Facultate eadeFina ane,Asig gurri,Bnci n iBursedeValo ori CatedradeMone ed

SuportdeSem minar RelaiiFina anciarMonetar M reInter rnaiona ale

Bucureti,2009 9
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
Sursa:BNR

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 0.4345 2.0144 93.7853 4.6564

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 0.4355 2.0305 94.417 4.6339

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) Ce factori economici credei c pot determina deprecierea monedelor n mod sincronizatnmaimulteri? c) Cumapreciaivolatilitateacursuluideschimbncelepatruri? d) Cealteobservaiireferitoarelacorelaiilecareexistpepiaavalutaraiputea facepebazafiguriidemaijos? FiguraI.1Evoluialeului,zlotului,forintuluiicoroaneicehenperioadaian.feb.09
4.40 4.20 4.00 3.80 3.60 3.40 3.20 Jan08 Feb08 Mar08 Apr08 May08 Jun08 Jul08 Aug08 Sep08 Oct08 Nov08 Dec08 Jan09 Feb09

EUR/RON

Maxim = 4,3127

4,2909

3,5897

Minim = 3,4719

5.20 5.00 4.80 4.60 4.40 4.20 4.00 3.80 3.60 3.40 3.20 3.00 Feb08 Jan08

Maxim = 4,8702 EUR/PLN

4,6564 Minim = 3,2055 3,6014 Feb09 Mar08 Apr08 May08 Jun08 Jul08 Aug08 Sep08 Oct08 Nov08 Dec08 Jan09

30.00
29.00 28.00 27.00 26.00 25.00 24.00 23.00 22.00 Nov08 26,1640 EUR/CZK

Maxim = 29,4573

27,972 Minim = 23,01

320 310 300 290 280 270 260 250 240 230 220 Jan08

Maxim = 307,5

EUR/HUF

296,52
Minim = 229,2

254,52
Feb08 Mar08 Apr08 May08 Jun08 Jul08 Aug08 Sep08 Oct08 Nov08 Dec08 Jan09 Feb09

Dec08

Jan09

Feb09

Jul08

Aug08

Sep08

Oct08

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

Jan08

Feb08

Mar08

Apr08

Sursa:Reuters

May08

Jun08

4.

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 tranzacionare furnizat de fxclub.com.n6august2009 ai cumprat 100.000 de lire sterline la maximul pieei i leai vndut la 1 octombrie la cursul care reiese din graficul alturat. Care a fost profitul obinut n urma acestei tranzacii? Sursa: www.fxclub.com Ct a fost capitalul propriu investit dac levierul a fost 1:200? Ct ar fi fost profitul (pierderea obinut) dac sar fi tranzacionat doar pe baza 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. Care a fost profitul obinut conform datelor prezentate n graficul de mai jos. Ct a fost capitalul propriu investit dac levierul a fost 1:100? Ct ar fi fost profitul (pierdereaobinut)dacsarfitranzacionatdoarpebazacapitaluluipropriu?
4

6.

EUR/USDcotaiilaunminut

Sursa:www.fxclub.com

II. Rolulratelordedobndndeterminareacursului deschimb.Paritatearatelordedobnd

Se cunosc urmtoarele rate de dobnd (procente anuale) afiate de o banc din Romniandatade3oct2009: Termen Rata Dep.nlei Dep.neuro 1. Sepoateafirma,pentruoanumitmaturitate,cdepozitelenleisuntmai avantajoase comparativcucelen euro deoarece aduc rate de dobnd mai ridicate? De cenu? 2. Ctobineuninvestitorcaredispunede1000RONpecareiplaseazntr undepozitnleipeunan.Careesterataderentabilitateobinut? 3. Ctobineuninvestitorcaredispunede1000RONpecareiplaseazntr undepozit n euro peun an,iar euro sa apreciat n aceast perioad cu 5% fa deleu? Careesterataderentabilitateobinut? 4. n ce situaie cele dou depozite de mai sus ar fi fost echivalente? S se deducorelaiedeparitatearatelordedobnd. 5. Cuctartrebuisseaprecieze/depreciezeeurofadeleuastfelnctUIP sfiesatisfcutpentruorizontulde6luni. 6. S se explice pe baza paritii neacoperite a ratelor de dobnd (en. UIP) modul n care ratele de dobnd de pe cele dou pieei nivelul ateptat al cursului de schimbinflueneaznivelulspotalcursului. Un investitor european are la dispoziie o sum de 100.000 euro, iar rata dobnzii pe piaa zonei Euro este de 2,5%. De asemenea, se cunosc ratele de dobnd i cursurile prezenteiateptatefadeeuropeurmtoarelepiee: Piaa Romnia Elveia
6

Lavedere

1lun

3luni

6luni

9luni

12luni

0,25 0,25

6,70 2,5

8,50 2,5

9,00 2,5

10,50 2,9

10,00 3,00

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 ar fi trebuit s fie cursul EUR/RON peste trei luni astfel nct s fie satisfcutUIP? 10. Cum se poate acoperi investitorul european mpotriva riscului de curs de 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. Construii un raionament prin care o banc ce vinde forward se poate proteja mpotriva riscului valutar prin operaiuni de constituire de depozite i contractare de credite. 13. Construii un raionament prin care o banc ce cumpr forward se poate proteja mpotriva riscului valutar prin operaiuni de constituire de depozite i contractaredecredite. 14. Considerm un curs spot EUR/RON 3.6221, rata la lei este 8%, iar rata la euro este 2.5%. Considernd c ratele active sunt egale cu cele pasive, care va fi cursul forwardafiatdeobanc? 15. Interpretai relaia dintre UIP si paritatea acoperit a ratelor de dobnd (en.CIP)prinprismateorieipieeloreficiente. 16. La un moment dat, pe piaa financiar se nregistreaz datele din tabelul de mai sus. n cazul n care o banc afieaz un curs forward egal cu 3.9500 RON/EUR, 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 nivelulcursuluiforward? 17. n cazul datelor din tabelul de mai sus, o banc afieaz un curs forward egal cu 3.6000 RON/EUR. Exist posibiliti de arbitraj? Cum afecteaz aciunile arbitrajoruluicursuluideschimb? 18. Stabiliipecazulgeneralnceintervaltrebuiessituezecursulforwardpe pia,astfelnctsnuexisteposibilitidearbitraj.
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 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 peste 1an azi peste 1an arbitraj, investitorii sunt indifereni ntre activele financiare denominate n valute diferite, iar riscul (1+rEUR) X1/S0EUR 1/S0 EURO valutar a fost eliminat peste 1an azi princontracteforward. B. Paritateaneacoperitarateidobnzii
1RON azi (1+rRON) RON peste 1an Se x (1+rEUR)x 1/S0 RON peste 1an

