V. Rolul preurilor n determinarea cursului de schimb.

Paritatea puterii de cumprare

1. La nceputul anului 2009, cursul de schimb dintre leul romnesc i euro a fost 4,2567 lei pentru un euro. Rata anticipat a inflaiei n Romnia este de 8% n timp ce anticiparea de inflaie pentru zona euro este de 2%. Ct va fi cursul de schimb EUR/RON la sfritul anului conform PPP? 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. Baza teoriei paritii puterii de cumprare este legea preului unic (The Low of One Price LoOP). Potrivit acestei legi, preul de vnzare al unui bun oarecare, exprimat n aceeai moned, ar trebui s fie acelai pe piee naionale diferite. Pe baza Tabelului V.1, rspundei la urmtoarele ntrebri: a) Se verific teoria paritii puterii de cumprare (forma absolut) pe eantionul de ri ales i pentru bunul ales? b) Care sunt monedele cu cel mai mare grad de supraevaluare? Explicai. c) Care sunt monedele cu cel mai mare grad de subevaluare? Explicai. d) Presupunnd c n SUA i n China se produce un singur bun, identic, un hamburger McDonalds, ct ar fi cursul de schimb USD/CNY conform PPP? e) Cu ct este sub/supraevaluat yuan-ul chinez fa de nivelul conform PPP? Dar moneda euro? Dar francul elveian? f) Calculai cursul real al yuan-ului fa de dolarul american. Facei legtura cu subpunctul e). Acceai cerin i pentru perechea EUR/USD. g) Ct este cursul EUR/USD conform PPP? h) Cum anticipai evoluia monedelor din tabel pe termen mediu i lung? i) Exist posibiliti de arbitraj pe piaa BigMac? Cum influeneaz aceste operaiuni preul Big Mac pe piee diferite? 3. S se arate c atunci cnd leul este subevaluat fa nivelul calculat conform PPP, cursul real este supraunitar. 4. n Raportul BNR asupra inflaiei din noiembrie 2011 se afirm c n intervalul iulie-septembrie, leul s-a depreciat n termeni nominali n raport cu euro cu 2,2% i cu 3,4% n termeni reali. Cum explicai aceast diferen prin evoluia preurilor n cele dou ri? 5. Explicai efectul Fisher.

Tabel V.1. Indicele Big Mac 21 iulie 2010. Meniul MacMonede

Sursa: www.economist.com

6. n Raportul BNR asupra inflaiei din noiembrie 2011 se afirm c n intervalul iulie-septembrie, leul s-a depreciat n termeni nominali cu 7% in raport cu dolarul SUA i cu 8,2% n termeni reali. Explicai aceast diferen prin evoluia preurilor n cele dou ri. Pf , unde: S este cursul Pn nominal, P n nivelul preurilor n ar, P f nivelul preurilor n strintate. Dac rata inflaiei ateptate n zona euro este de 2%, rata inflaiei ateptate n Romnia este de 3,5%, iar gradul estimat de apreciere a monedei EUR ar fi de 0,05%, ct anticipai c va fi modificarea procentual a cursului real? 7. Cursul real se calculeaz dup formula R = S 8. Enumerai o serie de factori care determin deviaii de la teoria PPP pe termen scurt. 9. Comentai figura de mai jos, care ilustreaz evoluia cursului real (2005=100) vis-a-vis de dolarul american pentru Germania, Romnia i China.
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: ERS International Macroeconomic Data Set1

10. Explicai de ce exportatorii sunt dezavantajai atunci cnd moneda lor naional se apreciaz n termeni reali n raport cu monedele strine ? Dar dac moneda naional se depreciaz n termeni reali ? 11. De ce sunt preurile rigide (en. sticky prices) pe termen scurt? Avei n vedere costul meniurilor.

