FacultateeadeFinaane,Asig

gurri,Bn
nciiBursedeValo
ori
CatedradeMoneed

SuportdeSem
minar

RelaiiFinaanciarM
MonetarreInterrnaionaale

Bucureti,20099
1

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?

Dolarulaustralian
Levabulgreasc
Dolarulcanadian
Franculelveian
Coroanaceh
Coroanadanez
Liraegiptean
Euro
Lirasterlin
100Forinimaghiari
100Yenijaponezi
Leulmoldovenesc
Coroananorvegian
Zlotulpolonez
Rublaruseasc
Coroanasuedez
Liraturceasc
Dolarulamerican
Realulbrazilian
Renminbiul
chinezesc
Dolarulneo
zeelandez
Gramuldeaur
DST

Simbol

3sep.2009
2.4899
2.1701
2.6958
2.8031
0.1654
0.5702
0.5365
4.2442
4.8538
1.5450
3.2112
0.2649
0.4919
1.0243
0.0935
0.4120
1.9652
2.9673
1.5744

4sep.2009
2.5035
2.1698
2.7104
2.8000
0.1659
0.5701
0.5376
4.2436
4.8612
1.5463
3.2031
0.2649
0.4920
1.0293
0.0940
0.4127
1.9793
2.9741
1.5990

0.4345

0.4355

2.0144
93.7853
4.6564

2.0305
94.417
4.6339

Sursa:BNR

2.

La nceputul anului 2007 cursul EUR/RON a fost S 0 = 3.3500 , iar la

sfritul anului cursul a fost S1 = 3.3750 . 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
2

ianuarie2008februarie2009.Pebazadatelorinclusengraficeledemaijos,rspundei
laurmtoarelentrebri:
a) Cuctsaudepreciatmonedelerespectivenperioadaanalizat?
b) Cefactorieconomicicredei cpotdeterminadepreciereamonedelorn mod
sincronizatnmaimulteri?
c) Cumapreciaivolatilitateacursuluideschimbncelepatruri?
d) Cealteobservaiireferitoarelacorelaiilecareexistpepiaavalutaraiputea
facepebazafiguriidemaijos?

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

4.40

Maxim=4,3127

4.20

EUR/RON

4.00

4,2909

3.80
3.60
3.40

Minim=3,4719

3,5897

3.20

Jan09

Feb09

Dec08

Nov08

Oct08

Sep08

Aug08

22.00

Jul08

Minim=23,01

23.00

Jun08

27,972
26,1640

3,6014
May08

26.00

24.00

Minim=3,2055

Apr08

27.00

25.00

4,6564

Mar08

EUR/CZK

28.00

EUR/PLN

Feb08

Maxim=29,4573

29.00

Maxim=4,8702

Jan08

Feb09

Jan09

Dec08

Nov08

Oct08

Sep08

Aug08

Jul08

Jun08

May08

Apr08

Mar08

Feb08

Jan08

30.00

5.20
5.00
4.80
4.60
4.40
4.20
4.00
3.80
3.60
3.40
3.20
3.00

Maxim=307,5

320
310
300
290
280
270
260
250
240
230
220

EUR/HUF

296,52
Minim=229,2

254,52
Feb09

Jan09

Dec08

Nov08

Oct08

Sep08

Aug08

Jul08

Jun08

May08

Apr08

Mar08

Feb08

Jan08

Feb09

Jan09

Dec08

Oct08

Nov08

Sep08

Aug08

Jun08

Jul08

May08

Apr08

Mar08

Feb08

Jan08

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


6.

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

7.
Presupunem
GBP/USDcotaiizilnice
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?

Sursa:www.fxclub.com

Ctafostcapitalulpropriu
investitdaclevierulafost
1:200?
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

Secunoscurmtoareleratededobnd(procenteanuale)afiatedeobancdin
Romniandatade3oct2009:
Termen

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

Rata

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.
Sseexplicepebazaparitiineacoperitearatelordedobnd(en.UIP)
modulncareratelededobnddepeceledoupieeinivelulateptatalcursuluide
schimbinflueneaznivelulspotalcursului.

Uninvestitoreuropeanareladispoziieosumde100.000euro,iarratadobnziipe
piaa zonei Euro este de 2,5%. De asemenea, se cunosc ratele de dobnd i cursurile
prezenteiateptatefadeeuropeurmtoarelepiee:
Piaa
Romnia
Elveia

Ratadobnzii
La3luni
8%
2,75%

Cursactual
3,5670
1,5550

Cursateptat
peste3luni
3,5000
1,5400

7.
tiind c perioada de investire este de 3 luni, s se determine varianta
optimdeplasareabanilorpentruinvestitor.
8.
CtesterataladepozitelenEURexprimatnlei?
9.
Care arfitrebuitsfiecursul EUR/RONpestetrei luniastfelnct 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%.Considerndcrateleactivesuntegalecucelepasive,carevaficursul
forwardafiatdeobanc?

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

16.
Launmomentdat,pepiaafinanciarsenregistreazdateledintabelul
demaisus.ncazulncareobancafieazuncursforwardegalcu3.9500RON/EUR,
sseidentificedacexistposibilitateapentruunagenteconomicdearealizaunprofit
fr risc (posibilitate de arbitraj). Cum influeneaz aciunile agentului de mai sus
nivelulcursuluiforward?

17.
ncazuldatelordintabeluldemaisus,obancafieazuncursforward
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
Fx(1+rEUR)x1/S0 RON
1RON
(1+rRON)RON
peste1an
azi
peste1an
arbitraj,
investitorii
sunt indifereni ntre
activele
financiare
denominate n valute
diferite,
iar
riscul
(1+rEUR) X1/S0EUR
1/S0 EURO
valutar a fost eliminat
peste1an
azi
princontracteforward.

B. Paritateaneacoperitarateidobnzii
1RON
azi

1/S0 EURO
azi

(1+rRON)RON
peste1an

Se x(1+rEUR)x1/S0 RON
peste1an

(1+rEUR) X1/S0EUR
peste1an

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.


S
Studiudeca
az1.Comerulcuvalu
ute
Howtradershavebeentriumphingovereconomictheeory
H

N
NOCOMMEN
NTonthefinancialmarketsthesedaysiscomplete withoutmen
ntionoftheccarry
trade, the
t borrowing orselling of currencies
c
withh low interest rates and the purchase of cu
urrencieswith high
rates. Forr some years smarties hav
ve been borro
owing funds in Japan at its
i still amaziingly low interest
rates,theenlendingtheemoneyinco
ountrieswherrenominalin
nterestratesarrealothigherr.