1/S0 EURO azi

(1+rEUR) X1/S0EUR peste 1an

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.
8

 S Studiu deca az1.Comerulcuvalu ute

Howtradershavebeentriumphingovereconomicthe H eory N COMMEN NO NT on the financial markets these days is complete without men ntion of the carry c trade, the t borrowing or selling of currencies c with h low interest rates and the purchase of cu urrencies with high rates. For r some years smarties hav ve been borro owing funds in Japan at its i still amazi ingly low interest rates,the enlendingthe emoneyinco ountrieswher renominalin nterestratesar realothigher r. Bu ut why does the carry trade work? Intheory, t itshou uldntor not t for as long as a it has. Fore eign exchange e markets op perate under a state of covered intere est parity. In n other word ds, the differ rence between two countri ies interest rates r is exact tly reflected in the gap between b the spot, or cur rrent, exchange erateandthe eforwardrate e. If f that were no ot so, it woul ld be possible e for a Japane ese investor to t sell yen, bu uy dollars, in nvest those dollarsat highAmerican A interest rates for r 12 months and a simultane eously sell th he dollars forw ward for yen to t lock in a profit p in a ye ears time. Th he potential for arbitrage means such profits canno ot be earned. H However, econ nomic theory y also suggests that uncov vered interest parity shoul ld operate. In n the realworl ld,uncovered dinterestpari ityhasnotap ppliedoverth hepast25yearsorso. Th he carry trad de has been a lucrative thin ng to do jus st as long as the t exchange e rate between n the yenandthecurrencyofthecountr rywhereyoulentthemone eydoesntmo oveagainstyo ou. H thecarry How ytradeworks s Th he mechanics s of the carry y trade are re elatively strai ightforward. Currencies around the worl ld are tied to a set of intere est rates that savers can expect e to rec ceive for inve estments den nominated in that currency y. Borrowers, , meanwhile, , can expect to pay that t rate for loa ans of the currency. Bec cause countries svaryintheways w theymo onitororcont trolinterestratesfortheirparticularcu urrency,thereisnt necessari ily any conn nection amon ng rates in different d countries; for th he most part t, local econo omic condition ns dictate loc cal interest rates, and to the extent th hat these local economic conditions aren a t interrelat ted,interestrates r indiffere entcountriestendtomove eindependen ntlyofeachot ther. U Using the car rry trade stra ategy involve es three sepa arate transactions. First, you y must fin nd a countryoffering o loans satarelativelylowinteres strateandbo orrowmoneydenominated dinthatcoun ntrys currency y. Second, yo ou take the foreign f curre ency that you u just borrow wed and exc change it for r the currency y of a differen nt country tha at is offering higher intere est rates on in nvestments. Third, T once yo ouve made the e currency co onversion, yo ou then inves st your new currency c and d earn a relati ively high ra ate of interest. R Risks oftheca arrytrade It ts important to realize tha at although th he carry trade has worked ve ery well over th he past decade, it is not with hout risks. Th he key variab ble in determ mining whethe er a particula ar carry trade e strategy wi ill be profitabl le is what ha appens to exc change rates s during the time t the trad de is open. If f the value of f the borrowed currency rises in relatio on to the val lue of the inv vested curren ncy, then one es profits wi ill be

reducedoreventurnintolosses. The success of the carry trade also depends on the continuing disparity among interest rates in various countries. Much of the success of the dollaryen carry trade strategy is that shortterm interest rateswere4%5%higherintheUnitedStatesthaninJapan. Some commentators have expressed concern that if traders stop using the carry trade strategy, then the recent weakness in the dollar may accelerate. Because investors who execute carry trade strategies buy 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. Whethertheseconsequencesactuallycomeabout,remainstobeseen. The carry trade is one example of how sophisticated investors use global financial markets to seek profits. Although the strategy involves risk, it has rewarded its users significantly over the past several years. But if the success of this strategy is coming to an end, it may have an impact on the earnings of financial institutions that have made substantial use of the carry trade. These trades allowed some traders to rake in big profits, but they also played a part in the credit crisis that struck world economic systems in 2008. Its not surprising that, with all the panic, the smarties have been pulling out of these carrytrade deals. As they do, of course, the higher demand for the yen causes it to appreciate, thus wiping out the interestrate gains and making it more urgent for others to get out. Fingersarebeingburntaswespeak. SettingUpTheCarryTrade To become a successful carry trader, understanding the role that interest rates play in the FX marketisacrucialtask.Acountryofferinghighinterestrateswillattractmorecapitalasinvestorsseek tocapitalizehigherreturns.Asinterestratesrise,investmentwillfollow,whichcaninturnincreasethe valueofthecurrency.Carrytradersmainfocusbecomestheexpectationonthedirectionofacountrys interestrate,toensuretheirhighrateofreturn. Generally, traders seek to buy currencies with high interest rates, and seek to short currencies whoofferlowinterestrates. The carry trade works best under certain market conditions, and the selection of the currency pair can make the difference between a losing andaprofitable 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 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 The global credit crunch that developed from August 2007 led tothe 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, puttingeven moredownward pressure on their prices. As credit conditions tightened dramatically, banks began calling in the loans, many of which were yendenominated. Speculators not only had to sell their investments at firesale prices, but also hadtorepaytheiryenloansevenastheyenwassurging.Repatriationofyenmadethecurrencyeven stronger. In addition, the interest rate advantage enjoyed by higheryielding currencies began to dwindleasanumberofcountriesslashedinterestratestostimulatetheireconomies. The unwinding of the gigantic yen carry trade caused the Japanese currency to surge against major currencies. The yen rose as much as 29% against the euro in 2008. By February 2009, it had gained 19% against the U.S. dollar since September, rising to a 13year high of about 90. The global economy was also severely affected, as the collapse in asset prices affected consumer confidence and business sentiment, and exacerbated an economic slowdown. Nations whose currencies were heavily involved in the carry trade (such as Japan) would also face economic headwinds,asanunusuallystrongdomesticcurrencycanrenderexportsuncompetitive.

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III. Rolulpreurilorndeterminareacursuluide schimb.Paritateaputeriidecumprare

1. La nceputul anului 2009, cursul de schimb dintre leul romnesci 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/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. Baza teoriei paritii puterii de cumprare este legea preului unic (TheLowofOne Price LoOP). Potrivit acestei legi, preul de vnzare al unui bun oarecare, exprimat n 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

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PebazaTabeluluiIII.1,rspundeilaurmtoarelentrebri: a) Se verific teoria paritii puterii de cumprare (forma absolut) pe eantionul derialesipentrubunulales? b) Caresuntmonedelecucelmaimaregraddesupraevaluare?Explicai. c) Caresuntmonedelecucelmaimaregraddesubevaluare?Explicai. d) Presupunnd c n SUA i n China se produce un singur bun, identic, un hamburgerMcDonalds,ctarficursuldeschimbUSD/CNYconformPPP? e) Cuctestesub/supraevaluatyuanulchinezfadenivelulconformPPP?Dar monedaeuro? f) Calculai cursul real al yuanului fa de dolarul american. Facei legtura cu subpunctule).AcceaicerinipentruperecheaEUR/USD. g) CtestecursulEUR/USDconformPPP? h) Cumanticipaievoluiamonedelordintabelpetermenmediuilung? i) Exist posibiliti de arbitraj pe piaa BigMac? Cum influeneaz aceste operaiunipreulBigMacpepieediferite? 3. Comentai figura de mai jos, care ilusteaz evoluia cursului real (2005=100)visavisdedolarulamericanpentruGermania,RomniaiChina.
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


Studiude d caz2.Pr rocesuldecatching c up p
W the incre With easing pace at a which dom mestic market ts are becom ming integrate ed into the gl lobal economy y, the debate on income disparities aro ound the world has intens sified. More th han twothird ds of theworld dpopulationstillliveindeveloping d countries.Whetherandwhe enthesecoun ntriescancatc chup tothede evelopedcoun ntrieswillaffe ectthewelfar reofmoretha anthreebillio onhumanbei ings.Therefor re,to study the determinan nts of catching up in late development d t is one of the e major tasks s of economis sts in thisandthenextcentu ury. T catchup effect The e , also ca alled the theo ory of converg gence, states that poorer economies e ten nd to grow at faster f rates th han richer eco onomies. Therefore, all eco onomies shou uld in the long g run converg ge in terms of f per capita income and productivity. p Developing countries ha ave the poten ntial to grow at a faster ra ate than deve eloped count tries as they y can replicate production n methods, technologies and institutio ons currently y used in dev veloped coun ntries. This addition a of ca apital allows s them to rap pidly increase productivity and incomes s in order to achieve a hig gher growth rate than dev veloped coun ntries andthere eforeconverg geinthelongterm. Th he theory als so assumes th hat technology is freely tra aded and ava ailable to dev veloping coun ntries that are attempting to o catchup. Capital C that is s expensive or o unavailabl le to these ec conomies can also prevent catch c up grow wth from occ curring, espec cially given th hat capital is scarce in the ese countries. This often trap ps countriesin i alowefficiency cycle whereby w the most m efficient technologyis s too expensiv ve to beacquir red.Thediffe erencesinpro oductivitytech hniquesiswh hatseparatestheleadingdeveloped d nat tions fromthefollowingde evelopednations,butbyamarginnarro owenoughto ogivethefoll lowingnation nsan opportun nity to catchup. This pro ocess of catc chup continu ues as long as a the follow wed nations have h somethin ng to learn fr rom the lead ding nations, and will onl ly cease whe en the knowle edge discrep pancy betweentheleadingand a followernations n becom mesverysmallandeventu uallyexhauste ed. O can distin One nguish betwee en two types s of convergen nce in the eco onomic grow wth literature: converge ence and convergence. When the dispersion d of f real per cap pita income across a a grou up of economies falls over time, there is s conver rgence. When n the partial correlation c be etween growt th in income over o time an nd its initial level is nega ative, there is i conver rgence. Beta convergence is a

