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Facultate

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Monetar
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1
2

I. Aprecierea/DepreciereaMonedelor

1. Completai tabelul de mai jos cu simbolul aferent fiecrei valute. Ce se


poate afirma referitor la evoluia leului n 4 septembrie 2009 fa de ziua anterioar?
Leulsadepreciatfadetoatevalutele?Cumcoteazleulfadecelelaltevalute?

Simbol 3sep.2009 4sep.2009


Dolarulaustralian 2.4899 2.5035
Levabulgreasc 2.1701 2.1698
Dolarulcanadian 2.6958 2.7104
Franculelveian 2.8031 2.8000
Coroanaceh 0.1654 0.1659
Coroanadanez 0.5702 0.5701
Liraegiptean 0.5365 0.5376
Euro 4.2442 4.2436
Lirasterlin 4.8538 4.8612
100Forinimaghiari 1.5450 1.5463
100Yenijaponezi 3.2112 3.2031
Leulmoldovenesc 0.2649 0.2649
Coroananorvegian 0.4919 0.4920
Zlotulpolonez 1.0243 1.0293
Rublaruseasc 0.0935 0.0940
Coroanasuedez 0.4120 0.4127
Liraturceasc 1.9652 1.9793
Dolarulamerican 2.9673 2.9741
Realulbrazilian 1.5744 1.5990
Renminbiul
chinezesc 0.4345 0.4355
Dolarulneo
zeelandez 2.0144 2.0305
Gramuldeaur 93.7853 94.417
DST 4.6564 4.6339
Sursa:BNR

2. La nceputul anului 2007 cursul EUR/RON a fost 3500 . 3


0
= S , iar la
sfritul anului cursul a fost 3750 . 3
1
= S . S se calculeze cu ct sa apreciat/depreciat
euro,respectivleul,nanul2007.

3. Figurademaijosilustreazevoluiaa4monededinEuropaCentralide
Est (leul romnesc, zlotul polonez, coroana ceh i forintul maghiar) n perioada
3

ianuarie2008februarie2009.Pebazadatelorinclusengraficeledemaijos,rspundei
laurmtoarelentrebri:
a) Cuctsaudepreciatmonedelerespectivenperioadaanalizat?
b) Ce factori economici credei c pot determina deprecierea monedelor n mod
sincronizatnmaimulteri?
c) Cumapreciaivolatilitateacursuluideschimbncelepatruri?
d) Cealteobservaiireferitoarelacorelaiilecareexistpepiaavalutaraiputea
facepebazafiguriidemaijos?

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

Sursa:Reuters
4. Seconsiderurmtoarelecotaiibid:
EUR/GBP0,6631
EUR/CHF1,6492
EUR/JPY158,45
tiindcintermediarulfinanciarpercepeunspreadde20punctepentrutoate
cotaiile,ssedeterminecotaiileask.

5. Se cunoate cotaia USD/RON 2,6031 / 2,6560. Cum se poate transforma


aceastcotaientrunadeformaRON/USD?Explicai.
3,6014
4,6564
3.00
3.20
3.40
3.60
3.80
4.00
4.20
4.40
4.60
4.80
5.00
5.20
J
a
n

0
8
F
e
b

0
8
M
a
r

0
8
A
p
r

0
8
M
a
y

0
8
J
u
n

0
8
J
u
l

0
8
A
u
g

0
8
S
e
p

0
8
O
c
t

0
8
N
o
v

0
8
D
e
c

0
8
J
a
n

0
9
F
e
b

0
9
EUR/PLN
Maxim=4,8702
Minim=3,2055
296,52
254,52
220
230
240
250
260
270
280
290
300
310
320
J
a
n

0
8
F
e
b

0
8
M
a
r

0
8
A
p
r

0
8
M
a
y

0
8
J
u
n

0
8
J
u
l

0
8
A
u
g

0
8
S
e
p

0
8
O
c
t

0
8
N
o
v

0
8
D
e
c

0
8
J
a
n

0
9
F
e
b

0
9
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
J
a
n

0
8
F
e
b

0
8
M
a
r

0
8
A
p
r

0
8
M
a
y

0
8
J
u
n

0
8
J
u
l

0
8
A
u
g

0
8
S
e
p

0
8
O
c
t

0
8
N
o
v

0
8
D
e
c

0
8
J
a
n

0
9
F
e
b

0
9
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
J
a
n

0
8
F
e
b

0
8
M
a
r

0
8
A
p
r

0
8
M
a
y

0
8
J
u
n

0
8
J
u
l

0
8
A
u
g

0
8
S
e
p

0
8
O
c
t

0
8
N
o
v

0
8
D
e
c

0
8
J
a
n

0
9
F
e
b

0
9
EUR/CZK
Maxim=29,4573
Minim=23,01
4

6. Sedauurmtoarelecotaiibidispreadulaferent:
EUR/USD1,4139spreadde10pipsi;
GBP/USD1,6556spreadde5pipsi;
USD/JPY94,70spreadde15pipsi.
Scrieicotaiilecompleteitransformaileastfelnctmonedacotantsdevin
moneddebaz.

7. Presupunem
c suntei un trader pe
piaa valutar care
utilizeaz platforma de
tranzacionarefurnizatde
fxclub.com.n6august2009
ai cumprat 100.000 de
lire sterline la maximul
pieei i leai vndut la 1
octombrie la cursul care
reiesedingraficulalturat.
Careafostprofitulobinut
n urma acestei tranzacii?
Ctafostcapitalulpropriu
investitdaclevierulafost
1:200?
GBP/USDcotaiizilnice

Sursa:www.fxclub.com
Ctarfifostprofitul(pierdereaobinut)dacsarfitranzacionatdoarpebaza
capitaluluipropriu?

8. S presupunem c suntei un trader care tranzacioneaz intraday. La


data de 1 octombrie 2009 cumprai 100.000 euro la ora 13:17 GMT i vindei la ora
13:29.Careafostprofitulobinutconformdatelorprezentatengraficuldemaijos.Ct
a fost capitalul propriu investit dac levierul a fost 1:100? Ct ar fi fost profitul
(pierdereaobinut)dacsarfitranzacionatdoarpebazacapitaluluipropriu?

EUR/USDcotaiilaunminut

Sursa:www.fxclub.com

II. Rolulratelordedobndndeterminareacursului
deschimb.Paritatearatelordedobnd

Se cunoscurmtoareleratededobnd(procente anuale)afiatedeobancdin
Romniandatade3oct2009:
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,pentruoanumitmaturitate,cdepozitelenleisuntmai
avantajoasecomparativcuceleneurodeoareceaducratededobndmairidicate?De
cenu?
2. Ctobineuninvestitorcaredispunede1000RONpecareiplaseazntr
undepozitnleipeunan.Careesterataderentabilitateobinut?
3. Ctobineuninvestitorcaredispunede1000RONpecareiplaseazntr
undepozitneuropeunan,iareurosaapreciatnaceastperioadcu5%fadeleu?
Careesterataderentabilitateobinut?
4. n ce situaie cele dou depozite de mai sus ar fi fost echivalente? S se
deducorelaiedeparitatearatelordedobnd.
5. Cuctartrebuisseaprecieze/depreciezeeurofadeleuastfelnctUIP
sfiesatisfcutpentruorizontulde6luni.
6. S se explice pe baza paritii neacoperite a ratelor de dobnd (en. UIP)
modulncareratelededobnddepeceledoupieeinivelulateptatalcursuluide
schimbinflueneaznivelulspotalcursului.

Un investitor european are la dispoziie o sum de 100.000 euro, iar rata dobnzii pe
piaa zonei Euro este de 2,5%. De asemenea, se cunosc ratele de dobnd i cursurile
prezenteiateptatefadeeuropeurmtoarelepiee:
Piaa Ratadobnzii
La3luni
Cursactual Cursateptat
peste3luni
Romnia 8% 3,5670 3,5000
Elveia 2,75% 1,5550 1,5400

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


optimdeplasareabanilorpentruinvestitor.
8. CtesterataladepozitelenEURexprimatnlei?
9. Care ar fi trebuit s fie cursul EUR/RON peste trei luni astfel nct s fie
satisfcutUIP?
10. Cumsepoateacoperiinvestitoruleuropeanmpotrivarisculuidecursde
schimbncazulncareopteazpentruundepozitnfrancielveieni?

11. Ce factori credei c sunt importani n determinarea cursului pentru


tranzaciilelatermen?
12. Cursul forward este fixat de bnci astfel nct s nu fie expuse la riscul
valutar.Construiiunraionamentprincareobanccevindeforwardsepoateproteja
mpotriva riscului valutar prin operaiuni de constituire de depozite i contractare de
credite.
13. Construiiunraionamentprincareobanccecumprforwardsepoate
proteja mpotriva riscului valutar prin operaiuni de constituire de depozite i
contractaredecredite.

14. ConsidermuncursspotEUR/RON3.6221,ratalaleieste8%,iarratala
euroeste2.5%.Considerndc rateleactivesuntegalecucelepasive,carevaficursul
forwardafiatdeobanc?

15. Interpretai relaia dintre UIP si paritatea acoperit a ratelor de dobnd


(en.CIP)prinprismateorieipieeloreficiente.

16. La un moment dat, pe piaa financiar se nregistreaz datele din tabelul


demaisus.ncazulncareobancafieazuncursforwardegalcu3.9500RON/EUR,
sseidentificedacexistposibilitateapentruunagenteconomicdearealizaunprofit
fr risc (posibilitate de arbitraj). Cum influeneaz aciunile agentului de mai sus
nivelulcursuluiforward?

17. n cazul datelor din tabelul de mai sus, o banc afieaz un curs forward
egal cu 3.6000 RON/EUR. Exist posibiliti de arbitraj? Cum afecteaz aciunile
arbitrajoruluicursuluideschimb?

18. Stabiliipecazulgeneralnceintervaltrebuiessituezecursulforwardpe
pia,astfelnctsnuexisteposibilitidearbitraj.

19. Explicai pe baza urmtoarelor scheme paritatea acoperit i cea


neacoperitarateidobnzii.Completaisgeiledinschemcuproceseleaferente.

A. Paritateaacoperitarateidobnzii
Este o condiie pentru
lipsa posibilitilor de
arbitraj, investitorii
sunt indifereni ntre
activele financiare
denominate n valute
diferite, iar riscul
valutar a fost eliminat
princontracteforward.

B. Paritateaneacoperitarateidobnzii
Riscul valutar este
lsat neacoperit, iar
randamentul aferent
plasamentului n
valut variaz n
funcie de cursul de
schimb.

20. Pebazastudiuluidecaz1,rspundeilaurmtoarelentrebri:
a) Cereprezintcomerulcuvalute?
b) Careestelegturadintrecomerulcuvaluteiparitateaneacoperitaratelor
dedobnd?
c) Caresuntsurseledeprofitncadrulcomeruluicuvalute?
d) Caresuntefectelegeneratedecomerulcuvalutepepieelefinanciare
internaionale?
e) Careafostrolulcomeruluicuvalutendeclanareacrizeifinanciaredin2007
2008?