Bu
utwhydoes thecarrytradework?Inttheory,itshou
uldntornottforaslongaasithas.Foreeign
exchangee markets op
perate under a state of covered

intereest parity. In
n other word
ds, the differrence
between two countriies interest rates
r
is exacttly reflected in the gap between
b
the spot, or currrent,
exchangeerateandtheeforwardratee.

Iffthatwereno
otso,itwoulldbepossibleeforaJapaneeseinvestorttosellyen,bu
uydollars,in
nvest
thosedollarsathighA
Americaninterestratesforr12monthsaandsimultaneeouslysellth
hedollarsforw
ward
for yen to
t lock in a profit
p
in a yeears time. Th
he potential for arbitrage means such profits canno
ot be
earned.

H
However,
econ
nomic theory
y also suggests that uncovveredinterest parity shoulld operate. In
n the
realworlld,uncovered
dinterestpariityhasnotap
ppliedoverth
hepast25yearsorso.

Th
hecarrytrad
dehasbeena lucrativethin
ngtodojusstaslongasttheexchangeeratebetween
nthe
yenandthecurrencyofthecountrrywhereyoulentthemoneeydoesntmo
oveagainstyo
ou.

H
Howthecarry
ytradeworkss

Th
he mechanicss of the carry
y trade are reelatively straiightforward. Currenciesaroundtheworlldare
tied to a set of intereest rates that savers can expect
e
to recceive for inveestments den
nominated in that
currency
y. Borrowers,, meanwhile,, can expect to pay thatt rate for loaans of the currency. Beccause
countriessvaryinthew
waystheymo
onitororconttrolinterestratesfortheirparticularcu
urrency,thereisnt
necessariily any conn
nection amon
ng rates in different
d
countries; for th
he most partt, local econo
omic
condition
ns dictate loccal interest rates, and to the extent th
hat these local economic conditions arent
a
interrelatted,interestrratesindiffereentcountriestendtomoveeindependen
ntlyofeachotther.
U
Using
the carrry trade straategy involvees three sepaarate transactions. First, you
y
must fin
nd a
countryo
offeringloanssatarelativelylowinteresstrateandbo
orrowmoneydenominated
dinthatcoun
ntrys
currency
y. Second, yo
ou take the foreign
f
curreency that you
u just borrow
wed and excchange it forr the
currency
yofadifferen
ntcountrythaatisoffering higherintereestratesonin
nvestments.T
Third,onceyo
ouve
made thee currency co
onversion, yo
ou then invesst your new currency
c
and
d earn a relatiively high raate of
interest.

R
Risksoftheca
arrytrade
Ittsimportant torealizethaatalthoughthhecarrytrade hasworkedveerywelloverthhepastdecade,,itis
not with
hout risks. Th
he key variab
ble in determ
mining whetheer a particulaar carry tradee strategy wiill be
profitablle is what ha
appens to excchange ratess during the time
t
the trad
de is open. Iff the value off the
borrowed currency rises in relatio
on to the vallue of the inv
vested curren
ncy, then onees profits wiill be

reducedoreventurnintolosses.

Thesuccessofthecarrytradealsodependsonthecontinuingdisparityamonginterestratesin
variouscountries.Muchofthesuccessofthedollaryencarrytradestrategyisthatshortterminterest
rateswere4%5%higherintheUnitedStatesthaninJapan.

Somecommentatorshaveexpressedconcernthatiftradersstopusingthecarrytradestrategy,
then the recent weakness in the dollar may accelerate. Because investors who execute carry trade
strategiesbuydollarsinexchangeforyen,theirtransactionscreatedemandforthedollarandhelpto
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
allowedsometraderstorakeinbigprofits,buttheyalsoplayedapartinthecreditcrisisthatstruck
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 highinterest rates, andseek toshort currencies
whoofferlowinterestrates.

The carry trade works best under certain market conditions, and the selection of the currency
paircanmakethedifferencebetweenalosingandaprofitabletrade.Whenselectingthecurrencypair,
traderswanttoobservetwothings.Ontheonehand,thetraderwantstomakesureheisbuyingthe
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
currencypairtoensurethemarketwillmovetohis/herfavor.Essentially,thetraderwillbebuyinga
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

10

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%

11

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,speculatorsbegantobehitwithmargincallsaspricesofpracticallyeveryassetbegansliding.
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.

TheunwindingofthegiganticyencarrytradecausedtheJapanesecurrencytosurgeagainstmajor
currencies. The yen roseas much as 29% against the euro in2008. 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.

12

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 acesteilegi, preul devnzarealunui bun oarecare,exprimatn
aceeaimoned,artrebuisfieacelaipepieenaionalediferite.

TabelIII.1.IndiceleBigMac1februarie2008.MeniulMacMonede
standardulhamburger
Indicator
PreBigMac

(nmoned
ara
local)
StateleUnite
$3,57
Argentina
Peso11,0
Australia
A$3,45
Brazilia
Real7,50
Canada
C$4,09
Cehia
Koruna66,1
Chile
Peso1550
China
Yuan12,5
Danemarca
DK28,0
Egipt
Pound13,0
HongKong
HK$13,3
Indonezia
Rupiah18700
Japonia
Yen280
Malaysia
Ringgit5,50
MareaBritanie
2,29
Mexic
Peso32,0
Norvegia
Kroner40,0
NouaZeeland
NZ$4,90
Ungaria
Forint670
ZonaEuro
3,37
Sursa:www.economist.com

PreBig
Mac
(ndolari)
3,57
3,64
3,36
4,73
4,08
4,56
3,13
1,83
5,95
2,45
1,71
2,04
2,62
1,70
4,57
3,15
7,88
3,72
4,64
5,34

Eppp
(fade
dolar)

3,08
0,97
2,10
1,15
18,5
434
3,50
7,84
3,64
3,73
5,238
78,4
1,54
1,56
8,96
11,2
1,37
187,7
1,06

Cursde
schimb

3,02
1,03
1,58
1,00
14,5
494
6,86
4,70
5,31
7,80
9,152
106,8
3,2
2,00
10,2
5,08
1,32
144,3
1,59

