PARTEA I PARITATEA RATELOR DE DOBND

1. Cutai

pe site-ul wikipedia (http://en.wikipedia.org/wiki/Main_Page)

urmtoarea sintagm: uncovered interest parity.
a) Facei un scurt rezumat al textului (15 rnduri scrise de mn)
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b) Explicai reprezentrile grafice ale paritii acoperite, respective neacoperite.
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2. Jucai jocul CONOMIA creat de Banca Central European:

http://www.ecb.europa.eu/ecb/educational/economia/html/index.en.html
a) Care este media inflaiei obinute pentru tot orizontul de prognoz? Conteaz
media i/sau volatilitatea acesteia? Explicai.
b) Cum sunt afectai indicatorii economici selectai de modificarea ratei de
dobnd? Ce sfaturi ofer ceilali membri ai echipei? Cum sunt reflectate n
pres deciziile de politic monetar? Ce nelegei prin comportament
forward-looking?
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3. Citii urmtorul text:

http://www.conso.ro/ghid/prognoza-cursului-de-schimb/impactul-dobanziide-referinta-in-cursul-de-schimb
Scriei ideea principal a textului (3 rnduri scrise de mn)
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4. Citii din International Economics. Theory and Policy de P. Krugman i M. Obstfeld

capitolul 13 Exchange Rates and Foreign Exchange Market: An Asset Approach.

Facei un rezumat (cel puin 2 pagini i jumtate scrise de mn) n care s
surprindei i urmtoarele aspecte:
a) Factori care influeneaz cererea de valute;
b) Ce se nelege prin rata la depozitele n euro transformat n dolari i de ce
este important aceasta?
c) Cum afecteaz fluctuaiile cursului spot randamentul ateptat al unui depozit
denominat n alt valut?
d) n ce condiii implicaiile relaiei UIP sunt valide?
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e) Citii anexa capitolului. Care este diferena fundamental dintre UIP i CIP i
care credei c este implicaia acestei diferene?
f) Ce concluzie tragei pe baza Figurii 13-1 ?
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5. Vei analiza n continuare dec se verific sau nu paritatea ratelor de dobnd

pentru o pereche de valute alese. Avei un exemplu la dispoziie pentru perechea
de valute GBP/USD. Pentru a nele exact cum se realizeaz testarea
econometric este indicat s refacei paii din exemplu folosind datele puse la
dispoziie. Pentru aceast aplicaie trebuie s parcurgei urmtoarele etape:
a) Alegei o pereche de valute (cu excepia EUR/RON) i cutai date lunare
privind cursul de schimb i ratele de dobnd aferente celor dou valute
pentru o anumit perioad (de pe site-ul Eurostat, FED sau alte bnci
centrale). Reprezentai-le grafic.
b) Introducei datele n Eviews i urmai toi paii indicai n exemplu,
prezentnd print screen-urile din Eviews.
c) Pentru fiecare print screen oferii o interpretare econometric a rezultatelor.
Explicai indicatorii din output-ul cu rezultatul estimrii OLS.
d) Care este relaia UIP estimat de voi (folosind coeficienii estimai).
e) Se verific UIP? n cazul n care nu se verific, oferii posibile explicaii
economice. De asemenea, n cazul n care nu se verific UIP, explicai dac
exist posibiliti de carry trade profitabil pe aceste valute.

PARTEA A II-A PARITATEA PUTERII DE CUMPRARE

Numr repartizarea cerinelor: _________

1. Vizionai urmtorul film oferit de Bloomberg (2 minute):

http://www.youtube.com/watch?v=pnAkCS2gl8g
Scriei pe scurt (4 - 5 rnduri scrise de mn) care este ideea extras de voi pe
baza filmului i care este utilitatea teoriei PPP pentru traderi. Care sunt bncile
reprezentate n film de cei intervievai?
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2. OECD pune la dispoziie date cu privire la cursul de schimb conform PPP i

cursul de schimb de pe pia la urmtoarea adres:
http://stats.oecd.org/Index.aspx?datasetcode=SNA_TABLE4
Calculai cu ct este sub/supraevaluat valuta indicat pentru voi (a se vedea
repartizarea cerielor pentru alegerea monedei i a anului n care se va face
Cursul de schimb de pe pia
calculul). Cum ai calculat?