Important:
1. CumexplicUIPevoluiacursuluideschimbspot.
2. Cumsededuceexpresiacursuluiforward.

1RON
azi
(1+r
RON
)RON
peste1an
1/S
0
EURO
azi
(1+r
EUR
) X1/S
0
EUR
peste1an
Fx(1+r
EUR
)x1/S
0
RON
peste1an
1RON
azi
(1+r
RON
)RON
peste1an
1/S
0
EURO
azi
(1+r
EUR
) X1/S
0
EUR
peste1an
S
e
x(1+r
EUR
)x1/S
0
RON
peste1an

S
H

N
trade, t
rates. For
rates,the

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exchange

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utwhydoes
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hecarrytrad
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Howthecarry
he mechanics
set of intere
y. Borrowers,
svaryinthew
ily any conn
ns dictate loc
ted,interestr
Using the car
offeringloans
y. Second, yo
yofadifferen
e currency co
Risksoftheca
ts important
hout risks. Th
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d currency r
az1.Come
avebeentriu
NTonthefin
or selling of c
smarties hav
emoneyinco
thecarrytra
perate under
ies interest r
eforwardrate
ot so, it woul
Americanint
profit in a ye
nomic theory
dinterestpari
dehasbeena
ofthecountr
ytradeworks
s of the carry
est rates that
, meanwhile,
waystheymo
nection amon
cal interest r
ratesindiffere
rry trade stra
satarelative
ou take the f
ntcountrytha
onversion, yo
arrytrade
to realize tha
he key variab
appens to exc
ises in relatio
rulcuvalu
mphingover
ancialmarke
currencies with
ve been borro
ountrieswher
dework?Int
a state of
rates is exact
e.
ld be possible
erestratesfor
ears time. Th
y also sugges
ityhasnotap
lucrativethin
rywhereyou
s
y trade are re
savers can e
, can expect
onitororcont
ng rates in d
ates, and to
entcountries
ategy involve
lylowinteres
foreign curre
atisoffering
ou then inves
at although th
ble in determ
change rates
on to the val
ute
economicthe
tsthesedays
h low interest
owing funds
renominalin
theory,itshou
covered intere
tly reflected
e for a Japane
r12monthsa
he potential
ts that uncov
ppliedoverth
ngtodojus
lentthemone
elatively strai
expect to rec
to pay that
trolinterestr
different cou
the extent th
tendtomove
es three sepa
strateandbo
ency that you
higherintere
st your new c
hecarrytrade
mining whethe
s during the t
lue of the inv

eory
iscomplete
rates and the
in Japan at i
nterestratesar
uldntornot
est parity. In
in the gap b
ese investor t
andsimultane
for arbitrage
vered interest
hepast25yea
staslongast
eydoesntmo
ightforward.
ceive for inve
t rate for loa
atesfortheir
ntries; for th
hat these loc
eindependen
arate transac
orrowmoney
u just borrow
estratesonin
currency and
hasworkedve
er a particula
time the trad
vested curren

withoutmen
purchase of cu
its still amazi
realothigher
tforaslonga
n other word
between the
to sell yen, bu
eouslysellth
means such
parity shoul
rsorso.
theexchange
oveagainstyo
Currencies ar
estments den
ans of the c
particularcu
he most part
al economic
ntlyofeachot
tions. First, y
denominated
wed and exc
nvestments.T
d earn a relati
erywelloverth
ar carry trade
de is open. If
ncy, then one

ntionofthec
urrencies with
ingly low int
r.
asithas.Fore
ds, the differ
spot, or cur
uy dollars, in
hedollarsforw
profits canno
ld operate. In
eratebetween
ou.
ound theworl
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urrency. Bec
urrency,there
t, local econo
conditions a
ther.
you must fin
dinthatcoun
change it for
Third,onceyo
ively high ra
hepastdecade,
e strategy wi
f the value of
es profits wi
9

carry
high
erest
eign
rence
rrent,
nvest
ward
ot be
n the
nthe
ld are
that
cause
isnt
omic
arent
nd a
ntrys
r the
ouve
ate of
, it is
ill be
f the
ill be
10

reducedoreventurnintolosses.

Thesuccessofthecarrytradealsodependsonthecontinuingdisparityamonginterestratesin
variouscountries.Muchofthesuccessofthedollaryencarrytradestrategyisthatshortterminterest
rateswere4%5%higherintheUnitedStatesthaninJapan.

Some commentators have expressed concern that if traders stop using the carry trade strategy,
then the recent weakness in the dollar may accelerate. Because investors who execute carry trade
strategies buy dollarsin exchangeforyen, their transactions create demand for the dollarand help to
support the exchange rate. Without this support, some observers worry that the dollar would fall
dramatically 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 to
seek profits. Although the strategy involves risk, it has rewarded its users significantly over the past
several years. But if the success of this strategy is coming to an end, it may have an impact on the
earnings of financial institutions that have made substantial use of the carry trade. These trades
allowed some traders to rake in big profits, but they also played a part in the credit crisis that struck
world economic systems in 2008. Its not surprising that, with all the panic, the smarties have been
pullingoutofthesecarrytradedeals.Astheydo,ofcourse,thehigherdemandfortheyencausesitto
appreciate, thus wiping out the interestrate gains and making it more urgent for others to get out.
Fingersarebeingburntaswespeak.

SettingUpTheCarryTrade

To become a successful carry trader, understanding the role that interest rates play in the FX
marketisacrucialtask.Acountryofferinghighinterestrateswillattractmorecapitalasinvestorsseek
tocapitalizehigherreturns.Asinterestratesrise,investmentwillfollow,whichcaninturnincreasethe
valueofthecurrency.Carrytradersmainfocusbecomestheexpectationonthedirectionofacountrys
interestrate,toensuretheirhighrateofreturn.

Generally, traders seek to buy currencies with high interest rates, and seek to short currencies
whoofferlowinterestrates.

The carry trade works best under certain market conditions, and the selection of the currency
paircanmakethedifferencebetweenalosingandaprofitabletrade.Whenselectingthecurrencypair,
traders want to observe two things. On the one hand, the trader wants to make sure he is buying the
currency that has the higher interest rate and is selling the currency that has a lower interest rate in
comparison. On the other hand, the trader also wants to view the health of the economy for the
currency pair to ensure the market will move to his/her favor. Essentially, the trader will be buying a
currency with a stronger economy and selling the currency with a weaker economy. Some currency
pairs that are usually selected to apply the carry trade strategy are: GBP/JPY, GBP/CHF, AUD/JPY,
EUR/JPY, CAD/JPY, and USD/JPY. In the 2000s, the term carry trade became synonymous with the
yencarrytrade.

CarryTradeStrategyExample

11

ThecarrytradeisapopulartradingstrategyusedintheFXmarket.Itguaranteestradersatleastsomereturnon
theirmediumandlongertermpositions.
IntheCarryTrade,speculatorsbuyhighinterestcurrenciesandsellcurrencieswithlowinterestrates.These
positionsensurethateachtradingdayrolloverinterestwillbepostedtothetradersaccount.Thus,theCarryTrade
hasthepotentialtosignificantlyenhanceatradersreturn.
ExampleLeverageCutsBothWaysinYenCarryTrade

Letsrunthroughanexampleofayencarrytradetosee
whatcanhappenwhenthemarketisboomingandwhenit
goesbust.

1. Borrow100millionyenforoneyearat0.50%per
annum
2. SelltheborrowedamountandbuyU.S.dollarsat
anexchangerateof115yenperdollar
3. Usethisamount(approximatelyUS$870,000)as
10%margintoacquireaportfolioofmortgage
bondspaying15%
4. Thesizeofthemortgagebondportfolioistherefore
$8.7million(i.e.$870,000isusedas10%margin,
andtheremaining90%,or$7.83million,is
borrowedat5%).
Afteroneyear,assumetheentireportfolioisliquidatedand
theyenloanisrepaid.Inthiscase,oneoftwothingsmight
occur:

Scenario1(BoomTimes)
Assumetheyenhasdepreciatedto120,andthatthe
mortgagebondportfoliohasappreciatedby20%.

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=$2,686,000
ReturnonInvestment=$2,686,000/$870,000=310%
12

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

TheglobalcreditcrunchthatdevelopedfromAugust2007ledtothegradualunravelingofthe
yen carry trade. Starting with the collapse of Lehman Brothers and the U.S. government rescue of
AIG, speculators began tobe hit with margin callsas prices of practically every asset begansliding.
To meet these margin calls, assets had to be sold, puttingeven moredownward pressure on their
prices.Ascreditconditionstighteneddramatically,banksbegancallingintheloans,manyofwhich
wereyendenominated.Speculatorsnotonlyhadtoselltheirinvestmentsatfiresaleprices,butalso
hadtorepaytheiryenloansevenastheyenwassurging.Repatriationofyenmadethecurrencyeven
stronger. In addition, the interest rate advantage enjoyed by higheryielding currencies began to
dwindleasanumberofcountriesslashedinterestratestostimulatetheireconomies.

The unwinding of the gigantic yen carry trade caused the Japanese currency to surge against major
currencies. The yen rose as much as 29% against the euro in 2008. By February 2009, it had gained
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 consumer
confidence and business sentiment, and exacerbated an economic slowdown. Nations whose
currencies were heavily involved in the carry trade (such as Japan) would also face economic
headwinds,asanunusuallystrongdomesticcurrencycanrenderexportsuncompetitive.

13

III. Rolulpreurilorndeterminareacursuluide
schimb.Paritateaputeriidecumprare

1. Lanceputulanului2009,cursuldeschimbdintreleulromnescieuroa
fost4,2567leipentruuneuro.RataanticipatainflaieinRomniaestede8%ntimp
ce anticiparea de inflaie pentru zona euro este de 2%. Ct va fi cursul de schimb
EUR/RONlasfritulanuluiconformPPP?

2. n fiecare an, revista The Economist public o versiune a cursului PPP


(Hamburger Index), care compar preurile unui hamburger McDonalds n 120 de
ri.Bazateorieiparitiiputeriidecumprareestelegeapreuluiunic(TheLowofOne
PriceLoOP). Potrivit acestei legi, preul de vnzare al unui bun oarecare, exprimat n
aceeaimoned,artrebuisfieacelaipepieenaionalediferite.