Apreciere(+)/
Depreciere()
fadedolar

2
6
33
14
28
12
49
67
31
52
43
27
52
28
12
121
4
30
50

13

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) Calculaicursulrealalyuanuluifadedolarulamerican.Faceilegturacu
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.
9.00
8.00
7.00
6.00
5.00
4.00
3.00
2.00
1.00
0.00
2000 2001 2002 2003 2004 2005 2006 2007 2008
Germania

Romania

China

Sursa:ERSInternationalMacroeconomicDataSet1

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/

14


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.12.Ratadecretereaproductivitiinsectorulbunurilortranzacionabilei
ncelalbunurilornetranzacionabile

Diferenadintreratadecretereapreurilornsectorulbunurilortranzacionabilein
celalbunurilornetranzacionabile

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

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).
2

15


Studiud
decaz2.Prrocesuldeccatchingup
p

W
With
the increeasing pace at
a which dom
mestic marketts are becom
ming integrateed into the gllobal
economy
y,thedebate onincomedisparitiesaro
oundtheworldhasintenssified.Moreth
hantwothird
dsof
theworld
dpopulationstillliveind
developingcountries.Whetherandwheenthesecoun
ntriescancatcchup
tothedeevelopedcoun
ntrieswillaffeectthewelfarreofmorethaanthreebillio
onhumanbeiings.Thereforre,to
study the determinan
nts ofcatching up in late development
d
t is one of thee major taskss ofeconomisstsin
thisandthenextcentu
ury.

T
Thecatchupe
effect,alsocaalledthetheo
oryofconverg
gence,states thatpoorereeconomiesten
ndto
growatffasterratesth
hanrichereco
onomies.Therefore,alleco
onomiesshou
uldinthelong
grunconverg
gein
terms off per capita income and productivity.
p
Developing countries haave the poten
ntial to grow at a
faster raate than deveeloped counttries as they
y can replicate production
n methods, technologies and
institutio
ons currently
y used in dev
veloped coun
ntries. This addition
a
of caapital allowss them to rap
pidly
increase productivity andincomessinorderto achieveahig
ghergrowth ratethandev
velopedcoun
ntries
andthereeforeconverg
geinthelongterm.

Th
hetheoryalssoassumesth
hattechnologyisfreelytraadedandavaailabletodev
velopingcoun
ntries
that are attempting to
o catchup. Capital
C
that iss expensive or
o unavailablle to these ecconomies can also
preventccatchupgrow
wthfromocccurring,especciallygiventh
hatcapitalis scarceintheesecountries. This
oftentrap
pscountriesiinalowefficiencycyclew
wherebythem
mostefficient technologyisstooexpensiv
veto
beacquirred.Thediffeerencesinpro
oductivitytech
hniquesiswh
hatseparatestheleadingd
developednattions
fromthefollowingdeevelopednations,butbyamarginnarro
owenoughto
ogivethefolllowingnation
nsan
opportun
nity to catchup. This pro
ocess of catcchup continu
ues as long as
a the follow
wed nations have
h
somethin
ng to learn frrom the lead
ding nations, and will onlly cease wheen the knowleedge discrep
pancy
betweentheleadinga
andfollowern
nationsbecom
mesverysmallandeventu
uallyexhausteed.

O
Onecandistin
nguishbetweeentwotypessofconvergen
nceintheeco
onomicgrow
wthliterature:
convergeence and convergence. When the dispersion
d
off real per cap
pita income across
a
a grou
up of
economies falls over time, there iss converrgence. When
n the partial correlation
c
beetween growtth in
income over
o
time an
nd its initial level is negaative, there is
i converrgence. Beta convergence is a

necessary
ybutnotasu
ufficientcond
ditionforsigm
maconvergen
nce.Betaconv
vergenceimp
pliestheexisttence
of a lon
ngerterm cattchup mechaanism, i.e. fo
orces which work towarrds the narro
owing of inccome
differenccesacrosscou
untries.Theseeforces,howeever,canbeo
offsetbytemp
poraryshocksswhichadverrsely
(or,posittively)affectsshortrungro
owthperform
mance.Thisiswhytheexisttenceofbetaconvergencemay
notbefu
ullyreflectediinchangesofthedispersio
onofincomellevels.

Th
he convergeence literature is extremeely large, worthnoty are the
t contributiions of Barro
o and
SalaiMaartin (1992) and
a
Mankiw et al. (1992), exploring convergence.

. SalaiMartiin (1996, p. 1326),

surveyin
ng this literatu
ure, concludees that the estimated
e
speeeds of co
onvergence arre so surprisiingly
similaraacrossdifferen
ntdatasets,tthatwecansstatethatecon
nomiesconveergeataspeeedoftwoperrcent
per yearr. In other words,
w
econom
mies close th
he gap betweeen present leevels of income and balanced
growthlevelsby,ona
average,2perrcentannually
y.

16

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

Therearemanyexamplesofcountrieswhichhaveconvergedwithdevelopedcountrieswhich
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,whichwereabletoquicklyregaintheirprewarstatusbyreplacingcapitalthatwas
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.

17


RelaiadintrePIBpecapdelocuitornPPSnanul1999iratadecretereeconomicrealcumulatnperioada
20081999.

Sursa:Eurostat

18

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
de50millei,inclusivcheltuielidetransport(freight1millei),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?
19

16. Figuradem
maijosilusttreazevolu
uiacursulu
uirealalleeuluicalcullatfadeeeuro,
respectiv
v fa de dolar.
d
Com
mentai impactul acesttor evoluii asupra so
oldului contului
curent.
Figu
uraIV.1.Evooluianterm
menirealiacursuluideschimballeeului

Surrsa:INS,BNR
R

ponentele PIB
P pe parttea cererii i pe parteea ofertei ii identificai pe
17. Scriei comp
bazarelaaieiobinu
utefactoriid
deinfluenpentruso
oldulcontulluicurent.

18. Comentaiu
C
urmtorulfrragment:

P
Primatran amprumutu
uluidelaFM
MI,nsumdee5miliardeeeuro,afostco
ontractatdeectre
BancaNaiona
alaRomnieei,pentrusussinereabalan
neidepli. Acestmpru
umutnurepreezint
datoriepublic
,potrivitOrdonaneideU
UrgenaGu
uvernuluinr664/2007privin
nddatoriapu
ublic,
raambursarea urmnd
u
s fiie efectuat din
d sursele proprii ale BN
NR. Prima traan de la Fo
ondul
M
MonetarIntern
naionalaavu
utcadestinaieconsolidarrearezervelorrvalutarealerii,iarfond
durile
reespective au jucat un rol important n
n reducerea rezervelor
r
m
minime
obligaatorii n valut ale
bncilorromn
neti,ajutnd
dlacrearead
delichiditiccorespunztoaarenpiaam
monetar,se arat
n
npunctuldev
vederetransm
misdeMFP.
Su
ursa:MinisterulFinantelo
or:Primatranssadinacordul cuFMI,de5 miliardeeuro,vafiramburssatade
BN
NR,dinsurseeproprii,www
w.hotnews.ro,18august20009.