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

12. Comentai prin prisma efectului Balassa Samuelson urmtoarele grafice: Figura V.12. Rata de cretere a productivitii n sectorul bunurilor tranzacionabile i n cel al bunurilor netranzacionabile

Diferena dintre rata de cretere a preurilor n sectorul bunurilor tranzacionabile i n cel al bunurilor netranzacionabile

Sursa: Mihaljek, D. i Klau, M. 2003. The Balassa-Samuelson effect in central Europe: a disaggregated analysis. BIS Working Paper Nr. 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

The Big Mac index -Why China needs more expensive burgers A WEAK currency, despite its appeal to exporters and politicians, is no free lunch. But it can provide a cheap one. In China, for example, a McDonalds Big Mac costs just 14.5 yuan on average in Beijing and Shenzhen, the equivalent of $2.18 at market exchange rates. In America, in contrast, the same burger averages $3.71. Oct 2010 That makes Chinas yuan one of the most undervalued currencies in the Big Mac index, our gratifyingly simple guide to currency misalignments, updated this week (see chart). The index is based on the idea of purchasingpower parity, which says that a currencys price should reflect the amount of goods and services it can buy. Since 14.5 yuan can buy as much burger as $3.71, a yuan should be worth $0.26 on the foreign-exchange market. In fact, it costs just $0.15, suggesting that it is undervalued by about 40%. The tensions caused by such misalignments prompted Brazils finance minister, Guido Mantega, to complain last month that his country was a potential casualty of a currency war. Perhaps it was something he ate. In Brazil a Big Mac costs the equivalent of $5.26, implying that the real is now overvalued by 42%. The index also suggests that the euro is overvalued by about 29%. And the Swiss, who avoid most wars, are in the thick of this one. Their franc is the most expensive currency on our list. The Japanese are so far the only rich country to intervene directly in the markets to weaken their currency. But according to burgernomics, the yen is only 5% overvalued, not much of a casus belli. If a currency war is in the offing, Americas congressmen seem increasingly determined to arm themselves. A bill passed by the House of Representatives last month would treat undervalued currencies as an illegal export subsidy and allow American firms to request countervailing tariffs. The size of those tariffs would reflect the scale of the undervaluation. How does the bill propose to calculate this misalignment? It relies not on Big Macs, but on the less digestible methods favoured by the IMF. The fund uses three related approaches. First, it calculates the real exchange rate that would steadily bring a countrys current-account balance (equivalent to the trade balance plus a few other things) into line with a norm based on the countrys growth, income per person, demography and budget balance. The funds second approach ignores current-account balances and instead calculates a direct statistical relationship between the real exchange rate and things like a countrys terms of trade (the price of its exports compared with its imports), its productivity and its foreign assets and liabilities. The strength of Brazils currency, for example, may partly reflect the high price of exports such as soyabeans.

Third, the fund also calculates the exchange rate that would stabilise the countrys foreign assets and liabilities at a reasonable level. If, for example, a country runs sizeable trade surpluses, resulting in a rapid build-up of foreign assets, it probably has an undervalued exchange rate. The IMF has typically assessed its members policies one at a time. But the funds managing director, Dominique Strauss-Kahn, now proposes to assess its biggest members all at once to make sure their macroeconomic strategies do not work at cross-purposes. He is keen to identify the ways in which a countrys policies, including its exchange-rate policies, spill over to its neighbours. Those spillovers depend on the size of the economy as much as the scale of any misalignments. But the biggest economies are also the hardest to bully. The funds last annual report on the Chinese economy, in July, included the governments rebuttal of every criticism the fund offered. In a decorous compromise the report concluded that the yuan was substantially undervalued but refrained from quantifying the size of the problem. Big revaluations of the kind required to satisfy the fund or equalise the price of burgers are unlikely. A recent study of the Big Mac index by Kenneth Clements, Yihui Lan and Shi Pei Seah of the University of Western Australia showed that misalignments are remarkably persistent. As a result, the raw index did a poor job of predicting exchange rates: undervalued currencies remain too cheap and overvalued currencies remain too pricey. But since this bias is systematic, it can be identified and removed. Once that is done, the three economists show that a reconstituted index is good at predicting real exchange rates over horizons of a year or more. Since The Economist costs just $6.99 (a little less than two burgers) on the newsstand, the index provides decent value for money for would-be currency speculators, the authors conclude. The Big Mac index may itself be undervalued.