TabelIII.1.IndiceleBigMac1februarie2008.MeniulMacMonede
standardulhamburger
Indicator

ara
PreBigMac
(nmoned
local)
PreBig
Mac
(ndolari)
E
ppp
(fade
dolar)
Cursde
schimb
Apreciere(+)/
Depreciere()
fadedolar
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 6
Brazilia Real7,50 4,73 2,10 1,58 33
Canada C$4,09 4,08 1,15 1,00 14
Cehia Koruna66,1 4,56 18,5 14,5 28
Chile Peso1550 3,13 434 494 12
China Yuan12,5 1,83 3,50 6,86 49
Danemarca DK28,0 5,95 7,84 4,70 67
Egipt Pound13,0 2,45 3,64 5,31 31
HongKong HK$13,3 1,71 3,73 7,80 52
Indonezia 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 52
MareaBritanie 2,29 4,57 1,56 2,00 28
Mexic Peso32,0 3,15 8,96 10,2 12
Norvegia Kroner40,0 7,88 11,2 5,08 121
NouaZeeland NZ$4,90 3,72 1,37 1,32 4
Ungaria Forint670 4,64 187,7 144,3 30
ZonaEuro

3,37 5,34 1,06 1,59 50


Sursa:www.economist.com
14

PebazaTabeluluiIII.1,rspundeilaurmtoarelentrebri:
a) Severificteoriaparitiiputeriidecumprare(formaabsolut)peeantionul
derialesipentrubunulales?
b) Caresuntmonedelecucelmaimaregraddesupraevaluare?Explicai.
c) Caresuntmonedelecucelmaimaregraddesubevaluare?Explicai.
d) Presupunnd c n SUA i n China se produce un singur bun, identic, un
hamburgerMcDonalds,ctarficursuldeschimbUSD/CNYconformPPP?
e) Cuctestesub/supraevaluatyuanulchinezfadenivelulconformPPP?Dar
monedaeuro?
f) Calculai cursul real al yuanului fa de dolarul american. Facei legtura cu
subpunctule).AcceaicerinipentruperecheaEUR/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:ERSInternationalMacroeconomicDataSet
1

4. S se arate c atunci cnd leul este subevaluat fa nivelul calculat


conformPPP,cursulrealestesupraunitar.
5. Setiecnprimele8lunialeanului2008,leulsadepreciatcu8%fade
euro, inflaia n Romnia a fost 7% fa de sfritul anului trecut, iar n zona euro
aceastaafost3,75%.Cuctsaapreciat/depreciatleulntermenireali?

1
http://www.ers.usda.gov/Data/Macroeconomics/
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
2000 2001 2002 2003 2004 2005 2006 2007 2008
Germania Romania China
15

6. nRaportulBNRasuprainflaieidinaugust2009seafirmcnintervalul
aprilieiunie,leulsaapreciatnraportcueurocu1,5%ntermeninominaliicu2,1%n
termenireali.Cumexplicaiaceastdiferenprinevoluiapreurilornceledouri?

7. nRaportulBNRasuprainflaieidinaugust2009seafirmcnintervalul
aprilieiunie, leul sa apreciat cu 8,2% n termeni nominali i cu 8,9% n termeni reali.
Explicaiaceastdiferenprinevoluiapreurilornceledouri?

8. Cum credei c se poate testa empiric dac teoria paritii puterii de


cumprare se verific n cazul cursului EUR/RON? Care credei c ar fi rezultatul
analizei?EnumeraioseriedefactoricaredetermindeviaiidelateoriaPPPpetermen
scurt.

9. ComentaiprinprismaefectuluiBalassaSamuelsonurmtoarelegrafice:

FiguraIII.1
2
.Ratadecretereaproductivitiinsectorulbunurilortranzacionabilei
ncelalbunurilornetranzacionabile

Diferenadintreratadecretereapreurilornsectorulbunurilortranzacionabilein
celalbunurilornetranzacionabile

Sursa:Mihaljek,D.iKlau,M.2003.TheBalassaSamuelsoneffectincentralEurope:adisaggregated
analysis.BISWorkingPaperNr.143.

2
Notaii:CZ=Cehia,HR=Croatia,HU=Ungaria,PL=Polonia,SI=Slovenia,SK=Slovacia,XM=zona
euro. 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).

Studiud

W
economy
theworld
tothede
study th
thisand

T
growatf
terms of
faster ra
institutio
increase
andthere

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that are
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SalaiMa
surveyin
similara
per year
growthl
decaz2.Pr
With the incre
y, the debate
dpopulation
evelopedcoun
e determinan
thenextcentu
Thecatchupe
fasterratesth
f per capita i
ate than deve
ons currently
productivity
eforeconverg
he theory als
attempting to
catchupgrow
pscountriesi
red.Thediffe
followingde
nity to catch
ng to learn fr
theleadinga
One can distin
ence and
es falls over
over time an
ybutnotasu
ngerterm cat
cesacrosscou
tively)affects
ullyreflectedi
he converge
artin (1992) a
ng this literatu
across differen
r. In other w
evelsby,ona
rocesuldec
easing pace a
on income d
stillliveind
ntrieswillaffe
nts of catchin
ury.
effect,alsoca
hanrichereco
ncome and p
eloped count
y used in dev
and incomes
geinthelong
so assumes th
o catchup. C
wthfromocc
inaloweffic
erencesinpro
evelopednati
up. This pro
rom the lead
andfollowern
nguish betwee
convergence
time, there is
nd its initial
ufficientcond
tchup mecha
untries.These
shortrungro
inchangesof
ence literatur
and Mankiw
ure, conclude
nt data sets, t
words, econom
average,2per
catchingup
at which dom
isparities aro
developingco
ectthewelfar
g up in late d
alledthetheo
onomies.The
productivity.
tries as they
veloped coun
s in order to
term.
hat technolog
Capital that is
curring,espec
iencycyclew
oductivitytech
ons,butbya
ocess of catc
ding nations,
nationsbecom
en two types
. When the d
s conver
level is nega
ditionforsigm
anism, i.e. fo
eforces,howe
owthperform
thedispersio
e is extreme
et al. (1992),
es that the e
that we can s
mies close th
rcentannually
p
mestic market
ound the wor
untries.Whe
reofmoretha
development
oryofconverg
refore,alleco
Developing
y can replica
ntries. This a
achieve a hig
y is freely tra
s expensive o
ciallygiventh
wherebythem
hniquesiswh
marginnarro
chup continu
and will onl
mesverysma
s of convergen
dispersion of
rgence. When
ative, there i
maconvergen
orces which
ever,canbeo
mance.Thisis
onofincomel
ely large, wo
exploring
estimated spe
state that econ
he gap betwe
y.
ts are becom
ld has intens
therandwhe
anthreebillio
t is one of the
gence,states
onomiesshou
countries ha
te production
addition of ca
gher growth
aded and ava
or unavailabl
hatcapitalis
mostefficient
hatseparates
owenoughto
ues as long a
ly cease whe
llandeventu
nce in the eco
f real per cap
n the partial c
is conver
nce.Betaconv
work towar
offsetbytemp
whytheexist
levels.
rthnoty are t
convergence.
eeds of co
nomies conve
een present le
ming integrate
sified. More th
enthesecoun
onhumanbei
e major tasks
thatpoorere
uldinthelong
ave the poten
n methods,
apital allows
rate than dev
ailable to dev
le to these ec
scarceinthe
technologyis
theleadingd
ogivethefoll
as the follow
en the knowle
uallyexhauste
onomic grow
pita income a
correlation be
rgence. Beta
vergenceimp
rds the narro
poraryshocks
tenceofbeta
the contributi
. SalaiMarti
onvergence ar
ergeata spee
evels of inco
ed into the gl
han twothird
ntriescancatc
ings.Therefor
s of economis
economiesten
grunconverg
ntial to grow
technologies
s them to rap
veloped coun
veloping coun
conomies can
esecountries.
stooexpensiv
developednat
lowingnation
wed nations h
edge discrep
ed.
wth literature:
across a grou
etween growt
convergence
pliestheexist
owing of inc
swhichadver
convergence
ions of Barro
in (1996, p. 1
re so surprisi
ed of two per
me and bala
16
lobal
ds of
chup
re,to
sts in
ndto
gein
at a
and
pidly
ntries
ntries
also
This
veto
tions
nsan
have
pancy

up of
th in
is a
tence
come
rsely
may
o and
326),
ingly
rcent
nced
17

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

There are many examples of countries which have converged with developed countries which
validate the catchup theory. In in the 1960s and 1970s the East Asian Tigers rapidly converged with
developedeconomies.TheseincludeSingapore,HongKong,SouthKoreaandTaiwanallofwhichare
todayconsidereddevelopedcountries.Inthepostwarperiod(19451960)examplesincludeGermany,
FranceandJapan, whichwereable toquickly regain their prewar status by replacing capital thatwas
lostduringWorldWarII.

TheAsianTigers
Abandoning import substitution, the model advocated in the developing world following the
twoworldwars,theFourAsianTigerspursuedanexportdrivenmodelofeconomicdevelopmentwith
the exportation of goods to highlyindustrialized nations. Domestic consumption was discouraged
through government policies such as high tariffs. The Four Asian Tigers singled out education as a
means of improving productivity; these territories focused on improving the education system at all
levels; heavy emphasis was placed on ensuring that all children attended elementary education and
compulsory high school education. Money was also spent on improving the college and university
system.
Since the Four Asian Tigers were relatively poor during the 1960s, these nations had an
abundance of cheap labor. Coupled with educational reform, they were able to leverage this
combinationintoacheap,yetproductiveworkforce.
ThecommoncharacteristicsoftheFourAsianTigersare:
DevelopedeconomieswithhighGDPpercapitaandhighHDI
Focusedonexportstoricherindustrializednations
Tradesurpluswithaforementionedcountries
Sustainedrateofdoubledigitgrowthfordecades
HighlevelofU.S.treasurybondholdings
Motivatedandskilledworkforces
Highsavingsrate
These 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 fastgrowing
economiesbasedoncheaplabour,largelyreplacingtheTigers.

1970s:RealGDPIncreasesbyPercentage,InflationbyPercentageinHongKong

n Romnia convergena real se caracterizeaz prin manifestarea simultan a urmtoarelor


evoluii:
ritmuri de cretere economic peste medie, ndeosebi n primele etape ale procesului de
catchingup;
majorareaconsiderabilavenituluipecapdelocuitor;
intrrimasivedecapitalstrin;
tendinputernicdeapreciererealamonedeinaionalepnn2008.
18

RelaiadintrePIBpecapdelocuitornPPSnanul1999iratadecretereeconomicrealcumulatnperioada
20081999.

Sursa:Eurostat


19

IV. Balanadepli.Deficituldecontcurent

Rspundeilaurmtoarelentrebri:
1. Cereprezintbalanadepli?
2. Caresuntcomponentelebalaneidepli?
3. Daiunexemplusimpluprincaresartaimodulncareapreciereanominal
afecteazexporturileiimporturile.
4. Daiunexemplusimpluprincaresartaicadevratulfactordeinfluena
exporturiloriimporturilorestecursulrealdeschimb.
5. Cevateptaissentmplepetermenscurtcusoldulcontuluicurentdup
depreciereamonedeinaionale?
6. Explicaidececursulrealesteunindicatordecompetitivitate.
7. Cenelegeiprinpoliticbeggarthyneighbour?
8. Cereprezintcursulefectiv?
9. CesenelegeprincurbaJ?CereprezintefectulJ?
10. Cumsenregistreaznbalanadepliurmtoarele:
a. OfirmdinRomniatrimitenTurciauntransportdemrfurinvaloare
de 50 mil lei, inclusiv cheltuieli de transport (freight 1 mil lei), urmnd
s primeasc banii n 90 de zile (transportul se realizeaz cu un vas
romn);
b. Plataaferenttransportuluidemaisus;
c. O firm din Romnia a investit ntro sucursal n strintate, sucursal
caretransferfirmeimam10milleisubformdedividende;
d. RezideniidinRomniaimportbunurinvaloarede65millei,pecarele
pltesc cu bani pe care i dein la bnci straine (10 mil) i bani pe care i
deinlabncidinRomnia(55mil);
e. Turitii romni cheltuie n strintate 5 mil ron cumprnd valut de la
bnciromne;
f. UnimigrantchineznRomniatransfer1milronnChina;
g. RezideniiromniachiziioneazobligaiuniemisedeBMnvaloarede40
milron.