19. Rspundei
R
laurmtoaarelentrebricareseb
bazeazpestudiuldecaz3:
a) Cum
C
poate influena evoluia ecconomiei chineze
c
varriabile econ
nomice la nivel
n
mondiall,cumarfiratainflaieei,preulpeetrolului,n
nivelulsalarriilor,ratad
dobnziietcc.;
b) Cereaciila
C
nivelintern
naionalatrragnivelulconsumulu
uinChinaidimensiu
unea
surplusu
uluisucom
mercial?
c) Care
C
ar fi argumentele
a
e pro i co
ontra adoptrii unui regim de curs
c
de sch
himb
flexibilnChina?
20


Studiud
decaz3.Ro
oluljucatd
deChinan
ncomerulinternaion
nal
O
Oct11th2007F
FromTheEco
onomistprinttedition
C
CHINAwillso
oonhaveseveenoftheworrldstenbiggeestshoppingm
malls.YetCh
hinesehouseh
holds
arehardllythemostea
agershopperrs.Consumerspendinghassfallenfrom47%ofGDPintheearly11990s
to only 36%
3
in 2006, the lowest proportion
p
in
n any large ecconomy (see lefthand chart). At the other
o
extreme,Americanho
ouseholdscon
nsume70%offGDP.
Itt is widely agreed that Ch
hina needs to
o rebalance itts economy in
i favour of consumption
c
n and
away fro
om exports. Not only wo
ould this mak
ke future gro
owth more sustainable,
s
b it would also
but
reduceC
Chinashugettradesurplus.

Evooluiacursulu
uiUSD/CNY
Ynperioada
2
20012009

S
Sursa:FED

In
n2005,Chinastoppedpeg
ggingitsyuan
ntothedollarr,anditscentrralbanknow
wallowsittottrade
in a ban
nd of 0.5% on
o either sidee of its paritty rate. The yuans weakness gives Chinese
C
exporrts a
competittive edgein overseas
o
markets. In respo
onse to presssurefrom maanufacturers andlabor
a
gro
oups,
theU.S.alongwithothercountriiesandvariou
usglobalfinaancialorganizzationshaveebeenpressu
uring
Chinatoletitscurren
ncyriseinvalu
ue.
Earlier this month,
m
financcial officials from
f
the Group of Seveen industrialiized nations said
Chinasccurrentaccou
untsurplusw
wasevidenceo
oftheneedfo
orastronger yuan,thestrrongeststatem
ment
yetfromtheG7abouttChinascurrrency.
W will contin
WE
nue to promo
ote exchangeerate reformss, PBOC Dep
puty Governo
or Liu Shiyu told
theclosin
ngsessionofaSpanishCh
hinesefinanciialforumFrid
day,accordingtonewsrep
ports.Hewassalso
quotedaassayingthatforeignexchaangemarketsshavearoletoplayincorrrectingtrad
deimbalances.
T
This is a sligh
ht shift in Ch
hinas positio
on. Previously
y, China had
d responded to
t U.S. calls for
f a
faster yu
uan appreciattion to adjustt global imbaalances by su
uggesting that the U.S. ad
ddress its current
accountd
deficit,saidM
MegBrowne,,seniorcurren
ncystrategisttatBrownBro
othersHarrim
man.

21

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:
Chinasays it had a deficit with Japanin the first half of thisyear, butJapanese datashowinstead that
JapanranadeficitwithChina.

22


Chinas trade surplusand hence its currentaccount surplusis almost certainly bigger than
thatreportedbyBeijing,evenifitismuchsmallerthanthecombineddeficitsreportedbyAmericaand
othertradingpartners.Butfortherestoftheglobaleconomy,thecrucialthingisnottheprecisesizeof
Chinassurplus,butthefactthatitisfinallyshrinking.

ISCHINAMANIPULATINGTHEYUAN?3
Thetroublesomeexperiencewithcompetitivedepreciationsinthe1920sand1930sconvinced
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.

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

23

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
subjectittodistinctivebusinesscyclerisks.Thesestructuralfactorscreateanobviouscaseforamore
flexiblerate.Ontheotherhand,thecountryhasahighexport/GDPratioandaweakfinancialsystem.
These considerations point toward a less flexible rate. Splitting the difference suggests a moderate
increaseinflexibility,whichwaspreciselythedecisiontakenonJuly21st2005.
ThisframeworkalsosuggeststhatChinawillwanttomoveovertimeinthedirectionofgreater
exchangerateflexibility.Soonerorlaterthecountrywillhavetoaddresstheproblemsinitsbanking
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
centforever;socialdemandsforhigherconsumptionstandards,thedevelopmentoffinancialmarkets
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 willallow 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.

24

V. Factorideinfluenacursuluideschimbpe
termenlung4

I.Echilibrulpepiaamonetarestedatdeteoriacantitativabanilor.
1. Cesepoatespunedespreratainflaieinipotezateorieicantitativeabanilor?
2. ncazulncareechilibrulpepiaamonetarestedatdeteoriacantitativabanilor,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. Romniatindescreascmairepededectzonaeuro.Cuminflueneazacestfaptcursulde
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
economicecarepotfiutilizatecaancornominaldectrebncilecentrale(utilizaiecuaiile
modelului).Sseidentificeavantajeleidezavantajelefiecreistrategii.
2. Bncilecentraleurmrescstabilitateapreurilorpetermenscurt?
3. Daiexempledericareauutilizatdiferiteancorenominaledealungultimpului.

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

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

25

1.
2.
3.
4.
5.
6.
7.

CareestediferenialuldeinflaieSUAM.Britaniepentruanulviitor?
CareestenprezentcursulrealGBP/USD?
Careestegraduldesupra/subevaluareadolarului?
CtpreziceicvaficursulrealGBP/USDpesteunan?
Careesteratadeapreciere/depreciererealadolaruluinurmtorulan?
Careesteratadeapreciere/deprecierenominaladolaruluinurmtorulan?
CtpreziceicvaficursulnominalGBP/USDpesteunan?