Cursul de schimb conform PPP

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3. Cel mai recent sondaj Big Mac este pus la dispoziie de The Economist la
urmtoarea adres:

http://www.economist.com/content/big-mac-index
a) Artai cum se calculeaz gradul de sub/supraevaluare pentru moneda
aleas (a se vedea repartizarea cerinelor). Obinei acelai rezultat ca The
Economist?
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b) Calculai cursul real fa de dolar pentru moneda de mai sus. Artai cum se
calculeaz acest curs i explicai de ce cursul real nu are unitate de msur.
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c) Explicai de ce cursul real este un indicator de competitivitate. Stabilii pe
baza cursului calculat mai sus unde este mai ieftin un Big Mac: n SUA sau n
ara monedei alese la punctul a).
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4. Folosind link-ul de mai jos, dai exemplu de ri unde nivelul de trai este foarte
ridicat i de ri unde nivelul de trai este foarte sczut:
http://chartsbin.com/view/1711
La ce este folosit teoria paritii puterii de cumprare n acest caz?
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5. Citii din International Economics. Theory and Policy de P. Krugman i M. Obstfeld

capitolul 15 Price Levels and the Exchange Rate in the Long Run. Facei un rezumat
(cel puin 3 pagini i jumtate scrise de mn) n care s surprindei i
urmtoarele aspecte:
g) Care este exemplul dat pentru exemplificarea legii preului unic?
h) Care sunt implicaiile PPP?
i) Care sunt factorii care afecteaz cursul de schimb pe termen lung ntr-o
abordare monetarist? Explicai
j) Explicai efectul Fisher i modul n care acesta explic influena ratelor de
dobnd asupra cursului de schimb pe termen lung
k) Ce putei spune despre validitatea PPP? Care sunt factorii care determin
deviaii de la PPP?
l) Explicai de ce nivelul preurilor este mai redus n rile mai srace
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m) Explicai exemplul numeric oferit pentru efectele unei deprecieri reale a

dolarului

6. Citii studiul de caz II.1:

Studiu de caz II.1. Procesul de catching-up

With the increasing pace at which domestic markets are becoming integrated into the global
economy, the debate on income disparities around the world has intensified. More than two-thirds of
the world population still live in developing countries. Whether and when these countries can catch up
to the developed countries will affect the welfare of more than three billion human beings. Therefore, to
study the determinants of catching up in late development is one of the major tasks of economists in this
and the next century.
The catch-up effect, also called the theory of convergence, states that poorer economies tend to
grow at faster rates than richer economies. Therefore, all economies should in the long run converge in
terms of per capita income and productivity. Developing countries have the potential to grow at a faster
rate than developed countries as they can replicate production methods, technologies and institutions
currently used in developed countries. This addition of capital allows them to rapidly increase
productivity and incomes in order to achieve a higher growth rate than developed countries and
therefore converge in the long-term.
The theory also assumes that technology is freely traded and available to developing countries
that are attempting to catch-up. Capital that is expensive or unavailable to these economies can also
prevent catch-up growth from occurring, especially given that capital is scarce in these countries. This
often traps countries in a low-efficiency cycle whereby the most efficient technology is too expensive to
be acquired. The differences in productivity techniques is what separates the leading developed nations
from the following developed nations, but by a margin narrow enough to give the following nations an
opportunity to catch-up. This process of catch-up continues as long as the followed nations have
something to learn from the leading nations, and will only cease when the knowledge discrepancy
between the leading and follower nations becomes very small and eventually exhausted.
One can distinguish between two types of convergence in the economic growth literature: convergence and -convergence. When the dispersion of real per capita income across a group of
economies falls over time, there is - convergence. When the partial correlation between growth in
income over time and its initial level is negative, there is -convergence. Beta convergence is a
necessary but not a sufficient condition for sigma convergence. Beta convergence implies the existence of
a longer-term catch-up mechanism, i.e. forces which work towards the narrowing of income differences
across countries. These forces, however, can be offset by temporary shocks which adversely (or,
positively) affect short-run growth performance. This is why the existence of beta convergence may not
be fully reflected in changes of the dispersion of income levels.
The convergence literature is extremely large, worthnoty are the contributions of Barro and
Sala-i-Martin (1992) and Mankiw et al. (1992), exploring -convergence. Sala-i-Martin (1996, p. 1326),
surveying this literature, concludes that the estimated speeds of -convergence are so surprisingly