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


acestuia?
12. CareesteprincipalaclasdeproduseimportatedectreRomnia?
13. CareesteprincipalaclasdeproduseexportatedectreRomnia?
14. Cumseacoperdeficituldecontcurent?
15. Cenelegeiprinsintagmasuddenstop?

16. F
respectiv
curent.

17. S
bazarela

18. C

P
B
d
ra
M
re
b
n
Su
BN

19. R
a) C
mondial
b) C
surplusu
c) C
flexibil
iguradem
v fa de d
Figu

criei comp
aieiobinu
Comentaiu
Primatran
anca Naiona
atoriepublic
ambursarea u
MonetarIntern
espective au
ncilorromn
npunctuldev
ursa: Ministe
NR,dinsurse
Rspundei
Cum poate
l,cumarfi
Cereaciila
uluisucom
Care ar fi a
nChina?
maijosilust
dolar. Com
uraIV.1.Evo
Sur
ponentele P
utefactoriid
urmtorulfr
amprumutu
al a Romnie
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naionalaavu
jucat un rol
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argumentele
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or: Primatrans
w.hotnews.ro,
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ei,preulpe
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uiacursulu
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din sursele p
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delichiditic

sadinacordul
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ricareseb
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etrolului,n
ragnivelul
ontra adop
uirealalle
tor evoluii
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i pe parte
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uvernuluinr6
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bazeazpe
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schimballe

ea ofertei i
luicurent.
euro,afostco
Acest mpru
64/2007privin
NR. Prima tra
rvalutareale
minime obliga
arenpiaam
miliardeeuro,
studiulde
riabile econ
riilor,ratad
uinChina
regim de c
latfadee
oldului con
eului
i identifica
ontractatde
umut nu repre
nddatoriapu
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atorii n valu
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Studiud
O
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Chinato
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faster yu
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decaz3.Ro
Oct11th2007F
CHINAwillso
lythemostea
36% in 2006,
Americanho
t is widely a
om exports.
Chinashuget
n2005,China
nd of 0.5% o
tive edge in o
alongwith
letitscurren
arlier this m
currentaccou
theG7about
WE will contin
ngsessionof
assayingthat
This is a sligh
uan appreciat
deficit,saidM
oluljucatd
FromTheEco
oonhaveseve
agershopper
the lowest p
ouseholdscon
greed that Ch
Not only wo
tradesurplus
stoppedpeg
on either side
overseas mar
othercountri
ncyriseinvalu
month, financ
untsurplusw
tChinascurr
nue to promo
aSpanishCh
foreignexcha
ht shift in Ch
tion to adjust
MegBrowne,
deChinan
onomistprint
enofthewor
rs.Consumer
proportion in
nsume70%of
hina needs to
ould this mak
.
ggingitsyuan
e of its parit
kets. In respo
iesandvariou
ue.
cial officials f
wasevidenceo
rency.
ote exchange
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hinas positio
t global imba
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o rebalance it
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Evo
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conomy (see
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2
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uggesting tha
tatBrownBro
nal
malls.YetCh
47%ofGDP
lefthand ch
in favour of c
sustainable, b
uiUSD/CNY
20012009
Sursa:FED
ralbanknow
ness gives C
anufacturers a
zationshave
en industriali
yuan,thestr
puty Governo
gtonewsrep
rrectingtrad
d responded t
t the U.S. ad
othersHarrim
hinesehouseh
intheearly1
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consumption
but it would
Ynperioada
wallowsittot
Chinese expor
and labor gro
ebeenpressu
ized nations
rongeststatem
or Liu Shiyu
ports.Hewas
deimbalances
to U.S. calls f
ddress its cur
man.
21
holds
1990s
other
n and
also

trade
rts a
oups,
uring
said
ment
told
salso
.
for a
rent
22

September3,200710:00PM
There is widespread agreement that Chinas currency is undervalued and harming the US
economy. This harm works through the trade deficit and imports that displace spending on
domesticallyproducedgoods,therebyinjuringmanufacturers.Additionally,theundervaluedcurrency
displacesinvestmentbyencouragingbusinesstoinvestinChinaratherthantheUS.Thechallengefor
theUSishowtorespondinlightofChinasexchangerateintransigence.
ThroughitspersistenttradesurplusesChinahasaccumulatedover$400bnoftreasurysecurities
and it is now the secondlargest foreign holder (after Japan) of government bonds. The fear is that
ChinamayretaliateagainsttheUSbysellingbonds,causingthepriceoftreasuriestofallandinterest
rates to rise. That in turn could trigger financial disruption, which in conjunction with higher rates
couldtoppletheeconomyintorecession.
Suchreasoningisdeeplyflawedforseveralreasons.First,Chinahaslittleincentivetoengagein
such tactics. If it starts selling bonds that will drive prices down, causing large capital losses on its
holdings.Moreimportantly,ChinahasnointerestinplayingRussianroulettewiththeUSeconomyas
that threatens its own economy. The reason China refuses to revalue its exchange rate is because it
wants to retain a competitive advantage enabling it to sell in US markets. Causing a US recession
woulddestroytheverymarketinwhichitwantstosell.Worsethanthat,aUSrecessioncouldtriggera
globalrecession,therebyunderminingmarketsinEuropeandelsewherethatChinaalsorelieson.
Theincredibleshrinkingsurplus
Sep3rd2009
FromTheEconomistprintedition
IsChinadeliberatelyunderstatingthesizeofitstradesurplus?

CHINAS currentaccount surplus is seen by some as the root cause of the financial crisis. The
goodnewsisthatafterwideningyearafteryearitisnowshrinkingmuchfasterthanexpected.Inthefirst
halfofthisyearthesurplusnarrowedto$130billion,onethirdlowerthanayearearlier,andbarelyhalf
its level in the second half of 2008. Not only has Chinas merchandise trade surplus narrowed, but
investment income from Chinas stash of foreign reserves has also dropped. Arthur Kroeber at
Dragonomics,aneconomicresearchfirm,predictsthatthecurrentaccountsurplusislikelytodropto5%
ofChinasGDPthisyear,downfrom11%atitspeakin2007.Belatedly,Chinaseemstobedoingitsbitto
rebalancetheworldeconomy.
But how accurate are Chinas figures? In theory Chinas trade surplus with America should
matchthedeficitthatAmericareportsinitstradewithChina.ThegovernmentinBeijingclaimsthatits
surpluswithAmericafellto$62billioninthesixmonthstoJune.YetofficialstatisticsfromWashington,
DC,showthatAmericaranadeficitwithChinaof$103billionduringthesameperiod.Therearesimilar
disparitieswithothertradingpartners.Chinasreportedsurpluswiththeeuroareaisonlyhalfasbigas
thenumberpublishedbyEuropeanstatisticaloffices.EvenmorestrikingisitstradebalancewithJapan:
China says it had a deficit with Japan in the first half of this year, but Japanese data show instead that
JapanranadeficitwithChina.
23

Chinas trade surplusand hence its currentaccount surplusis almost certainly bigger than
that reported by Beijing, even if it is much smaller than the combined deficits reported by America and
other trading partners.But for the restof theglobaleconomy, the crucial thing is not the precise size of
Chinassurplus,butthefactthatitisfinallyshrinking.

ISCHINAMANIPULATINGTHEYUAN?
3

The troublesome experience with competitive depreciations in the 1920s and 1930s convinced
theinternationalcommunitythatinternationalruleswereneededtodiscouragebeggarthyneighbor
exchangeratepolicies.Indeed,thatwasoneofthemainmotivationsforestablishingtheInternational
Monetary Fund. Figure 4 shows the behavior of Chinas official foreign exchange reserves over the
19912003 period; figure 5 draws on monthly data to focus on the huge buildup of Chinas
internationalreservesduringthepasttwoyears.Sufficetosaythatthesereservedevelopmentssuggest
that, over the past two years, there has indeed been largescale, protracted intervention in the
exchangemarketinonedirection.

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

24

ButwhatexchangerateregimeisbestforChina?
The theory of optimum currency areas is the obvious jumpingoff point for this analysis.This
theory and its empirical counterpart suggest that large countries subject to distinctive businesscycle
conditions will want a more flexible exchange rate, since they need to adjust monetary policy to
domesticconditions.
Incontrast,relativelyopeneconomieswithweakfinancialsystemswillwantalessflexiblerate,
sincevolatilitywillbecorrosivetofinancialstabilityandexportgrowth.
Here we immediately see the dilemma confronting the Chinese authorities and the fact that
thereisnosimpleanswertothequestionofwhatexchangerateregimeisrightforthecountry.Onthe
one hand, China is a large economy whose exceptionally rapid development and transformation
subject it to distinctive business cycle risks. These structural factors create an obvious case for a more
flexiblerate.Ontheotherhand,thecountryhasahighexport/GDPratioandaweakfinancialsystem.
These considerations point toward a less flexible rate. Splitting the difference suggests a moderate
increaseinflexibility,whichwaspreciselythedecisiontakenonJuly21st2005.
ThisframeworkalsosuggeststhatChinawillwanttomoveovertimeinthedirectionofgreater
exchange rate flexibility. Sooner or later the country will have to address the problems in its banking
and financial system, and a stronger financial system will enable it to cope more easily with the
consequences of a more flexible exchange rate. Moreover, China will not run savings rates of 50 per
cent forever;social demands for higher consumption standards,the development of financial markets
that enable households and firms to insure themselves against market risks at lower cost, and the
construction of a social safety net will make this so. We know that economies more dependent on
domesticdemandandlessdependentonexportdemanddemonstrablypreferamoreflexiblerate.
Theappropriateregimegivencurrentconditionsisamanagedfloatinwhichtheexchangerate
is allowed to fluctuate more than in the last ten years. Greater flexibility will allow the authorities to
moreeffectivelysteertheeconomy.Itwillpreventdomesticinterestratesandfinancialconditionsfrom
being dictated by interest rates and financial conditions in the rest of the world, which becomes a
growing danger as the capital account continues to open through a combination of policy action and
marketdevelopment.