necessary y but not a su ufficient cond dition for sigm ma convergen nce. Beta conv vergence imp plies the exist tence of a lon ngerterm cat tchup mecha anism, i.e. fo orces which work towar rds the narro owing of inc come differenc cesacross cou untries. These e forces, howe ever, can be offset o by temp poraryshocks s which adver rsely (or,posit tively)affectshort s rungro owthperform mance.Thisiswhytheexist tenceofbetaconvergencemay notbefu ullyreflectedin i changesofthedispersio onofincomelevels. l Th he converge ence literature is extreme ely large, worthnoty are the t contributi ions of Barro o and SalaiMa artin (1992) and a Mankiw et al. (1992), exploring convergence. . SalaiMarti in (1996, p. 1326), surveyin ng this literatu ure, conclude es that the estimated e spe eeds of co onvergence ar re so surprisi ingly similar across a differen nt data sets, that t we can state s that econ nomies conve erge at a spee ed of two per rcent per year r. In other words, w econom mies close th he gap betwe een present le evels of income and balanced growthlevelsby,onaverage, a 2per rcentannually y.

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Some economists criticise the theory, stating that endogenous factors, such as government policy,aremuchmoreinfluentialineconomicgrowththanexogenousfactors. There are many examples of countries which have converged with developed countries which validate the catchup theory. In in the 1960s and 1970s the East Asian Tigers rapidly converged with developedeconomies.TheseincludeSingapore,HongKong,SouthKoreaandTaiwanallofwhichare today considered developed countries. In the postwar period (19451960) examples include Germany, France and Japan, which were able to quickly regain their prewar status by replacing capital that was 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. O firm din Romnia trimite n Turcia un transport de mrfuri n valoare de 50 mil lei, inclusiv cheltuieli de transport (freight 1 mil lei), urmnd s primeasc banii n 90 de zile (transportul se realizeaz cu un vas romn); b. Plataaferenttransportuluidemaisus; c. O firm din Romnia a investit ntro sucursal n strintate, sucursal caretransferfirmeimam10milleisubformdedividende; d. Rezidenii din Romnia import bunuri n valoare de 65 mil lei, pe care le 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. Figura de mai m jos ilust treaz evolu uia cursulu ui real al le eului calcul lat fa de euro, e respectiv v fa de dolar. d Com mentai impactul acest tor evoluii asupra so oldului contului curent. Figu uraIV.1.Evo oluianterm menirealiacursuluideschimballe eului

Sur rsa:INS,BNR R

ponentele PIB P pe part tea cererii i pe parte ea ofertei i identificai pe 17. Scriei comp bazarela aieiobinu utefactoriide d influen pentruso oldulcontul luicurent. 18. Comenta C iurm u torulfr ragment:
Prima P tran a mprumutu ului de la FM MI, n sum de e 5 miliarde euro, e a fost co ontractat de e ctre Banca Naiona al a Romnie ei, pentru sus sinerea balan nei de pli. Acest mpru umut nu repre ezint datorie public, potrivit Ordonanei deUrgen U a Gu uvernului nr64/2007 6 privin nd datoria pu ublic, ra ambursarea urmnd u s fi ie efectuat din d sursele proprii ale BN NR. Prima tra an de la Fo ondul M Monetar Intern naional a avu ut ca destinaie consolidar rea rezervelor r valutare alerii, iar fond durile re espective au jucat un rol important n n reducerea rezervelor r minime m obliga atorii n valut ale bncilor romn neti, ajutnd d la crearea de d lichiditi corespunz c toa are n piaa monetar m , se arat n npunctuldevedere v transm misdeMFP. Su ursa: Ministerul Finantelo or: Prima trans sa din acordul cu FMI, de 5 miliarde euro, va fi ramburs sata de BN NR,dinsurse eproprii,www w.hotnews.ro,18august20 009.

19. Rspundeilaurmtoa arelentrebricaresebazeaz b pestudiuldecaz3: a) Cum C poate influena evoluia ec conomiei chineze c var riabile econ nomice la nivel n mondial l,cumarfiratainflaie ei,preulpe etrolului,nivelul n salar riilor,ratadobnzii d etc c.; b) Ce C reaciilanivelintern naionalatr ragnivelulconsumulu 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 flexibiln China?
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 Studiude d caz3.Ro oluljucatde d Chinan ncomerulinternaion nal

O 11th2007From Oct F TheEco onomistprint tedition C CHINA willso oonhaveseve enofthewor rldstenbigge estshoppingmalls. m YetCh hinesehouseh holds arehardl lythemostea agershopper rs.Consumerspendinghas sfallenfrom47%ofGDPintheearly1990s 1 to only 36% 3 in 2006, the lowest proportion p in n any large ec conomy (see lefthand chart). At the other o extreme,Americanho ouseholdscon nsume70%of fGDP. It t is widely agreed that Ch hina needs to o rebalance it ts 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 but b it would also reduceChina C shugetrade t surplus.

Evo oluiacursulu uiUSD/CNY Ynperioada 2 2001 2009

S Sursa: FED

In n2005,Chinastoppedpeg ggingitsyuan ntothedollar r,anditscentr ralbanknow wallowsittotrade t in a ban nd of 0.5% on o either side e of its parit ty rate. The yuans weakness gives Chinese C expor rts a competit tive edge in overseas o markets. In respo onse to press sure from ma anufacturers and a labor gro oups, theU.S. alongwithothercountri iesandvariou usglobalfina ancialorganiz zationshave ebeenpressu uring Chinatoletitscurren ncyriseinvalu ue. Earlier this month, m financ cial officials from f the Group of Seve en industriali ized nations said Chinas current c accou unt surplus was w evidence of o the need fo or a stronger yuan, the str rongest statem ment yetfromtheG7about tChinascurr rency. W will contin WE nue to promo ote exchange erate reforms s, PBOC Dep puty Governo or Liu Shiyu told theclosin ngsessionofaSpanishCh hinesefinanci ialforumFrid day,accordingtonewsrep ports.Hewas salso quotedas a sayingthatforeignexcha angemarkets shavearoletoplayincor rrectingtrad deimbalances. This T 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 appreciat tion to adjust t global imba alances by su uggesting that the U.S. ad ddress its current accountdeficit, d saidMeg M Browne, ,seniorcurren ncystrategist tatBrownBro othersHarrim man.

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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 displaces investment by encouraging business to invest in China rather than the US. The challenge for theUSishowtorespondinlightofChinasexchangerateintransigence. ThroughitspersistenttradesurplusesChinahasaccumulatedover$400bnoftreasurysecurities and it is now the secondlargest foreign holder (after Japan) of government bonds. The fear is that China may retaliate against the US by selling bonds, causing the price of treasuries to fall and interest 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. More importantly, China has no interest in playing Russian roulette with the US economy as 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 half of this year the surplus narrowed to $130 billion, onethird lower than a year earlier, and barely half 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 match the deficit that America reports in its trade with China. The government in Beijing claims that its surplus with America fell to $62 billion in the six months to June. Yet official statistics from Washington, DC, show that America ran a deficit with China of $103 billion during the same period. There are similar disparities with other trading partners. Chinas reported surplus with the euro area is only half as big as the number published by European statistical offices. Even more striking is its trade balance with Japan: China says it had a deficit with Japan in the first half of this year, but Japanese data show instead that

22

JapanranadeficitwithChina.