V. Se consider dou ri: Japonia i Coreea. n 1996 Japonia a experimentat o rat sczut de
cretereeconomic,1%,ntimpceCoreeaacrescutcu6%.BancaJaponieiapermisoratde
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. PresupunemcbancacentralaCoreeidecidesfixezemonedanaionaldeceaaJaponiei.
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:
26

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
NouaZeelandialuatangajamentuldeaineinflaiasubnivelul2.5%.Ctartrebuisfie
ratainterndedobnd?
3. BancaNaionalaSlovacieimenineobanddefluctuaiefadeeuro(+/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. nzonaeuro,BCEstabileteoratdecretereamaseimonetareegalcu4.5%,obiectivulde
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)?

27


Studiud
decaz4.Riiscurileaso
ociatecontu
uluidecapitalliberalizat
Frragmente din discursul susinut la Acadeemia Regal dee tiine Econ
nomice i Finan
nciare, Problem
me ale
politiciimoonetarentroaremergent.CazulRomniei,ladatadee21februarie2008,Barcelon
na,deacademiicianul
corespondeentdinRomn
nia,domnulMU
UGURISRE
ESCU

Economiile n tranziie din

n Europa Ceentral i de Est sau con
nfruntat cu intrri masiv
ve de
investiii strine direccte, att indeependente dee, ct i asociate procesulu
ui de privatizzare, precum i cu
investiii de portofoliu
u stimulate de diferenialu
ul semnificatiiv de dobnd
d n comparraie cu econo
omiile
avansate.Intrrilemassivedecapitalaucreatod
dilempentru
uautoritilem
monetare.Pedeoparte,accestea
stimuleazz dezvoltarea economiei, sprijinind astfel converg
gena real; ele
e contribuiee, de asemen
nea, la
reducereaapresiuniloriinflaionistep
petermenscu
urtprinefecteelepecareleaauasupraaprrecieriicursuluide
schimbi prinorientarreaconsumulluictrebunu
urilecomerciializabile.Pe dealtparte,,datoritaceelorai
efecte asu
upra aprecierrii cursului de
d schimb, in
ntrrile de caapital pot ero
oda competittivitatea exteern a
economiei, amplificnd
d astfel dezechilibrele extterne, ceea cee conduce la deprecierea
d
m
monedei
i, n
n cele
dinurm,,laoinflaiem
maimare.

Liberalizareaccontuluicuren
ntreprezintunadintred
deciziiledepo
oliticmacroeconomicceelmai
intensdezzbtute.

Potrivit modeelelor cu piee perfecte, fluxurile libeere de capittal determin o mbuntire a

funcionrriisistemelorfiinanciare sporiindastfelvolu
umuldefondurri disponibilee, odat cu reeducerea costturilor
acestora,ipermindodiversificareemaibunarisscurilor(Frenk
keliRazin,11996).
O
Obstfeld(1998
8)evideniazfaptulcoaastfeldemssurareficien
ntizaalocarearresurselor;no
opinia
lui Stultz (1999) i a lui Mishkin (2001), liberaalizarea miccrilor de cap
pital stimuleaz transpareena i
rspundereea,micornd
dastfelamplo
oareaproblem
melorlegated
deseleciaadvversihazarddulmoral,naacelai
timpcureeducereaconsttrngerilorlegaatedelichiditattedepepieeelefinanciare..Potrivitauto
orilorcitai,p
pieele
financiaree internaiona
ale au tendin
na de a impu
une o disciplin
n mai strict asupra facttorilor politicci care
altfelarp
puteafitentaisprofitedeeopiafinan
nciarlocal captiv.Bekaaert,HarveyiLundblad((2001)
arat c liberalizarea
l
fluxurilor dee capital stim
muleaz expaansiunea econoomic, conduccnd la ritmu
uri de
creteremaaimaridectccelenregistraateanteriorm
momentuluiliiberalizrii.
Ev
voluiile conssemnate la sffritul anilorr 90, n speccial criza din Asia, iau deeterminat pe muli
economitti s considere c fenomeenul de globaalizare a merrs prea depaarte, dnd natere unor piiee de
capital exccesiv de volatille i provocn
nd crize costiisitoare. Mai mult, acetiaa au pledat pentru
p
revenirea la
vechea orrdine a fluxurrilor controlaate. Stiglitz (11999) recoman
nd rilor n
n curs de dezzvoltare s im
mpun
restricii asupra
a
intrrrilor de capital n vedereea atenurii impactului excesiv
e
al cicclurilor econo
omice
asupra pieelor financiare. Krugm
man (1998) se declar n faavoarea restricciilor privindd ieirile de capital,
consideraatemulttimp deliteraturaadespecialitaatecafiindco
ompletineficiiente,argumeentndcasttfelde
restriciiaarputeaconttribui,chiarinumaitemp
porar,lagesttionareaunorrieiridecap
pitalcarealtfeelsar
puteadov
vediafidezo
ordonate.Rod
drick(1998i22000)consideerrestriciileeasupramiccrilordecapiitalca
fiindoporrtune,datfiin
ndfaptulcliiberacirculaiieaacestora ducelacrizeffinanciarecau
urmareaexcesiiveilor
volatiliti.
n
n ultimii ani,, rile din Europa
E
Centrral i de Est se confrunt cu intrri semnificativ
ve de
capital,n
ncondiiilen
ncarerestriciiileasupracirculaieiliberreacapitalurriloraufostelliminatetreptatpe
parcursull procesului de
d liberalizarre complet a
a contului dee capital, caree a constituit o condiie pentru
p
aderarea la UE. Pe de o parte, apetitul investito
orilor a fost stimulat
s
de persistena
p
un
nor difereniaale de
dobndpozitive.

28


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
capacitateabncilordeaevaluariscurile,conducndastfellacretereaasimetrieiinformaionalecarear
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,
atuncicndaceastaafostmenionatnProgramulEconomicdePreaderarecaopiunemajorabncii
centrale.