25

V. Factorideinfluenacursuluideschimbpe
termenlung
4

I.Echilibrulpepiaamonetarestedatdeteoriacantitativabanilor.
1. Cesepoatespunedespreratainflaieinipotezateorieicantitativeabanilor?
2. n cazul n careechilibrulpepiaamonetar estedatdeteoriacantitativ a banilor,cefactori
influeneazaprecierea/depreciereamonedeinaionalepetermenlung?
3. PresupunemcnRomniaratadecretereamaseimonetarecretedela5%peanla6%.Cum
credei c vor evolua pe termen lung oferta real de moned, PIB real, nivelul preurilor i
cursuldeschimb?(reprezentaigrafic)

II.Echilibrulpepiaamonetarestedatdeabordareakeynesist.
1. n Romnia rata de cretere a masei monetare este 10% pe an, iar n zona euro aceasta este
4.5%pean.Ceefectareaceastdiferenasupracursuluideschimb?
2. Romnia tinde s creasc mai repede dect zona euro. Cum influeneaz acest fapt cursul de
schimb?
3. Cuminterpretaiefectulnetalinfluenelordemaisus?
4. Presupunnd c rata de cretere a masei monetare n Romnia crete, cum se modific
raionamentulinfluenelormacroeconomicecomparativcuI.3.?(reprezentaigrafic).
5. Esteposibilcaefecteledemaisusssenregistrezeneconomiechiardacbancacentralnu
modificritmuldecretereamaseimonetare,darageniianticipeazocreterearitmuluide
cretereamaseimonetare?

III.Implicaiilemodeluluimonetarpentruelaborareapoliticilorstatului.
1. Ce nelegei prin ancor nominal? S se identifice conform modelului monetar variabilele
economice care pot fi utilizate ca ancor nominal de ctre bncile centrale (utilizai ecuaiile
modelului).Sseidentificeavantajeleidezavantajelefiecreistrategii.
2. Bncilecentraleurmrescstabilitateapreurilorpetermenscurt?
3. Daiexempledericareauutilizatdiferiteancorenominaledealungultimpului.

IV.Sedauurmtoareleinformaii:olirsterlinvaloreaznprezent2dolari;uncodebunuri
carenSUAcost100USDarcosta120USDnMareaBritanie.nurmtorulanFedurmrete
smeninoratainflaieide2%,iarBancaMariiBritaniiinteteoratainflaieide3%.
VitezadeconvergenctrePPPformaabsolutestede15%pean.

4
SeminarrealizatpebazaFeenstra,R.C.&Taylor,A.(2008),InternationalMacroeconomics,WorthPublishers,
firstedition.
26

1. CareestediferenialuldeinflaieSUAM.Britaniepentruanulviitor?
2. CareestenprezentcursulrealGBP/USD?
3. Careestegraduldesupra/subevaluareadolarului?
4. CtpreziceicvaficursulrealGBP/USDpesteunan?
5. Careesteratadeapreciere/depreciererealadolaruluinurmtorulan?
6. Careesteratadeapreciere/deprecierenominaladolaruluinurmtorulan?
7. CtpreziceicvaficursulnominalGBP/USDpesteunan?

V. Se consider dou ri: Japonia i Coreea. n 1996 Japonia a experimentat o rat sczut de
cretere economic, 1%,ntimp ceCoreeaa crescutcu6%.BancaJaponiei a permis o ratde
cretere a masei monetare de 2% anual, n timp ce aceeai rat n Coreea a fost 12%. n
contextuldatdecelmaisimplumodelmonetar(I),rspundeilaurmtoarelentrebri:

1. CtesteratainflaieinCoreea?DarnJaponia?
2. Careesteratadedepreciereawonuluicoreancomparativcuyenuljaponez?
3. Ce se va ntmpla cu preurile n Coreea, cu masa monetar real i cursul de schimb dac
bancacentralaCoreeidecidecreterearateidecretereamaseimonetarela15%?
4. Presupunem c banca central a Coreei decide s fixeze moneda naional de cea a Japoniei.
CeratdecretereamaseimonetareartrebuisstabileascBancaCoreeiastfelnctvaloarea
wonuluisrmnfixrelativlayen?
5. ncazulncareBancaCoreeiurmreteapreciereawonuluirelativlayen,ctartrebuisfie
ratadecretereamaseimonetare?

VI.ncadrulmaicomplexfurnizatdemodelulmonetardelaII,utilizaiaceleaiinformaiidela
V pentru a rspunde la ntrebrile de mai jos. n plus, se cunoate c rata de dobnd la
depozitelenyenieste3%.
1. Carevafiratadedobndoferitdeactivelecoreene?
2. Cesepoatespunedespreratelerealededobndnceledouri?
3. BancaCoreeidecidecreterearateidecretereamaseimonetarela15%(ceterisparibus).Cum
semodificratadedobndoferitdedepozitelecoreene?
4. Reprezentai grafic modul n care aceast decizie afecteaz variabilele macroeconomice din
Coreea.

VII.Attriledezvoltate,ctirilencursdedezvoltareauexperimentatoscdereainflaiei
ncepndcuanii80.Urmtoarelentrebriipropunsevideniezemodulncareregimurile
de curs de schimb i politica monetar au determinat acest fapt. Utilizai modelul monetar
pentruarspunde:
27

1. BancacentralaElveieiintetenprezentratadecretereamaseimonetarepentruaatinge
obiectivele sale. Dac rata de cretere a masei monetare este 8%, rata de cretere economic
este 3% (ceteris paribus), ct va fi rata inflaiei? Cum se poate atinge o rat a inflaiei
consistentcustabilitateapreurilorpetermenlung?
2. BancacentralaNoiiZeelandeutilizeazcaintoperaionalratadedobnd,careeste6%.
Dacratamedierealdinrestullumiieste1.5%,ctvafiratainflaieipetermenlung?n1997
Noua Zeeland ia luat angajamentul de a ine inflaia sub nivelul 2.5%. Ct ar trebui s fie
ratainterndedobnd?
3. BancaNaional aSlovacieimenineoband defluctuaiefade euro (+/15%,iarparitatea
centraleste35.4424coroanelauneuro).Calculailimitainferioariceasuperioaraacestei
benzi. Inflaia n zona euro este 2%, iar n Slovacia este 5%. Va putea Slovacia s menin
banda de fluctuaie? Pentru ct timp. Depinde rspunsul de poziia iniial a coroanei n
cadrulbenzii?ObiectivulBCEestestabilitateapreurilornactualaiviitoareazoneuro.Este
aceastbanddefluctuaieocondiienecesarsausuficientpentruaatingeacestobiectiv?
4. n zona euro, BCE stabilete o rat de cretere a masei monetare egal cu 4.5%, obiectivul de
inflaieeste2%,iarcretereaeconomicrealeste2.5%pean.ncecondiiisepotatingeaceste
valoripetermenlung?

VIII. Suntei guvernatorul bncii centrale ntro ar care dorete s adopte o nou ancor
nominal. n momentul ocuprii poziiei de guvernator, rata inflaiei este de 4%, iar inta
pentru anul urmtor este de 2.5%, rata de cretere economic este de 3%, rata extern de
dobndeste1.5%.

1. ncazulncareaialegecaancormasamonetar,careartrebuisfieratadecretereamasei
monetare?
2. Presupunnd c inflaia n zona euro este 2% i se urmrete utilizarea ca ancor nominal
cursuldeschimb,careartrebuisfiegraduldeapreciere/depreciereamonedeinaionalefa
de euro astfel nct s se ating inta de inflaie? Se poate obine nivelul dorit al
aprecierii/deprecierii?
3. Ultima opiune este utilizarea ratei de dobnd ca i ancor nominal. Pe baza relaiei lui
Fischercalculainivelulactualalrateiinternededobndinivelullacareaceastaartrebuis
ajung.

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

Studiud
Fr
politiciimo
coresponde

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intensdez

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rspundere
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capital exc
vechea or
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considera
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onetarentro
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conomiile n
strine direc
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Intrrilemas
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iberalizareac
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a economiei,
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inanciare spori
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8) evideniaz
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d astfel amplo
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isprofitede
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faptul c o a
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nd crize costi
ate. Stiglitz (1
tal n vedere
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adespecialita
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drick(1998i2
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Europa Centr
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re complet a
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1996).
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28

me ale
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29

Unul dintre principalele canale care duc la supranclzirea economiilor emergente este cel al
creditului, date fiind poziia dominant a bncilor n cadrul sistemului financiar3 i volumul sporit de
capitalaccesibildupeliminarearestriciilorprivindcontuldecapital.
Expansiunea rapid a creditului a fost finanat de intrrile masive de capitaluri strine, n
special prin intermediul sistemului bancar, stimulate fiind de gradul sczut de nzestrare cu capital a
forei de munc comparativ cu Europa de Vest, de anticiparea unei aprecieri reale pe termen lung a
monedelordinregiuneideexistenaunornsemnatediferenialededobndpozitive.
Cu siguran intrrile de capital prezint avantaje mari pentru sectorul bancar. Prezena
operatorilorstrinipepiaabancardeterminunmediufinanciarmaistabil,mbuntireaguvernanei
corporatisteiacapacitiidegestionareariscurilor.

n acelai timp, este rezonabil s consideri c expansiunea rapid a creditului poate depi
capacitatea bncilor dea evalua riscurile, conducnd astfel la creterea asimetriei informaionale carear
puteaaveadreptrezultatoratmaimaredenerambursare.

n Romnia, liberalizarea contului de capital i adoptarea strategiei de intire a inflaiei au fost


realizate cu o relativ ntrziere fa de alte ri din Europa Central i de Est. Respectnd principiile
menionate anterior, liberalizarea deplin a contului de capital a fost finalizat n anul 2006, nainte de
aderareaRomnieilaUE,isasuprapuspesteadoptareastrategieideintireainflaiei.Aceaststrategie
a fost implementat n anul 2005, dup ce a fost luat n considerare pentru prima dat n anul 2001,
atunci cnd aceasta a fost menionat n Programul Economic de Preaderare ca opiune major a bncii
centrale.

30

31


32

VI. Cotaiivalutare

PeopiaFOREXsenregistreazlaunmomentdaturmtoarelecotaiispot:

1. Ct ar trebui s fie cursul GBP/USD n Romnia, astfel nct o persoan s nu


poatrealizaarbitrajcumprndlirenRomniaivnzndlirelaLondra;
2. Ct ar trebui s fie cursul GBP/USD n Romnia, astfel nct o persoan s nu
poatrealizaarbitrajcumprndlirenLondraivnzndlirenRomnia;
3. Ct ar trebui s fie cursul USD/JPY n Romnia, astfel nct o persoan s nu
poatrealizaarbitrajcumprndyeninRomniaivnzndyeninLondra.
4. Unexportatoramericanincaseaza25000JPY.Saseprecizezecareestevaloarea
acesteisumeexprimataindolari.
5. Un turist american doreste sa viziteze Marea Britanie si schimba 5000 USD in
liresterline.Decatelirevadispunepentruexcursie?
6. Setiecratelededobndpe6luninzonaeurosunt4,1/4,5,iarnRomnia
sunt5,9/6,4.Ssedeterminepuncteleswap6MpentrucursulEUR/RON.
7. SasedeterminecotatiaUSD/RON.
8. Uninvestitorjaponezarencont100000deyeni.Ciyenivamaiaveancont
dacdecidescumpere200defrancielveieni.
9. Un exportator englez obtine de pe urma unei tranzactii cu o firma japoneza
10000yeni.Saseprecizezecateliresterlinevaprimidupaschimbareasumeiinyeni.
10.Unamericandaordinbanciisaledetransforme10000deliresterlineineuro.Sa
seprecizezedecatieurovadispuneamericanulincontdupaaceastatranzactie.
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
33

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


precizezelacecurspoaterealizaaceastatranzactie.
12. SseverificeposibilitatearealizriiunuiarbitrajtriunghiularpevaluteleEUR,
USDiCHF.
13. S se arate cum se poate profita de pe urma posibilitilor de arbitraj
triunghilardacobancafieazurmtoareacotaie:USD/RON2.9080/2.9086.
14. S se arate cum se poate profita de pe urma posibilitilor de arbitraj
triunghiulardacobancafieazurmtoareacotaie:USD/RON2.9110/2.9115.
15. Gsiiorelaieprincaresdeterminaincecondiiisepoatepracticoschem
dearbitrajtriunghiularutilizndEUR,USDiRON(folosiifigurademaijos).
EUR/USDcotaiila5minute

Sursa:www.dailyfx.com
16. Explicai pe baza urmtoarelor scheme modul n care un market maker
stabiletecursulforward.Completaisgeiledinschemcuproceseleaferenteiidentificai
ordineaacestorprocese.
A. Cursulforwarddevnzare

Marketmakerul
doretesvnd1
europeste1an.
1/(1+r
p
EUR
)EUR
azi
1EUR
peste1an
S
0ask
x1/(1+r
p
EUR
)RON
azi
S
0ask
x(1+r
a
RON
)/(1+r
p
EUR
)RON
peste1an
F
ask
RON
peste1an
34

B. Cursulforwarddecumprare

Marketmakerul
doretes
cumpere1euro
peste1an.