similar across different data sets, that we can state that economies converge at a speed of two percent
per year. In other words, economies close the gap between present levels of income and balanced
growth levels by, on average, 2 percent annually.
Some economists criticise the theory, stating that endogenous factors, such as government policy,
are much more influential in economic growth than exogenous factors.
There are many examples of countries which have converged with developed countries which
validate the catch-up theory. In in the 1960s and 1970s the East Asian Tigers rapidly converged with
developed economies. These include Singapore, Hong Kong, South Korea and Taiwan - all of which are
today considered developed countries. In the post-war period (1945-1960) examples include Germany,
France and Japan, which were able to quickly regain their prewar status by replacing capital that was
lost during World War II.
The Asian Tigers
Abandoning import substitution, the model advocated in the developing world following the
two world wars, the Four Asian Tigers pursued an export-driven model of economic development with
the exportation of goods to highly-industrialized 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
combination into a cheap, yet productive workforce.
The common characteristics of the Four Asian Tigers are:

Developed economies with high GDP per capita and high HDI

Focused on exports to richer industrialized nations

Trade surplus with aforementioned countries

Sustained rate of double-digit growth for decades

High level of U.S. treasury bond holdings

Motivated and skilled workforces

High savings rate

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 fast-growing economies based
on cheap labour, largely replacing the Tigers.
1970s: Real GDP Increases by Percentage, Inflation by Percentage in Hong Kong

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
catching-up;
majorarea considerabil a venitului pe cap de locuitor;
intrri masive de capital strin;
tendin puternic de apreciere real a monedei naionale pn n 2008.
Figura II.1.1. Relaia dintre PIB pe cap de locuitor n PPS n anul 1999 i rata de cretere economic real cumulat
n perioada 2008 1999.

Sursa: Eurostat

Care este opinia voastr referitoare la procesul de catching up? Facei referire i
la contextul economic n care se analizeaz veridicitatea teoriei (textul se va scrie
de mn 15 rnduri).

7. Studiai o economie din Uniunea European (a se vedea repartizarea cerinelor).

V intereseaz care a fost creterea economic n ara aleas n perioada
ulterioar anului 2000.
Indicaii: Datele se vor downloada de pe site-ul Eurostat. Google/Eurostat.
Statistics/Economy
and
Finance/National
Accounts
(including
GDP)/Database/Annual national accounts/GDP and main components volumes (ne
intereseaz indicatorul economic exprimat n valori reale, nu nominale)/Select
data/GEO ara aleas, INDIC_NA B1GM (sau ali indicatori, n funcie de cerin),
TIME din anul 2000 pn n anul 2013 inclusiv, UNIT Millions of national currency,
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chain-linked volumes, reference year 2005 (including 'euro fixed' series for euro area
countries). Update. View Table. Download. In Excel format.
a) Realizai un grafic pentru perioada 2000 2013 ilustrnd evoluia PIB real n ara
aleas (a se vedea repartizarea cerinelor). S reias clar valorile din fiecare an, ce se
afl pe ordonat i abscis, unitatea de msur, sursa. Oferii un comentariu ( 2 3
rnduri scrise de mn).
b) Realizai un grafic pentru perioada 2001 2013 cu rata de cretere economic
real anual. S reias clar valorile din fiecare an, ce se afl pe ordonat i abscis,
unitatea de msur, sursa. Oferii un comentariu ( 5 6 rnduri scrise de mn).
c) Luai n considerare 3 ri adiionale, n total avei un grup de 4 ri (a se vedea
repartizarea cerinelor), pentru care urmai aceiai pai i calculai rata de
cretere economic real. Realizai un grafic pentru perioada 2001 2007 de tipul
scatter with regression, mai exact de tipul Figurii II.1.1 din studiul de caz II.1. A
avut loc beta-convergen ntre rile analizate? Realizai acelai grafic pentru
perioada 2001 2013. Oferii interpretrile voastre (10 rnduri scrise de mn).

8. Cutai pe Google urmtoarea sintagm: Efectul productivitatii asupra inflatiei si

cursului de schimb rolul efectului Balassa Samuelson. Descrcai fiierul pdf oferit
de primul rezultat.
a) Explicai primul grafic din slide-ul 6.
b) Explicai primele dou grafice din slide-ul 7.
c) Care sunt rezultatele estimrilor pentru Romnia?