29

30

31

VI. Cotaiivalutare

PeopiaFOREXsenregistreazlaunmomentdaturmtoarelecotaiispot:

Cursspot

BID/ASK

Rate

BID/ASK

EUR/USD

1,4676/1,4679

EUR/RON

4,2702/4,2708

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

1.
CtartrebuisfiecursulGBP/USDnRomnia,astfelnctopersoansnu
poatrealizaarbitrajcumprndlirenRomniaivnzndlirelaLondra;
2.
CtartrebuisfiecursulGBP/USDnRomnia,astfelnctopersoansnu
poatrealizaarbitrajcumprndlirenLondraivnzndlirenRomnia;
3.
Ct ar trebui s fie cursul USD/JPY n Romnia, astfel nct o persoan s nu
poatrealizaarbitrajcumprndyeninRomniaivnzndyeninLondra.
4.
Unexportatoramericanincaseaza25000JPY.Saseprecizezecareestevaloarea
acesteisumeexprimataindolari.
5.
Unturistamericandorestesa vizitezeMareaBritaniesischimba5000 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.
32

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

1/(1+rpEUR)EUR
azi

1EUR
peste1an

Marketmakerul
doretesvnd1
europeste1an.
S0askx1/(1+rpEUR)RON
azi

S0askx(1+raRON)/(1+rpEUR)RON
peste1an

Fask RON
peste1an

33


B. Cursulforwarddecumprare

Fbid/(1+rpRON)RON
azi

Fbid RON
peste1an

Marketmakerul
doretes
cumpere1euro
peste1an.
Fbidx(1+raEUR)/ S0bid x(1+rpRON) EUR
peste1an

[Fbid/(1+rpRON)]/S0bid EUR
azi

1EUR
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,iarvaloareanominalseajusteazinndcontderatainflaiei.nceldealtreilea
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
Rata
inflaiei

1
2%

2
3%

3
1%

34

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%.

35

andtheU
UScurrencyw
wasinvolvediin86.3%oftransactions,fo
ollowedbyth
heeuro(37.0%
%),theyen(177.0%),
andsterlin
ng(15.0%)(seeetable).
Top1
10MostTradeedCurrencies
Rank

Cu
urrency

ISO42217
Codee

Share

April20007

UnitedStatesdollar

USD
D

86,3%
%

Euro

EUR
R

37,0%
%

Japanesseyen

JPY

17,0%
%

Britishpoundsterlin
ng

GBP
P

15,0%
%

Swissfrranc

CHF
F

6,8%
%

Australliandollar

AUD
D

6,7%
%

Canadiiandollar

CAD
D

4,2%
%

89

Swedisshkrona

SEK

2,8%
%

89

HongK
Kongdollar

HKD
D

2,8%
%

10

Norwegiankrone

NOK
K

2,2%
%

11

NewZeealanddollarr

NZD
D

1,9%
%

12

Mexica
anpeso

MXN
N

1,3%
%

13

Singapo
oredollar

SGD
D

1,2%
%

14

SouthK
Koreanwon

KRW
W

1,1%
%

14,5%
%

Other
Totall

200%
%

Volu
ume percenttages for all
a
indiv
vidual curreencies should
add up to 2000%, as eacch
transsaction
involves
tw
wo
curreencies.

Whille forex hass been tradeed

sincee the beginnin
ng of financiial
mark
kets, online retail tradin
ng
haso
onlybeenactiivesinceabou
ut
1996.. From the 1970s, larger
retaill traders co
ould trade FX
F
contrracts at the Chicag
go
Merccantile Exchaange. By 19996
onlin
ne retail forex
f
tradin
ng
becam
mepractical. Internetbaseed
mark
ket makers would
w
take th
he
oppo
osite side of retail traderrs
tradees.These com
mpanies alsso
creatted retail fo
orex platform
that provided a quick way fo
or
indiv
viduals to bu
uy and sell on
o
thefo
orexspotmarrket.

In online currency excchange, few or

o no transacctions actually
y lead to phy
ysical deliverry to the clien
nt; all
positions willeventuallybeclosed..Themarket makersofferrhighamoun
ntsofleverag
ge.Whileup to4:1
leverageiisavailablein
nequitiesand
d20:1inFutu
ures,itiscom
mmontohave 100:1leverag
geincurrenciies.In
the typicaal 100:1 scena
ario, the clien
nt absorbs alll risks associiated with co
ontrolling a position
p
wortth 100
timeshiscapital.

HighLev
verage
Theideao
ofmargin(leeverage)andffloatinglossiisanotherim
mportanttradiingconceptaandisperhapsbest
understoo
odusinganeexample.MosstretailForex marketmakeerspermit1000:1leverage, butalso,cruccially,
requireyo
outohaveaccertainamoun
ntofmoneyiinyouraccou
unttoprotectagainstacritticallosspoin
nt.For
example, ifa$100,000 positionish
heldinEUR/U
USDon100:1 leverage,theetraderhasttoputup$1,0000to
controlth
heposition.H
However,inth
heeventofa decliningvaalueofyourp
positions,Forexmarketmaakers,
mindful of
o the fast na
ature of forex
x price swingss and the am
mplifying effect of leveragee, typically do
d not
allowtheiirtraderstog
gonegativeaandmakeup
pthedifferencceatalaterd
date.Inorderrtomakesurrethe
trader do
oes not lose more
m
money than is held
d in the accou
unt, forex ma
arket makerss typically em
mploy
automaticcsystemstoccloseoutpossitionswhen clientsrunou
utofmargin (theamounttofmoneyin
ntheir
accountn
nottiedtoap
position).Ifth
hetraderhas $2,000inhissaccount,and
dheisbuyin
nga$100,000 lotof
EUR/USD
D,hehas$1,00
00ofhis$2,000tiedupin margin,with
h$1,000leftto
oallowhispo
ositiontoflucctuate
downwarrdwithoutbeingclosedou
ut.

36


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
(percentageinpoint)or3/100ofacentinthisexample.Thuspricesarequotedwithbothbidandoffer
(i.e.ask)prices(e.g.,BuyEUR/USD1.4903,SellEUR/USD1.4900).Tradersbuyatthehigherofferor
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.