17. DacspreadulprocentualalcotaieispotEUR/RONestede0,034%,spreadul
absolut pentru rata dobnzii la RON de 2 p.p. i spreadul absolut pentru rata dobnzii la
EURde1p.p.,determinaispreadulprocentualalcotaieiforwardla3luni.
18. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury Inflation
Protected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000 USD, rata
cuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunea se ramburseaz la
scaden, iar valoarea nominal se ajusteaz innd cont de rata inflaiei. n cel deal treilea
an,cusumaobinutdinobligatiuniledeinute,investitoruldoretesinvesteascn200de
aciuniAXAdelabursaEURONEXT.CursulspotEUR/USDnmomentulschimbriisumei
din USD n EUR este 1,4672/1,4687. tiind c rata inflaiei pe perioada de deinere a
obligaiunilor a avut evoluia din tabelul de mai jos, s se determine preul n EUR la care
investitorulaachiziionatactiunileAXA.
Nr.ani 1 2 3
Rata
inflaiei
2% 3% 1%

F
bid
/(1+r
p
RON
)RON
azi
F
bid
RON
peste1an
[F
bid
/(1+r
p
RON
)]/S
0bid
EUR
azi
F
bid
x(1+r
a
EUR
)/ S
0bid
x(1+r
p
RON
) EUR
peste1an
1EUR
peste1an
35


Studiu de caz 5. FOREX Market

The foreign exchange market (currency, forex, or FX) trades currencies. It lets banks and other
institutionseasilybuyandsellcurrencies.
The purpose of the foreign exchange market is to help international trade and investment. A foreign
exchange market helps businesses convert one currency to another. For example, it permits a U.S.
businesstoimportEuropeangoodsandpayEuros,eventhoughthebusinesssincomeisinU.S.dollars.
Theforeignexchangemarketisuniquebecauseof:
itstradingvolumes,
theextremeliquidityofthemarket,
itsgeographicaldispersion,
itslongtradinghours:24hoursadayexceptonweekends(from22:00UTConSundayuntil22:00
UTCFriday),
thevarietyoffactorsthataffectexchangerates,
thelowmarginsofprofitcomparedwithothermarketsoffixedincome(butprofitscanbehigh
duetoverylargetradingvolumes),
theuseofleverage.
ThereisnounifiedorcentrallyclearedmarketforthemajorityofFXtrades,andthereisverylittlecross
border regulation. Due to the overthecounter (OTC) nature of currency markets, there are rather a
numberofinterconnectedmarketplaces,wheredifferentcurrenciesinstrumentstraded.Thisimpliesthat
thereisnotasingleexchangeratebutratheranumberofdifferentrates(prices),dependingonwhatbank
ormarketmakeristrading,andwhereitis.Inpracticetheratesareoftenveryclose,otherwisetheycould
beexploitedbyarbitrageursinstantaneously.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, the
European session begins, followed by the North American session and then back to the Asian session,
excludingweekends.
Fluctuationsinexchangeratesareusuallycausedbyactualmonetaryflowsaswellasbyexpectationsof
changes in monetary flows caused by changes in gross domestic product (GDP) growth, inflation
(purchasingpowerparitytheory),interestrates(interestrateparity,DomesticFishereffect,International
Fishereffect),budgetandtradedeficitsorsurpluses,largecrossborderM&A(MergersandAcquisitions)
dealsandothermacroeconomicconditions.Majornewsisreleasedpublicly,oftenonscheduleddates,so
manypeoplehaveaccesstothesamenewsatthesametime.However,thelargebankshaveanimportant
advantage;theycanseetheircustomersorderflow.
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 the
spread in all currency pairs traded. In a common example, EUR/USD, the spread is typically 3 pips
(percentage in point) or 3/100 of a cent in this example. Thus prices are quoted with both bid and offer
(i.e. ask) prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD 1.4900). Traders buy at the higher offer or
askprice,andsellatthelowerbidprice,thusgivingupthedifference,orthespread,asthecostofthe
transaction. Of course, the actual price level may also change during the interval between buying and
selling.
That difference of 3 pips is the spread and can amount to a significant amount of money. Because the
typicalstandardlotis100,000unitsofthebasecurrency,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 (or
whatever),andthecurrencypairsarealwayspurchasedbybuying100,000ofthebasecurrency.
ForthepairEUR/USD,thequotecurrencyisUSD;thus,1/100thofacentonapairwithUSDasthequote
currencywillalwayshaveapipof$10.If,ontheotherhand,yourcurrencypairhasSwissfrancs(CHF)
asaquoteinsteadofUSD,then1/100thofacentisnowwortharound$9,becauseyouarebuying100,000
ofwhateverinSwissfrancs.


38

VII. IFD&Tehnicideacoperirempotrivarisculuivalutar

1. Presupunem c o companie romneasc are o datorie n franci elveieni peste 3


luni.Aceastadoretesrealizezeooperaiunedehedgingfolosinduncontractforward,
dupcumurmeaz:

De ce depinde rezultatul companiei n cadrul contractului forward? Discutai pe baza


figuriidemaijos.
FiguraIII.1.Payoffulpentrucumprtoruldeforward(longforward)

2. Presupunem c o companie romneasc are o crean n franci elveieni peste 3


luni.Aceastadoretesrealizezeooperaiunedehedgingfolosinduncontractforward,
dupcumurmeaz:

De ce depinde rezultatul companiei n cadrul contractului forward? Discutai pe baza


figuriidemaijos.
FiguraIII.2.Payoffulpentruvnztoruldeforward(shortforward)

39

3. AmericanWoodmarkCorp.aredepltitpeste5luni750.000GBPunuifurnizor
extern. Pentru a se proteja la fluctuaia cursului de schimb, importatorul ncheie un
contractforwardprinintermediulCitibankNewYork,carepracticrateledobnziidin
tabelul de mai jos. Cursul spot GBP/USD practicat de Citibank New York n prezent
este 1,5478/512. S se discute eficiena operaiunii de hedging cu contracte forward,
tiindclascadencursulspotGBP/USDeste1,5462/89.

Rata
dobnzii
1M 3M 6M 9M
p
r
a
r
p
r
a
r
p
r
a
r
p
r
a
r
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/RONcuscadenapeste3
luni 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 o
pierderede256lei,ssedetermine:poziiancontracticursulforward.

5. Comentai pe baza urmtorului tabel diferenele dintre contractele forward i


contractelefutures.

6. Compania Impact are de pltit peste 2 luni suma de 100.000 USD. Pentru ai
acoperi expunerea la riscul valutar, folosete contracte futures pe cursul USD/RON cu
scadenapeste3luniiprelatermen2,9650.tiindclamomentuldeschideriipoziiei,
cursulspot
0 t
S afost2,95,iarvaloareaunuicontractfutureseste1000USD,ssediscute
rezultatulspeculatoruluinurmtoarelecazuri:
a) =
1 t
S 2,9650, = ) , (
1
T t F 2,98;b) =
1 t
S 2,9410, = ) , (
1
T t F 2,9550.
40

7. Un exportator are de ncasat peste 3 luni suma de 100.000 euro. Pentru ai


acoperi expunerea la riscul valutar foloseste contracte futures pe cursul EUR/RON cu
scadena 3 luni i pre la termen de 4,3750. tiind c la momentul deschiderii poziiei,
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 importator japonez va avea de pltit peste 3 luni suma de 650.000 USD.


CursullavedereUSD/JPYestede92,iarcursullatermende99.Importatorulcumpr
opiuni call de tip european (valoarea unui contract fiind de 50.000 USD), la pre de
exerciiu 94 i prim de 2 JPY pentru 1 USD. Care va fi rezultatul operatorului dac la
scadencursuleste:
a)90;b)123;c)95.

9. Un investitor vinde 3 opiuni call USD/RON, valoarea unui contract fiind de


1.000 USD. PE este de 2,85 RON/USD, prima este de 0,05 RON pentru fiecare USD. Se
cererezultatulinvestitoruluidaclascadencursulspoteste:
a)3,1500;b)2,7600;c)2,8800.

10. Un exportator elveian ncheie un contract de export de 1.000.000 USD cu


scadenaniunie.PentruaseprotejaladepreciereaUSD,cumpr20opiuniputacte
50.000 USD fiecare, PE = 1,0150 USD/CHF, prima pltit = 0,025 CHF pentru 1 USD.
CareesterezultatulexportatoruluidaclascadencursulUSD/CHFeste:
a)0,9989;b)1,0357;c)0,9326.

11. Uninvestitorvinde2opiuniPUT,valoareaunuicontractfiindde2.000USD,PE
=1,05CHFpentru1USD,prima=0,02CHFpentru1USD.Careesterezultatuldacla
scadencursulspoteste:
a)1,0898;b)1,0455;c)1,0144.

12. Cursul spot este 1 EUR = 4,25000 RON. Un speculator anticipeaz o cretere a
cursuluiitranzacioneazoopiune(dimensiuneacontractului=1000EUR,primaeste
0,05 RON pentru un EUR, PE = 4,3000 RON pentru un EUR). a) S se determine
rezultatul speculatorului dac la scaden cursul este 1 EUR=4,1500 RON. b) Ct ar fi
trebuitsfiecursullascadena..rezultatulsfieunctigde50RON.

13. Unexportatorvancasapeste2luni1000USD.Pentruaacoperirisculvalutar,va
tranzaciona o opiune cu prima este 0,05 RON pentru un USD, dimensiunea
contractului este de 1000 de USD, PE=3,0000 RON/USD. S se stabileasc dac
41

exportatorul exercita sau nu opiunea, tiind c la scaden cotaia USD/RON este


2,9900/3,0100. S se stabileasca dac un speculator care vrea sa profite de pe urma
scaderiicursuluideschimbarexercitaoptiunearespectiva.