Chinas trade surplusand hence its currentaccount surplusis almost certainly bigger than that reported by Beijing, even if it is much smaller than the combined deficits reported by America and other trading partners. But for the rest of the global economy, the crucial thing is not the precise size of Chinassurplus,butthefactthatitisfinallyshrinking. ISCHINAMANIPULATINGTHEYUAN?3 The troublesome experience with competitive depreciations in the 1920s and 1930s convinced the international community that international rules were needed to discourage beggar thy neighbor exchange rate policies. Indeed, that was one of the main motivations for establishing the International 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: 23

http://emlab.berkeley.edu/users/eichengr/policy/china_exc_rate_regime_May06.pdf

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 there is no simple answer to the question of what exchange rate regime is right for the country. On the one hand, China is a large economy whose exceptionally rapid development and transformation subject it to distinctive business cycle risks. These structural factors create an obvious case for a more flexible rate. On the other hand, the country has a high export/GDP ratio and a weak financial system. These considerations point toward a less flexible rate. Splitting the difference suggests a moderate increaseinflexibility,whichwaspreciselythedecisiontakenonJuly21st2005. Thisframeworkalso suggests that China will want to move overtime in the direction of greater exchange rate flexibility. Sooner or later the country will have to address the problems in its banking and financial system, and a stronger financial system will enable it to cope more easily with the consequences of a more flexible exchange rate. Moreover, China will not run savings rates of 50 per cent forever; social demands for higher consumption standards, the development of financial markets that enable households and firms to insure themselves against market risks at lower cost, and the construction of a social safety net will make this so. We know that economies more dependent on domesticdemandandlessdependentonexportdemanddemonstrablypreferamoreflexiblerate. The appropriate regime given current conditions is a managed float in which the exchange rate is allowed to fluctuate more than in the last ten years. Greater flexibility will allow the authorities to moreeffectivelysteertheeconomy.Itwillpreventdomesticinterestratesandfinancialconditionsfrom being dictated by interest rates and financial conditions in the rest of the world, which becomes a growing danger as the capital account continues to open through a combination of policy action and marketdevelopment.

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V. Factorideinfluenacursuluideschimbpe termenlung4
I.Echilibrulpepiaamonetarestedatdeteoriacantitativabanilor. 1. Cesepoatespunedespreratainflaieinipotezateorieicantitativeabanilor? 2. n cazul n care echilibrul pe piaa monetar este dat de teoria cantitativ a banilor, ce factori influeneazaprecierea/depreciereamonedeinaionalepetermenlung? 3. PresupunemcnRomniaratadecretereamaseimonetarecretedela5%peanla6%.Cum credei c vor evolua pe termen lung oferta real de moned, PIB real, nivelul preurilor i cursuldeschimb?(reprezentaigrafic) II.Echilibrulpepiaamonetarestedatdeabordareakeynesist. 1. n Romnia rata de cretere a masei monetare este 10% pe an, iar n zona euro aceasta este 4.5%pean.Ceefectareaceastdiferenasupracursuluideschimb? 2. Romnia tinde s creasc mai repede dect zona euro. Cum influeneaz acest fapt cursul de schimb? 3. Cuminterpretaiefectulnetalinfluenelordemaisus? 4. Presupunnd c rata de cretere a masei monetare n Romnia crete, cum se modific raionamentulinfluenelormacroeconomicecomparativcuI.3.?(reprezentaigrafic). 5. Este posibil ca efectele de mai sus s se nregistreze n economie chiar dac banca central nu modific ritmul de cretere a masei monetare, dar agenii anticipeaz o cretere a ritmului de cretereamaseimonetare? III.Implicaiilemodeluluimonetarpentruelaborareapoliticilorstatului. 1. Ce nelegei prin ancor nominal? S se identifice conform modelului monetar variabilele economice care pot fi utilizate ca ancor nominal de ctre bncile centrale (utilizai ecuaiile modelului).Sseidentificeavantajeleidezavantajelefiecreistrategii. 2. Bncilecentraleurmrescstabilitateapreurilorpetermenscurt? 3. Daiexempledericareauutilizatdiferiteancorenominaledealungultimpului. IV.Sedauurmtoareleinformaii:olirsterlinvaloreaznprezent2dolari;uncodebunuri carenSUAcost100USDarcosta120USDnMareaBritanie.nurmtorulanFedurmrete smeninoratainflaieide2%,iarBancaMariiBritaniiinteteoratainflaieide3%. VitezadeconvergenctrePPPformaabsolutestede15%pean.

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

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 cretere economic, 1%, n timp ce Coreea a crescut cu 6%. Banca Japoniei a permis o rat de cretere a masei monetare de 2% anual, n timp ce aceeai rat n Coreea a fost 12%. n contextuldatdecelmaisimplumodelmonetar(I),rspundeilaurmtoarelentrebri: 1. CtesteratainflaieinCoreea?DarnJaponia? 2. Careesteratadedepreciereawonuluicoreancomparativcuyenuljaponez? 3. Ce se va ntmpla cu preurile n Coreea, cu masa monetar real i cursul de schimb dac bancacentralaCoreeidecidecreterearateidecretereamaseimonetarela15%? 4. Presupunem c banca central a Coreei decide s fixeze moneda naional de cea a Japoniei. Ce rat de cretere a masei monetare ar trebui s stabileasc Banca Coreei astfel nct valoarea wonuluisrmnfixrelativlayen? 5. n cazul n care Banca Coreei urmrete aprecierea wonului relativ la yen, ct ar trebui s fie ratadecretereamaseimonetare? VI. n cadrul mai complex furnizat de modelul monetar de la II, utilizai aceleai informaii de la 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. Attrile dezvoltate, ctirile n curs de dezvoltare au experimentat o scdere a inflaiei ncepnd cu anii 80. Urmtoarele ntrebri i propun s evidenieze modul n care regimurile de curs de schimb i politica monetar au determinat acest fapt. Utilizai modelul monetar pentruarspunde:
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1. Banca central a Elveieiintete n prezent rata de cretere a masei monetare pentru a atinge 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. Banca central a Noii Zeelande utilizeaz caint operaional rata de dobnd, care este 6%. Dac ratamedie real din restul lumii este1.5%, ct va firatainflaiei pe termen lung?n1997 Noua Zeelandia luat angajamentul de aine inflaia sub nivelul 2.5%. Ct ar trebui s fie ratainterndedobnd? 3. Banca Naional a Slovaciei menine o band de fluctuaie fa de euro (+/ 15%, iar paritatea central este 35.4424 coroane la un euro). Calculai limita inferioari cea superioar a acestei 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 cadrul benzii? Obiectivul BCE este stabilitatea preurilor n actualai viitoarea zon euro. Este aceastbanddefluctuaieocondiienecesarsausuficientpentruaatingeacestobiectiv? 4. n zona euro, BCE stabilete o rat de cretere a masei monetare egal cu 4.5%, obiectivul de inflaieeste2%,iarcretereaeconomicrealeste2.5%pean.ncecondiiisepotatingeaceste valoripetermenlung? VIII. Suntei guvernatorul bncii centrale ntro ar care dorete s adopte o nou ancor nominal. n momentul ocuprii poziiei de guvernator, rata inflaiei este de 4%, iar inta pentru anul urmtor este de 2.5%, rata de cretere economic este de 3%, rata extern de dobndeste1.5%. 1. ncazulncareaialegecaancormasamonetar,careartrebuisfieratadecretereamasei monetare? 2. Presupunnd c inflaia n zona euro este 2% i se urmrete utilizarea ca ancor nominal cursul de schimb, care ar trebui s fie gradul de apreciere/depreciere a monedei naionale fa 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)?
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 Studiude d caz4.Ri iscurileaso ociatecontu uluidecapitalliberalizat

