghiularutilizndEUR,USDiRON(folosiifigurademaijos).

EUR/USDcotaiila5minute

Sursa:www.dailyfx.com

16. Explicai pe baza urmtoarelor scheme modul n care un market makestabiletecursulforward.Completaisgeiledinschem cuproceseleaferenteiidentificaordineaacestorprocese.

A. Cursulforwarddevnzare

Marketmakeruldoretes vnd 1

europeste1an.

1/(1+rpEUR)EURazi

1EURpeste1an

S0ask x1/(1+rpEUR)RONazi

S0ask x(1+raRON)/(1+rpEUR)RONpeste1an Fask RONpeste1an


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34

B. Cursulforwarddecumprare

Marketmakeruldoretes

cumpere1europeste1an.

17. Dac spreadulprocentualalcotaieispotEUR/RONestede0,034%,spreaduabsolut pentru rata dobnzii la RON de 2 p.p. i spreadul absolut pentru rata dobnzii l

EURde1p.p.,determinaispreadulprocentualalcotaieiforwardla3luni.

18. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury InflatioProtected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000 USD, ratcuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunea se ramburseaz lscaden, iarvaloareanominal seajusteaz inndcontderatainflaiei.nceldealtreilean,cusumaobinut dinobligatiuniledeinute,investitoruldoretes investeascn200daciuniAXAdelabursaEURONEXT.CursulspotEUR/USDnmomentulschimbriisumedin USD n EUR este 1,4672/1,4687. tiind c rata inflaiei pe perioada de deinereobligaiunilor a avut evoluia din tabelul de maijos, s se determine preuln EUR la car

investitorulaachiziionatactiunileAXA.

Nr.ani 1 2 3Rata

inflaiei

2% 3% 1%

Fbid/(1+rp

RON)RONazi

Fbid RON

peste1an

[Fbid/(1+rp

RON)]/S0bidEURazi

Fbidx(1+raEUR)/ S0bidx(1+rpRON) EURpeste1an 1EURpeste1an


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35

Studiu de caz 5 FOREX Market

The foreign exchange market (currency, forex, or FX) trades currencies. It lets banks and otherinstitutionseasilybuyandsellcurrencies.

The purpose of the foreign exchange market is to help international trade and investment. A foreignexchange market helpsbusinesses convert one currency to another. For example, it permits a U.S.

businesstoimportEuropeangoodsandpayEuros,eventhoughthebusinesssincomeisinU.S.dollars.

Theforeignexchangemarketisuniquebecauseof:

itstradingvolumes, theextremeliquidityofthemarket, itsgeographicaldispersion, itslongtradinghours:24hoursadayexceptonweekends(from22:00UTConSundayuntil22:00UTCFriday), thevarietyoffactorsthataffectexchangerates, thelowmarginsofprofitcomparedwithothermarketsoffixedincome(butprofitscanbehighduetoverylargetradingvolumes), theuseofleverage.

ThereisnounifiedorcentrallyclearedmarketforthemajorityofFXtrades,andthereisverylittlecrossborder regulation. Due to the overthecounter (OTC) nature of currency markets, there are rather anumberofinterconnectedmarketplaces,wheredifferentcurrenciesinstrumentstraded.Thisimpliesthatthereisnotasingleexchangeratebutratheranumberofdifferentrates(prices),dependingonwhatbank

ormarketmakeristrading,andwhereitis.Inpracticetheratesareoftenveryclose,otherwisetheycouldbeexploitedbyarbitrageursinstantaneously.ThemaintradingcenterisLondon,butNewYork,Tokyo,Hong Kong and Singapore are all important centers as well. Banks throughout the world participate.Currency trading happens continuously throughout the day; as the Asian trading session ends, theEuropean sessionbegins, followedby the North American session and thenback to the Asian session,excludingweekends.

Fluctuationsinexchangeratesareusuallycausedbyactualmonetaryflowsaswellasbyexpectationsofchanges in monetary flows causedby changes in gross domestic product (GDP) growth, inflation(purchasingpowerparitytheory),interestrates(interestrateparity,DomesticFishereffect,InternationalFishereffect),budgetandtradedeficitsorsurpluses,largecrossborderM&A(MergersandAcquisitions)

dealsandothermacroeconomicconditions.Majornewsisreleasedpublicly,oftenonscheduleddates,somanypeoplehaveaccesstothesamenewsatthesametime.However,thelargebankshaveanimportantadvantage;theycanseetheircustomers orderflow.

