II.

Rolul ratelor de dobnd n determinarea cursului de

schimb. Paritatea ratelor de dobnd
A. Considerm c rata dobnzii aferent unor titluri de stat emise n U.K. este 10%
anual. Cursul spot n prezent este 1 GBP = 1,6 USD. Se cere:
1. Dac un investitor american ar deine 20.000 USD, i dorete s achiziioneze
titluri de stat emise de guvernul britanic pe perioada de un an, ct este randamentul
investiiei sale?
2. tiind c peste un an cursul GBP/USD este 1,5, estimai randamentul investiiei
n GBP echivalent n USD pentru titluri de stat deinute.
B. Presupunem c un investitor romn deine suma de 10.000 RON timp de un an i
are dou alternative de investire:
a) Constituirea unui depozit n lei, rata dobnzii la depozitele n lei este 8%;
b) Constituirea unui depozit n euro, rata dobnzii la depozitele n euro este 4%.
n prezent cursul spot EUR/RON este 4,5281. Se cere:
3. Care credei c sunt principalii factori ce influeneaz cererea pentru depozitele
ntr-o moned?
4. Ct este randamentul unui depozit n valoare de 10.000 RON pe un an?
5. Presupunnd c euro se apreciaz n raport cu leul cu 4,5% ntr-un an, ct este
randamentul unui depozit n euro pe un an, tiind c investitorul deine 10.000 RON?
6. Ct ar trebui s fie cursul EUR/RON peste un an astfel nct sumele obinute din
variantele a) i b) s fie egale?
7. Dac cursul EUR/RON estimat pentru momentul T=1 an este 4,5015, care dintre
cele dintre cele dou variante este mai avantajoas? Gsii o strategie prin care s obinei
un profit cert fr a folosi capital propriu.
8. Explicai care sunt principalii factori ce influeneaz cursul de schimb spot
potrivit relaiei UIP.
C. Un investitor american are la dispoziie o sum de 100.000 de dolari, iar rata
dobnzii pe piaa american este de 2,75%. De asemenea, se cunosc ratele de dobnd i
cursurile prezente i ateptate fa de dolar pe urmtoarele piee:
Piaa
Romnia
Elveia

Rata dobnzii
la 3 luni
6%
1,5%

Curs actual
3,5117
0,9252

Curs ateptat
peste 3 luni
3,5000
0,9037

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

plasare a banilor pentru investitor.
1

10. Ct este rata la depozitele n CHF exprimat n dolari?

11. Ct ar fi trebuit s fie cursul USD/RON peste trei luni astfel nct s fie
satisfcut UIP?
12. Cum se poate acoperi investitorul american mpotriva riscului de curs de schimb
n cazul n care opteaz pentru un depozit n franci elveieni?
13. Interpretai relaia dintre UIP si paritatea acoperit a ratelor de dobnd (en.
CIP) prin prisma teoriei pieelor eficiente.
14. La un moment dat, pe piaa financiar se nregistreaz datele din tabelul de mai
sus. n cazul n care o banc afieaz un curs forward egal cu 3.6000 RON pentru 1 USD, s
se identifice dac exist posibilitatea pentru un agent economic de a realiza un profit fr
risc (posibilitate de arbitraj). Cum influeneaz aciunile agentului de mai sus nivelul
cursului forward, innd seama de faptul c ratele de dobnd la credite sunt egale cu cele
la depozite i nu exist spread pe piaa valutar?
15. n cazul datelor din tabelul de mai sus, o banc afieaz un curs forward egal cu
3.5200 RON pentru 1 USD. Exist posibiliti de arbitraj? Cum afecteaz aciunile
arbitrajorului cursului de schimb?
16. Explicai pe baza urmtoarelor scheme paritatea acoperit i cea neacoperit a
ratei dobnzii. Completai sgeile din schem cu procesele aferente.
I.

Paritatea acoperit a ratei dobnzii

1 RON
azi

1/S0 EURO
azi

II.

(1+rRON) RON
peste 1 an

F x (1+rEUR) x 1/S0 RON

peste 1 an

(1+rEUR) X 1/S0EUR
peste 1 an

Este o condiie pentru

lipsa posibilitilor de
arbitraj, investitorii sunt
indifereni ntre activele
financiare denominate n
valute diferite, iar riscul
valutar a fost eliminat
prin contracte forward.

Paritatea neacoperit a ratei dobnzii

1 RON
azi

1/S0 EURO
azi

17.

(1+rRON) RON
peste 1 an

S e x (1+rEUR) x 1/S0 RON

peste 1 an

Riscul valutar este lsat

neacoperit,
iar
randamentul
aferent
plasamentului n valut
variaz n funcie de
cursul de schimb.