Fr ragmente din discursul susinut la Acade emia Regal de e tiine Econ nomice i Finan nciare, Problem me ale politicii mo onetare ntroaremergent. Cazul Rom niei,la data de e21 februarie2008,Barcelon na,de academi icianul coresponde entdinRomn nia,domnulMU UGURISRE ESCU Economiile n tranziie din n Europa Ce entral i de Est sau con nfruntat cu intrri masiv ve de investiii strine direc cte, att inde ependente de e, ct i asociate procesulu ui de privatiz zare, precum i cu investiii de portofoliu u stimulate de diferenialu ul semnificati iv de dobnd d n compar raie cu econo omiile avansate.Intrrilemas sivedecapitalaucreatodilem d pentru uautoritilemonetare. m Pedeoparte,ac cestea stimuleaz z dezvoltarea economiei, sprijinind astfel converg gena real; ele e contribuie e, de asemen nea, la reducerea apresiunilorinfla i ionistepe p termenscu urtprinefecte elepecareleau a asupraapr recieriicursuluide schimbi prin orientar rea consumul lui ctre bunu urile comerci ializabile. Pe de alt parte, , datorit ace elorai efecte asu upra aprecier rii cursului de d schimb, in ntrrile de ca apital pot ero oda competit tivitatea exte ern a economiei, amplificnd d astfel dezechilibrele ext terne, ceea ce e conduce la deprecierea d monedei m i, n n cele dinurm,laoinflaiemai m mare. Liberalizarea contului c curen nt reprezint una dintre deciziile d de po olitic macroeconomic ce el mai intensdez zbtute. Potrivit mode elelor cu piee perfecte, fluxurile libe ere de capit tal determin o mbunt ire a funcionrii r sistemelor fi inanciare spori ind astfel volu umul de fondur ri disponibile e, odat cu re educerea cost turilor acestora, ipermindodiversificare emaibunaris scurilor(Frenk keliRazin,1996). 1 O Obstfeld (1998 8) evideniaz faptul c o astfel a de msur s ar eficien ntiza alocarea resurselor r ; n opinia o lui Stultz (1999) i a lui Mishkin (2001), libera alizarea micrilor de cap pital stimuleaz transpare ena i rspundere ea, micornd d astfel amplo oarea problem melor legate de d selecia adv versi hazard dul moral, n acela a i timp cu re educereaconst trngerilorlega atedelichiditat te de pe pieele e financiare. . Potrivit auto orilor citai, pie p ele financiare e internaiona ale au tendin na de a impu une o disciplin n mai strict asupra fact torilor politic ci care altfel ar putea p fi tentai s profite de e o pia finan nciar local captiv. Beka aert, Harvey i Lundblad (2001) ( arat c liberalizarea l fluxurilor de e capital stim muleaz expa ansiunea econo omic, conduc cnd la ritmu uri de creterema aimaridectcele c nregistra ateanteriormomentului m li iberalizrii. Ev voluiile cons semnate la sf fritul anilor r 90, n spec cial criza din Asia, iau de eterminat pe muli economiti t s considere c fenome enul de globa alizare a mer rs prea depa arte, dnd natere unor pi iee de capital exc cesiv de volatil le i provocn nd crize costi isitoare. Mai mult, acetia a au pledat pentru p revenirea la vechea or rdine a fluxur rilor controla ate. Stiglitz (1 1999) recoman nd rilor n n curs de dez zvoltare s im mpun restricii asupra a intrrilor r de capital n vedere ea atenurii impactului excesiv e al cic clurilor econo omice asupra pieelor financiare. Krugm man (1998) se declar n fa avoarea restric ciilor privind d ieirile de capital, considera ate mult timp de literatura a de specialita ate ca fiind co omplet inefici iente, argume entnd c ast tfel de restricii ar a putea cont tribui, chiari numai temp porar, la gest tionarea unor r ieiri de cap pital care altfe el sar puteadov vedi a fi dezo ordonate.Rod drick (1998i2000) 2 conside er restriciile e asupra micrilorde capi ital ca fiind opor rtune, dat fiin nd faptul cli iberacirculaie i aacestora duce la crizefinanciare f caurmare u aexcesi iveilor volatiliti. n n ultimii ani, , rile din Europa E Centr ral i de Est se confrunt cu intrri semnificativ ve de capital, n n condiiile n n care restriciile i asupra circulaiei liber re a capitalur rilor au fost el liminate treptat pe parcursul l procesului de d liberalizar re complet a contului de e capital, care e a constituit o condiie pentru p aderarea la UE. Pe de o parte, apetitul investito orilor a fost stimulat s de persisten p a un nor diferenia ale de dobndpozitive.

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 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 operatorilor strini pe piaa bancar determin un mediu financiar mai stabil, mbuntirea guvernanei corporatisteiacapacitiidegestionareariscurilor. n acelai timp, este rezonabil s consideri c expansiunea rapid a creditului poate depi capacitatea bncilor de a evalua riscurile, conducnd astfel la creterea asimetriei informaionale care ar 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 aderarea RomnieilaUE,i sasuprapus pesteadoptarea strategiei deintireainflaiei.Aceaststrategie a fost implementat n anul 2005, dup ce a fost luat n considerare pentru prima dat n anul 2001, atunci cnd aceasta a fost menionat n Programul Economic de Preaderare ca opiune major a bncii centrale.

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30

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VI. Cotaiivalutare
PeopiaFOREXsenregistreazlaunmomentdaturmtoarelecotaiispot: 1. Ct ar trebui s fie cursul GBP/USD n Romnia, astfel nct o persoan s nu poatrealizaarbitrajcumprndlirenRomniaivnzndlirelaLondra; 2. Ct ar trebui s fie cursul GBP/USD n Romnia, astfel nct o persoan s nu poatrealizaarbitrajcumprndlirenLondraivnzndlirenRomnia; 3. Ct ar trebui s fie cursul USD/JPY n Romnia, astfel nct o persoan s nu poatrealizaarbitrajcumprndyeninRomniaivnzndyeninLondra. 4. Un exportator american incaseaza 25000 JPY. Sa se precizeze care este valoarea acesteisumeexprimataindolari. 5. Un turist american doreste sa viziteze Marea Britanie si schimba 5000 USD in liresterline.Decatelirevadispunepentruexcursie? 6. Setie c ratele de dobnd pe 6 luni n zona euro sunt 4,1/4,5, iar n Romnia sunt5,9/6,4.Ssedeterminepuncteleswap6MpentrucursulEUR/RON. 7. SasedeterminecotatiaUSD/RON. Cursspot EUR/USD USD/JPY USD/CHF GBP/USD AUD/USD EUR/CHF BID/ASK 1,4676/1,4679 89,02/89,07 1,0328/1,0333 1,5901 /1,5905 0,8619/0,8623 1,5178/1,5183 Rate EUR/RON BID/ASK 4,2702/4,2708

8. Un investitor japonez are n cont 100000 de yeni. Ci yeni va mai avea n cont dacdecidescumpere200defrancielveieni. 9. Un exportator englez obtine de pe urma unei tranzactii cu o firma japoneza 10000yeni.Saseprecizezecateliresterlinevaprimidupaschimbareasumeiinyeni. 10.Unamericandaordinbanciisaledetransforme10000deliresterlineineuro.Sa seprecizezedecatieurovadispuneamericanulincontdupaaceastatranzactie.
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11. Un roman doreste sa vanda euro si sa incaseze dolari australieni. Sa se precizezelacecurspoaterealizaaceastatranzactie. 12. S se verifice posibilitatea realizrii unui arbitraj triunghiular pe valutele EUR, 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 stabilete cursul forward. Completai sgeile din schem cu procesele aferentei identificai ordineaacestorprocese. A. Cursulforwarddevnzare
1/(1+rpEUR) EUR azi 1EUR peste 1an

Marketmakerul doretesvnd1 europeste1an.

S0ask x 1/(1+rpEUR) RON azi S0ask x (1+raRON)/(1+rpEUR)RON peste 1an Fask RON peste 1an

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 B. Cursulforwarddecumprare
Fbid/(1+rpRON)RON azi Fbid RON peste 1an

Marketmakerul doretes cumpere1euro peste1an.

[Fbid/(1+rpRON)]/S0bid EUR azi Fbidx (1+raEUR)/ S0bid x(1+rpRON) EUR peste 1an 1EUR peste 1an

17. Dac spreadul procentual al cotaiei spot EUR/RON este de 0,034%, spreadul absolut pentru rata dobnzii la RON de 2 p.p. i spreadul absolut pentru rata dobnzii la EURde1p.p.,determinaispreadulprocentualalcotaieiforwardla3luni. 18. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury Inflation Protected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000 USD, rata cuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunea se ramburseaz la scaden, iar valoarea nominal se ajusteazinnd cont de rata inflaiei. n cel deal treilea an, cu suma obinut din obligatiunile deinute, investitorul dorete s investeasc n 200 de aciuni AXA de la bursa EURONEXT. Cursul spot EUR/USD n momentul schimbrii sumei 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%

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Studiu de caz 1. 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, the low margins of profit compared with other markets of fixed income (but profits can be high duetoverylargetradingvolumes), theuseofleverage. There is nounified or centrally clearedmarket for the majority ofFX trades, and there is very little cross border regulation. Due to the overthecounter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies instruments traded. This implies that thereisnotasingleexchangeratebutratheranumberofdifferentrates(prices),dependingonwhatbank ormarketmakeristrading,andwhereitis.Inpracticetheratesareoftenveryclose,otherwisetheycould be exploited by arbitrageurs instantaneously. The main trading center is London, but New York, 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. Fluctuations in exchange rates are usually caused by actual monetary flows as well as by expectations of changes in monetary flows caused by changes in gross domestic product (GDP) growth, inflation (purchasing power parity theory), interest rates (interest rate parity, Domestic Fisher effect, International Fishereffect),budgetandtradedeficitsorsurpluses,largecrossborderM&A(MergersandAcquisitions) dealsand other macroeconomic conditions. Major news is released publicly, often on scheduled dates,so manypeoplehaveaccesstothesamenewsatthesametime.However,thelargebankshaveanimportant advantage;theycanseetheircustomersorderflow. Onthespotmarket,accordingtotheBISstudy,themostheavilytradedproductswere: EURUSD:27%; USDJPY:13%; GBPUSD(alsocalledcable):12%.