Onthespotmarket,accordingtotheBISstudy,themostheavilytradedproductswere:

EURUSD:27%; USDJPY:13%; GBPUSD(alsocalledcable):12%.


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37

TransactionCostsandMarketMakers

Market makers are compensated for allowing clients to enter the market. They take part or all of thespread in all currency pairs traded. In a common example, EUR/USD, the spread is typically 3 pips

(percentage

in

point)or3/100ofacent in thisexample.Thuspricesarequotedwithbothbidandoffer(i.e. ask)prices(e.g.,BuyEUR/USD1.4903,SellEUR/USD1.4900).Tradersbuyatthehigher offer orask price,andsellatthelower bid price,thusgivingupthedifference,orthespread,asthecostofthetransaction. Of course, the actual price level may also change during the intervalbetweenbuying andselling.

That difference of 3 pips is the spread and can amount to a significant amount of money. Because thetypicalstandardlotis100,000unitsofthebasecurrency,those3pipsonEUR/USDtranslateto$30paid

by the client to the market maker. However, a pip is not always $10. A pip is 1/100th of a cent (orwhatever),andthecurrencypairsarealwayspurchasedbybuying100,000ofthebasecurrency.

ForthepairEUR/USD,thequotecurrencyisUSD;thus,1/100thofacentonapairwithUSDasthequotecurrencywillalwayshaveapipof$10.If,ontheotherhand,yourcurrencypairhasSwissfrancs(CHF)

asaquoteinsteadofUSD,then1/100thofacentisnowwortharound$9,becauseyouarebuying100,000ofwhateverinSwissfrancs.


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38

VII. IFD&Tehnicideacoperirempotrivarisculuivalutar1. Presupunemc ocompanieromneasc areodatorien francielveienipeste3

luni.Aceastadoretes realizezeooperaiunedehedgingfolosinduncontractforward,

dup cumurmeaz:

De ce depinde rezultatul companiein cadrul contractului forward? Discutai pebazafiguriidemaijos.

FiguraIII.1.Payoffulpentrucumprtoruldeforward(longforward)

2. Presupunemc ocompanieromneasc areocrean n francielveienipeste3luni.Aceastadoretes realizezeooperaiunedehedgingfolosinduncontractforward,

dup cumurmeaz:

De ce depinde rezultatul companiein cadrul contractului forward? Discutai pebazafiguriidemaijos.

FiguraIII.2.Payoffulpentruvnztoruldeforward(shortforward)


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39

3. AmericanWoodmarkCorp.aredepltitpeste5luni750.000GBPunuifurnizorextern. Pentru a se proteja la fluctuaia cursului de schimb, importatorulncheie uncontractforwardprinintermediulCitibankNewYork,carepractic rateledobnziidintabelul de maijos. Cursul spot GBP/USD practicat de Citibank New Yorkn prezent

este 1,5478/512. S se discute eficiena operaiunii de hedging cu contracte forward,tiindc lascaden cursulspotGBP/USDeste1,5462/89.

Rata

dobnzii

1M 3M 6M 9M

pr ar pr ar pr ar pr ar

GBP 5,95% 6,07% 6,12% 6,30% 6,21% 6,39% 6,25% 6,45%USD 3,80% 4,00% 3,95% 4,15% 3,95% 4,32% 3,79% 4,03%

4. PetromSAncheieuncontractforwardpecursulEUR/RONcuscadenapeste3luni pentru suma de 100.000 EUR. Dac la scaden, pentru un curs spot de 4,25,

compania ar obine un rezultat de 700 lei, iar pentru un curs de 4,3456, ar obine opierderede256lei,s sedetermine:poziiancontracticursulforward.

5. Comentai pebaza urmtorului tabel diferenele dintre contractele forward icontractelefutures.

6. Compania Impact are de pltit peste 2 luni suma de 100.000 USD. Pentru aiacoperiexpunerea larisculvalutar, folosetecontracte futurespecursulUSD/RONcuscadenapeste3luniipre latermen2,9650.tiindc lamomentuldeschideriipoziiei,cursulspot 0tS afost2,95,iarvaloareaunuicontractfutureseste1000USD,s sediscuterezultatulspeculatoruluinurmtoarelecazuri:

a) =1tS 2,9650, =),( 1 TtF 2,98;b) =1tS 2,9410, =),( 1 TtF 2,9550.