14. Considermunagenteconomicromncareladatade1martie2009arealizatun
import din Italia n valoare de 10000 EUR, suma urmnd a fi pltit peste trei luni. n
prezent,cursulpepiaeste1EUR=4,1000RON.
a) ce poziie va lua ntrun contract pe opiuni a.. s se acopere mpotriva
risculuivalutar;
b)Pepiaexistopiunicallcuscadenapestetreiluniicuurmtoarelepreuri
deexerciiu:4,1500,4,2000,4,2500,4,3000,4,3500.tiindcimportatorulopteazpentru
opiunea call cu preul de exerciiu PE=4,3500 RON pentru un EUR, dimensiunea
contractului este de 1000 EUR, c= 0,05 RON pentru un EUR, care este rezultatul su
daclascadencursuleste4,4500,respectiv4,3300.

15. Presupunem c un speculator a optat pentru o strategie pe cursul EUR/RON


format astfel: o poziie short pe un contract call i 2 poziii short pe un contract put,
opiunile call i put au aceeai scaden, aceeai valoare: 5000 EUR, acelai pre de
exerciiu, 4,2000, i aceeai prim de 0,05 RON pentru un EUR. Care sunt ateptrile
speculatorului legate de cursul EUR/RON? Care este rezultatul su dac la scaden
cursuleste3,9500;4,2000,respectiv4,3700.Refaceiproblemapentrupoziialong.

16. Compania Apple Inc. realizeaz tranzacii cu zona euro, avnd ncasri
trimestriale n euro. Pentru a se acoperi la evoluia cursului EUR/USD, Apple Inc. are
doualternative:
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 avut
urmtoareaevoluie:
Trimestru I II III IV
ST 1,4805 1,4825 1,3330 1,4458
Opiuneaasiaticarelabazcursulmediulalactivuluisuport,respectiv S
1
-
=

(S
t
, S
t+1
, S
t+2
, , S
1
),unde:
42

`
1
1
1
1
1
1

1
=
1
I -t +1
S

1
=t

2
= __S

1
=t
T-t+1

Determinairezultatulsulascaden.
B. tranzacioneaz o opiune barier 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)DacApplealegeoopiunedetipdownandin,pentruobarier1EUR=1,2639USD,
i prima de 0,0061, ct este rezultatul su la scaden? Ar fi mai avantajoas aceast
alternativcomparativcuopiuneaasiatic?
c) Dac se alege o opiune put upandout, pentru o barier 1 EUR=1,65 USD, ct este
rezultatulsulascaden(primaeste0,0067)?

Sursa:FEDStLouis

17. Payoffuluneistrategiiiniiatdeunspeculatorestedeforma:
( )

>
< <
<
=
2 2
2 1
1 1
,
, 0
,
PE S S PE
PE S PE
PE S PE S
S f
T T
T
T T
T

1.2
1.25
1.3
1.35
1.4
1.45
1.5
1.55
1.6
1.65
EUR/USD
S
T
=1,4458
Bariera=1,2639
43

Ssedetermine:
a. Opiunilececompunacestpayoff;
b. Dacvaloareaunuicontractestede10.000deGBP,PE1este1GBP=15,2213
CNY,cuprimaaferentde0,01,iPE2este1GBP=15,2350CNY,cuprimade0,007,s
sereprezintegraficstrategiaissedetermine:i.intervalulncarespeculatorulctig,
respectivpierdereamaxim,ii.rezultatulspeculatoruluidaclascadencursulspot,ST
=15,1545CNY/GBP.

18. Unspeculatoranticipeazaocrestereacursuluideschimbsiisipropunesacreeze
ostrategiecucostminimfolosind2opiunicallcupreurideexercitarediferitecaresai
asigureuncastigcandcursulcreste.Sasereprezintegraficoastfeldestrategie.

19. Presupunem c firma A din Germania necesit un mprumut de 1.000.000 GBP


pe2ani,iarcompaniaBdinMareaBritanienecesitunmprumutde1.500.000EURpe
2 ani. Ratele de dobnd de pe pieele monetare aferente celor dou companii pemtru
creditelenlireieurosunt:
RatadedobndlaGBP RatadedobndlaEUR
A(DE) 6,5% 6%
B(UK) 4% 5,5%
Cursul spot GBP/EUR n prezent este 1,5. Cele dou companii decid s ncheie un
contractswap,prinintermediulbnciiBarclays.

I.Rspundeilaurmtoarelentrebri:
a) Care sunt condiiile pe care Barclays le urmrete pentru a perfecta o
tranzacieswapntreceledoucompanii?
b)Cenelegeiprinavantaj(ctig)comparativneticumestedistribuitacesta?
c)DincemotivarpltiodobndmairidicatcompaniaA,dacsemprumut
neurodepepiaanaional?
d) Un contract swap reprezint un produs al pieei OTC. Care este principalul
risccederivdinncheiereacontractuluiswap?Cineiasumacestrisc?
e)Caresuntavantajelerealizriiunuicontractswap?
f) Prin contractul swap companiile A i B realizeaz o operaiune de hedging a
risculuivalutar?DarBarclays?

44

II.Barclaysdistribuieavantajulcomparativnetastfel:companiaA40%,companiaB
40%,dealerul20%.
a)Explicaipebazaschemeidemaijosmodulderealizareatranzacieiswap;

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


pentruB?
c)Ctestectiguldealerului?
d) Compania B previzioneaz o volatilitate ridicat a cursului de schimb n cel
dealdoileaanaferentcontractuluiswap.nacestscop,utilizeazcontracteforward,pe
care le ncheie cu HSBC Bank Plc, avnd preul la termen 1,5628. Dac la scadena
contractuluiforward,cursulspotGBP/USDeste1,4919,afostacoperitrisculvalutar?

20. Compania Microsoft (SUA) dorete s se mprumute 1.000.000 EUR la o rat de


dobndfixpe3ani,iarNokia(Finlanda)doretessemprumute1.470.000USDlao
rat de dobnd fix pe 3 ani. Ratele de dobnd la care se pot mprumuta cele dou
companiisunt:
RatadedobndlaUSD RatadedobndlaEUR
Microsoft(US) 5% 6,5%
Nokia(EU) 7% 6%

Cele dou companii decid s ncheie un contract swap valutar pe 3 ani adresnduse
uneibncidealer,respectivCitibank(SUA).Citibankdistribuiectigulcomparativnet
astfel: Microsoft 30%, Nokia 40%. Cursul spot iniial este 1 EUR = 1,47 USD. S se
determine:
6
%

Dealer
(Barclays)
CompaniaA
(DE)
CompaniaB
(UK)
BancaX
(DE)
BancaY
(UK)
1
.
5
0
0
.
0
0
0

1.500.000 1.500.000
1
.
0
0
0
.
0
0
0

1.000.000
1.000.000
6%
?% 4%
?%
4
%
45

a) Ctigul comparativ net i costul mprumuturilor suportate de Microsoft i


Nokia(schemaderealizareacontractuluiswap);
b) CareesterezultatulluiMicrosoft,NokiaiCitibanknfiecarean;
c) Pentru a se acoperi la fluctuaia cursului EUR/USD, Microsoft utilizeaz
opiuniplain vanilla,avnd preul deexerciiu1,4956iprima0,018USDpentruun
EUR. S se discute eficiena hedgingului cu opiuni, tiind c dolarul se depreciaz n
fiecareantimpde3anicu1,2%.

21. Compania Tissot (Elveia) dorete s se mprumute 1.000.000 EUR la o rat de


dobnd variabil pe 4 ani, iar compania Orange (Frana) dorete s se mprumute
1.635.000 CHF la o rat de dobnd fix pe 4. Ratele de dobnd la care se pot
mprumutaceledoucompaniisunt:

RatadedobndlaCHF RatadedobndlaEUR
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 adresnduse
unei bncidealer, respectiv Socit Gnrale (Frana). Socit Gnrale distribuie
ctigulcomparativnetastfel:Tissot35%,Orange45%.Cursulspotiniialeste1EUR=
1,635CHF.Ssedetermine:
a) Ctigulcomparativnet,costulmprumuturilorsuportatedeTissotiOrange
(schemaderealizareacontractuluiswap)ictiguldealerului;
b) Care este rezultatul lui Tissot i Orange n fiecare an (EURIBORt+1=3,23%,
EURIBORt+2=3,46%,EURIBORt+3=3,10%,EURIBORt+4=3,06%,undet+ireprezintsfritul
anuluii),attnsumabsolutctintermeniprocentuali;
Daceurosedepreciaznfiecareantimpdedoianicu0,56%,carevafirezultatul
nregistratdeSocitGnralenceldealdoileaan?

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47

Historicalbackground
Theinitialliquiditycrisiscaninhindsightbeseentohaveresultedfromtheincipientsubprime
mortgage crisis, with the first alarm bells being rung by the 2006 HSBC results. The crisis was widely
predictedbyanumberofeconomicexpertsandotherobservers,butitprovedimpossibletoconvince
responsiblepartiessuchastheBoardofGovernorsoftheFederalReserveoftheneedforaction.
OneofthefirstvictimswasNorthernRock,amajorBritishbank.Thehighlyleveragednatureof
its business led the bank to request security from the Bank of England. News of this lead to investor
panic and a bank run in midSeptember 2007. Calls by Liberal Democrat Shadow Chancellor Vince
Cable to nationalise the institution were initially ignored, however in February 2008, the British
Governmentrelented,andthebankwastakenintopublichands.NorthernRocksproblemsprovedto
beanearlyindicationofthetroublesthatwouldsoonbefallotherbanksandfinancialinstitutions.
Excessivelendingunderloosenedunderwritingstandards,whichwasahallmarkoftheUnited
States housing bubble, resulted in a very large number of subprime mortgages. These highrisk loans
had been perceived to be mitigated by securitization. Rather than mitigating the risk, however, this
strategy appears to have had the effect of broadcasting and amplifying it in a domino effect. The
damage from these failing securitization schemes eventually cut across a large swath of the housing
market and the housing business and led to the subprime mortgage crisis. The accelerating rate of
foreclosures caused an ever greater number of homes to be dumped onto the market. This glut of
homes decreased the value of other surrounding homes which themselves became subject to
foreclosureorabandonment.Theresultingspiralunderlayadevelopingfinancialcrisis.
Initially the companies affected were those directly involved in home construction and
mortgagelendingsuchasNorthernRockandCountrywideFinancial.Financialinstitutionswhichhad
engaged in the securitization of mortgages such as Bear Stearns then fell prey. Later on, Bear Stearns
wasacquiredbyJPMorganChasethroughthedeliberateassistancefromtheUSgovernment.Itsstock
price fell from the record high $154 to $3 in reaction to the buyout offer of $2 by JP Morgan Chase,
subsequently the acquisition price was agreed on $10 between the US government as well as JP
Morgan. On July 11, 2008, the largest mortgage lender in the US, IndyMac Bank, collapsed, and its
assetswereseizedbyfederalregulatorsafterthemortgagelendersuccumbedtothepressuresoftighter
credit, tumbling home prices and rising foreclosures. That day the financial markets plunged as
investorstriedtogaugewhetherthegovernmentwouldattempttosavemortgagelendersFannieMae
andFreddieMac,whichitdidbyplacingthetwocompaniesintofederalconservatorshiponSeptember
7,2008afterthecrisisfurtheracceleratedinlatesummer.
Itthenbegantoaffectthegeneralavailabilityofcredittononhousingrelatedbusinessesandto
largerfinancialinstitutionsnotdirectlyconnectedwithmortgagelending.Attheheartofmanyofthese
institutions portfolios were investments whose assets had been derived from bundled home
mortgages. Exposure to these mortgagebacked securities, or to the credit derivatives used to insure
themagainstfailure,threatenedanincreasingnumberoffirmssuchasLehmanBrothers,AIG,Merrill
Lynch, and HBOS. Other firms that came under pressure included Washington Mutual, the largest
savings and loan association in the United States, and the remaining large investment firms, Morgan
StanleyandGoldmanSachs.