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andtheUS U currencywas w involvedin i 86.3%oftransactions,fo ollowedbyth heeuro(37.0% %),theyen(17 7.0%), andsterlin ng(15.0%)(se eetable). Top10 1 MostTrade edCurrencies Rank 1 2 3 4 5 6 7 89 89 10 11 12 13 14 Cu urrency UnitedStatesdollar Euro Japanes seyen Britishpoundsterlin ng Swissfr ranc Austral liandollar Canadi iandollar Swedis shkrona HongKong K dollar Norwegiankrone NewZe ealanddollar r Mexica anpeso Singapo oredollar SouthKorean K won ISO42 217 Code e USD D EUR R JPY GBP P CHF F AUD D CAD D SEK HKD D NOK K NZD D MXN N SGD D KRW W Other Total l Share 86,3% % 37,0% % 17,0% % 15,0% % 6,8% % 6,7% % 4,2% % 2,8% % 2,8% % 2,2% % 1,9% % 1,3% % 1,2% % 1,1% % 14,5% % 200% % Volu ume percent tages for all a indiv vidual curre encies should add up to 20 00%, as eac ch trans saction involves tw wo curre encies. Whil le forex has s been trade ed since e the beginnin ng of financi ial mark kets, online retail tradin ng has only o been acti ive since abou ut 1996. . From the 1970s, larger retail l traders co ould trade FX F contr racts at the Chicag go Merc cantile Excha ange. By 199 96 onlin ne retail forex f tradin ng becam me practical. Internetbase ed mark ket makers would w take th he oppo osite side of retail trader rs trade es.These com mpanies als so creat ted retail fo orex platform that provided a quick way fo or indiv viduals to bu uy and sell on o thefo orexspotmar rket.

April20 007

In online currency exc change, few or o no transac ctions actually y lead to phy ysical deliver ry to the clien nt; all positions will eventually be closed. . The market makers offer r high amoun nts of leverag ge. While up to 4:1 leverage is i available in n equities and d 20:1 in Futu ures, it is com mmon to have 100:1 leverag ge in currenci ies. In the typica al 100:1 scena ario, the clien nt absorbs al ll risks associ iated with co ontrolling a position p wort th 100 timeshiscapital. HighLev verage The idea of o margin (le everage) and floating f loss is i another im mportant tradi ing concept and a is perhaps best understoo od using an example. e Mos st retail Forex market make ers permit 10 00:1 leverage, but also, cruc cially, requireyo outohaveacertain c amoun ntofmoneyin i youraccou unttoprotectagainstacrit ticallosspoin nt.For example, if a $100,000 position is held h in EUR/U USD on 100:1 leverage, the e trader has to t put up $1,0 000 to control th he position. However, H in th he event of a declining va alue of your positions, p Forex market ma akers, mindful of o the fast na ature of forex x price swings s and the am mplifying effect of leverage e, typically do d not allow thei ir traders to go g negative and a make up p the differenc ce at a later date. d In order r to make sur re the trader do oes not lose more m money than is held d in the accou unt, forex ma arket makers s typically em mploy automatic c systems to close c out pos sitions when clients run ou ut of margin (the amount t of money in n their account not n tied to a position). p If th he trader has $2,000 in his s account, and d he is buyin ng a $100,000 lot of EUR/USD D, he has $1,00 00 of his $2,000 tied up in margin, with h $1,000 left to o allow his po osition to fluc ctuate downwar rdwithoutbeingclosedou ut.

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 TransactionCostsandMarketMakers Market makers are compensated for allowing clients to enter the market. They take part or all of the spread in all currency pairs traded. In a common example, EUR/USD, the spread is typically 3 pips (percentage in point) or 3/100 of a cent in this example. Thus prices are quoted with both bid and offer (i.e.ask) prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD 1.4900). Traders buy at the higheroffer or askprice,andsellatthelowerbidprice,thusgivingupthedifference,orthespread,asthecostofthe transaction. Of course, the actual price level may also change during the interval between buying and selling. That difference of 3 pips is the spread and can amount to a significant amount of money. Because the typical standard lot is 100,000 units of the base currency, those 3 pips on EUR/USD translate to $30 paid 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 currency will always have a pip of $10. If, on the other hand, your currency pair has Swiss francs (CHF) asaquoteinsteadofUSD,then1/100thofacentisnowwortharound$9,becauseyouarebuying100,000 ofwhateverinSwissfrancs.

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VII. Tehnicideacoperirempotrivarisculuivalutar
1. Presupunem c o companie romneasc are o datorie n franci elveieni peste 3 luni.Aceastadoretesrealizezeooperaiunedehedgingfolosinduncontractforward, dupcumurmeaz:

De ce depinde rezultatul companiei n cadrul contractului forward? Discutai pe baza figuriidemaijos. FiguraVII.1.Payoffulpentrucumprtoruldeforward(longforward)

2. Presupunem c o companie romneasc are o crean n franci elveieni peste 3 luni.Aceastadoretesrealizezeooperaiunedehedgingfolosinduncontractforward, dupcumurmeaz:

De ce depinde rezultatul companiei n cadrul contractului forward? Discutai pe baza figuriidemaijos. FiguraVII.2.Payoffulpentruvnztoruldeforward(shortforward)

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 3. American Woodmark Corp. are de pltit peste 5 luni 750.000 GBP unui furnizor extern. Pentru a se proteja la fluctuaia cursului de schimb, importatorul ncheie un contract forward prin intermediul Citibank New York, care practic ratele dobnzii din tabelul urmtor. Cursul spot GBP/USD practicat de Citibank New York n prezent este 1,5478/512.Ssediscuteeficienaoperaiuniidehedgingcucontracteforward,tiindc lascadencursulspotGBP/USDeste1,5462/89. Rata 1M 3M 6M 9M r r r r ra ra ra ra dobnzii p p p p GBP 5,95% 6,07% 6,12% 6,30% 6,21% 6,39% 6,25% 6,45% USD 3,80% 4,00% 3,95% 4,15% 3,95% 4,32% 3,79% 4,03% 4. Petrom SA ncheie un contract forward pe cursul EUR/RON cu scadena peste 3 luni pentru suma de 10.000 EUR. Dac la scaden, pentru un curs spot de 4,25, compania ar obine un rezultat de 700 lei, iar pentru un curs de 4,3456, ar obine o pierderede256lei,ssedetermine:poziiancontracticursulforward. 5. Comentai pe baza urmtorului tabel diferenele dintre contractele forward i contractelefutures.