ANEXA V.1. Efectul Balassa-Samuelson

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

(BS.1)

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

(BS.2)

unde: A reprezint factorul total de productivitate, L exprim input-urile de munc, iar K pe cele de capital.
T = Y T W LT R K T

(BS.3)

NT = P Y NT W LNT R K NT

(BS.4)

unde: P reprezint nivelul preurilor din sectorul NT relativ la sectorul T, W este salariul (acelai n sectoarele T i NT), iar R este rata dobnzii. Substituind primele dou relaii n urmtoarele dou obinem:
T = AT ( LT ) ( K T )1 W LT R K T NT = P A NT ( LNT ) ( K NT )1 W LNT R K NT

(BS.5) (BS.6)

Maximizarea profitului presupune c productivitatea muncii i a capitalului trebuie s fie egale cu preul celor doi factori (salariul i respectiv rata de dobnd).
T L
T

= 0 AT ( LT ) 1 ( K T )1 = W = 0 P A NT ( LNT ) 1 ( K NT )1 = W

BS.7 BS.9

T K
T

= 0 (1 ) AT ( LT ) ( K T ) = R = 0 (1 ) P A NT ( LNT ) ( K NT ) = R

BS.8 BS.10

NT L
NT

NT K
NT

n continuare, logaritmm relaiile BS7-10, 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 ) (%)W = (%) + (%) P + (%) A NT + (1 ) (%)( K NT / LNT ) (%) R = (%)(1 ) + (%) AT (%)( K T / LT ) (%) R = (%)(1 ) + (%) P + (%) A NT (%)( K NT / LNT )
7

(BS.11) (BS.12) (BS.13) (BS.14)

Notnd modificarea procentual a variabilelor cu litere mici, iar (%)( K / L ) cu k, relaiile BS.11-14 devin:
w = a T + (1 ) k T aT = k T

(BS.15) (BS.17)

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

(BS.16) (BS.18)

Substituind BS.17 n BS.15, iar apoi BS.18 n BS.16, obinem:

aT

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

(BS.19)

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

(BS.20)

Rescriem ecuaia BS.16 n funcie de BS.20 i obinem: p = k NT a NT = w a NT =

T a a NT . (BS.21)

Relaia BS.21 ilustreaz mecanismul de transmisie intern a efectului BalassaSamuelson, sau modul n care creterea productivitii n sectorul T relativ la sectorul NT afecteaz inflaia. S nu uitm c am normalizat preurile din sectorul P1 P0 p = ln P ln P = = (%)P exprim modificarea 1 0 T la nivelul 1, deci variabila P0 P procentual a nivelului preurilor, P = NT . Modificarea procentual a nivelului PT relativ al preurilor se poate scrie astfel:

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

Relaia BS.21 devine: p NT pT =

T a a NT . (BS.22)

De asemenea, vom completa modelul lund n considerare o economie extern, cea a zonei euro, pentru care variabilele vor fi notate cu *. Cursul real de schimb Q se calculeaz conform urmtoarei formule:
Q= S PZE PRO

Scriind relaia de mai sus n modificri procentuale i notnd modificrile procentuale ale variabilelor cu litere mici, obinem:
8

q = s + p ZE p RO

De asemenea, inflaia n Romnia i n zona euro se poate scrie n fincie de preurile din sectoarele T i NT, astfel:
p RO = p T + (1 ) p NT

p ZE = p *T + (1 ) p * NT

Unde p T exprim modificarea procentual a preurilor n sectorul T, iar (0,1) este o constant. Cursul real devine:
q = s + p *T + (1 ) p * NT p T (1 ) p NT

(BS.23)

Dar p *T se poate scrie ca fiind p *T (1 ) p *T . Rescriem BS.23 n funcie de observaia anterioar:

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 Balassa-Samuelson presupune c paritatea puterii de cumprare se verific, dar doar pentru bunurile tranzacionabile, iar cursul de schimb este dictat complet de aceste bunuri. Conform PPP, S =
P *T PT , ceea ce se poate rescrie n forma

T T relativ astfel: (%)S = s = p p * . innd cont de aceast relaie, dar i de BS.22, relaia BS.24 devine:

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