(1+rEUR) X 1/S0EUR
peste 1 an

Rspundei la urmtoarele ntrebri dup ce ai lecturat Caseta 1:

a) Cum se poate realiza comertul cu valute? (Ce reprezinta carry trade?)

b) Care este legtura dintre comerul cu valute i paritatea neacoperit a ratelor de
dobnd?
c) Care sunt sursele de profit n cadrul comerului cu valute?
d) Care sunt efectele generate de comerul cu valute pe pieele financiare
internaionale?
e) Care a fost rolul comerului cu valute n declanarea crizei financiare actuale?
18.
Citii integral Capitolul 13, Exchange Rates and the Foreign Exchange
Market: An Asset Approach, din cartea lui Krugman i Obstfeld1. Rspundei la
urmtoarele ntrebri:
a) Artai printr-un exemplu care este legtura dintre cursul de schimb i preurile
relative ale bunurilor i serviciilor din dou ri.
b) Care sunt principalii actori pe piaa forex? Detaliai.
c) Care este diferena dintre o tranzacie spot i una la termen?
d) Comentai Figura 13-1. Dollar/pound Spot and Forward Exchange Rates, 19812004?
e) Cnd se afl n echilibru piaa forex? Explicai.
f) Cum influeneaz rata dobnzii la depozitele n moneda strin cursul de schimb
spot?
g) Cum influeneaz cursul de schimb ateptat cursul spot?
h) Comentai Tabelul 13-4. Todays Dollar/Euro Exchange Rate and the Expected
e
Dollar Return on Euro Deposits When EUSD
/ EUR 1.05 US Dollar per Euro.

19.
Citii anexa la Capitolul 13 din cartea lui Krugman i Obstfeld, intitulat
Forward Exchange Rates and Covered Interest Parity.
Cerine:
a) Deducei paritatea acoperit a ratelor de dobnd (en. Covered Interest Parity,
CIP), folosind exemplul prezentat.
b) Ce ipoteze stau la baza condiiei CIP?
c) Care este diferena ntre relaia CIP i relaia UIP2 (en. Uncovered Interest
Parity)?

Krugman, P. & M. Obstfeld (2006): International Economics: Theory and Policy, 7th Edition,
Pearson Addison Wesley.
2
UIP se refer la paritatea neacoperit a ratelor de dobnd.

Caseta 1. Comerul cu valute

How traders have been triumphing over economic theory
NO COMMENT on the financial markets these days is complete without mention of the carry
trade, the borrowing or selling of currencies with low interest rates and the purchase of currencies with high
rates. For some years smarties have been borrowing funds in Japan at its still amazingly low interest rates,
then lending the money in countries where nominal interest rates are a lot higher.
But why does the carry trade work? In theory, it shouldn'tor not for as long as it has. Foreignexchange markets operate under a state of covered interest parity. In other words, the difference between
two countries' interest rates is exactly reflected in the gap between the spot, or current, exchange rate and
the forward rate.
If that were not so, it would be possible for a Japanese investor to sell yen, buy dollars, invest those
dollars at high American interest rates for 12 months and simultaneously sell the dollars forward for yen to
lock in a profit in a year's time. The potential for arbitrage means such profits cannot be earned.
However, economic theory also suggests that uncovered interest parity should operate. In the real
world, uncovered interest parity has not applied over the past 25 years or so.
The carry trade has been a lucrative thing to do - just as long as the exchange rate between the yen
and the currency of the country where you lent the money doesn't move against you.
How the carry trade works
The mechanics of the carry trade are relatively straightforward. Currencies around the world are
tied to a set of interest rates that savers can expect to receive for investments denominated in that currency.
Borrowers, meanwhile, can expect to pay that rate for loans of the currency. Because countries vary in the
ways they monitor or control interest rates for their particular currency, there isn't necessarily any
connection among rates in different countries; for the most part, local economic conditions dictate local
interest rates, and to the extent that these local economic conditions aren't interrelated, interest rates in
different countries tend to move independently of each other.
Using the carry trade strategy involves three separate transactions. First, you must find a country
offering loans at a relatively low interest rate and borrow money denominated in that country's currency.
Second, you take the foreign currency that you just borrowed and exchange it for the currency of a different
country that is offering higher interest rates on investments. Third, once you've made the currency
conversion, you then invest your new currency and earn a relatively high rate of interest.
Risks of the carry trade
It's important to realize that although the carry trade has worked very well over the past decade, it is not
without risks. The key variable in determining whether a particular carry trade strategy will be profitable is
what happens to exchange rates during the time the trade is open. If the value of the borrowed currency
rises in relation to the value of the invested currency, then one's profits will be reduced or even turn into
losses.
The success of the carry trade also depends on the continuing disparity among interest rates in
various countries. Much of the success of the dollar-yen carry trade strategy is that short-term interest rates
were 4%-5% higher in the United States than in Japan.
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
dollars in exchange for yen, their transactions create demand for the dollar and 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. Whether these consequences actually
come about, remains to be seen.
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.
It's not surprising that, with all the panic, the smarties have been pulling out of these carry-trade deals. As
they do, of course, the higher demand for the yen causes it to appreciate, thus wiping out the interest-rate
gains and making it more urgent for others to get out. Fingers are being burnt as we speak.
Setting Up The Carry Trade
To become a successful carry trader, understanding the role that interest rates play in the FX market
is a crucial task. A country offering high interest rates will attract more capital as investors seek to capitalize
higher returns. As interest rates rise, investment will follow, which can in turn increase the value of the
currency. Carry trader's main focus becomes the expectation on the direction of a country's interest rate, to
ensure their high rate of return.
Generally, traders seek to buy currencies with high interest rates, and seek to short currencies who
offer low interest rates.
The carry trade works best under certain market conditions, and the selection of the currency pair can
make the difference between a losing and a profitable trade. When selecting the currency pair, 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 "yen carry trade".
Carry Trade Strategy Example
The carry trade is a popular trading strategy used in the FX market. It guarantees traders at least some
return on their medium and longer term positions.
In the Carry Trade, speculators buy high interest currencies and sell currencies with low interest rates. These
positions ensure that each trading day rollover-interest will be posted to the trader's account. Thus, the Carry
Trade has the potential to significantly enhance a trader's return.