37

VII. IFD&Tehnicideacoperirempotrivarisculuivalutar

1. Presupunem c ocompanie romneascare odatorienfrancielveieni peste 3

luni.Aceastadoretesrealizezeooperaiunedehedgingfolosinduncontractforward,
dupcumurmeaz:

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

figuriidemaijos.
FiguraIII.1.Payoffulpentrucumprtoruldeforward(longforward)

2. Presupunemcocompanieromneascareocreannfrancielveienipeste3
luni.Aceastadoretesrealizezeooperaiunedehedgingfolosinduncontractforward,
dupcumurmeaz:

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

figuriidemaijos.
FiguraIII.2.Payoffulpentruvnztoruldeforward(shortforward)

38

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
GBP
USD

1M

3M

rp

ra

5,95%
3,80%

6,07%
4,00%

rp
6,12%
3,95%

6M
ra

6,30%
4,15%

rp
6,21%
3,95%

9M
ra

6,39%
4,32%

rp
6,25%
3,79%

ra

6,45%
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
acoperiexpunerealarisculvalutar,folosetecontractefuturespecursulUSD/RONcu
scadenapeste3luniiprelatermen2,9650.tiindclamomentuldeschideriipoziiei,
cursulspot St 0 afost2,95,iarvaloareaunuicontractfutureseste1000USD,ssediscute
rezultatulspeculatoruluinurmtoarelecazuri:
a) St 1 = 2,9650, F(t1 ,T ) = 2,98;b) St 1 = 2,9410, F(t1 ,T ) = 2,9550.
39

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 3luniipre la termen de 4,3750.tiind cla momentuldeschiderii 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
exerciiu94iprimde2JPYpentru1USD.Carevafirezultatuloperatoruluidacla
scadencursuleste:
a)90;b)123;c)95.

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

1.000USD.PEestede2,85RON/USD,primaestede0,05RONpentrufiecareUSD.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
40

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
importdinItalianvaloarede10000EUR,sumaurmndafipltitpestetreiluni.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

II

III

IV

ST

1,4805

1,4825

1,3330

1,4458

Opiuneaasiaticarelabazcursulmediulalactivuluisuport,respectiv
,
,
,,
,unde:

41

1
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)Dacsealegeoopiuneputupandout,pentruo barier 1EUR=1,65 USD, cteste
rezultatulsulascaden(primaeste0,0067)?
1.65
1.6
1.55
1.5
1.45
1.4
1.35
1.3
1.25
1.2

ST=1,4458

Bariera=1,2639

EUR/USD

Sursa:FEDStLouis

17. Payoffuluneistrategiiiniiatdeunspeculatorestedeforma:
ST PE1 ,

f (ST ) =
0,
PE S ,
T
2

ST < PE1
PE1 < ST < PE2
ST > PE2
42

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
2ani.Ratelededobnddepepieelemonetareaferentecelordoucompaniipemtru
creditelenlireieurosunt:

A(DE)
B(UK)

RatadedobndlaGBP
6,5%
4%

RatadedobndlaEUR
6%
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?

43

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

6%

CompaniaA
(DE)

1.500.000

Dealer
(Barclays)

?%

CompaniaB
(UK)

1.000.000
4%

6%
BancaX
(DE)

1.000.000

1.500.000

1.000.000

1.500.000

4%

BancaY
(UK)

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. CompaniaMicrosoft(SUA)doretessemprumute1.000.000EURlaoratde
dobndfixpe3ani,iarNokia(Finlanda)doretessemprumute1.470.000USDlao
rat de dobnd fix pe 3 ani. Ratele de dobnd la care se pot mprumuta cele dou
companiisunt:

Microsoft(US)
Nokia(EU)

RatadedobndlaUSD
5%
7%

RatadedobndlaEUR
6,5%
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:
44

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
opiuniplainvanilla,avndpreuldeexerciiu1,4956iprima0,018USDpentruun
EUR.Ssediscuteeficienahedginguluicuopiuni,tiindcdolarulsedepreciazn
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?

45


Studiud
decaz6.Crrizafinanciiardin200072008

A
Americas
mo
ortgage crisiss has spiralleed into thee largest finaancial shock since the Great
G
Depressiion and therre is now a oneinfour
o
ch
hance of a fu
ullblown glob
bal recession over the nex
xt 12
months,warnedtheIn
nternationalM
MonetaryFun
nd.
T
Thefinancial
crisisof200772008,initialllyreferredto
ointhemediaaasacreditcrunchorcredit
crisis,beeganinJuly2
2007whena lossofconfid
dencebyinveestorsinthev
valueofsecurritizedmortg
gages
in the United States resulted
r
in a liquidity crissis that prom
mpted a substtantial injection of capital into
financialmarketsby theUnitedSttatesFederal Reserveand
dtheEuropeaanCentralBaank.InSeptem
mber
2008,theecrisisdeepen
ned,asstock marketsworrldwidecrash
hedandenteeredaperiod ofhighvolattility,
and a co
onsiderable number
n
of baanking, mortg
gage and inssurance comp
pany failures in the follow
wing
weeks.
Although Americas housin
A
ng collapse is
i often cited
d as having caused
c
the crrisis, the financial
systemw
wasvulnerabllebecauseofiintricateandoverleverageedfinancialccontractsandoperations,aaU.S.
monetary
ypolicymakiingthecosto
ofcreditneglig
giblethereforreencouragin
ngsuchoverlleverage.
One example was credit deerivatives Credit
O
C
Defaullt Swaps (CD
DS), which inssure debt hollders
against default. They are fashio
oned privatelly, traded ov
ver the coun
nter outside the purview
w of
regulatorrs.TheU.S.g
governmentsseizureoftheemortgageco
ompaniespro
omptedanauctionoftheirdebt
so that trraders who bought
b
and so
old default protection
p
(CD
DS) couldsetttle contracts. The auctionssare
usedtossetapricebywhichinvesttorscansettleethecontractsswithcashraatherthanhav
vingtophysiically
deliveraabondtotheircounterpaarties.Sellers ofprotection
npaythefaceevalueoftheecontractsm
minus
therecov
veryvaluesettonthebonds.
A
After
affecting
g banking an
nd credit, maainly in the United
U
Statess, the situatio
on evolved in
nto a
global geeneral financcial crisis verrging on a sy
ystemic crisis. Domino efffect, as many
y institutions had
financiallinks,andallsopsycholog
gicalcontagio
ons(seebehavioralfinancee),madeitsp
preadatthessame
timeworrldwideandttomanyfinan
ncialandecon
nomicareas:

Financcialmarkets((stockexchan
ngesandderiv
vativemarkettsnotably)w
whereitdevelo
oped
intoamaarketcrash,

Variou
us equity fun
nds and hedg
ge funds thatt went short of cash and had to get riid of
assets,

Insura
anceactivitiessandpension
nfunds,facin
ngareceding
gassetportfolliovaluetoccover
theircom
mmitments,

Witha
alsoincidenceesonpublicfiinancedueto
othebailoutaactions.