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40

7. Un exportator are dencasat peste 3 luni suma de 100.000 euro. Pentru aiacoperi expunerea la riscul valutar foloseste contracte futures pe cursul EUR/RON cuscadena3 luni ipre la termende4,3750. tiindc lamomentuldeschideriipoziiei,cursul spot era de 4,37, s se determine rezultatul exportatorului dac la scadena

contractuluicursulspotdevine:a)ST=4,3500;b)ST=4,3850.

8. Un importatorjaponez va avea de pltit peste 3 luni suma de 650.000 USD.CursullavedereUSD/JPYestede92,iarcursullatermende99.Importatorulcumpropiuni call de tip european (valoarea unui contract fiind de 50.000 USD), la pre deexerciiu94 iprim de2JPYpentru1USD.Carevafirezultatuloperatoruluidac lascaden cursuleste:

a)90;b)123;c)95.

9. Un investitor vinde 3 opiuni call USD/RON, valoarea unui contract fiind de1.000USD.PEestede2,85RON/USD,primaestede0,05RONpentrufiecareUSD.Secererezultatulinvestitoruluidac lascaden cursulspoteste:

a)3,1500;b)2,7600;c)2,8800.

10. Un exportator elveian ncheie un contract de export de 1.000.000 USD cuscadenaniunie.PentruaseprotejaladepreciereaUSD,cumpr 20opiuniputacte50.000 USD fiecare, PE = 1,0150 USD/CHF, prima pltit = 0,025 CHF pentru 1 USD.

Careesterezultatulexportatoruluidac lascaden cursulUSD/CHFeste:a)0,9989;b)1,0357;c)0,9326.

11. Uninvestitorvinde2opiuniPUT,valoareaunuicontractfiindde2.000USD,PE=1,05CHFpentru1USD,prima=0,02CHFpentru1USD.Careesterezultatuldac lascaden cursulspoteste:

a)1,0898;b)1,0455;c)1,0144.

12. Cursul spot este 1 EUR = 4,25000 RON. Un speculator anticipeaz o cretere acursuluiitranzacioneaz oopiune(dimensiuneacontractului=1000EUR,primaeste0,05 RON pentru un EUR, PE = 4,3000 RON pentru un EUR). a) S se determinerezultatul speculatorului dac la scaden cursul este 1 EUR=4,1500 RON.b) Ct ar fitrebuits fiecursullascaden a..rezultatuls fieunctigde50RON.

13. Unexportatorvancasapeste2luni1000USD.Pentruaacoperirisculvalutar,vatranzaciona o opiune cu prima este 0,05 RON pentru un USD, dimensiuneacontractului este de 1000 de USD, PE=3,0000 RON/USD. S se stabileasc dac


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exportatorul exercita sau nu opiunea, tiind c la scaden cotaia USD/RON este2,9900/3,0100. S se stabileasca dac un speculator care vrea sa profite de pe urmascaderiicursuluideschimbarexercitaoptiunearespectiva.

14.

Considermunagenteconomicromncareladatade1martie2009arealizatunimportdinItalianvaloarede10000EUR,sumaurmndafipltit peste trei luni.nprezent,cursulpepia este1EUR=4,1000RON.

a) ce poziie va luantrun contract pe opiuni a.. s se acoperempotrivarisculuivalutar;

b)Pepia exist opiunicallcuscadenapestetreiluniicuurmtoarelepreurideexerciiu:4,1500,4,2000,4,2500,4,3000,4,3500.tiindc importatorulopteaz pentruopiunea call cu preul de exerciiu PE=4,3500 RON pentru un EUR, dimensiuneacontractului este de 1000 EUR, c= 0,05 RON pentru un EUR, care este rezultatul sudac lascaden cursuleste4,4500,respectiv4,3300.

15. Presupunem c un speculator a optat pentru o strategie pe cursul EUR/RONformat astfel: opoziie short pe un contract call i2poziiishort pe un contract put,opiunile call i put au aceeai scaden, aceeai valoare: 5000 EUR, acelai pre deexerciiu, 4,2000, i aceeai prim de 0,05 RON pentru un EUR. Care sunt ateptrilespeculatorului legate de cursul EUR/RON? Care este rezultatul su dac la scadencursuleste3,9500;4,2000,respectiv4,3700.Refaceiproblemapentrupoziialong.