6. Compania Impact are de pltit peste 2 luni suma de 100.000 USD. Pentru ai acoperi expunerea la riscul valutar, folosete contracte futures pe cursul USD/RON cu scadenapeste3luniiprelatermen2,9650.tiindclamomentuldeschideriipoziiei,
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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. 7. Un exportator are de ncasat peste 3 luni suma de 100.000 euro. Pentru ai acoperi expunerea la riscul valutar foloseste contracte futures pe cursul EUR/RON cu scadena 3 lunii pre la termen de 4,3750.tiind c la momentul deschiderii poziiei, cursul spot era de 4,37, s se determine rezultatul exportatorului dac la scadena contractuluicursulspotdevine: a)ST=4,3500; b)ST=4,3850. 8. Un importator japonez va avea de pltit peste 3 luni suma de 650.000 USD. Cursul la vedere USD/JPY este de 120, iar cursul la termen de 123. Importatorul cumpr opiuni call de tip european (valoarea unui contract fiind de 50.000 USD), la pre de exerciiu 121i prim de 2 JPY pentru 1 USD. Care va fi rezultatul operatorului daclascadencursuleste: a)120;b)122;c)127. 9. Un investitor vinde 3 opiuni call USD/RON, valoarea unui contract fiind de 1.000 USD. PE este de 3,3 RON/USD, prima este de 0,02 RON pentru fiecare USD. Se cererezultatulinvestitoruluidaclascadencursulspoteste: a)3,2500;b)3,4000;c)3,5500 10. Un exportator elveian ncheie un contract de export de 1.000.000 USD cu scadena n iunie. Pentru a se proteja mpotriva deprecierii USD, cumpr 20 opiuni putacte50.000USDfiecare.PE=1,7150USD/CHF,primapltit=0,025CHFpentru1 USD.CareesterezultatulexportatoruluidaclascadencursulUSD/CHFeste: a)1,67;b)1,7;c)1,73 11. Uninvestitorvinde2opiuniPUT,valoareaunuicontractfiindde2.000USD,PE = 1,85 CHF/USD, prima = 0,02 CHF. Care este rezultatul dac la scaden cursul spot este: a)1,8;b)1,84;c)1,87 12. Cursul spot este 1 EUR = 3,6000 RON. Un speculator anticipeaz o cretere a cursuluii tranzacioneaz o opiune (dimensiunea contractului = 1000 EUR , prima c =
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0,05 RON pentru un EUR, E = 3,6500 RON/EUR) a) S se determine rezultatul speculatoruluidaclascaden cursuleste1EUR=3,5000RON.b)Ctarfitrebuitsfie cursullascadena..rezultatulsfieunctigde50RON. 13. Considermunagenteconomicromncareladatade 1martie2007arealizatun import din Italia n valoare de 10000 EUR, suma urmnd a fi pltit peste trei luni. n prezent,cursulpepiaeste1EUR=3,5000RON. a) ce poziie va lua ntrun contract pe opiuni a.. s se acopere mpotriva risculuivalutar; b)Pepiaexistopiunicallcuscadenapestetreiluniicuurmtoarelepreuri de exerciiu: 3,6000, 3,6500, 3,7000, 3,7500, 3,8000.tiind c importatorul opteaz pentru opiunea call cu preul de exerciiu E=3,7000RON/EUR, dimensiunea contractului este de 1000 EUR, c= 0,05 RON, care este rezultatul su dac la scaden cursul este 3,7600, respectiv3,6700. 14. a)Presupunemcunspeculatoraoptatpentruostrategieformatdintrunshort call i short put, opiunile call i put au aceeai scaden, aceeasi valoare: 5000 EUR, acelaipredeexerciiu,3,7000RON/EUR,iaceeaiprim,c=0,05RON/EUR.Caresunt ateptrile speculatorului legate de cursul EUR/RON? Care este rezultatul su dac la scaden cursul este 3,5000; 3,7000, respectiv 3,8000. Tema: refaceti problema pentru pozitialong. b) Presupunem c alt speculator opteaza pentru o strategie format dintrun short calli un short put, opiunile calli put au aceeai scaden, aceeasi valoare: 5000 EUR, Eput =3,7000, Ecall = 3,8000, i aceeai prim, c=0,05 RON/EUR. Care sunt ateptrile speculatorului legate de cursul EUR/RON? Care este rezultatul su dac la scaden cursul este 3,5000, 3,6500, 3,8000, respectiv 3,8500. Tema: refaceti problema pentrupozitialong. 15. Unspeculatoranticipeazaocrestereacursuluideschimbsiisipropunesacreeze ostrategiecucostminimfolosind2opiunicallcupreurideexercitarediferitecaresai asigureuncastigcandcursulcreste.Sasereprezintegraficoastfeldestrategie. 16. Un exportator va ncasa peste 2 luni 1000 USD. Pentru a se acoperi mpotriva riscului valutar, va tranzaciona o opiune cu prima c=0,05RON pentru un USD, dimensiunea contractului este de 1000 de USD, E=3,0000 RON/USD. S se stabileasca daca exportatorul exercita sau nu optiunea,tiind c la scaden cotaia USD/RON este 2,9900/3,0100. Sa se stabileasca daca un speculator care vrea sa profite de pe urma scaderiicursuluideschimbarexercitaoptiunearespectiva.
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17. Payoffuluneistrategiiiniiatdeunspeculatorestedeforma:
ST PE1 , f (ST ) = 0, PE S , T 2 ST < PE1 PE1 < ST < PE2 ST > PE2

Ssedetermine: a. Opiunilececompunacestpayoff; b. Dac valoarea unui contract este de 10.000 de GBP, PE1 este 1 GBP = 15,2213 CNY, cu prima aferent de 0,01,i PE2 este 1 GBP = 15,2350 CNY, cu prima de 0,007, s sereprezintegraficstrategiaissedetermine:i.intervalulncarespeculatorulctig, respectivpierdereamaxim,ii.rezultatulspeculatoruluidaclascadencursulspot,ST =15,1545CNY/GBP. 18. Presupunem c firma A din Germania necesit un mprumut de 1.000.000 GBP pe 2 ani, iar compania B din Marea Britanie necesit un mprumut de 1.500.000 EUR pe 2 ani. Ratele de dobnd de pe pieele monetare aferente celor dou companii pemtru creditelenlireieurosunt: RatadedobndlaGBP RatadedobndlaEUR A(DE) 6,5% 6% B(UK) 4% 5,5% Cursul spot GBP/EUR n prezent este 1,5. Cele dou companii decid s ncheie un contractswap,prinintermediulbnciiBarclays. I.Rspundeilaurmtoarelentrebri: a) Care sunt condiiile pe care Barclays le urmrete pentru a perfecta o tranzacieswapntreceledoucompanii? b)Cenelegeiprinavantaj(ctig)comparativneticumestedistribuitacesta? c) Din ce motiv ar plti o dobnd mai ridicat compania A, dac se mprumut 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?

42

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

6% 1.500.000 ?% 1.500.000

CompaniaA (DE) 1.500.000

Dealer (Barclays)

CompaniaB (UK) 1.000.000

1.000.000 ?% 6%

1.000.000 4% 4%

BancaX (DE)

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? 19. Compania Microsoft (SUA) dorete s se mprumute 1.000.000 EUR la o rat de dobndfix pe 3 ani,iar Nokia (Finlanda) doretesse mprumute 1.470.000 USD la o rat de dobnd fix pe 3 ani. Ratele de dobnd la care se pot mprumuta cele dou companiisunt: RatadedobndlaUSD RatadedobndlaEUR Microsoft(US) 5% 6,5% Nokia(EU) 7% 6% Cele dou companii decid s ncheie un contract swap valutar pe 3 ani adresnduse unei bncidealer, respectiv Citibank (SUA). Citibank distribuie ctigul comparativ net astfel: Microsoft 30%, Nokia 40%. Cursul spot iniial este 1 EUR = 1,47 USD. S se determine: a) Ctigul comparativ net i costul mprumuturilor suportate de Microsoft i Nokia(schemaderealizareacontractuluiswap);
43

b) CareesterezultatulluiMicrosoft,NokiaiCitibanknfiecarean; c) Pentru a se acoperi la fluctuaia cursului EUR/USD, Microsoft utilizeaz opiuni plain vanilla, avnd preul de exerciiu 1,4956i prima 0,018 USD pentru un EUR. S se discute eficiena hedgingului cu opiuni,tiind c dolarul se depreciaz n fiecareantimpde3anicu1,2%. 20. 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 ctigul comparativ net astfel: Tissot 35%, Orange 45%. Cursul spot iniial este 1 EUR = 1,635CHF.Ssedetermine: a) Ctigul comparativnet, costul mprumuturilor suportate de Tissoti Orange (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%, unde t+i reprezint sfritul anuluii),attnsumabsolutctintermeniprocentuali; c) Dac euro se depreciaz n fiecare an timp de doi ani cu 0,56%, care va fi rezultatulnregistratdeSocitGnralenceldealdoileaan?