Forex, at least for some

s
currenccies(Icelandicc crown, various Eastern Europeand
E
L
Latin
Americacurrencies...)),andwithincreasedvolattilityformosttofthem
Th
hefirstsymp
ptomsofwhattiscalledtheEconomiccriisisof2008en
nsuedalsoinvariouscoun
ntries
and variious industriies, as the financial crisiss, albeit not the only cau
use, was a factor
f
by maaking
borrowin
ngandequity
yraisinghard
der.

46

Historicalbackground
Theinitialliquiditycrisiscaninhindsightbeseentohaveresultedfromtheincipientsubprime
mortgagecrisis,withthefirstalarmbellsbeingrungbythe2006HSBCresults.Thecrisiswaswidely
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
Stateshousingbubble,resultedinaverylargenumberofsubprimemortgages.Thesehighriskloans
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
engagedin the securitization of mortgages suchasBear Stearnsthen fell prey. Later on, BearStearns
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.

47

Risksandregulations
Forsomeanalyststhefirsthalfofthe2000decadewillberememberedasatimethatfinancial
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
countriesbyinfusionofcapitalintomajorbanks.Afterwards,Icelandalmostclaimedtogobankrupt.
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
Europeangovernmentsfollowedsuit,aswellastheUSgovernment.Stockmarketsappearedtohave
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.

48

USaspects
Realgrossdomesticproducttheoutputofgoodsandservicesproducedbylaborandproperty
located in the United Statesdecreased at an annual rate of 0.3 percent in the third quarter of 2008,
(thatis,fromthesecondquartertothethirdquarter),accordingtoadvanceestimatesreleasedbythe
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,159,000jobswerelost,bringingthemonthlyaverageto84,000permonthfromJanuaryto
Septemberof2008.
NourielRoubini,professorofeconomicsatNewYorkUniversityandchairmanofRGEMonitor,
predictedarecessionofupto2years,unemploymentofupto9percent,andanother15percentdropin
homeprices.MoodysInvestorsServicecontinuedinOctober,2008toprojectincreasedforeclosuresfor
residential mortgages originating in 2006 and 2007. These increases may result in downgrades of the
creditratingofbondinsurers.Thebondinsurers,meantime,togetherwiththeirinsuranceregulators,
are negotiating with the Treasury regarding possible capital infusions or other relief under the $700
billionbailoutplan.Inadditiontomortgagebackedbonds,thebondinsurersbackhundredsofbillions
ofdollarsofmunicipalandotherbonds.Thusarippleeffectcouldspreadbeyondthemortgagesector
shouldtherebeamajordowngradeincreditratingsorfailureofthecompanies.

49

ANEXA1.EfectulBalassaSamuelson

Y T = A T ( LT ) ( K T )1 (BS.1)

Y NT = A NT ( LNT ) ( K NT )1 (BS.2)

unde A reprezintfactorultotaldeproductivitate, L expriminputuriledemunc,iar

K peceledecapital.

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

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

unde P reprezintnivelulpreurilordinsectorulNTrelativlasectorulT, W este

salariul(acelainsectoareleTiNT),iar R esteratadobnzii.

Substituindprimeledourelaiinurmtoareledouobinem:
T = AT ( LT ) ( K T )1 W LT R K T

(BS.5)

NT = P A NT ( LNT ) ( K NT )1 W LNT R K NT

(BS.6)

Maximizareaprofituluipresupunecproductivitateamunciiiacapitaluluitrebuies
fieegalecupreulcelordoifactori(salariulirespectivratadedobnd).

T
T

= 0 AT ( LT ) 1 ( K T )1 = W

NT
NT

= 0 P A NT ( LNT ) 1 ( K NT )1 = W

BS.7

T
K

BS.9

= 0 (1 ) AT ( LT ) ( K T ) = R

NT
K

NT

BS.8

= 0 (1 ) P A NT ( LNT ) ( K NT ) = R

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:
(%)W = (%) + (%) AT + (1 ) (%)( K T / LT )
(BS.11)
(%)W = (%) + (%) P + (%) A NT + (1 ) (%)( K NT / LNT )

(BS.12)

(%) R = (%)(1 ) + (%) AT (%)( K T / LT )

(BS.13)
50

 (%) R = (%)(1 ) + (%) P + (%) A NT (%)( K NT / LNT ) (BS.14)

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

relaiileBS.1114devin:

(BS.15)
(BS.17)

w = a T + (1 ) k T
aT = k T

w = p + a NT + (1 ) k NT
a NT = k NT p

(BS.16)
(BS.18)

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

w = k + (1 ) k = k =
T

aT

(BS.19)

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

RescriemecuaiaBS.16nfunciedeBS.20iobinem:

p = k NT a NT = w a NT =

T
a a NT .
(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,
P1 P0
deci variabila p = ln P1 ln P0 = P = (%) P exprim modificarea procentual a
0
PNT
.Modificareaprocentualaniveluluirelativalpreurilorse
niveluluipreurilor, P =
PT
poatescrieastfel:

p = (%)P = (%)PNT (%)PT = p NT pT .

RelaiaBS.21devine:

p NT pT =

T
a a NT .
(BS.22)

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

zoneieuro,pentrucarevariabilelevorfinotatecu*.
CursulrealdeschimbQsecalculeazconformurmtoareiformule:
Q=

S PZE
PRO
51

Scriindrelaiademaisusnmodificriprocentualeinotndmodificrileprocentuale
alevariabilelorculiteremici,obinem:
q = s + p ZE p RO .

Deasemenea,inflaianRomniainzonaeurosepoatescrienfinciedepreuriledin
sectoareleTiNT,astfel:
p RO = p T + (1 ) p NT
p ZE = p *T + (1 ) p * NT

Unde p T exprimmodificareaprocentualapreurilornsectorulT,iar (0,1) esteo

constant.
Cursulrealdevine:
q = s + p *T + (1 ) p * NT p T (1 ) p NT

(BS.23)

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

(BS.24)

Modelul BalassaSamuelson presupune c paritatea puterii de cumprare se verific,

dar doar pentru bunuriletranzacionabile,iarcursuldeschimbestedictatcompletde
P *T
acestebunuri.ConformPPP, S = T ,ceeacesepoaterescrienformarelativastfel:
P
T
T
(%) S = s = p p *
. innd cont de aceast relaie, dar i de BS.22, relaia BS.24
devine:

q = (1 ) ( p *NT p *T ) a T a NT (BS.25)

52

ANEXA2.SpecificaiilecontractuluifuturespecursulEUR/RONlaBursade
ValoriBucureti1

53

54

55

56