16. Compania Apple Inc. realizeaz tranzacii cu zona euro, avnd ncasritrimestrialeneuro. Pentru ase acoperi la evoluiacursuluiEUR/USD, AppleInc. aredou alternative:

A. tranzacioneaz o opiune asiatic avnd preul de exerciiu 1,4942, prima 0,008,scadena un an, dimensiunea constractului 1.345.000 EUR. Cursul spot a avuturmtoareaevoluie:

Trimestru I II III IV

ST 1,4805 1,4825 1,3330 1,4458

Opiuneaasiatic arelabaz cursulmediulalactivuluisuport,respectiv , , , , ,unde:


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1 1

Determinairezultatulsulascaden.

B. tranzacioneaz o opiunebarier de tip knock, avnd preul de exerciiu 1,5096,scadenaunan,dimensiuneacontractului1.345.000EUR.

Secere:a) Se justific alegerea unei opiune de tip downandout? Dac da, determinai

rezultatullascaden.b)Dac Applealegeoopiunedetipdownandin,pentruobarier 1EUR=1,2639USD,i prima de 0,0061, ct este rezultatul su la scaden? Ar fi mai avantajoas aceastalternativ comparativcuopiuneaasiatic?c)Dac sealegeoopiuneputupandout,pentruobarier 1EUR=1,65USD,ctesterezultatulsulascaden (primaeste0,0067)?

Sursa:FEDStLouis

17. Payoffuluneistrategiiiniiat deunspeculatorestedeforma:( )

>


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S sedetermine:

a. Opiunilececompunacestpayoff;b. Dac valoareaunuicontractestede10.000deGBP,PE1este1GBP=15,2213

CNY,cuprimaaferent de0,01, iPE2este1GBP=15,2350CNY,cuprimade0,007,s

sereprezintegraficstrategiais sedetermine:i.intervalulncarespeculatorulctig,respectivpierdereamaxim,ii.rezultatulspeculatoruluidac lascaden cursulspot,ST=15,1545CNY/GBP.

18. Unspeculatoranticipeazaocrestereacursuluideschimbsiisipropunesacreezeostrategiecucostminimfolosind2opiunicallcupreurideexercitarediferitecaresaiasigureuncastigcandcursulcreste.Sasereprezintegraficoastfeldestrategie.

19. Presupunem c firma A din Germania necesit unmprumut de 1.000.000 GBPpe2ani,iarcompaniaBdinMareaBritanienecesit unmprumutde1.500.000EURpe2ani.Ratelededobnd depepieelemonetareaferentecelordou companiipemtrucreditelenlireieurosunt:

Ratadedobnd laGBP Ratadedobnd laEUR

A(DE) 6,5% 6%B(UK) 4% 5,5%

Cursul spot GBP/EURn prezent este 1,5. Cele dou companii decid s ncheie uncontractswap,prinintermediulbnciiBarclays.

I.Rspundeilaurmtoarelentrebri:

a) Care sunt condiiile pe care Barclays le urmrete pentru a perfecta otranzacieswapntreceledou companii?

b)Cenelegeiprinavantaj(ctig)comparativneticumestedistribuitacesta?

c)Dincemotivarpltiodobnd mairidicat companiaA,dac semprumutneurodepepiaanaional?

d) Un contract swap reprezint un produs al pieei OTC. Care este principalulrisccederiv dinncheiereacontractuluiswap?Cineiasum acestrisc?

e)Caresuntavantajelerealizriiunuicontractswap?

f)Princontractul swap companiile A i B realizeaz o operaiune de hedging arisculuivalutar?DarBarclays?


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II.Barclaysdistribuieavantajulcomparativnetastfel:companiaA 40%,companiaB 40%,dealerul20%.

a)Explicaipebazaschemeidemaijosmodulderealizareatranzacieiswap;

b) Ct este rata dobnzii aferent mprumutului realizat de compania A? DarpentruB?

c)Ctestectiguldealerului?

d) Compania B previzioneaz o volatilitate ridicat a cursului de schimbn cel

dealdoileaanaferentcontractuluiswap.nacestscop,utilizeaz contracteforward,pecare lencheie cu HSBC Bank Plc, avnd preul la termen 1,5628. Dac la scadenacontractuluiforward,cursulspotGBP/USDeste1,4919,afostacoperitrisculvalutar?