Example - Leverage Cuts Both Ways in Yen Carry Trade

Let's run through an example of a yen carry trade to see what
can happen when the market is booming and when it goes bust.
1. Borrow 100 million yen for one year at 0.50% per
annum
2. Sell the borrowed amount and buy U.S. dollars at an
exchange rate of 115 yen per dollar
3. Use this amount (approximately US$870,000) as 10%
margin to acquire a portfolio of mortgage bonds paying
15%

4. The size of the mortgage bond portfolio is therefore $8.7

million (i.e. $870,000 is used as 10% margin, and the
remaining 90%, or $7.83 million, is borrowed at 5%).
After one year, assume the entire portfolio is liquidated and the
yen loan is repaid. In this case, one of two things might occur:
Scenario 1 (Boom Times)
Assume the yen has depreciated to 120, and that the mortgage
bond portfolio has appreciated by 20%.
Total Proceeds = Interest on Bond Portfolio + Proceeds
on Sale of Bond Portfolio
= $1,305,000 + $10,440,000 = $11,745,000
Total Outflows = Margin Loan ($7.83 million principal +
5% interest) + Yen Loan (principal + 0.50% interest)
= $8,221,500 + 100,500,000 yen
= $8,221,500 + $837,500 = $9,059,000
Overall Profit = $2,686,000
Return on Investment = $2,686,000 / $870,000 = 310%

Scenario 2 (Boom Turns to Bust)

Assume the yen has appreciated to 100, and that the mortgage
bond portfolio has depreciated by 20%.
Total Proceeds = Interest on Bond Portfolio + Proceeds
on Sale of Bond Portfolio
= $1,305,000 + $6,960,000 = $8,265,000
Total Outflows = Margin Loan ($7.83 million principal +
5% interest)+ Yen Loan (principal + 0.50% interest)
= $8,221,500 + 100,500,000 yen
= $8,221,500 + $1,005,000 = $9,226,500
Overall Loss = $961,500
Return on Investment = -$961,500 / $870,000 = -110%

The Credit Crisis And The Carry Trade

The global credit crunch that developed from August 2007 led to the gradual unraveling of the yen
carry trade. Starting with the collapse of Lehman Brothers and the U.S. government rescue of AIG,
speculators began to be hit with margin calls as prices of practically every asset began sliding. To meet
these margin calls, assets had to be sold, putting even more downward pressure on their prices. As credit
conditions tightened dramatically, banks began calling in the loans, many of which were yen-denominated.
Speculators not only had to sell their investments at fire-sale prices, but also had to repay their yen loans
even as the yen was surging. Repatriation of yen made the currency even stronger. In addition, the interest
rate advantage enjoyed by higher-yielding currencies began to dwindle as a number of countries slashed
interest rates to stimulate their economies.
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 13-year 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, as an
unusually strong domestic currency can render exports uncompetitive.