48

Risksandregulations
For some analysts the first half of the 2000 decade will be remembered as a time that financial
innovations and the CRA requirement of mandated lending to non creditworthy individuals
overwhelmedthecapacityofbothregulatorsandbankstoassessriskinthefinancialmarkets.Thecase
ofCitigroupisemblematic:CitigrouphadalwaysbeenunderFederalReserveregulation,anditsnear
collapse shows that the regulation was ineffective, and that government underestimated the crisis
severityevenafteritbegan.Citigroupwasnotaloneinnotbeingcapabletounderstandfullytherisksit
was taking. As financial assets became more and more complex, and harder and harder to value,
investors were reassured by the fact that both the international bond rating agencies and bank
regulators, who came to rely on them, accepted as valid some complex mathematical models which
theoretically showed the risks were much smaller than they actually proved to be in practice. In
George Soros opinion The superboom got out of hand when the new products became so
complicated that the authorities could no longer calculate the risks and started relying on the risk
managementmethodsofthebanksthemselves.Similarly,theratingagenciesreliedontheinformation
providedbytheoriginatorsofsyntheticproducts.Itwasashockingabdicationofresponsibility.
Beginning with bankruptcy of Lehman Brothers on Sunday, September 14, 2008, the financial
crisis entered an acute phase marked by failures of prominent American and European banks and
efforts by the American and European governments to rescue distressed financial institutions, in the
United States by passage of the Emergency Economic Stabilization Act of 2008 and in European
countries by infusion of capital into major banks. Afterwards, Iceland almost claimed to go bankrupt.
Many financial institutions in Europe also faced the liquidity problem that they needed to raise their
capital adequacy ratio. As the crisis developed, stock markets fell worldwide, and global financial
regulators attempted to coordinate efforts to contain the crisis. The US government composed a $700
billionplantopurchaseunperformingcollateralsandassets.However,theplanwasvetoedbytheUS
congressbecausesomemembersrejectedtheideathatthetaxpayersmoneybeusedtobailouttheWall
Street investment bankers. The stock market plunged as a result, the US congress amended the $700
billionbailoutplanandpassedthelegislation.Themarketsentimentcontinuedtodeteriorateandthe
global financial system almost collapsed. While the market turned extremely pessimistic, the British
government launched a 500 billion pound bail out plan aimed at injecting capital into the financial
system. The British government nationalized most of the financial institutions in trouble. Many
European governments followed suit, as well as the US government. Stock markets appeared to have
stabilizedasOctoberended.Inaddition,thefallingpricesduetoreduceddemandforoil,coupledwith
projectionsofaglobalrecession,broughtthe2000senergycrisistotemporaryresolution.IntheEastern
EuropeaneconomiesofPoland,Hungary,Romania,andUkrainetheeconomiccrisiswascharacterized
bydifficultieswithloansmadeinhardcurrenciessuchastheSwissfranc.Aslocalcurrenciesinthose
countrieslostvalue,makingpaymentonsuchloansbecameprogressivelydifficult.
As the financial panic developed during September and October, 2008 there was a flight to
qualityasinvestorssoughtsafetyinU.S.treasurybonds,gold,andstrongcurrenciessuchasthedollar
and the yen. This currency crisis threatened to disrupt international trade and produced strong
pressureonallworldcurrencies.TheInternationalMonetaryFundhadlimitedresourcesrelativetothe
needsofthemanynationswithcurrencyunderpressureornearcollapse.

49

USaspects
Realgrossdomesticproducttheoutputofgoodsandservicesproducedbylaborandproperty
located in the United Statesdecreased at an annual rate of 0.3 percent in the third quarter of 2008,
(that is, from the second quarter to the third quarter), according to advance estimates released by the
Bureau of Economic Analysis. In the second quarter, real GDP increased 2.8 percent. Real disposable
personal income decreased 8.7 percent. In February, 63,000 jobs were lost, a 5year record. In
September, 159,000 jobs were lost, bringing the monthly average to 84,000 per month from January to
Septemberof2008.
NourielRoubini,professorofeconomicsatNewYorkUniversityandchairmanofRGEMonitor,
predictedarecessionofupto2years,unemploymentofupto9percent,andanother15percentdropin
homeprices.MoodysInvestorsServicecontinuedinOctober,2008toprojectincreasedforeclosuresfor
residential mortgages originating in 2006 and 2007. These increases may result in downgrades of the
credit rating of bond insurers. The bond insurers, meantime, together with their insurance regulators,
are negotiating with the Treasury regarding possible capital infusions or other relief under the $700
billionbailoutplan.Inadditiontomortgagebackedbonds,thebondinsurersbackhundredsofbillions
ofdollarsofmunicipalandotherbonds.Thusarippleeffectcouldspreadbeyondthemortgagesector
shouldtherebeamajordowngradeincreditratingsorfailureofthecompanies.


50

ANEXA1.EfectulBalassaSamuelson


=
1
) ( ) (
T T T T
K L A Y

(BS.1)


=
1
) ( ) (
NT NT NT NT
K L A Y

(BS.2)

unde Areprezintfactorultotaldeproductivitate, Lexpriminputuriledemunc,iar


K peceledecapital.

T T T T
K R L W Y = (BS.3)

NT NT NT NT
K R L W Y P = (BS.4)

unde P reprezintnivelulpreurilordinsectorulNTrelativlasectorulT,W este


salariul(acelainsectoareleTiNT),iar R esteratadobnzii.

Substituindprimeledourelaiinurmtoareledouobinem:
T T T T T T
K R L W K L A =
1
) ( ) ( (BS.5)
NT NT NT NT NT NT
K R L W K L A P =
1
) ( ) ( (BS.6)

Maximizareaprofituluipresupunecproductivitateamunciiiacapitaluluitrebuies
fieegalecupreulcelordoifactori(salariulirespectivratadedobnd).

W K L A
L
T T T
T
T
= =

1 1
) ( ) ( 0
BS.7
R K L A
K
T T T
T
T
= =



) ( ) ( ) 1 ( 0
BS.8

W K L A P
L
NT NT NT
NT
NT
= =

1 1
) ( ) ( 0
BS.9
R K L A P
K
NT NT NT
NT
NT
= =



) ( ) ( ) 1 ( 0
BS.10

n continuare, logaritmm relaiile BS710, le scriem pentru dou momente, 1 i 0,


scdem relaiile de la momentul 0 din cele de la momentul 1 i utilizm aproximarea
ln(1+x)=x:
) / (%)( ) 1 ( (%) (%) (%)
T T T
L K A W + + = (BS.11)

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


NT NT NT
L K A P W + + + = (BS.12)
) / (%)( (%) ) 1 (%)( (%)
T T T
L K A R + =

(BS.13)
51

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


NT NT NT
L K A P R + + =

(BS.14)

Notnd modificarea procentual a variabilelor cu litere mici, iar ) / (%)( L K cu k,


relaiileBS.1114devin:

T T
k a w + = ) 1 ( (BS.15)
NT NT
k a p w + + = ) 1 ( (BS.16)

T T
k a = (BS.17)

p k a
NT NT
= (BS.18)

SubstituindBS.17nBS.15,iarapoiBS.18nBS.16,obinem:


T
T T T
a
k k k w = = + = ) 1 (
(BS.19)
NT NT NT
k k p k p w = + + = ) 1 ( (BS.20)

RescriemecuaiaBS.16nfunciedeBS.20iobinem:
.
NT T NT NT NT
a a a w a k p = = =


(BS.21)
Relaia BS.21 ilustreaz mecanismul de transmisie intern a efectului Balassa
Samuelson, sau modul n care creterea productivitii n sectorul T relativ la sectorul
NTafecteazinflaia.SnuuitmcamnormalizatpreuriledinsectorulTlanivelul1,
deci variabila
P
P
P P
P P p (%) ln ln
0
0 1
0 1
=

= = exprim modificarea procentual a


niveluluipreurilor,
T
NT
P
P
P = .Modificareaprocentualaniveluluirelativalpreurilorse
poatescrieastfel:
T NT T NT
p p P P P p = = = (%) (%) (%) .
RelaiaBS.21devine:
.
NT T
T NT
a a p p =

(BS.22)

De asemenea, vom completa modelul lund n considerare o economie extern, cea a


zoneieuro,pentrucarevariabilelevorfinotatecu*.
CursulrealdeschimbQsecalculeazconformurmtoareiformule:
RO
ZE
P
P S
Q

=

52

Scriind relaia de mai sus n modificri procentuale i notnd modificrile procentuale


alevariabilelorculiteremici,obinem:
RO ZE
p p s q + =
.
Deasemenea,inflaianRomniainzonaeurosepoatescrienfinciedepreuriledin
sectoareleTiNT,astfel:
NT T
RO
p p p + = ) 1 (

NT T
ZE
p p p * ) 1 ( * + =
Unde
T
p
exprim modificarea procentual a preurilor n sectorul T, iar
) 1 , 0 ( este o
constant.
Cursulrealdevine:
NT T NT T
p p p p s q + + = ) 1 ( * ) 1 ( *
(BS.23)

Dar
T
p* sepoatescriecafiind
T T
p p * ) 1 ( * .
RescriemBS.23nfunciedeobservaiaanterioar:
+ + + =
NT T T NT T T
p p p p p p s q ) 1 ( ) 1 ( * ) 1 ( * ) 1 ( *
) ( ) 1 ( ) * * ( ) 1 ( *
T NT T T NT T
p p p p p p s q + + =
(BS.24)

Modelul BalassaSamuelson presupune c paritatea puterii de cumprare se verific,


dar doar pentru bunurile tranzacionabile, iar cursul de schimb este dictat complet de
aceste bunuri. Conform PPP,
T
T
P
P
S
*
=
, ceea ce se poate rescrie n forma relativ astfel:
T T
p p s S * (%) = =
. innd cont de aceast relaie, dar i de BS.22, relaia BS.24
devine:

=
NT T T NT
a a p p q

) * * ( ) 1 (
(BS.25)


53

ANEXA2.SpecificaiilecontractuluifuturespecursulEUR/RONlaBursade
ValoriBucureti
1

54

55

56