20. CompaniaMicrosoft(SUA)doretes semprumute1.000.000EUR laorat dedobnd fix pe3ani,iarNokia(Finlanda)doretes semprumute1.470.000USDlaorat dedobnd fix pe3ani. Ratele de dobnd lacarese potmprumutacele doucompaniisunt:

Ratadedobnd laUSD Ratadedobnd laEUR

Microsoft(US) 5% 6,5%Nokia(EU) 7% 6%

Cele dou companii decid s ncheie un contract swap valutar pe 3 ani adresnduseuneibncidealer,respectivCitibank(SUA).Citibankdistribuiectigulcomparativnetastfel: Microsoft 30%, Nokia 40%. Cursul spot iniial este 1 EUR = 1,47 USD. S sedetermine:

6%

Dealer(Barclays)

CompaniaA(DE)

CompaniaB(UK)

BancaX(DE)

BancaY(UK)

1.5

00.0

00

1.500.000 1.500.000

1.000.0001.000.000

6%

?% 4%

?%

4%


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45

a)Ctigul comparativ net i costulmprumuturilor suportate de Microsoft iNokia(schemaderealizareacontractuluiswap);

b)CareesterezultatulluiMicrosoft,NokiaiCitibanknfiecarean;c)Pentru a se acoperi la fluctuaia cursului EUR/USD, Microsoft utilizeaz

opiuniplainvanilla,avndpreuldeexerciiu1,4956 iprima0,018USDpentruunEUR.S sediscuteeficienahedginguluicuopiuni, tiindc dolarulsedepreciaz nfiecareantimpde3anicu1,2%.

21. Compania Tissot (Elveia) dorete s semprumute 1.000.000 EUR la o rat dedobnd variabil pe 4 ani, iar compania Orange (Frana) dorete s semprumute1.635.000 CHF la o rat de dobnd fix pe 4. Ratele de dobnd la care se pot

mprumutaceledou companiisunt:

Ratadedobnd laCHF Ratadedobnd laEUR

Tissot(CH) 7,45% EURIBOR+1,74%

Orange(EU) 8,13% EURIBOR+0,62%

Cele dou companii decid s ncheie un contract swap valutar pe 4 ani adresnduseunei bncidealer, respectiv Socit Gnrale (Frana). Socit Gnrale distribuiectigulcomparativnetastfel:Tissot35%,Orange45%.Cursulspotiniialeste1EUR=1,635CHF.S sedetermine:

a)Ctigulcomparativnet,costulmprumuturilorsuportatedeTissotiOrange(schemaderealizareacontractuluiswap)ictiguldealerului;

b)Care este rezultatul lui Tissot i Orangen fiecare an (EURIBORt+1=3,23%,EURIBORt+2=3,46%,EURIBORt+3=3,10%,EURIBORt+4=3,06%,undet+ireprezint sfritulanuluii),attnsum absolut ctintermeniprocentuali;Dac eurosedepreciaznfiecareantimpdedoianicu0,56%,carevafirezultatul

nregistratdeSocitGnralenceldealdoileaan?


46/56

Studiu

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47

Historicalbackground

Theinitialliquiditycrisiscaninhindsightbeseentohaveresultedfromtheincipientsubprimemortgagecrisis,withthefirstalarmbellsbeingrungbythe2006HSBCresults.Thecrisiswaswidelypredictedbyanumberofeconomicexpertsandotherobservers,butitprovedimpossibletoconvinceresponsiblepartiessuchastheBoardofGovernorsoftheFederalReserveoftheneedforaction.

OneofthefirstvictimswasNorthernRock,amajorBritishbank.Thehighlyleveragednatureofitsbusiness led thebank torequestsecurity from the Bank of England.Newsof this lead to investorpanic and abank run in midSeptember 2007. Callsby Liberal Democrat Shadow Chancellor VinceCable to nationalise the institution were initially ignored, however in February 2008, the BritishGovernmentrelented,andthebankwastakenintopublichands.NorthernRocksproblemsprovedto

beanearlyindicationofthetroublesthatwouldsoonbefallotherbanksandfinancialinstitutions.

Excessivelendingunderloosenedunderwritingstandards,whichwasahallmarkoftheUnitedStateshousingbubble,resulted inavery largenumberofsubprimemortgages.Thesehighrisk loans

hadbeen perceived tobe mitigatedby securitization. Rather than mitigating the risk, however, thisstrategy appears to have had the effect ofbroadcasting and amplifying it in a domino effect. Thedamage from these failing securitization schemes eventually cut across a large swath of the housingmarket and the housingbusiness and led to the subprime mortgage crisis. The accelerating rate offoreclosures caused an ever greater number of homes tobe dumped onto the market. This glut ofhomes decreased the value of other surrounding homes which themselves became subject toforeclosureorabandonment.Theresultingspiralunderlayadevelopingfinancialcrisis.