44


Studiude d caz5.Cr rizafinanci iardin200 072008
A America s mo ortgage crisis s has spiralle ed into the e largest fina ancial shock since the Great G Depressi ion and ther re is now a one o infour ch hance of a fu ullblown glob bal recession over the nex xt 12 months,warnedtheIn nternationalMonetary M Fun nd. T financialcrisis of 2007 The 72008,initial llyreferredto ointhemedia aasacreditcrunchorcredit crisis, be egan in July 2007 2 when a loss of confid dence by inve estors in the value v of secur ritized mortg gages in the United States resulted r in a liquidity cris sis that prom mpted a subst tantial injection of capital into financial markets by the United St tates Federal Reserve and d the Europea an Central Ba ank. In Septem mber 2008, the e crisis deepen ned, as stock markets wor rldwide crash hed and ente ered a period of high volat tility, and a co onsiderable number n of ba anking, mortg gage and ins surance comp pany failures in the follow wing weeks. Although Americas housin A ng collapse is i often cited d as having caused c the cr risis, the financial systemwas w vulnerabl lebecauseofintricate i andoverleverage edfinancialcontracts c andoperations,aU.S. monetary ypolicymaki ingthecostof o creditneglig gibletherefor reencouragin ngsuchoverleverage. l One example was credit de O erivatives Credit C Defaul lt Swaps (CD DS), which ins sure debt hol lders against default. They are fashio oned privatel ly, traded ov ver the coun nter outside the purview w of regulator rs.TheU.S.government g sseizureofthe emortgageco ompaniespro omptedanauctionoftheirdebt so that tr raders who bought b and so old default protection p (CD DS) could set ttle contracts. The auctions s are usedtoset s apricebywhichinvest torscansettle ethecontracts swithcashra atherthanhav vingtophysi ically deliver a bond to their counterpa arties. Sellers of protection n pay the face e value of the e contracts minus m therecov veryvalueset tonthebonds. A After affecting g banking an nd credit, ma ainly in the United U States s, the situatio on evolved in nto a global ge eneral financ cial crisis ver rging on a sy ystemic crisis. Domino eff fect, as many y institutions had financial links, and al lso psycholog gical contagio ons (see behavioral finance e), made it sp pread at the same s timewor rldwideandto t manyfinan ncialandecon nomicareas: Financ cial markets (stock ( exchan nges and deriv vative market ts notably) where w it develo oped intoama arketcrash, Variou us equity fun nds and hedg ge funds that t went short of cash and had to get ri id of assets, Insura ance activities s and pension n funds, facin ng a receding g asset portfol lio value to cover c theircom mmitments, Withalso a incidence esonpublicfi inancedueto othebailoutactions. a Forex, at least for some s currenc cies (Icelandic c crown, various Eastern Europe E and Latin L Americacurrencies...) ),andwithincreasedvolat tilityformost tofthem Th hefirstsymp ptomsofwhat tiscalledtheEconomiccri isisof2008en nsuedalsoinvariouscoun ntries and vari ious industri ies, as the financial crisis s, albeit not the only cau use, was a factor f by ma aking borrowin ngandequity yraisinghard der.

45

Historicalbackground The initial liquidity crisis can in hindsight be seen to have resulted from the incipient subprime mortgage crisis, with the first alarm bells being rung by the 2006 HSBC results. The crisis was widely predicted by a number of economic experts and other observers, but it proved impossible to convince 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 Government relented, and the bank was taken into public hands. Northern Rocks problems proved to beanearlyindicationofthetroublesthatwouldsoonbefallotherbanksandfinancialinstitutions. Excessive lending under loosened underwriting standards, which was a hallmark of the United States housing bubble, resulted in a very large number of subprime mortgages. These highrisk loans had been perceived to be mitigated by securitization. Rather than mitigating the risk, however, this strategy appears to have had the effect of broadcasting and amplifying it in a domino effect. The damage from these failing securitization schemes eventually cut across a large swath of the housing market and the housing business and led to the subprime mortgage crisis. The accelerating rate of foreclosures caused an ever greater number of homes to be dumped onto the market. This glut of homes decreased the value of other surrounding homes which themselves became subject to foreclosureorabandonment.Theresultingspiralunderlayadevelopingfinancialcrisis. Initially the companies affected were those directly involved in home construction and mortgage lending such as Northern Rock and Countrywide Financial. Financial institutions which had engaged in the securitization of mortgages such as Bear Stearns then fell prey. Later on, Bear Stearns was acquired by JP Morgan Chase through the deliberate assistance from the US government. Its stock 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 investors tried to gauge whether the government would attempt to save mortgage lenders Fannie Mae andFreddieMac,whichitdidbyplacingthetwocompaniesintofederalconservatorshiponSeptember 7,2008afterthecrisisfurtheracceleratedinlatesummer. It then began to affect the general availability of credit to nonhousing related businesses and to 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 them against failure, threatened an increasing number of firms such as Lehman Brothers, 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.

46

Risksandregulations For some analysts the first half of the 2000 decade will be remembered as a time that financial innovations and the CRA requirement of mandated lending to non creditworthy individuals overwhelmedthecapacityofbothregulatorsandbankstoassessriskinthefinancialmarkets.Thecase of Citigroup is emblematic: Citigroup had always been under Federal Reserve regulation, and its near 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 management methods of the banks themselves. Similarly, the rating agencies relied on the information providedbytheoriginatorsofsyntheticproducts.Itwasashockingabdicationofresponsibility. Beginning with bankruptcy of Lehman Brothers on Sunday, September 14, 2008, the financial crisis entered an acute phase marked by failures of prominent American and European banks and efforts by the American and European governments to rescue distressed financial institutions, in the United States by passage of the Emergency Economic Stabilization Act of 2008 and in European countries by infusion of capital into major banks. Afterwards, Iceland almost claimed to go bankrupt. Many financial institutions in Europe also faced the liquidity problem that they needed to raise their capital adequacy ratio. As the crisis developed, stock markets fell worldwide, and global financial regulators attempted to coordinate efforts to contain the crisis. The US government composed a $700 billion plan to purchase unperforming collaterals and assets. However, the plan was vetoed by the US congressbecausesomemembersrejectedtheideathatthetaxpayersmoneybeusedtobailouttheWall Street investment bankers. The stock market plunged as a result, the US congress amended the $700 billion bail out plan and passed the legislation. The market sentiment continued to deteriorate and the global financial system almost collapsed. While the market turned extremely pessimistic, the British government launched a 500 billion pound bail out plan aimed at injecting capital into the financial system. The British government nationalized most of the financial institutions in trouble. Many European governments followed suit, as well as the US government. Stock markets appeared to have stabilizedasOctoberended.Inaddition,thefallingpricesduetoreduceddemandforoil,coupledwith projectionsofaglobalrecession,broughtthe2000senergycrisistotemporaryresolution.IntheEastern European economies of Poland, Hungary,Romania,and Ukraine the economiccrisis was characterized by difficulties with loans made in hard currencies such as the Swiss franc. As local currencies in those 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.

47

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

48

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) unde P reprezintnivelulpreurilordinsectorulNTrelativlasectorulT, W este salariul(acelainsectoareleTiNT),iar R esteratadobnzii. Substituindprimeledourelaiinurmtoareledouobinem:
T = AT ( LT ) ( K T )1 W LT R K T NT = P A NT ( LNT ) ( K NT )1 W LNT R K NT

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

(BS.5) (BS.6)

Maximizareaprofituluipresupunecproductivitateamunciiiacapitaluluitrebuies fieegalecupreulcelordoifactori(salariulirespectivratadedobnd).
T L
T

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

BS.7

T K
T

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

BS.8

NT L
NT

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

BS.9

NT K
NT

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

(BS.12) (BS.13)
49

 (%) 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:

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)

SubstituindBS.17nBS.15,iarapoiBS.18nBS.16,obinem:
w = k + (1 ) k = k =
T T 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
50

Scriind relaia de mai sus n modificri procentualei notnd modificrile procentuale 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 exprim modificarea procentual a preurilor n sectorul T, iar (0,1) este o 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 bunurile tranzacionabile, iar cursul de schimb este dictat complet de P *T aceste bunuri. Conform PPP, S = T , ceea ce se poate rescrie n forma relativ astfel: P T T (%) 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)

51

ANEXA2.SpecificaiilecontractuluifuturespecursulEUR/RONlaBursade ValoriBucureti1

52


53

54

55