Initially the companies affected were those directly involved in home construction andmortgagelendingsuchasNorthernRockandCountrywideFinancial.Financialinstitutionswhichhadengaged in thesecuritizationof mortgagessuchasBearStearns then fellprey. Lateron,BearStearnswasacquiredbyJPMorganChasethroughthedeliberateassistancefromtheUSgovernment.Itsstockprice fell from the record high $154 to $3 in reaction to thebuyout offer of $2byJP Morgan Chase,subsequently the acquisition price was agreed on $10between the US government as well asJPMorgan. OnJuly 11, 2008, the largest mortgage lender in the US, IndyMac Bank, collapsed, and itsassetswereseizedbyfederalregulatorsafterthemortgagelendersuccumbedtothepressuresoftightercredit, tumbling home prices and rising foreclosures. That day the financial markets plunged asinvestorstriedtogaugewhetherthegovernmentwouldattempttosavemortgagelendersFannieMaeandFreddieMac,whichitdidbyplacingthetwocompaniesintofederalconservatorshiponSeptember7,2008afterthecrisisfurtheracceleratedinlatesummer.

Itthenbegantoaffectthegeneralavailabilityofcredittononhousingrelatedbusinessesandtolargerfinancialinstitutionsnotdirectlyconnectedwithmortgagelending.Attheheartofmanyofthese

institutions portfolios were investments whose assets had been derived from bundled homemortgages. Exposure to these mortgagebacked securities, or to the credit derivatives used to insurethemagainstfailure,threatenedanincreasingnumberoffirmssuchasLehmanBrothers,AIG,MerrillLynch, and HBOS. Other firms that came under pressure included Washington Mutual, the largestsavings and loanassociation in the United States,and the remaining large investment firms,MorganStanleyandGoldmanSachs.


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Risksandregulations

Forsomeanalyststhefirsthalfofthe2000decadewillberememberedasa timethatfinancialinnovations and the CRA requirement of mandated lending to non creditworthy individualsoverwhelmedthecapacityofbothregulatorsandbankstoassessriskinthefinancialmarkets.ThecaseofCitigroupisemblematic:CitigrouphadalwaysbeenunderFederalReserveregulation,anditsnearcollapse shows that the regulation was ineffective, and that government underestimated the crisisseverityevenafteritbegan.Citigroupwasnotaloneinnotbeingcapabletounderstandfullytherisksitwas taking. As financial assetsbecame more and more complex, and harder and harder to value,investors were reassured by the fact that both the international bond rating agencies and bankregulators, who came to rely on them, accepted as valid some complex mathematical models whichtheoretically showed the risks were much smaller than they actually proved tobe in practice. InGeorge Soros opinion The superboom got out of hand when the new products became socomplicated that the authorities could no longer calculate the risks and started relying on the riskmanagementmethodsofthebanksthemselves.Similarly,theratingagenciesreliedontheinformationprovidedbytheoriginatorsofsyntheticproducts.Itwasashockingabdicationofresponsibility.

Beginning withbankruptcy of Lehman Brothers on Sunday, September 14, 2008, the financialcrisis entered an acute phase markedby failures of prominent American and Europeanbanks andeffortsby the American and European governments to rescue distressed financial institutions, in theUnited Statesby passage of the Emergency Economic Stabilization Act of 2008 and in Europeancountriesby infusionofcapital intomajorbanks.Afterwards,Icelandalmostclaimedtogobankrupt.Many financial institutions inEurope also faced the liquidity problem that theyneeded toraise theircapital adequacy ratio. As the crisis developed, stock markets fell worldwide, and global financialregulatorsattempted to coordinateefforts tocontain the crisis. TheUS governmentcomposeda$700

billionplantopurchaseunperformingcollateralsandassets.However,theplanwasvetoedbytheUScongressbecausesomemembersrejectedtheideathatthetaxpayersmoneybeusedtobailouttheWall

Street investmentbankers. The stock market plunged as a result, the US congress amended the $700billionbailoutplanandpassedthelegislation.Themarketsentimentcontinuedtodete

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